Report Overview - The report is an early morning report on oil and fat options dated March 27, 2026, covering options on rapeseed oil, palm oil, peanuts, and soybean oil [1] 1. Rapeseed Oil (OI) 1.1. Futures Market Data - The OI605 contract had a closing price of 9707 yuan yesterday, down 94 yuan or 0.95% from the previous day. The trading volume was 196,538 lots, a decrease of 21,544 lots, and the open interest was 216,881 lots, a decrease of 8,749 lots [7] - The trading volume of OI (rapeseed oil options) was 161,645 lots, a decrease of 34,893 lots, and the open interest was 218,416 lots, an increase of 1,535 lots [4] 1.2. Option Factors - Volume and Open Interest PCR - For OI (rapeseed oil call options), the trading volume was 9,360 lots, an increase of 1,449 lots, and the open interest was 20,008 lots, an increase of 394 lots. The trading volume PCR was 0.97, a decrease of 0.21, and the open interest PCR was 0.96 [5] - For OI (rapeseed oil put options), the trading volume was 9,058 lots, a decrease of 246 lots, and the open interest was 19,191 lots, an increase of 360 lots [5] 1.3. Option Factors - Pressure and Support - The flat strike price was 9,800. The resistance level was 11,200, and the support level was 9,200. The weighted implied volatility was 25.77%, an increase of 1.92%, and the annual average implied volatility was 18.69%. HISV20 was 19.29% [6] 1.4. Option Strategies - Directional strategy: Construct a condor spread strategy, such as S Ol2605C9900 + B Ol2605C10000 + S Ol2605P9500 + B Ol2605P9400 [8] - Volatility strategy: Do not recommend strategies dominated by sellers (such as single selling and double selling) [8] 2. Palm Oil (P) 2.1. Futures Market Data - The p2605 contract had a closing price of 9,510 yuan yesterday, down 168 yuan or 1.73% from the previous day. The trading volume was 371,392 lots, a decrease of 140,658 lots, and the open interest was 285,114 lots, a decrease of 5,071 lots [20] - The trading volume of P (palm oil options) was 321,996 lots, a decrease of 49,396 lots, and the open interest was 279,944 lots, a decrease of 5,170 lots [17] 2.2. Option Factors - Volume and Open Interest PCR - For P (palm oil call options), the trading volume was 57,274 lots, a decrease of 4,582 lots, and the open interest was 78,389 lots, an increase of 600 lots. The trading volume PCR was 0.46, a decrease of 0.05, and the open interest PCR was 0.96, a decrease of 0.01 [18] - For P (palm oil put options), the trading volume was 26,139 lots, a decrease of 5,451 lots, and the open interest was 75,573 lots [18] 2.3. Option Factors - Pressure and Support - The flat strike price was 9,600. The resistance level was 10,000, and the support level was 9,000. The weighted implied volatility was 32.23%, an increase of 0.04%, and the annual average implied volatility was 21.58%. HISV20 was 30.76% [19] 2.4. Option Strategies - Directional strategy: Construct a bull call spread strategy, such as B P2605C9000 and S_P2605C9800 [21] - Volatility strategy: Do not recommend strategies dominated by sellers (such as single selling and double selling) [21] 3. Peanuts (PK) 3.1. Futures Market Data - The PK605 contract had a closing price of 8,182 yuan yesterday, down 32 yuan or 0.38% from the previous day. The trading volume was 50,240 lots, an increase of 7,207 lots, and the open interest was 185,589 lots, an increase of 1,881 lots [32] - The trading volume of PK (peanut options) was 120,074 lots, an increase of 69,834 lots, and the open interest was 188,494 lots, an increase of 2,905 lots [29] 3.2. Option Factors - Volume and Open Interest PCR - For PK (peanut call options), the trading volume was 82,515 lots, an increase of 56,817 lots, and the open interest was 70,783 lots, an increase of 8,820 lots. The trading volume PCR was 0.34, a decrease of 0.17, and the open interest PCR was 0.52, a decrease of 0.07 [30] - For PK (peanut put options), the trading volume was 28,131 lots, an increase of 14,956 lots, and the open interest was 36,527 lots, an increase of 353 lots [30] 3.3. Option Factors - Pressure and Support - The flat strike price was 8,300. The resistance level was 8,500, and the support level was 8,000. The weighted implied volatility was 16.03%, an increase of 1.01%, and the annual average implied volatility was 14.75%. HISV20 was 9.34% [31] 3.4. Option Strategies - Directional strategy: Construct a bull call spread strategy, such as B_PK2605P8100, S_PK2605P8500 [33] - Volatility strategy: None [33] 4. Soybean Oil (Y) 4.1. Futures Market Data - The y2605 contract had a closing price of 8,550 yuan yesterday, down 58 yuan or 0.67% from the previous day. The trading volume was 210,840 lots, a decrease of 85,704 lots, and the open interest was 554,748 lots, a decrease of 24,534 lots [44] - The trading volume of Y (soybean oil options) was 185,973 lots, an increase of 24,867 lots, and the open interest was 545,392 lots, a decrease of 9,356 lots [41] 4.2. Option Factors - Volume and Open Interest PCR - For Y (soybean oil call options), the trading volume was 31,263 lots, an increase of 3,717 lots, and the open interest was 78,991 lots, an increase of 1,604 lots. The trading volume PCR was 0.34, a decrease of 0.18, and the open interest PCR was 0.68, a decrease of 0.01 [42] - For Y (soybean oil put options), the trading volume was 10,728 lots, a decrease of 3,576 lots, and the open interest was 53,448 lots, an increase of 270 lots [42] 4.3. Option Factors - Pressure and Support - The flat strike price was 8,600. The resistance level was 9,000, and the support level was 8,200. The weighted implied volatility was 24.11%, an increase of 1.59%, and the annual average implied volatility was 15.34%. HISV20 was 18.69% [43] 4.4. Option Strategies - Directional strategy: Construct a bull call spread strategy, such as B Y2605C8400 + S Y2605C8800 [45] - Volatility strategy: Do not recommend strategies dominated by sellers (such as single selling and double selling) [45]
油脂期权早报-20260327
Wu Kuang Qi Huo·2026-03-27 05:59