贵金属期权早报-20260330

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - For silver options, the ag2606 contract closed at 17,472 yuan yesterday, down 150 yuan or 0.85% from the previous day, with a trading volume of 775,118 lots (down 192,810 lots) and an open interest of 219,990 lots (up 5,253 lots). The implied volatility of AG (silver options) fluctuated above the mean of 0.4751. The AG option open interest PCR was 0.6945, at the 0.82% level in the past year. The pressure level of the AG option underlying was 36,600, and the support level was 15,000 [6]. - For gold options, the au2606 contract closed at 995.98 yuan yesterday, down 2.76 yuan or 0.27% from the previous day, with a trading volume of 291,301 lots (down 25,881 lots) and an open interest of 170,696 lots (up 1,164 lots). The implied volatility of AU (gold options) fluctuated above the mean of 0.2755. The AU option open interest PCR was 0.5193, at the 1.22% level in the past year. The pressure level of the AU option underlying was 1504, and the support level was 904 [19]. Summary by Directory Silver Options 1.标的期货市场数据 - The AG (silver option) ag2606 contract had a closing price of 1489, a change of 363, a change rate of 2.03%, a trading volume of 873,570 lots, an open interest of 98,452 lots, and a contract change of 225,682 lots [3]. 2.期权因子 - 量仓PCR - The trading volume of AG (silver call options) was 120,214, with a change of 21,818; the open interest was 74,561, with a change of 18. The trading volume PCR was 1.05, with a change of 0.05; the open interest PCR was 0.69, with a change of -0.01. The trading volume of AG (silver put options) was 125,657, with a change of 28,134; the open interest was 51,148, with a change of 3,890 [4]. 3.期权因子 - 压力支撑 - For AG (silver options), the underlying contract was ag2605, the at - the - money strike price was 17,500, the pressure level was 36,600, the support level was 5,000, the weighted implied volatility was 79.42% (down 2.01%), the annual average implied volatility was 47.72%, and HISV20 was 91.27% [5]. 4.行情解读与策略建议 - 行情解读: As mentioned in the core viewpoints [6]. - 策略建议: - Directional strategy: Build a bearish put spread strategy to obtain directional returns [7]. - Volatility strategy: Build a strategy of selling call + put options to obtain option time - value returns. Dynamically adjust the positions to keep the delta of the positions neutral, such as S_AG2606P16000, S_AG2606C18000 [7]. Gold Options 1.标的期货市场数据 - The AU (gold option) au2606 contract had a closing price of 998.66, a change of - 9.96, a change rate of - 0.98%, a trading volume of 316,403 lots, an open interest of 169,083 lots, and a contract change of - 1,613 [16]. 2.期权因子 - 量仓PCR - The trading volume of AU (gold call options) was 31,876, with a change of 4,143; the open interest was 42,604, with a change of 1,665. The trading volume PCR was 0.72, with a change of - 0.02; the open interest PCR was 0.52. The trading volume of AU (gold put options) was 22,837, with a change of 2,368; the open interest was 22,225 [17]. 3.期权因子 - 压力支撑 - For AU (gold options), the underlying contract was au2606, the at - the - money strike price was 1000, the pressure level was 1504, the support level was 1000, the weighted implied volatility was 40.25% (down 2.23%), the annual average implied volatility was 27.62%, and HISV20 was 47.05% [18]. 4.行情解读与策略建议 - 行情解读: As mentioned in the core viewpoints [19]. - 策略建议: - Directional strategy: None [20]. - Volatility strategy: Build a strategy of selling call + put options to obtain option time - value returns. Dynamically adjust the positions to keep the delta of the positions neutral, such as S_AU2605P928, S_AU2605C1056 [20].