聚酯期权早报-20260323
Wu Kuang Qi Huo·2026-03-23 06:02
  1. Report Industry Investment Rating - No information provided in the report 2. Core View of the Report - The report provides a comprehensive analysis of various polyester options, including EG, PF, PR, PX, and TA. It analyzes the market data, option factors, and market sentiment of these options, and provides corresponding option strategy suggestions. In general, the report recommends constructing a bull spread combination strategy of call options to obtain directional returns, and does not recommend strategies dominated by sellers due to large geopolitical risks [7][19][31] 3. Summary by Relevant Catalogs 3.1 EG (Ethylene Glycol) - Market Data: The closing price of the eg2605 contract yesterday was 5353 yuan, up 131 yuan or 2.50% from the previous day. The trading volume was 882,206 lots, a decrease of 15,285 lots from the previous day, and the open interest was 344,627 lots, an increase of 11,145 lots from the previous day [6] - Option Factors - Volume and Open Interest PCR: The trading volume of EG call options was 67,816, a decrease of 3,793; the open interest was 56,429, an increase of 4,567. The trading volume of EG put options was 35,391, a decrease of 11,199; the open interest was 52,450, a decrease of 3,227. The trading volume PCR was 0.52, a decrease of 0.13; the open interest PCR was 0.93, a decrease of 0.14 [4] - Option Factors - Pressure and Support: The underlying contract of EG options is eq2605, the at - the - money strike price is 5400, the pressure level is 5000, the support level is 4000, the weighted implied volatility is 70.04%, an increase of 3.06%, the annual average implied volatility is 21.85%, and HISV20 is 49.64% [5] - Option Strategy Suggestions: Directional strategy: Construct a bull spread combination strategy of call options to obtain directional returns. Volatility strategy: Due to large geopolitical risks, strategies dominated by sellers (such as single - selling and double - selling) are not recommended [7] 3.2 PF (Short - Fiber) - Market Data: The closing price of the PF606 contract yesterday was 8248 yuan, down 168 yuan or 1.99% from the previous day. The trading volume was 216,088 lots, an increase of 39,266 lots from the previous day, and the open interest was 131,293 lots, a decrease of 4,722 lots from the previous day [18] - Option Factors - Volume and Open Interest PCR: The trading volume of PF call options was 414, a decrease of 617; the open interest was 11,826, a decrease of 39. The trading volume of PF put options was 2,127, a decrease of 195; the open interest was 18,092, an increase of 891. The trading volume PCR was 5.14, an increase of 2.89; the open interest PCR was 1.53, an increase of 0.08 [16] - Option Factors - Pressure and Support: The underlying contract of PF options is PF6, the at - the - money strike price is 8300, the pressure level is 8400, the support level is 6100, the weighted implied volatility is 47.95%, an increase of 1.91%, the annual average implied volatility is 21.87%, and HISV20 is 33.19% [17] - Option Strategy Suggestions: Directional strategy: Construct a bull spread combination strategy of call options to obtain directional returns, such as B PF2605C8200, S PF2605C8700. Volatility strategy: Due to large geopolitical risks, strategies dominated by sellers (such as single - selling and double - selling) are not recommended [19] 3.3 PR (Bottle Chip) - Market Data: The closing price of the PR605 contract yesterday was 8262 yuan, down 532 yuan or 6.04% from the previous day. The trading volume was 163,704 lots, an increase of 450 lots from the previous day, and the open interest was 40,461 lots, a decrease of 8,763 lots from the previous day [30] - Option Factors - Volume and Open Interest PCR: The trading volume of PR call options was 1,107, an increase of 391; the open interest was 3,813, an increase of 162. The trading volume of PR put options was 1,108, an increase of 810. The trading volume PCR change was 0.58, the open interest PCR was 0.9, a decrease of 0.04 [28] - Option Factors - Pressure and Support: The underlying contract of PR options is PR605, the at - the - money strike price is 8300, the pressure level is 10,600, the support level is 6300, the weighted implied volatility is 69.12%, a decrease of 8.46%, the annual average implied volatility is 22.57%, and HISV20 is 48.87% [29] - Option Strategy Suggestions: Directional strategy: Construct a bull spread combination strategy of call options to obtain directional returns. Volatility strategy: Due to large geopolitical risks, strategies dominated by sellers (such as single - selling and double - selling) are not recommended [31] 3.4 PX (Para - Xylene) - Market Data: The closing price of the PX605 contract yesterday was 9682 yuan, down 452 yuan or 4.46% from the previous day. The trading volume was 691,085 lots, a decrease of 76,307 lots from the previous day, and the open interest was 198,229 lots, a decrease of 14,008 lots from the previous day [42] - Option Factors - Volume and Open Interest PCR: The trading volume of PX call options was 114,498, a decrease of 19,714; the open interest was 68,271, an increase of 3,519. The trading volume of PX put options was 136,703, an increase of 20,724; the open interest was 109,612, a decrease of 1,026. The trading volume PCR was 1.19, an increase of 0.33; the open interest PCR was 1.61, a decrease of 0.1 [40] - Option Factors - Pressure and Support: The underlying contract of PX options is PX605, the at - the - money strike price is 007, the pressure level is 12,200, the support level is 6100, the weighted implied volatility is 81.16%, a decrease of 6.59%, the annual average implied volatility is 27.73%, and HISV20 is 43.97% [41] - Option Strategy Suggestions: Directional strategy: Construct a bull spread combination strategy of call options to obtain directional returns, such as B PX2605C9700, S PX2605C10400. Volatility strategy: Due to large geopolitical risks, strategies dominated by sellers (such as single - selling and double - selling) are not recommended [43] 3.5 TA (Purified Terephthalic Acid) - Market Data: The closing price of the TA605 contract yesterday was 6650 yuan, down 316 yuan or 4.53% from the previous day. The trading volume was 1,787,700 lots, a decrease of 178,146 lots from the previous day, and the open interest was 1,049,100 lots, a decrease of 66,948 lots from the previous day [55] - Option Factors - Volume and Open Interest PCR: The trading volume of TA call options was 211,408, an increase of 32,166; the open interest was 175,048, an increase of 4,904. The trading volume of TA put options was 181,951, an increase of 68,735; the open interest was 228,581, an increase of 4,289. The trading volume PCR was 0.86, an increase of 0.23; the open interest PCR was 1.31, a decrease of 0.01 [53] - Option Factors - Pressure and Support: The underlying contract of TA options is TA605, the at - the - money strike price is 6600, the pressure level is 8500, the support level is 5000, the weighted implied volatility is 63.08%, a decrease of 7.40%, the annual average implied volatility is 26.75%, and HISV20 is 40.51% [54] - Option Strategy Suggestions: Directional strategy: Construct a bull spread combination strategy of call options to obtain directional returns. Volatility strategy: Due to large geopolitical risks, strategies dominated by sellers (such as single - selling and double - selling) are not recommended [56]
聚酯期权早报-20260323 - Reportify