Report Industry Investment Rating - Not provided in the given content Core Viewpoints - For all the analyzed options (EG, PF, PR, PX, TA), the contracts showed price increases, with implied volatility maintaining above the average level, and the recommended directional strategy is to construct a bull spread combination strategy of call options to obtain directional returns. Due to significant geopolitical risks, strategies dominated by sellers are not recommended [7][20][32][44][57] Summary by Relevant Catalogs 1. EG (Ethylene Glycol) - Market Data: The eg2605 contract closed at 5574 yuan yesterday, up 439 yuan or 6.54% from the previous day. The trading volume was 861,915 lots, a decrease of 20,291 lots from the previous day, and the open interest was 345,932 lots, an increase of 1,305 lots [4][7] - Option Factors - Volume and Open Interest PCR: The trading volume of call options was 70,790 with a change of 2,974, and the open interest was 53,175 with a change of -3,254. The trading volume PCR was 0.53 with a change of 0.01, and the open interest PCR was 0.97 with a change of 0.05 [5] - Option Factors - Pressure and Support: The at - the - money strike price was 5600, the pressure level was 5000, the support level was 4000, the weighted implied volatility was 76.77% with a change of 6.72%, the annual average implied volatility was 22.10%, and HISV20 was 48.73% [6] - Strategy Recommendations: Directional strategy: Construct a bull spread combination strategy of call options. Volatility strategy: Due to significant geopolitical risks, strategies dominated by sellers are not recommended [8] 2. PF (Short - Fiber) - Market Data: The PF606 contract closed at 8680 yuan yesterday, up 504 yuan or 6.16% from the previous day. The trading volume was 204,112 lots, a decrease of 11,976 lots from the previous day, and the open interest was 142,270 lots, an increase of 10,977 lots [17][20] - Option Factors - Volume and Open Interest PCR: The trading volume of call options was 228 with a change of -186, and the open interest was 11,863. The trading volume PCR was 7.33 with a change of 2.19, and the open interest PCR was 1.52 with a change of -0.01 [18] - Option Factors - Pressure and Support: The at - the - money strike price was 8700, the pressure level was 8400, the support level was 6100, the weighted implied volatility was 53.36% with a change of 5.41%, the annual average implied volatility was 22.02%, and HISV20 was 33.81% [19] - Strategy Recommendations: Directional strategy: Construct a bull spread combination strategy of call options, such as B PF2605C8200, S PF2605C8700. Volatility strategy: Due to significant geopolitical risks, strategies dominated by sellers are not recommended [21] 3. PR (Bottle Chip) - Market Data: The PR605 contract closed at 8668 yuan yesterday, up 474 yuan or 5.78% from the previous day. The trading volume was 99,546 lots, a decrease of 64,158 lots from the previous day, and the open interest was 40,780 lots, an increase of 319 lots [29][32] - Option Factors - Volume and Open Interest PCR: The trading volume of call options was 601 with a change of -506, and the open interest was 3,738 with a change of -75. The trading volume PCR was 0.41 with a change of -0.59, and the open interest PCR was 0.91 with a change of 0.02 [30] - Option Factors - Pressure and Support: The at - the - money strike price was 8700, the pressure level was 10,600, the support level was 6300, the weighted implied volatility was 76.50% with a change of 7.38%, the annual average implied volatility was 22.83%, and HISV20 was 52.33% [31] - Strategy Recommendations: Directional strategy: Construct a bull spread combination strategy of call options. Volatility strategy: Due to significant geopolitical risks, strategies dominated by sellers are not recommended [33] 4. PX (Para - Xylene) - Market Data: The PX605 contract closed at 10,390 yuan yesterday, up 808 yuan or 8.43% from the previous day. The trading volume was 595,921 lots, a decrease of 95,164 lots from the previous day, and the open interest was 204,513 lots, an increase of 6,284 lots [41][44] - Option Factors - Volume and Open Interest PCR: The trading volume of call options was 142,267 with a change of 27,769, and the open interest was 67,813 with a change of -458. The trading volume PCR was 0.91 with a change of -0.28, and the open interest PCR was 1.84 with a change of 0.23 [42] - Option Factors - Pressure and Support: The at - the - money strike price was 10,400, the pressure level was 12,200, the support level was 6100, the weighted implied volatility was 112.29% with a change of 31.13%, the annual average implied volatility was 28.10%, and HISV20 was 45.22% [43] - Strategy Recommendations: Directional strategy: Construct a bull spread combination strategy of call options. Volatility strategy: Due to significant geopolitical risks, strategies dominated by sellers are not recommended [45] 5. TA (Purified Terephthalic Acid) - Market Data: The TA605 contract closed at 7134 yuan yesterday, up 504 yuan or 7.60% from the previous day. The trading volume was 1,719,360 lots, a decrease of 68,334 lots from the previous day, and the open interest was 1,065,110 lots, an increase of 16,013 lots [54][57] - Option Factors - Volume and Open Interest PCR: The trading volume of call options was 241,235 with a change of 29,827, and the open interest was 172,055 with a change of -2,993. The trading volume PCR was 0.61 with a change of -0.25, and the open interest PCR was 1.38 with a change of 0.07 [55] - Option Factors - Pressure and Support: The at - the - money strike price was 7100, the pressure level was 8500, the support level was 5000, the weighted implied volatility was 76.05% with a change of 12.97%, the annual average implied volatility was 26.98%, and HISV20 was 42.26% [56] - Strategy Recommendations: Directional strategy: Construct a bull spread combination strategy of call options. Volatility strategy: Due to significant geopolitical risks, strategies dominated by sellers are not recommended [58]
聚酯期权早报-20260324
Wu Kuang Qi Huo·2026-03-24 02:35