Report Industry Investment Rating No relevant content provided. Core Viewpoints - The implied volatility of options for multiple commodities (glass, iron ore, rebar, soda ash, ferrosilicon, and manganese silicon) maintains a level above the mean of 0.0000 [6][18][30][42][55][67]. - The report provides specific price, trading volume, and open interest data for each commodity's futures contracts and options, as well as pressure and support levels and PCR indicators [3][4][5][15][16][17]. - Different options trading strategies are recommended for various commodities, including directional and volatility - based strategies [7][19][31][43][56][68]. Summary by Directory 1. Glass (FG) - Futures Market Data - FG602 contract: closing price 1036, down 2.17%, trading volume 1019910 lots, open interest 1144060 lots, open interest change +127921 lots [3]. - Option Factor - Volume and Open Interest PCR - Call option: trading volume 278092, volume change +59957, open interest 437705, open interest change +47014, volume PCR 0.55, volume PCR change +0.2, open interest PCR 0.44, open interest PCR change - 0.01 [4]. - Put option: trading volume 152897, volume change +75827, open interest 192854, open interest change +16960 [4]. - Option Factor - Pressure and Support - FG605 contract: at - the - money strike price 1040, resistance level 1660, support level 1000, weighted implied volatility 52.09%, weighted implied volatility change - 3.99%, annual average implied volatility 38.13%, HISV20 29.17% [5]. - Market Interpretation and Strategy Recommendations - FG605 contract: yesterday's closing price 1057 yuan, down 0.93% from the previous day, trading volume 741457 lots, down 203010 lots from the previous day, open interest 1016140 lots, up 45905 lots from the previous day [6]. - FG option open interest PCR is 0.4502, at the 64.49% level in the past year [6]. - Strategy: no directional strategy; for volatility strategy, construct a short - volatility combination of selling call and put options, e.g., S_FG2605P1020 and S_FG2605C1200 [7]. 2. Iron Ore (I) - Futures Market Data - i2605 contract: closing price 017, up 0.18%, trading volume 216414 lots, trading volume change - 162235 lots, open interest 408026 lots, open interest change - 6288 lots [15]. - Option Factor - Volume and Open Interest PCR - Call option: trading volume 61752, volume change - 52113, open interest 166678, open interest change +4408, volume PCR 0.98, volume PCR change +0.24, open interest PCR 0.92, open interest PCR change +0.02 [16]. - Put option: trading volume 60434, volume change - 24133, open interest 153638, open interest change +6972 [16]. - Option Factor - Pressure and Support - i2605 contract: at - the - money strike price 820, resistance level 900, support level 700, weighted implied volatility 27.33%, weighted implied volatility change +0.30%, annual average implied volatility 22.87%, HISV20 14.67% [17]. - Market Interpretation and Strategy Recommendations - i2605 contract: yesterday's closing price 806.5 yuan, down 1.82% from the previous day, trading volume 378649 lots, up 158859 lots from the previous day, open interest 414314 lots, down 31577 lots from the previous day [18]. - I option open interest PCR is 0.9038, at the 11.02% level in the past year [18]. - Strategy: for directional strategy, construct a bull spread of call options, e.g., B_I2605C780 and S_I2605C830; no volatility strategy [19]. 3. Rebar (RB) - Futures Market Data - rb2605 contract: closing price 3128, down 0.35%, trading volume 406440 lots, trading volume change - 187168 lots, open interest 1167210 lots, open interest change - 40108 lots [27]. - Option Factor - Volume and Open Interest PCR - Call option: trading volume 21857, volume change - 28539, open interest 229741, open interest change +2252, volume PCR 0.51, volume PCR change +0.19, open interest PCR 0.53, open interest PCR change +0.01 [28]. - Put option: trading volume 26527, volume change +739, open interest 121638, open interest change +4609 [28]. - Option Factor - Pressure and Support - rb2605 contract: at - the - money strike price 3150, resistance level 3550, support level 3000, weighted implied volatility 17.08%, weighted implied volatility change - 0.83%, annual average implied volatility 17.28%, HISV20 6.75% [29]. - Market Interpretation and Strategy Recommendations - rb2605 contract: yesterday's closing price 3132 yuan, down 0.41% from the previous day, trading volume 593608 lots, down 25556 lots from the previous day, open interest 1207320 lots, down 56172 lots from the previous day [30]. - RB option open interest PCR is 0.5144, at the 37.96% level in the past year [30]. - Strategy: for directional strategy, construct a bull spread of call options; for volatility strategy, construct a combination of selling call and put options, e.g., S_RB2605P2950 and S_RB2605C3200 [31]. 4. Soda Ash (SA) - Futures Market Data - SA605 contract: closing price 1975, down 0.20%, trading volume 777837 lots, open interest 82694 lots, open interest change +13841 lots [39]. - Option Factor - Volume and Open Interest PCR - Call option: trading volume 265873, volume change - 85272, open interest 377438, open interest change +22192, volume PCR 0.26, volume PCR change +0.06, open interest PCR 0.34, open interest PCR change - 0.02 [40]. - Put option: trading volume 69154, volume change - 2224, open interest 128011, open interest change +1193 [40]. - Option Factor - Pressure and Support - SA605 contract: at - the - money strike price 1220, resistance level 1740, support level 1100, weighted implied volatility 48.45%, weighted implied volatility change +0.62%, annual average implied volatility 32.81%, HISV20 29.10% [41]. - Market Interpretation and Strategy Recommendations - SA605 contract: yesterday's closing price 1244 yuan, up 0.32% from the previous day, trading volume 925194 lots, down 45343 lots from the previous day, open interest 840788 lots, up 2265 lots from the previous day [42]. - SA option open interest PCR is 0.357, at the 68.98% level in the past year [42]. - Strategy: no directional strategy; for volatility strategy, construct a short - volatility combination, e.g., S_SA2605P1140 and S_SA2605C1300 [43]. 5. Ferrosilicon (SF) - Futures Market Data - SF602 contract: closing price 5982, down 0.46%, trading volume 181701 lots, trading volume change - 21357 lots, open interest 171684 lots, open interest change - 3104 lots [52]. - Option Factor - Volume and Open Interest PCR - Call option: trading volume 13936, volume change +32259, open interest 27809, open interest change - 144, volume PCR 0.56, volume PCR change +0.28, open interest PCR 0.92, open interest PCR change +0.03 [53]. - Put option: trading volume 7839, volume change - 5166, open interest 25548, open interest change +761 [53]. - Option Factor - Pressure and Support - SF605 contract: at - the - money strike price 6000, resistance level 6700, support level 5500, weighted implied volatility 28.78%, weighted implied volatility change - 1.15%, annual average implied volatility 22.91%, HISV20 18.61% [54]. - Market Interpretation and Strategy Recommendations - SF605 contract: yesterday's closing price 6088 yuan, down 0.36% from the previous day, trading volume 203058 lots, down 81564 lots from the previous day, open interest 174788 lots, down 3245 lots from the previous day [55]. - SF option open interest PCR is 0.8867, at the 82.04% level in the past year [55]. - Strategy: for directional strategy, construct a bull spread of call options; for volatility strategy, not recommend strategies mainly based on selling (e.g., single - selling, double - selling) [56]. 6. Manganese Silicon (SM) - Futures Market Data - SM605 contract: closing price 6434, up 0.12%, trading volume 374063 lots, trading volume change - 65675 lots, open interest 380552 lots, open interest change - 11868 lots [64]. - Option Factor - Volume and Open Interest PCR - Call option: trading volume 87171, volume change +16730, open interest 90153, open interest change +234, volume PCR 0.38, volume PCR change - 0.04, open interest PCR 0.65, open interest PCR change +0.05 [65]. - Put option: trading volume 33031, volume change +3573, open interest 58802, open interest change +4394 [65]. - Option Factor - Pressure and Support - SM605 contract: at - the - money strike price 6400, resistance level 7100, support level 6000, weighted implied volatility 32.15%, weighted implied volatility change - 2.94%, annual average implied volatility 22.67%, HISV20 19.39% [66]. - Market Interpretation and Strategy Recommendations - SM605 contract: yesterday's closing price 6492 yuan, down 1.03% from the previous day, trading volume 439738 lots, down 457877 lots from the previous day, open interest 392420 lots, down 14171 lots from the previous day [67]. - SM option open interest PCR is 0.6051, at the 55.51% level in the past year [67]. - Strategy: for directional strategy, construct a bull spread of call options; for volatility strategy, due to high geopolitical risks, not recommend strategies mainly based on selling (e.g., single - selling, double - selling) [68].
黑色期权早报-20260327
Wu Kuang Qi Huo·2026-03-27 02:43