农副期权早报-20260331
Wu Kuang Qi Huo·2026-03-31 06:09
  1. Report Industry Investment Rating - No information provided in the report 2. Core Viewpoints - The report provides a comprehensive analysis of various agricultural and sideline product options, including apple, cotton, jujube, egg, log, live hog, and sugar options. It presents market data, option factors, and offers corresponding trading strategies based on the analysis of each option [3][6][15][18] 3. Summary by Directory 3.1 Apple Options (AP) - Market Data: The latest price of the AP605 contract is 9863, down 127 or 1.27% from the previous day. The trading volume is 29,832 lots (down 8,866 lots), and the open interest is 51,151 lots (down 6,149 lots) [3] - Option Factors - Volume and Open Interest PCR: The trading volume of apple call options is 1,368 (down 97,373), and the open interest is 5,901 (up 488). The trading volume PCR is 0.48 (down 0.25), and the open interest PCR is 0.39 (down 0.01) [4] - Option Factors - Pressure and Support: The pressure level is 10,000, and the support level is 7,000. The weighted implied volatility is 20.15915% (down 0.11%) [5] - Market Analysis and Strategy: The AP605 contract closed at 9,967 yuan yesterday, up 18 yuan or 0.18% from the previous day. The implied volatility of apple options fluctuates above the average of 0.2562. The open interest PCR of AP options is 0.4011, at the 6.12% level in the past year. No directional or volatility strategies are recommended [6][7] 3.2 Cotton Options (CF) - Market Data: The latest price of the CF605 contract is 15,385, up 0.03% from the previous day. The trading volume is 217,193 lots (down 19,525 lots), and the open interest is 515,084 lots (down 16,090 lots) [15] - Option Factors - Volume and Open Interest PCR: The trading volume of cotton call options is 111,900 (down 642), and the open interest is 328,652 (down 1,131). The trading volume PCR is 0.4 (up 0.04), and the open interest PCR is 0.82 (up 0.01) [16] - Option Factors - Pressure and Support: The pressure level is 16,400, and the support level is 14,800. The weighted implied volatility is 18.89% (up 0.29%) [17] - Market Analysis and Strategy: The CF605 contract closed at 15,395 yuan yesterday, up 15 yuan or 0.09% from the previous day. The implied volatility of cotton options fluctuates above the average of 0.1455. The open interest PCR of CF options is 0.8033, at the 54.29% level in the past year. No directional strategy is recommended, and a strategy of selling call and put options is suggested to obtain time - value income [18][19] 3.3 Jujube Options (CJ) - Market Data: The latest price of the CJ605 contract is 8,775. The trading volume is 75,333 lots (up 19,713 lots), and the open interest is 90,597 lots (down 4,720 lots) [27] - Option Factors - Volume and Open Interest PCR: The trading volume of jujube call options is 4,492 (down 25,265), and the open interest is 19,735 (up 1,883). The trading volume PCR is 0.26 (down 0.14), and the open interest PCR is 0.21 (up 0.01) [28] - Option Factors - Pressure and Support: The pressure level is 11,600, and the support level is 8,300. The weighted implied volatility is 24.47% (down 0.89%) [29] - Market Analysis and Strategy: The CJ605 contract closed at 8,870 yuan yesterday, up 25 yuan or 0.28% from the previous day. The implied volatility of jujube options fluctuates above the average of 0.2763. The open interest PCR of CJ options is 0.1947, at the 0.00% level in the past year. No directional strategy is recommended, and a strategy of selling call and put options is suggested to obtain time - value income and adjust positions dynamically [30][31] 3.4 Egg Options (JD) - Market Data: The latest price of the jd2605 contract is 3,453, down 1.53% from the previous day. The trading volume is 180,718 lots (up 104,961 lots), and the open interest is 155,927 lots (down 31,553 lots) [39] - Option Factors - Volume and Open Interest PCR: The trading volume of egg call options is 74,239 (down 46,629), and the open interest is 93,039 (up 186). The trading volume PCR is 0.49 (up 0.11), and the open interest PCR is 0.58 (up 0.01) [40] - Option Factors - Pressure and Support: The pressure level is 4,000, and the support level is 3,200. The weighted implied volatility is 24.23% (down 1.03%) [41] - Market Analysis and Strategy: The jd2605 contract closed at 3,502 yuan yesterday, up 22 yuan or 0.63% from the previous day. The implied volatility of egg options fluctuates above the average of 0.2497. The open interest PCR of JD options is 0.5774, at the 76.73% level in the past year. No directional strategy is recommended, and a strategy of selling call and put options is suggested to obtain time - value and directional income and keep the delta of positions neutral [42][43] 3.5 Log Options (LG) - Market Data: The latest price of the lg2605 contract is 826, up 1.41% from the previous day. The trading volume is 5,467 lots (up 1,761 lots), and the open interest is 11,387 lots (up 24 lots) [51] - Option Factors - Volume and Open Interest PCR: The trading volume of log call options is 3,152 (up 869), and the open interest is 11,430 (down 84). The trading volume PCR is 0.41 (up 0.16), and the open interest PCR is 0.37 (down 0.01) [52] - Option Factors - Pressure and Support: The pressure level is 950, and the support level is 725. The weighted implied volatility is 27.84% (up 0.45%) [53] - Market Analysis and Strategy: The lg2605 contract closed at 817.5 yuan yesterday, up 1 yuan or 0.12% from the previous day. The implied volatility of log options fluctuates above the average of 0.2186. The open interest PCR of LG options is 0.3773, at the 4.90% level in the past year. No directional or volatility strategies are recommended [54][55] 3.6 Live Hog Options (LH) - Market Data: The latest price of the lh2605 contract is 10,005, up 0.65%. The trading volume is 77,013 lots (up 89,319 lots), and the open interest is 202,586 lots (down 16,816 lots) [63] - Option Factors - Volume and Open Interest PCR: The trading volume of live hog call options is 59,771 (down 27,913), and the open interest is 146,160 (up 4,056). The trading volume PCR is 0.23 (down 0.04), and the open interest PCR is 0.21 (up 0.01) [64] - Option Factors - Pressure and Support: The pressure level is 15,600, and the support level is 9,400. The weighted implied volatility is 45.51% (up 1.23%) [65] - Market Analysis and Strategy: The lh2605 contract closed at 9,965 yuan yesterday, up 45 yuan or 0.45% from the previous day. The implied volatility of live hog options fluctuates above the average of 0.2425. The open interest PCR of LH options is 0.2018, at the 0.82% level in the past year. A bear - spread strategy of buying put options is recommended for directional income, and no volatility strategy is recommended [66][67] 3.7 Sugar Options (SR) - Market Data: The latest price of the SR605 contract is 5,441, down 0.20%. The trading volume is 405,297 lots (up 147,961 lots), and the open interest is 304,083 lots (down 8,802 lots) [76] - Option Factors - Volume and Open Interest PCR: The trading volume of sugar call options is 225,255 (up 118,168), and the open interest is 341,244 (up 6,315). The trading volume PCR is 0.34 (up 0.03), and the open interest PCR is 0.42 (up 0.01) [77] - Option Factors - Pressure and Support: The pressure level is 6,200, and the support level is 5,300. The weighted implied volatility is 19.12% (up 0.41%) [78] - Market Analysis and Strategy: The SR605 contract closed at 5,464 yuan yesterday, up 25 yuan or 0.45% from the previous day. The implied volatility of sugar options fluctuates above the average of 0.1219. The open interest PCR of SR options is 0.4136, at the 0.41% level in the past year. No directional strategy is recommended, and a strategy of selling call and put options is suggested to obtain time - value income and keep the delta of positions neutral [79][80]
农副期权早报-20260331 - Reportify