农副期权早报-20260319
Wu Kuang Qi Huo·2026-03-19 05:21
  1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints of the Report - The implied volatility of various agricultural options (including apple, cotton, jujube, egg, log, hog, and sugar options) maintains above the average level [6][18][30][42][54][66][78]. - For most options, the recommended strategy is to construct a combination strategy of selling call and put options to obtain option time - value benefits, and dynamically adjust the positions to keep the position delta neutral [7][19][31][43][67][79]. 3. Summary According to Relevant Catalogs 3.1 Apple (AP) - Market Data: The AP605 contract closed at 10121 yuan yesterday, up 46 yuan (0.45%) from the previous day. The trading volume was 76487 lots, an increase of 11149 lots, and the open interest was 91016 lots, an increase of 802 lots [3][6]. - Option Factors - Volume and Open Interest PCR: The volume PCR of AP call options is 0.77, with a change of 0.13; the open - interest PCR is 1.65, with a change of 0.06 [4]. - Option Factors - Pressure and Support: The pressure level is 11200, and the support level is 9000. The weighted implied volatility is 41.96%, with a change of - 3.53%, and the annual average implied volatility is 25.14% [5]. - Strategy: Construct a combination strategy of selling call and put options, such as S_AP2605P9400, S_AP2605P9600, S_AP2605C11000, and S_AP2605C11200 [7]. 3.2 Cotton (CF) - Market Data: The CF605 contract closed at 15210 yuan yesterday, down 320 yuan (2.06%) from the previous day. The trading volume was 509245 lots, an increase of 87881 lots, and the open interest was 653507 lots, a decrease of 26651 lots [15][18]. - Option Factors - Volume and Open Interest PCR: The volume PCR of CF call options is 0.37, with a change of 0.06; the open - interest PCR is 0.83, with a change of 0.05 [16]. - Option Factors - Pressure and Support: The pressure level is 16400, and the support level is 14800. The weighted implied volatility is 17.83%, with a change of - 3.84%, and the annual average implied volatility is 14.35% [17]. - Strategy: Construct a combination strategy of selling call and put options, such as S_CF2605P14400, S_CF2605P14600, and S_CF2605C15800 [19]. 3.3 Jujube (CJ) - Market Data: The CJ605 contract closed at 8795 yuan yesterday, down 250 yuan (2.76%) from the previous day. The trading volume was 159924 lots, an increase of 80264 lots, and the open interest was 121220 lots, a decrease of 13020 lots [30]. - Option Factors - Volume and Open Interest PCR: The volume PCR of CJ call options is 0.21, with a change of 0.07; the open - interest PCR is 0.23 [28]. - Option Factors - Pressure and Support: The pressure level is 9800, and the support level is 9000. The weighted implied volatility is 40.34%, with a change of 1.40%, and the annual average implied volatility is 27.23% [29]. - Strategy: Construct a combination strategy of selling call and put options, such as S_CJ2605P8700 and S_CJ2605C9400, and dynamically adjust the positions [31]. 3.4 Egg (JD) - Market Data: The jd2605 contract closed at 3400 yuan yesterday, up 10 yuan (0.29%) from the previous day. The trading volume was 136032 lots, a decrease of 25075 lots, and the open interest was 172504 lots, an increase of 1238 lots [42]. - Option Factors - Volume and Open Interest PCR: The volume PCR of JD call options is 0.72, with a change of - 0.21; the open - interest PCR is 0.58, with a change of 0.06 [40]. - Option Factors - Pressure and Support: The pressure level is 3900, and the support level is 3200. The weighted implied volatility is 22.03%, with a change of 0.12%, and the annual average implied volatility is 24.97% [41]. - Strategy: Construct a combination strategy of selling call and put options, such as S_D2604P3100, S_D2604P3200, S_JD2604C3350, and S_JD2604C3450, and keep the position delta neutral [43]. 3.5 Log (LG) - Market Data: The lg2605 contract closed at 806 yuan yesterday, down 5.5 yuan (0.67%) from the previous day. The trading volume was 5187 lots, a decrease of 4905 lots, and the open interest was 11016 lots, an increase of 355 lots [54]. - Option Factors - Volume and Open Interest PCR: The volume PCR of LG call options is 0.36, with a change of 0.23; the open - interest PCR is 0.47, with a change of 0.02 [52]. - Option Factors - Pressure and Support: The pressure level is 950, and the support level is 725. The weighted implied volatility is 27.25%, with a change of - 3.19%, and the annual average implied volatility is 21.57% [53]. - Strategy: There is no directional strategy, and no volatility strategy is recommended [55]. 3.6 Hog (LH) - Market Data: The Ih2605 contract closed at 10475 yuan yesterday, down 245 yuan (2.28%) from the previous day. The trading volume was 149769 lots, an increase of 18369 lots, and the open interest was 204678 lots, an increase of 2280 lots [66]. - Option Factors - Volume and Open Interest PCR: The volume PCR of LH call options is 0.35, with a change of 0.07; the open - interest PCR is 0.23, with a change of 0.01 [64]. - Option Factors - Pressure and Support: The pressure level is 15600, and the support level is 10000. The weighted implied volatility is 39.79%, with a change of - 0.83%, and the annual average implied volatility is 23.44% [65]. - Strategy: Construct a combination strategy of selling call and put options, such as S_LH2605P10000, S_LH2605P10400, S_LH2605C11400, and S_LH2605C11800, and keep the position delta neutral [67]. 3.7 Sugar (SR) - Market Data: The SR605 contract closed at 5343 yuan yesterday, down 86 yuan (1.58%) from the previous day. The trading volume was 36934 lots, an increase of 85001 lots, and the open interest was 387747 lots, a decrease of 29190 lots [78]. - Option Factors - Volume and Open Interest PCR: The volume PCR of SR call options is 0.3, with a change of - 0.06; the open - interest PCR is 0.44, with a change of 0.01 [76]. - Option Factors - Pressure and Support: The pressure level is 6200, and the support level is 5300. The weighted implied volatility is 17.08%, with a change of - 3.28%, and the annual average implied volatility is 12.00% [77]. - Strategy: Construct a combination strategy of selling call and put options, such as S_SR2605P5200 and S_SR2605C5600, and keep the position delta neutral [79].
农副期权早报-20260319 - Reportify