油品期权早报-20260324

Report Summary 1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints - For PG (Liquefied Gas) options, the pg2604 contract closed at 7281 yuan yesterday, up 721 yuan or 10.99% from the previous day. The implied volatility of PG options fluctuates above the mean of 0.2771. The PG option's open interest PCR is at 0.9665, at the 89.80% level in the past year. The pressure level is 7500, and the support level is 3400 [7]. - For SC (Crude Oil) options, the sc2605 contract closed at 834.6 yuan yesterday, up 58.2 yuan or 7.49% from the previous day. The implied volatility of SC options fluctuates above the mean of 0.4350. The SC option's open interest PCR is at 1.5055, at the 95.51% level in the past year. The pressure level is 940, and the support level is 500 [20]. 3. Summary by Relevant Catalogs 3.1. PG (Liquefied Gas) Options - 标的期货市场数据: The pa2604 contract of PG options closed at 7281 yuan, up 77 yuan or 10.99%. The trading volume was 150713 lots, a decrease of 78129 lots from the previous day, and the open interest was 19616 lots, a decrease of 188 lots [4]. - 期权因子 - 量仓PCR: The trading volume of PG (Liquefied Gas Call Options) was 52057 lots, a decrease of 4563 lots, and the open interest was 14657 lots, an increase of 4433 lots. The trading volume PCR was 0.28, and the open interest PCR was 0.97, a decrease of 0.03 [5]. - 期权因子 - 压力支撑: For the pg2605 contract of PG options, the at - the - money strike price was 7200, the pressure level was 7500, the support level was 3400, the weighted implied volatility was 121.90%, an increase of 41.62%, the annual average implied volatility was 27.71%, and HISV20 was 61.92% [6]. - 行情解读与策略建议: - 标的行情解析及期权因子研究: As mentioned in the core viewpoints [7]. - 期权策略建议: Construct a call option bull spread combination strategy for directional gains. Due to high geopolitical risks, strategies mainly based on sellers (such as single - selling and double - selling) are not recommended [8]. 3.2. SC (Crude Oil) Options - 标的期货市场数据: The sc2605 contract of SC options closed at 834.6 yuan, up 58.2 yuan or 7.49%. The trading volume was 140734 lots, a decrease of 37480 lots from the previous day, and the open interest was 56999 lots, a decrease of 1101 lots [17]. - 期权因子 - 量仓PCR: The trading volume of SC (Crude Oil Call Options) was 124114 lots, a decrease of 16922 lots, and the open interest was 52016 lots, a decrease of 874 lots. The trading volume PCR was 0.58, a decrease of 0.16, and the open interest PCR was 1.51, an increase of 0.09 [18]. - 期权因子 - 压力支撑: For the sc2605 contract of SC options, the at - the - money strike price was 830, the pressure level was 940, the support level was 500, the weighted implied volatility was 113.52%, an increase of 9.91%, the annual average implied volatility was 43.50%, and HISV20 was 90.38% [19]. - 行情解读与策略建议: - 标的行情解析及期权因子研究: As mentioned in the core viewpoints [20]. - 期权策略建议: Construct a call option bull spread combination strategy for directional gains. Due to high geopolitical risks, strategies mainly based on sellers (such as single - selling and double - selling) are not recommended [21].