黑色期权早报-20260330
Wu Kuang Qi Huo·2026-03-30 02:42
  1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - The report presents market data, option factors, and trading strategies for various black commodities, including glass, iron ore, rebar, soda ash, ferrosilicon, and manganese - silicon options. It analyzes the price trends, implied volatility, and market sentiment of each commodity and provides corresponding trading strategy suggestions [6][18][31] 3. Summary by Related Catalogs 3.1 Glass (FG) - 标的期货市场数据: FG605 contract yesterday's closing price was 1036 yuan, down 23 yuan (2.17%) from the previous day. The trading volume was 1019910 lots, an increase of 278456 lots, and the open interest was 1144060 lots, an increase of 127921 lots [3][6] - 期权因子 - 量仓PCR: The trading volume of FG (glass call options) was 215208, a decrease of 62884; the open interest was 472348, an increase of 34643. The trading volume PCR was 0.54, a decrease of 0.01; the open - interest PCR was 0.43, a decrease of 0.01 [4] - 期权因子 - 压力支撑: The flat - strike price of FG (glass options) was 1040, the resistance level was 1660, the support level was 1000, the weighted implied volatility was 50.83%, a decrease of 1.26%, the annual average implied volatility was 38.17%, and HISV20 was 29.90% [5] - 行情解读与策略建议: Implied volatility of FG options fluctuated above the mean of 0.3813. The open - interest PCR of FG options was 0.4406, at the 62.04% level in the past year. Directional strategy: None; Volatility strategy: Construct a short - volatility combination of selling call and put options, such as S_FG2605P1020 and S_FG2605C1200 [6][7] 3.2 Iron Ore (I) - 标的期货市场数据: The i2605 contract yesterday's closing price was 817 yuan, up 1.5 yuan (0.18%) from the previous day. The trading volume was 216414 lots, a decrease of 162235 lots, and the open interest was 408026 lots, a decrease of 6288 lots [15][18] - 期权因子 - 量仓PCR: The trading volume of iron ore call options was 53116, a decrease of 8636; the open interest was 170816, an increase of 4138. The trading volume PCR was 0.94, a decrease of 0.04; the open - interest PCR was 0.93 [16] - 期权因子 - 压力支撑: The flat - strike price of iron ore options was 810, the resistance level was 900, the support level was 700, the weighted implied volatility was 26.58%, a decrease of 0.75%, the annual average implied volatility was 22.87%, and HISV20 was 14.65% [17] - 行情解读与策略建议: Implied volatility of iron ore options fluctuated above the mean of 0.2287. The open - interest PCR of iron ore options was 0.9218, at the 15.51% level in the past year. Directional strategy: Construct a bull - spread combination of call options, such as B_I2605C780 and S_I2605C830; Volatility strategy: None [18][19] 3.3 Rebar (RB) - 标的期货市场数据: The rb2605 contract yesterday's closing price was 3128 yuan, down 11 yuan (0.35%) from the previous day. The trading volume was 406440 lots, a decrease of 187168 lots, and the open interest was 1167210 lots, a decrease of 40108 lots [28][31] - 期权因子 - 量仓PCR: The trading volume of RB (rebar call options) was 22026, an increase of 3199; the open interest was 229607, a decrease of 134. The trading volume PCR was 0.41, a decrease of 0.1; the open - interest PCR was 0.54, an increase of 0.01 [29] - 期权因子 - 压力支撑: The flat - strike price of RB (rebar options) was 3100, the resistance level was 3550, the support level was 3000, the weighted implied volatility was 16.37%, a decrease of 0.71%, the annual average implied volatility was 17.28%, and HISV20 was 6.54% [30] - 行情解读与策略建议: Implied volatility of RB options fluctuated above the mean of 0.1728. The open - interest PCR of RB options was 0.5295, at the 47.35% level in the past year. Directional strategy: Construct a bull - spread combination of call options; Volatility strategy: Construct a combination of selling call and put options, such as S_RB2605P2950 and S_RB2605C3200 [31][32] 3.4 Soda Ash (SA) - 标的期货市场数据: The SA605 contract yesterday's closing price was 1225 yuan, down 15 yuan (1.20%) from the previous day. The trading volume was 727837 lots, a decrease of 197357 lots, and the open interest was 826947 lots, a decrease of 13841 lots [40][43] - 期权因子 - 量仓PCR: The trading volume of SA (soda ash call options) was 172467, a decrease of 93406; the open interest was 386868, an increase of 9430. The trading volume PCR was 0.32, an increase of 0.06; the open - interest PCR was 0.34 [41] - 期权因子 - 压力支撑: The flat - strike price of SA (soda ash options) was 1220, the resistance level was 1740, the support level was 1100, the weighted implied volatility was 42.94%, a decrease of 5.52%, the annual average implied volatility was 32.87%, and HISV20 was 29.70% [42] - 行情解读与策略建议: Implied volatility of SA options fluctuated above the mean of 0.3281. The open - interest PCR of SA options was 0.3392, at the 60.82% level in the past year. Directional strategy: None; Volatility strategy: Construct a short - volatility combination, such as S_SA2605P1140 and S_SA2605C1300 [43][44] 3.5 Ferrosilicon (SF) - 标的期货市场数据: The SF605 contract yesterday's closing price was 5982 yuan, down 28 yuan (0.46%) from the previous day. The trading volume was 181701 lots, a decrease of 21357 lots, and the open interest was 171684 lots, a decrease of 3104 lots [53][56] - 期权因子 - 量仓PCR: The trading volume of SF (ferrosilicon call options) was 21723, an increase of 7787; the open interest was 30038, an increase of 2229. The trading volume PCR was 0.38, a decrease of 0.19; the open - interest PCR was 0.9, a decrease of 0.02 [54] - 期权因子 - 压力支撑: The flat - strike price of SF (ferrosilicon options) was 6000, the resistance level was 6700, the support level was 5600, the weighted implied volatility was 27.46%, a decrease of 1.32%, the annual average implied volatility was 22.95%, and HISV20 was 20.09% [55] - 行情解读与策略建议: Implied volatility of SF options fluctuated above the mean of 0.2291. The open - interest PCR of SF options was 0.9187, at the 86.12% level in the past year. Directional strategy: Construct a bull - spread combination of call options; Volatility strategy: Do not recommend strategies based on selling (such as single - selling or double - selling) [56][57] 3.6 Manganese - Silicon (SM) - 标的期货市场数据: The SM605 contract yesterday's closing price was 6434 yuan, up 8 yuan (0.12%) from the previous day. The trading volume was 374063 lots, a decrease of 65675 lots, and the open interest was 380552 lots, a decrease of 11868 lots [66][69] - 期权因子 - 量仓PCR: The trading volume of SM (manganese - silicon call options) was 145455, an increase of 58284; the open interest was 96384, an increase of 6231. The trading volume PCR was 0.22, a decrease of 0.16; the open - interest PCR was 0.61, a decrease of 0.04 [67] - 期权因子 - 压力支撑: The flat - strike price of SM (manganese - silicon options) was 6600, the resistance level was 7100, the support level was 6000, the weighted implied volatility was 37.51%, an increase of 5.36%, the annual average implied volatility was 22.74%, and HISV20 was 18.27% [68] - 行情解读与策略建议: Implied volatility of SM options fluctuated above the mean of 0.2267. The open - interest PCR of SM options was 0.6522, at the 62.04% level in the past year. Directional strategy: Construct a bull - spread combination of call options; Volatility strategy: Due to high geopolitical risks, do not recommend strategies based on selling (such as single - selling or double - selling) [69][70]
黑色期权早报-20260330 - Reportify