贵金属期权早报-20260326

Report Summary 1. Industry Investment Rating No information provided in the content. 2. Core Views - For silver options, the closing price of the ag2606 contract increased by 2.50% to 17085 yuan, with a decrease in both trading volume and open interest. The implied volatility is above the annual average, and the open interest PCR is at a low level. The pressure level is 37600, and the support level is 15000 [3][6]. - For gold options, the closing price of the au2604 contract decreased by 1.57% to 977.28 yuan, also with a decrease in trading volume and open interest. The implied volatility is above the annual average, and the open interest PCR is at a relatively low level. The pressure level is 1200, and the support level is 904 [16][19]. 3. Summary by Directory 3.1 Silver Options - Market Data: The latest price of the ag2606 contract is 17085 yuan, up 418 yuan or 2.50% from the previous day. The trading volume is 1247890 lots, a decrease of 11431 lots, and the open interest is 211635 lots, a decrease of 11086 lots [3]. - Option Factors - Volume and Open Interest PCR: The trading volume of silver call options is 515855 lots, an increase of 106715 lots, and the open interest is 162113 lots, a decrease of 9059 lots. The trading volume of silver put options is 544096 lots, a decrease of 32357 lots, and the open interest is 123824 lots, an increase of 4978 lots. The trading volume PCR is 1.05, a decrease of 0.35, and the open interest PCR is 0.76, an increase of 0.07 [4]. - Option Factors - Pressure and Support: The at - the - money strike price of the ag2604 contract is 17200. The pressure level is 37600, the support level is 15000, the weighted implied volatility is 125.45%, a decrease of 13.00%, the annual average implied volatility is 47.03%, and HISV20 is 91.83% [5]. - Option Strategies: For directional strategies, construct a bear put spread strategy to obtain directional returns. For volatility strategies, construct a short call + put option combination strategy to obtain option time - value returns and keep the delta of the position neutral, such as S_AG2606P16000, S_AG2606C18000 [7]. 3.2 Gold Options - Market Data: The latest price of the au2604 contract is 977.28 yuan, down 15.62 yuan or 1.57% from the previous day. The trading volume is 282408 lots, a decrease of 104014 lots, and the open interest is 54345 lots, a decrease of 8419 lots [16]. - Option Factors - Volume and Open Interest PCR: The trading volume of gold call options is 174083 lots, an increase of 1990 lots, and the open interest is 76131 lots, a decrease of 3264 lots. The trading volume of gold put options is 188788 lots, a decrease of 13050 lots, and the open interest is 43001 lots, an increase of 328 lots. The trading volume PCR is 1.08, a decrease of 0.09, and the open interest PCR is 0.56, an increase of 0.03 [17]. - Option Factors - Pressure and Support: The at - the - money strike price of the au2604 contract is 976. The pressure level is 1200, the support level is 904, the weighted implied volatility is 74.75%, a decrease of 5.34%, the annual average implied volatility is 27.34%, and HISV20 is 43.96% [18]. - Option Strategies: For directional strategies, construct a bear put spread strategy to obtain directional returns. There is no volatility strategy recommended [20].