聚酯期权早报-20260331

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For all the analyzed options (EG, PF, PR, PX, TA), the implied volatility maintains above the average level, and the recommended directional strategy is to build a bull spread combination of call options to obtain directional returns. Due to the high geopolitical risks, strategies dominated by sellers (such as single - selling and double - selling) are not recommended [7][21][33][45][58] 3. Summary by Related Catalogs 3.1 EG (Ethylene Glycol) - 标的期货市场数据: The eg2605 contract had a closing price of 5279 yuan, a rise of 263 yuan (5.24%) from the previous day. The trading volume was 705617 lots, an increase of 64838 lots, and the open interest was 295639 lots, an increase of 12606 lots [3][6] - 期权因子 - 量仓PCR: The trading volume of call options was 75259 with a change of 24361, and the open interest was 55108 with a change of 73. The trading volume of put options was 49973 with a change of 17891, and the open interest was 75243 with a change of 7034. The trading volume PCR was 0.66 with a change of 0.03, and the open - interest PCR was 1.37 with a change of 0.13 [4] - 期权因子 - 压力支撑: The at - the - money strike price was 5400, the resistance level was 5600, and the support level was 4000. The weighted implied volatility was 63.83% with a change of 5.09%, the annual average implied volatility was 23.12%, and HISV20 was 60.76% [5] - 行情解读与策略建议: The implied volatility of EG options remained above the average of 0.2291. The open - interest PCR of EG options was 1.2394, at the 94.29% level in the past year. The recommended directional strategy was to build a bull spread combination of call options, and due to geopolitical risks, seller - dominated strategies were not recommended [6][7] 3.2 PF (Polyester Staple Fiber) - 标的期货市场数据: The PF606 contract had a closing price of 8392 yuan, a rise of 278 yuan (3.42%) from the previous day. The trading volume was 169526 lots, an increase of 35631 lots, and the transfer volume was 136530 lots, an increase of 1607 lots [20] - 期权因子 - 量仓PCR: The trading volume of call options was 100 with a change of 83, and the open interest was 11786. The trading volume of put options was 736 with a change of - 270, and the open interest was 18253 with a change of - 132. The trading volume PCR was 7.36 with a change of - 51.82, and the open - interest PCR was 1.55 [18] - 期权因子 - 压力支撑: The at - the - money strike price was 8400, the resistance level was 8400, and the support level was 6100. The weighted implied volatility was 58.57% with a change of 2.15%, and HISV20 was 41.84% [19] - 行情解读与策略建议: The implied volatility of PF options remained above the average of 0.2275. The open - interest PCR of PF options was 1.5527, at the 95.51% level in the past year. The recommended directional strategy was to build a bull spread combination of call options (e.g., B PF2606C8200, S PF2606C8700), and due to geopolitical risks, seller - dominated strategies were not recommended [20][21] 3.3 PR (Bottle Chip) - 标的期货市场数据: The PR605 contract had a closing price of 8320 yuan, a rise of 264 yuan (3.27%) from the previous day. The trading volume was 58278 lots, an increase of 5224 lots, and the open interest was 35674 lots, a decrease of 2126 lots [32] - 期权因子 - 量仓PCR: The trading volume of call options was 220 with a change of 124, and the open interest was 3632. The trading volume of put options was 156 with a change of - 91, and the open interest was 3591 with a change of 45. The trading volume PCR was 0.71 with a change of - 1.86, and the open - interest PCR was 0.99 with a change of 0.02 [30] - 期权因子 - 压力支撑: The at - the - money strike price was 8300, the resistance level was 7000, and the support level was 6300. The weighted implied volatility was 78.06% with a change of 14.80%, the annual average implied volatility was 23.99%, and HISV20 was 58.57% [31] - 行情解读与策略建议: The implied volatility of PR options remained above the average of 0.2373. The open - interest PCR of PR options was 0.9683, at the 43.27% level in the past year. The recommended directional strategy was to build a bull spread combination of call options, and due to geopolitical risks, seller - dominated strategies were not recommended [32][33] 3.4 PX (Para - xylene) - 标的期货市场数据: The PX605 contract had a closing price of 9916 yuan, a rise of 364 yuan (3.81%) from the previous day. The trading volume was 573751 lots, an increase of 193857 lots, and the open interest was 177302 lots, an increase of 8385 lots [44] - 期权因子 - 量仓PCR: The trading volume of call options was 10892 with a change of - 1338340, and the open interest was 17611 with a change of 3052. The trading volume of put options was 10365 with a change of - 1024010, and the open interest was 17864 with a change of 2748. The trading volume PCR was 0.95 with a change of 0.18, and the open - interest PCR was 1.01 with a change of - 0.02 [42] - 期权因子 - 压力支撑: The at - the - money strike price was 9900, the resistance level was 10400, and the support level was 8000. The weighted implied volatility was 70.19% with a change of 14.72%, the annual average implied volatility was 29.48%, and HISV20 was 56.56% [43] - 行情解读与策略建议: The implied volatility of PX options remained above the average of 0.2929. The open - interest PCR of PX options was 1.0383, at the 64.90% level in the past year. The recommended directional strategy was to build a bull spread combination of call options (e.g., B PX2605C9700, S PX2605C10400), and due to geopolitical risks, seller - dominated strategies were not recommended [44][45] 3.5 TA (Purified Terephthalic Acid) - 标的期货市场数据: The TA605 contract had a closing price of 6876 yuan, a rise of 236 yuan (3.55%) from the previous day. The trading volume was 1240270 lots, an increase of 171599 lots, and the open interest was 958523 lots, a decrease of 9363 lots [57] - 期权因子 - 量仓PCR: The trading volume of call options was 293267 with a change of 71005, and the open interest was 222903 with a change of 17053. The trading volume of put options was 219966 with a change of 96925, and the open interest was 264819 with a change of 14011. The trading volume PCR was 0.75 with a change of 0.2, and the open - interest PCR was 1.19 with a change of - 0.03 [55] - 期权因子 - 压力支撑: The at - the - money strike price was 6800, the resistance level was 8500, and the support level was 5000. The weighted implied volatility was 67.92% with a change of - 1.65%, the annual average implied volatility was 28.00%, and HISV20 was 53.22% [56] - 行情解读与策略建议: The implied volatility of TA options remained above the average of 0.2780. The open - interest PCR of TA options was 1.2184, at the 89.80% level in the past year. The recommended directional strategy was to build a bull spread combination of call options, and due to geopolitical risks, seller - dominated strategies were not recommended [57][58]