聚酯期权早报-20260327

Report Industry Investment Rating - No relevant content provided. 2. Core Viewpoints of the Report - For all five options (EG, PF, PR, PX, TA), the implied volatility maintains above the mean level of 0.0000, and the recommended directional strategy is to build a bull - spread portfolio of call options to obtain directional returns. Due to large geopolitical risks, seller - based strategies are not recommended [7][20][32][44][57] 3. Summary by Related Catalog 3.1 EG (Ethylene Glycol Options) - 标的期货市场数据: The latest price of the ea2605 contract is 5058 yuan, up 1.16%. The trading volume is 640,779 lots, a decrease of 119,965 lots, and the open interest is 283,033 lots, a decrease of 3,202 lots [4] - 期权因子 - 量仓PCR: The trading volume of call options is 52,458 lots, an increase of 8,084 lots; the open interest is 53,022 lots, a decrease of 675 lots. The trading volume of put options is 35,219 lots, a decrease of 13,673 lots; the open interest is 65,014 lots. The trading volume PCR is 0.67, a decrease of 0.43; the open - interest PCR is 1.23, an increase of 0.12 [5] - 期权因子 - 压力支撑: The at - the - money strike price is 5,100 yuan. The resistance level is 5,000 yuan, and the support level is 4,000 yuan. The weighted implied volatility is 58.19%, a decrease of 6.02%. The annual average implied volatility is 22.73%, and HISV20 is 60.99% [6] - 行情解读与策略建议: The closing price of the eg2605 contract yesterday was 5,036 yuan, a decrease of 4.96%. The implied volatility maintains above 0.0000. The open - interest PCR is 1.1053, at the 90.20% level in the past year. Directional strategy: build a bull - spread portfolio of call options; Volatility strategy: do not recommend seller - based strategies [7][8] 3.2 PF (Polyester Staple Fiber Options) - 标的期货市场数据: The latest price of the PF606 contract is 8,260 yuan, up 2.48%. The trading volume is 133,895 lots, a decrease of 36,229 lots, and the open interest is 134,923 lots, an increase of 5,072 lots [17] - 期权因子 - 量仓PCR: The trading volume of call options is 381 lots; the open interest is 11,840 lots. The trading volume of put options is 1,219 lots, an increase of 357 lots; the open interest is 18,366 lots, an increase of 266 lots. The trading volume PCR is 31.26, an increase of 21.68; the open - interest PCR is 1.55, an increase of 0.02 [18] - 期权因子 - 压力支撑: The at - the - money strike price is 8,300 yuan. The resistance level is 8,400 yuan, and the support level is 6,100 yuan. The weighted implied volatility is 65.89%. The annual average implied volatility is 22.56%, and HISV20 is 42.49% [19] - 行情解读与策略建议: The closing price of the PF606 contract yesterday was 8,110 yuan, a decrease of 2.94%. The implied volatility maintains above 0.0000. The open - interest PCR is 1.5285, at the 94.69% level in the past year. Directional strategy: build a bull - spread portfolio of call options; Volatility strategy: do not recommend seller - based strategies [20][21] 3.3 PR (Bottle Chip Options) - 标的期货市场数据: The latest price of the PR605 contract is 8,104 yuan, up 1.55%. The trading volume is 53,054 lots, a decrease of 24,045 lots, and the open interest is 37,800 lots, a decrease of 1,525 lots [29] - 期权因子 - 量仓PCR: The trading volume of call options is 60 lots, a decrease of 88 lots; the open interest is 3,664 lots. The trading volume of put options is 75 lots, a decrease of 195 lots; the open interest is 3,431 lots. The trading volume PCR is 0.81, a decrease of 0.69; the open - interest PCR is 0.94, an increase of 0.01 [30] - 期权因子 - 压力支撑: The at - the - money strike price is 8,100 yuan. The resistance level is 7,000 yuan, and the support level is 6,300 yuan. The weighted implied volatility is 69.34%, a decrease of 0.75%. The annual average implied volatility is 23.53%, and HISV20 is 59.05% [31] - 行情解读与策略建议: The closing price of the PR605 contract yesterday was 8,108 yuan, a decrease of 2.43%. The implied volatility maintains above 0.0000. The open - interest PCR is 0.9289, at the 31.43% level in the past year. Directional strategy: build a bull - spread portfolio of call options; Volatility strategy: do not recommend seller - based strategies [32][33] 3.4 PX (Para - Xylene Options) - 标的期货市场数据: The latest price of the PX605 contract is 7,771 yuan, up 3.69%. The trading volume is 379,894 lots, a decrease of 158,576 lots, and the open interest is 168,964 lots, a decrease of 53 lots [41] - 期权因子 - 量仓PCR: The trading volume of call options is 645,437 lots, an increase of 428,825 lots; the open interest is 183,107 lots, an increase of 83,519 lots. The trading volume of put options is 491,091 lots, an increase of 299,565 lots; the open interest is 211,447 lots, an increase of 93,123 lots. The trading volume PCR is 0.76, a decrease of 0.12; the open - interest PCR is 1.15, a decrease of 0.03 [42] - 期权因子 - 压力支撑: The at - the - money strike price is 8,000 yuan. The resistance level is 12,200 yuan, and the support level is 6,100 yuan. The weighted implied volatility is 94.97%, a decrease of 16.77%. The annual average implied volatility is 29.16%, and HISV20 is 56.91% [43] - 行情解读与策略建议: The closing price of the PX605 contract yesterday was 9,502 yuan, a decrease of 3.66%. The implied volatility maintains above 0.0000. The open - interest PCR is 1.1881, at the 82.86% level in the past year. Directional strategy: build a bull - spread portfolio of call options; Volatility strategy: do not recommend seller - based strategies [44][45] 3.5 TA (Purified Terephthalic Acid Options) - 标的期货市场数据: The latest price of the TA605 contract is 6,778 yuan, up 3.70%. The trading volume is 1,068,670 lots, an increase of 430,957 lots, and the open interest is 967,886 lots, an increase of 9,742 lots [54] - 期权因子 - 量仓PCR: The trading volume of call options is 205,221 lots, a decrease of 6,905 lots; the open interest is 198,518 lots, an increase of 10,902 lots. The trading volume of put options is 121,865 lots, a decrease of 59,425 lots; the open interest is 244,324 lots, an increase of 5,813 lots. The trading volume PCR is 0.59, a decrease of 0.26; the open - interest PCR is 1.23, a decrease of 0.04 [55] - 期权因子 - 压力支撑: The at - the - money strike price is 6,800 yuan. The resistance level is 8,500 yuan, and the support level is 5,000 yuan. The weighted implied volatility is 65.96%, a decrease of 0.89%. The annual average implied volatility is 27.59%, and HISV20 is 53.71% [56] - 行情解读与策略建议: The closing price of the TA605 contract yesterday was 6,592 yuan, a decrease of 3.08%. The implied volatility maintains above 0.0000. The open - interest PCR is 1.2713, at the 93.47% level in the past year. Directional strategy: build a bull - spread portfolio of call options; Volatility strategy: do not recommend seller - based strategies [57][58]