黑色期权早报-20260331
Wu Kuang Qi Huo·2026-03-31 05:44
  1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report provides an in - depth analysis of various black commodity options including glass, iron ore, rebar, soda ash, ferrosilicon, and manganese silicon, covering market data, option factors, and offers corresponding trading strategies based on the analysis of each commodity's market situation[6][18][31]. 3. Summary According to Relevant Catalogs 3.1 Glass (FG) - Market Data: FG605 contract closed at 1041 yuan yesterday, up 3 yuan (0.28%) from the previous day, with a trading volume of 862,722 lots (down 157,191 lots) and an open interest of 1,086,250 lots (down 57,808 lots)[6]. - Option Factors - Volume and Position PCR: The trading volume of FG call options is 329,663 (up 114,455), and the open interest is 544,832 (up 72,484). The trading volume of FG put options is 130,499 (up 14,107), and the open interest is 216,038 (up 11,164). The trading volume PCR is 0.4 (down 0.14), and the open - interest PCR is 0.4 (down 0.04)[4]. - Option Factors - Pressure and Support: The at - the - money strike price is 1040, the resistance level is 1660, the support level is 1000, the weighted implied volatility is 55.09% (up 4.26%), the average annual implied volatility is 38.23%, and HISV20 is 29.92%[5]. - Option Strategy: Directional strategy: None; Volatility strategy: Construct a short - volatility portfolio of selling call and put options to obtain option time value, such as S_FG2605P1020 and S_FG2605C1200[7]. 3.2 Iron Ore (I) - Market Data: i2605 contract closed at 812 yuan yesterday, down 4 yuan (0.49%) from the previous day, with a trading volume of 183,962 lots (down 32,452 lots) and an open interest of 387,244 lots (down 20,782 lots)[18]. - Option Factors - Volume and Position PCR: The trading volume of iron ore call options is 48,678 (down 4,438), and the open interest is 174,689 (up 3,873). The trading volume of iron ore put options is 50,677, and the open interest is 163,070 (up 4,908). The trading volume PCR is 1.04 (up 0.1), and the open - interest PCR is 0.93 (up 0.01)[16]. - Option Factors - Pressure and Support: The at - the - money strike price is 810, the resistance level is 900, the support level is 700, the weighted implied volatility is 27.88% (up 1.30%), the average annual implied volatility is 22.88%, and HISV20 is 15.08%[17]. - Option Strategy: Directional strategy: Construct a bull - spread portfolio of call options to obtain directional returns, such as B_I2605C780 and S_I2605C830; Volatility strategy: None[19]. 3.3 Rebar (RB) - Market Data: rb2605 contract closed at 3124 yuan yesterday, down 7 yuan (0.22%) from the previous day, with a trading volume of 517,368 lots (up 110,928 lots) and an open interest of 1,076,160 lots (down 91,050 lots)[31]. - Option Factors - Volume and Position PCR: The trading volume of RB call options is 58,594 (up 3,538), and the open interest is 230,839 (up 1,232). The trading volume of RB put options is 22,877 (up 181), and the open interest is 126,482 (up 3,181). The trading volume PCR is 0.39 (down 0.02), and the open - interest PCR is 0.55 (up 0.01)[29]. - Option Factors - Pressure and Support: The at - the - money strike price is 3150, the resistance level is 3550, the support level is 3000, the weighted implied volatility is 17.13% (up 0.76%), the average annual implied volatility is 17.28%, and HISV20 is 6.59%[30]. - Option Strategy: Directional strategy: Construct a bull - spread portfolio of call options to obtain directional returns; Volatility strategy: Construct a portfolio of selling call and put options to obtain option time value, and dynamically adjust the position to keep the position delta short, such as S_RB2605P2950 and S_RB2605C3200[32]. 3.4 Soda Ash (SA) - Market Data: SA605 contract closed at 1229 yuan yesterday, down 1 yuan (0.08%) from the previous day, with a trading volume of 580,165 lots (down 147,672 lots) and an open interest of 798,009 lots (down 28,938 lots)[43]. - Option Factors - Volume and Position PCR: The trading volume of SA call options is 287,713 (up 115,246), and the open interest is 407,786 (up 20,918). The trading volume of SA put options is 82,345 (up 27,942), and the open interest is 132,999 (up 1,732). The trading volume PCR is 0.29 (down 0.03), and the open - interest PCR is 0.33 (down 0.01)[41]. - Option Factors - Pressure and Support: The at - the - money strike price is 1200, the resistance level is 1740, the support level is 1100, the weighted implied volatility is 46.07% (up 3.13%), the average annual implied volatility is 32.93%, and HISV20 is 29.71%[42]. - Option Strategy: Directional strategy: None; Volatility strategy: Construct a short - volatility portfolio to obtain volatility returns, such as S_SA2605P1140 and S_SA2605C1300[44]. 3.5 Ferrosilicon (SF) - Market Data: SF605 contract closed at 6012 yuan yesterday, down 10 yuan (0.16%) from the previous day, with a trading volume of 172,335 lots (down 9,366 lots) and an open interest of 167,016 lots (down 4,668 lots)[54]. - Option Factors - Volume and Position PCR: The trading volume of SF call options is 19,982 (down 1,741), and the open interest is 30,934 (up 896). The trading volume of SF put options is 7,140 (down 1,036), and the open interest is 28,008 (up 1,124). The trading volume PCR is 0.36 (down 0.02), and the open - interest PCR is 0.91 (up 0.01)[52]. - Option Factors - Pressure and Support: The at - the - money strike price is 6100, the resistance level is 6000, the support level is 5600, the weighted implied volatility is 28.64% (up 0.19%), the average annual implied volatility is 23.00%, and HISV20 is 17.09%[53]. - Option Strategy: Directional strategy: Construct a bull - spread portfolio of call options to obtain directional returns; Volatility strategy: Do not recommend strategies mainly based on selling (such as single - selling or double - selling)[55]. 3.6 Manganese Silicon (SM) - Market Data: SM605 contract closed at 6580 yuan yesterday, up 128 yuan (1.98%) from the previous day, with a trading volume of 444,422 lots (up 70,359 lots) and an open interest of 381,188 lots (up 636 lots)[67]. - Option Factors - Volume and Position PCR: The trading volume of SM call options is 82,018 (up 63,437), and the open interest is 100,482 (up 4,098). The trading volume of SM put options is 23,708 (down 8372), and the open interest is 63,390 (up 4,362). The trading volume PCR is 0.29 (up 0.07), and the open - interest PCR is 0.63 (up 0.02)[65]. - Option Factors - Pressure and Support: The at - the - money strike price is 6600, the resistance level is 7100, the support level is 6000, the weighted implied volatility is 36.85% (down 0.65%), the average annual implied volatility is 18.72%, and HISV20 is 22.80%[66]. - Option Strategy: Directional strategy: Construct a bull - spread portfolio of call options to obtain directional returns; Volatility strategy: Due to high geopolitical risks, do not recommend strategies mainly based on selling (such as single - selling or double - selling)[68].
黑色期权早报-20260331 - Reportify