烯烃类期权早报-20260331

1. Report Industry Investment Rating - There is no information about the report industry investment rating in the given content. 2. Core Viewpoints - For all options (BZ, EB, L, PL, PP), it is recommended to construct a bull spread combination strategy of call options for directional strategies to obtain directional returns, and due to large geopolitical risks, strategies mainly based on sellers (such as single - selling and double - selling) are not recommended for volatility strategies [7][19][31][43][56] 3. Summary by Relevant Catalogs 3.1 BZ (Pure Benzene Option) - 标的期货市场数据: The bz2605 contract had a closing price of 9062 yuan, a rise of 370 yuan (4.25%), a trading volume of 38479 lots, a decrease of 4642 lots compared to the previous day, an open interest of 25892 lots, and an increase of 294 lots [3] - 期权因子 - 量仓PCR: The trading volume of BZ (pure benzene call option) was 395 lots, a decrease of 117 lots; the open interest was 2604 lots, an increase of 39 lots; the trading volume PCR was 0.71, an increase of 0.01; the open interest PCR was 0.87, an increase of 0.01. The trading volume of BZ (pure benzene put option) was 282 lots, a decrease of 76 lots; the open interest was 2272 lots, an increase of 47 lots [4] - 期权因子 - 压力支撑: The underlying contract was bz2605, the at - the - money strike price was 9000 yuan, the resistance level was 10000 yuan, the support level was 4900 yuan, the weighted implied volatility was 80.22%, an increase of 2.69%, the annual average implied volatility was 21.28%, and HISV20 was 63.44% [5] - 行情解读与策略建议: The bz2605 contract's closing price yesterday was 8880 yuan, a rise of 559 yuan (6.71%) compared to the previous day, with a trading volume of 43121 lots, an increase of 21774 lots, and an open interest of 25598 lots, an increase of 2377 lots. The implied volatility of BZ (pure benzene option) fluctuated above the mean of 0.2095. The open interest PCR of BZ options was reported at 0.8674, at the 57.99% level in the past year. From the perspective of options, the resistance level of the BZ option underlying was 10200 yuan, and the support level was 4900 yuan. Directional strategy: Construct a bull spread combination strategy of call options, such as B BZ2605C8200, S BZ2605C8800. Volatility strategy: Due to large geopolitical risks, strategies mainly based on sellers are not recommended [6][7] 3.2 EB (Styrene Option) - 标的期货市场数据: The eb2605 contract had a closing price of 10789 yuan, a rise of 3.43%, a trading volume of 890145 lots, a decrease of 78174 lots compared to the previous day, an open interest of 235481 lots, and a decrease of 8979 lots [15] - 期权因子 - 量仓PCR: The trading volume of EB (styrene call option) was 133646 lots, an increase of 6354 lots; the open interest was 42487 lots, a decrease of 2375 lots; the trading volume PCR was 0.47, an increase of 0.04; the open interest PCR was 1.53, an increase of 0.24. The trading volume of EB (styrene put option) was 62792 lots, an increase of 8155 lots; the open interest was 65097 lots, an increase of 7237 lots [16] - 期权因子 - 压力支撑: The underlying contract was eb2605, the at - the - money strike price was 10800 yuan, the resistance level was 11800 yuan, the support level was 8000 yuan, the weighted implied volatility was 69.70%, a decrease of 2.08%, the annual average implied volatility was 28.73%, and HISV20 was 57.94% [17] - 行情解读与策略建议: The eb2605 contract's closing price yesterday was 10624 yuan, a rise of 595 yuan (5.93%) compared to the previous day, with a trading volume of 968319 lots, an increase of 448162 lots, and an open interest of 244460 lots, an increase of 46526 lots. The implied volatility of EB (styrene option) fluctuated above the mean of 0.2852. The open interest PCR of EB options was reported at 1.2897, at the 92.24% level in the past year. From the perspective of options, the resistance level of the EB option underlying was 11800 yuan, and the support level was 8000 yuan. Directional strategy: Construct a bull spread combination strategy of call options, such as B EB2605C10000, S EB2605C11200. Volatility strategy: Due to large geopolitical risks, strategies mainly based on sellers are not recommended [18][19] 3.3 L (Plastic Option) - 标的期货市场数据: The l2605 contract had a closing price of 8804 yuan, a rise of 0.03%, a trading volume of 890738 lots, an increase of 231692 lots compared to the previous day, an open interest of 324187 lots, and a decrease of 2555 lots [27] - 期权因子 - 量仓PCR: The trading volume of L (plastic call option) was 10277 lots, an increase of 5813 lots; the open interest was 32297 lots, a decrease of 566 lots; the trading volume PCR was 0.68, a decrease of 0.35; the open interest PCR was 0.95, an increase of 0.03. The trading volume of L (plastic put option) was 7006 lots, an increase of 2416 lots; the open interest was 30669 lots, an increase of 415 lots [28] - 期权因子 - 压力支撑: The underlying contract was 12605, the at - the - money strike price was 8800 yuan, the resistance level was 9000 yuan, the support level was 7000 yuan, the weighted implied volatility was 56.21%, an increase of 4.84%, the annual average implied volatility was 18.21%, and HISV20 was 51.91% [29] - 行情解读与策略建议: The l2605 contract's closing price yesterday was 8868 yuan, a rise of 149 yuan (1.70%) compared to the previous day, with a trading volume of 659046 lots, a decrease of 74629 lots, and an open interest of 326742 lots, an increase of 4709 lots. The implied volatility of L (plastic option) fluctuated above the mean of 0.1802. The open interest PCR of L options was reported at 0.9206, at the 88.98% level in the past year. From the perspective of options, the resistance level of the L option underlying was 9000 yuan, and the support level was 7000 yuan. Directional strategy: Construct a bull spread combination strategy of call options. Volatility strategy: Due to large geopolitical risks, strategies mainly based on sellers are not recommended [30][31] 3.4 PL (Propylene Option) - 标的期货市场数据: The PL605 contract had a closing price of 8944 yuan, a rise of 0.04%, a trading volume of 15465 lots, an increase of 4478 lots compared to the previous day, an open interest of 8253 lots, and a decrease of 2597 lots [39] - 期权因子 - 量仓PCR: The trading volume of PL (propylene call option) was 6 lots; the open interest was 2446 lots; the trading volume PCR was 16.44, an increase of 8.6; the open interest PCR was 1.32, an increase of 0.03. The trading volume of PL (propylene put option) was 263 lots, an increase of 20 lots; the open interest was 3236 lots [40] - 期权因子 - 压力支撑: The underlying contract was PL605, the at - the - money strike price was 8900 yuan, the resistance level was 6900 yuan, the support level was 5700 yuan, the weighted implied volatility was 91.39%, an increase of 10.86%, the annual average implied volatility was 16.11%, and HISV20 was 69.27% [41] - 行情解读与策略建议: The PL605 contract's closing price yesterday was 9000 yuan, a rise of 151 yuan (1.70%) compared to the previous day, with a trading volume of 10987 lots, a decrease of 1733 lots, and an open interest of 10850 lots, a decrease of 488 lots. The implied volatility of PL (propylene option) fluctuated above the mean of 0.1574. The open interest PCR of PL options was reported at 1.2913, at the 90.85% level in the past year. From the perspective of options, the resistance level of the PL option underlying was 6900 yuan, and the support level was 5700 yuan. Directional strategy: Construct a bull spread combination strategy of call options. Volatility strategy: Due to large geopolitical risks, strategies mainly based on sellers are not recommended [42][43] 3.5 PP (Polypropylene Option) - 标的期货市场数据: The pp2605 contract had a closing price of 9269 yuan, a rise of 0.43%, a trading volume of 1032460 lots, an increase of 165049 lots compared to the previous day, an open interest of 337577 lots, and a decrease of 19730 lots [52] - 期权因子 - 量仓PCR: The trading volume of PP (polypropylene call option) was 9425 lots, an increase of 2169 lots; the open interest was 53041 lots, an increase of 560 lots; the trading volume PCR was 2.03, a decrease of 0.03; the open interest PCR was 1.21, a decrease of 0.01. The trading volume of PP (polypropylene put option) was 19160 lots, an increase of 4223 lots; the open interest was 64265 lots, an increase of 334 lots [53] - 期权因子 - 压力支撑: The underlying contract was pp2605, the at - the - money strike price was 9300 yuan, the resistance level was 8000 yuan, the support level was 8000 yuan, the weighted implied volatility was 56.56%, an increase of 2.61%, the annual average implied volatility was 17.03%, and HISV20 was 55.48% [54] - 行情解读与策略建议: The pp2605 contract's closing price yesterday was 9313 yuan, a rise of 248 yuan (2.73%) compared to the previous day, with a trading volume of 867414 lots, a decrease of 163332 lots, and an open interest of 357307 lots, an increase of 13997 lots. The implied volatility of PP (polypropylene option) fluctuated above the mean of 0.1684. The open interest PCR of PP options was reported at 1.2182, at the 99.59% level in the past year. From the perspective of options, the resistance level of the PP option underlying was 8000 yuan, and the support level was 7000 yuan. Directional strategy: Construct a bull spread combination strategy of call options. Volatility strategy: Due to large geopolitical risks, strategies mainly based on sellers are not recommended [55][56]