Group 1: Report General Information - Report date: March 27, 2026 [1][3] - Authors: Li Liqin (Senior Manager of Investment Research), Huang Kehan (Options Researcher) [2] - Contact information: Email: lilq@wkqh.cn, huangkh@wkqh.cn; Phone: 0755 - 23375252 [2] Group 2: Liquefied Petroleum Gas (PG) Options 2.1. Futures Market Data - PG (Liquefied Petroleum Gas) options, underlying contract pg2605, closing price 6541, change 0.80%, trading volume 219,338, open interest 144,943, change -4,880 [4] 2.2. Option Factors - Volume and Open Interest PCR - PG (Liquefied Petroleum Gas) call options: trading volume 34,623, change -7,478; open interest 18,256, change 1,722; volume PCR 0.4, change -0.43; open interest PCR 1.07, change -0.09 [5] - PG (Liquefied Petroleum Gas) put options: trading volume 13,962, change -21,236; open interest 19,536, change 340 [5] 2.3. Option Factors - Pressure and Support - PG (Liquefied Petroleum Gas) options, underlying contract pg2605, at - the - money strike price 6500, resistance level 7500, support level 3400, weighted implied volatility 84.83%, change -5.15%, annual average implied volatility 28.63%, HISV20 70.64% [6] 2.4. Market Analysis and Strategy Recommendations - Market analysis: pg2605 contract closed at 6550 yuan yesterday, down 571 yuan or 8.01% from the previous day; trading volume 364,281 lots, down 184,489 lots; open interest 66,363 lots, up 1018 lots; implied volatility of PG options fluctuates above the mean of 0.0000; open interest PCR of PG options is 1.161, at the 97.14% level in the past year; resistance level is 7500, support level is 3400 [7] - Strategy recommendations: Directional strategy - Construct a bull spread strategy of call options to obtain directional returns; Volatility strategy - Due to high geopolitical risks, strategies based on selling (such as single - selling and double - selling) are not recommended [8] Group 3: Crude Oil (SC) Options 3.1. Futures Market Data - SC (Crude Oil) options, underlying contract sc2605, closing price 733.1, change 0.81%, trading volume 96,646, open interest 53,038, change -1,367 [16] 3.2. Option Factors - Volume and Open Interest PCR - SC (Crude Oil) call options: trading volume 112,492, change -17,668; open interest 85,358, change 3,094; volume PCR 0.67, change -0.16; open interest PCR 1.27, change -0.02 [17] - SC (Crude Oil) put options: trading volume 75,044, change -32,904; open interest 86,858, change 2,672 [17] 3.3. Option Factors - Pressure and Support - SC (Crude Oil) options, underlying contract sc2605, at - the - money strike price 730, resistance level 940, support level 500, weighted implied volatility 109.01%, change 1.13%, annual average implied volatility 44.51%, HISV20 73.83% [18] 3.4. Market Analysis and Strategy Recommendations - Market analysis: sc2605 contract closed at 723.9 yuan yesterday, down 28 yuan or 3.72% from the previous day; trading volume 143,986 lots, down 64,085 lots; transfer volume 54,405 lots, down 1,289 lots; implied volatility of SC options fluctuates above the mean of 0.0000; open interest PCR of SC options is 1.29, at the 90.20% level in the past year; resistance level is 940, support level is 500 [19] - Strategy recommendations: Directional strategy - Construct a bull spread strategy of call options to obtain directional returns; Volatility strategy - Due to high geopolitical risks, strategies based on selling (such as single - selling and double - selling) are not recommended [20]
油品期权早报-20260327
Wu Kuang Qi Huo·2026-03-27 05:38