Report Industry Investment Rating No relevant content provided. Core Viewpoints - The report provides market data, analysis, and strategy suggestions for three types of new energy options: lithium carbonate (LC), polysilicon (PS), and industrial silicon (SI) [4][17][29]. Summary by Related Catalogs 1. Lithium Carbonate (LC) a. Futures Market Data - The C2605 contract of LC had a closing price of 157,200 yuan, a decrease of 1,020 yuan or -0.64%. The trading volume was 260,930 lots, and the open interest was 246,385 lots, with a decrease of 5,572 lots [4]. b. Option Factors - Volume and Open Interest PCR - For LC call options, the trading volume was 188,391 lots, an increase of 19,225 lots. The open interest was 148,001 lots, an increase of 10,352 lots. The volume PCR was 0.76, with a change of 0.02, and the open interest PCR was 1.03, with a change of 0.02 [5]. c. Option Factors - Pressure and Support - The at - the - money strike price of the LC option was 158,000 yuan. The resistance level was 208,000 yuan, and the support level was 120,000 yuan. The weighted implied volatility was 70.83%, with a decrease of 2.70%. The annual average implied volatility was 47.14%, and HISV20 was 65.86% [6]. d. Market Interpretation and Strategy Suggestions - The LC2605 contract closed at 159,120 yuan yesterday, an increase of 6,620 yuan or 4.34%. The trading volume was 233,304 lots, an increase of 2,233 lots, and the open interest was 251,957 lots, a decrease of 8,739 lots. The implied volatility of LC options fluctuated above the mean of 0.0000. The open interest PCR of LC options was 1.005, at the 84.08% level in the past year. The resistance and support levels were 208,000 yuan and 120,000 yuan respectively. For strategies, there is no directional strategy, and for volatility strategy, a neutral - biased call + put option combination strategy can be constructed to obtain option time value, and the position should be adjusted dynamically to keep the delta of the position neutral, such as S_LC2605P130000, S_LC2605P140000, S_LC2605C150000, S_LC2605C160000 [7][8]. 2. Polysilicon (PS) a. Futures Market Data - The PS2605 contract of PS had a closing price of 35,540 yuan, a decrease of 1,015 yuan or -2.77%. The trading volume was 8,559 lots, a decrease of 3,900 lots, and the open interest was 33,451 lots, an increase of 631 lots [17]. b. Option Factors - Volume and Open Interest PCR - For PS call options, the trading volume was 25,771 lots, an increase of 2,161 lots. The open interest was 56,828 lots, an increase of 6,251 lots. The volume PCR was 0.25, with a change of 0.03, and the open interest PCR was 0.34, with a decrease of 0.02 [18]. c. Option Factors - Pressure and Support - The at - the - money strike price of the PS option was 35,500 yuan. The resistance level was 70,000 yuan, and the support level was 35,000 yuan. The weighted implied volatility was 89.08%, with an increase of 0.56%. The annual average implied volatility was 45.91%, and HISV20 was 37.68% [19]. d. Market Interpretation and Strategy Suggestions - The PS2605 contract closed at 36,750 yuan yesterday, an increase of 990 yuan or 2.76%. The trading volume was 12,429 lots, an increase of 297 lots, and the open interest was 32,820 lots, an increase of 74 lots. The implied volatility of PS options fluctuated above the mean of 0.0000. The open interest PCR of PS options was 0.3649, at the 0.00% level in the past year. The resistance and support levels were 70,000 yuan and 35,000 yuan respectively. For strategies, a bear - spread put option combination strategy can be constructed to obtain directional returns, such as B_PS2605P38000, S_PS2605P33500. There is no volatility strategy [20][21]. 3. Industrial Silicon (SI) a. Futures Market Data - The SI2605 contract of SI had a closing price of 8,735 yuan, an increase of 1 yuan or 0.57%. The trading volume was 140,735 lots, a decrease of 77,224 lots, and the open interest was 229,643 lots, a decrease of 2,435 lots [29]. b. Option Factors - Volume and Open Interest PCR - For SI call options, the trading volume was 80,772 lots, a decrease of 30,393 lots. The open interest was 110,146 lots, an increase of 2,844 lots. The volume PCR was 0.32, with an increase of 0.04, and the open interest PCR was 0.44, with an increase of 0.03 [30]. c. Option Factors - Pressure and Support - The at - the - money strike price of the SI option was 8,700 yuan. The resistance level was 11,000 yuan, and the support level was 8,000 yuan. The weighted implied volatility was 32.80%, with a decrease of 0.22%. The annual average implied volatility was 31.78%, and HISV20 was 21.69% [31]. d. Market Interpretation and Strategy Suggestions - The SI2605 contract closed at 8,770 yuan yesterday, an increase of 150 yuan or 1.74%. The trading volume was 217,959 lots, an increase of 71,851 lots, and the open interest was 232,078 lots, an increase of 10,877 lots. The implied volatility of SI options fluctuated above the mean of 0.0000. The open interest PCR of SI options was 0.4133, at the 23.67% level in the past year. The resistance and support levels were 11,000 yuan and 8,000 yuan respectively. For strategies, there is no directional strategy, and for volatility strategy, a short - volatility call + put option combination strategy can be constructed to obtain option time value and directional returns, and the position should be adjusted dynamically to keep the delta of the position neutral, such as S_SI2605P8000, S_SI2605P8200, S_SI2605C8800, S_SI2605C9000 [32][33].
新能源期权早报-20260327
Wu Kuang Qi Huo·2026-03-27 04:00