贵金属期权早报-20260320

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Views - For silver options, the ag2606 contract closed at 17,984 yuan yesterday, down 2076 yuan or 10.34% from the previous day. The trading volume was 774,107 lots, an increase of 221,245 lots, and the open interest was 227,107 lots, an increase of 1,799 lots. The implied volatility of AG (silver options) fluctuated above the mean of 0.4588. The AG option open interest PCR was reported at 0.7805, at the 0.41% level in the past year. The pressure level of the AG option underlying is 37,600, and the support level is 15,000 [6]. - For gold options, the au2604 contract closed at 1,062 yuan yesterday, down 51.68 yuan or 4.64% from the previous day. The trading volume was 244,568 lots, an increase of 114,037 lots, and the open interest was 78,537 lots, a decrease of 7,295 lots. The implied volatility of AU (gold options) fluctuated above the mean of 0.2677. The AU option open interest PCR was reported at 0.6595, at the 25.71% level in the past year. The pressure level of the AU option underlying is 1,200, and the support level is 1,000 [17]. 3. Summary by Relevant Catalogs 3.1. Silver Options - Futures Market Data: The ag2606 contract of AG (silver options) had a closing price of 17,984, a decline of 2076, a decline rate of -10.34%, a trading volume of 774,107 lots, and an open interest of 227,107 lots with an increase of 1,799 lots [3]. - Option Factor - Volume and Open Interest PCR: The trading volume of AG (silver call options) was 218,503 lots with an increase of 46,315 lots, and the open interest was 147,211 lots with an increase of 10,742 lots. The trading volume of AG (silver put options) was 335,582 lots with an increase of 115,431 lots, and the open interest was 114,891 lots with a decrease of 2,650 lots. The trading volume PCR was 1.54 with an increase of 0.26, and the open interest PCR was 0.78 with a decrease of 0.1 [4]. - Option Factor - Pressure and Support: For the aa2604 contract of AG (silver options), the at - the - money strike price was 18,000, the pressure level was 37,600, the support level was 15,000, the weighted implied volatility was 89.79% with an increase of 11.83%, the annual average implied volatility was 45.88%, and HISV20 was 74.62% [5]. - Option Strategy Suggestions: For directional strategies, construct a bear put spread strategy to obtain directional returns, such as B_AG2604P18500, S_AG2604P17500. There is no volatility strategy [7]. 3.2. Gold Options - Futures Market Data: The au2604 contract of AU (gold options) had a closing price of 1,062, a decline of 51.68, a decline rate of -4.64%, a trading volume of 244,568 lots, and an open interest of 78,537 lots with a decrease of 7,295 lots [14]. - Option Factor - Volume and Open Interest PCR: The trading volume of AU (gold call options) was 96,785 lots with an increase of 53,259 lots, and the open interest was 65,625 lots with an increase of 4,759 lots. The trading volume of AU (gold put options) was 101,359 lots with an increase of 63,311 lots, and the open interest was 43,278 lots with a decrease of 2,288 lots. The trading volume PCR was 1.05 with an increase of 0.17, and the open interest PCR was 0.66 with a decrease of 0.09 [15]. - Option Factor - Pressure and Support: For the au2604 contract of AU (gold options), the pressure level was 1,200, the support level was 1,000, the weighted implied volatility was 40.54% with an increase of 8.47%, the annual average implied volatility was 26.77%, and HISV20 was 23.90% [16]. - Option Strategy Suggestions: There is no directional strategy. For volatility strategies, construct a short call + put option combination strategy to obtain option time - value returns, and dynamically adjust the positions to keep the position delta neutral, such as S_AU2604P1096, S_AU2604C1152 [18].