贵金属期权早报-20260401

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The closing price of the ag2606 contract yesterday was 18,126 yuan, a rise of 598 yuan or 3.41% from the previous day. The trading volume was 881,875 lots, a decrease of 178,429 lots from the previous day, and the open interest was 241,055 lots, an increase of 7,170 lots from the previous day. The implied volatility of AG (silver options) fluctuated above the mean of 0.4823. The open interest PCR of AG options was reported at 0.6843, 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]. - The closing price of the au2606 contract yesterday was 1,020.1 yuan, a rise of 14.68 yuan or 1.46% from the previous day. The trading volume was 33,535 lots, a decrease of 58,160 lots from the previous day, and the open interest was 180,433 lots, a decrease of 520 lots from the previous day. The implied volatility of AU (gold options) fluctuated above the mean of 0.2784. The open interest PCR of AU options was reported at 0.5311, at the 2.45% level in the past year. The pressure level of the AU option underlying was 1,200, and the support level was 1,000 [18]. 3. Summary by Relevant Catalogs 3.1 Silver Options - Futures Market Data: The ag2606 contract had a closing price of 18,126, a trading volume of 881,875 lots (a decrease of 178,429 lots from the previous day), and an open interest of 241,055 lots (an increase of 7,170 lots from the previous day) [3]. - Option Factor - Volume and Open Interest PCR: For AG (silver call options), the trading volume was 196,657 (a decrease of 17,636), the open interest was 85,367 (an increase of 2,089), the trading volume PCR was 0.63 (a decrease of 0.02), and the open interest PCR was 0.68 (an increase of 0.03). For AG (silver put options), the trading volume was 123,660 (a decrease of 15,130), and the open interest was 58,414 (an increase of 4,340) [4]. - Option Factor - Pressure and Support: The AG (silver options) with the ag2605 contract had a strike price at the money of 18,100, a pressure level of 36,600, a support level of 15,000, a weighted implied volatility of 81.88% (a decrease of 4.10%), an annual average implied volatility of 48.23%, and HISV20 of 87.38% [5]. - Option Strategy Suggestions: No directional strategy. For the volatility strategy, construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust the positions to keep the delta of the positions neutral, such as S_AG2606P18000, S_AG2606C19000 [7]. 3.2 Gold Options - Futures Market Data: The au2606 contract had a closing price of 1,020.1, a trading volume of 33,535 lots (a decrease of 58,160 lots from the previous day), and an open interest of 180,433 lots (a decrease of 520 lots from the previous day) [15]. - Option Factor - Volume and Open Interest PCR: For AU (gold call options), the trading volume was 54,927 (a decrease of 5,203), the open interest was 47,369 (an increase of 1,122), the trading volume PCR was 0.42 (a decrease of 0.05), and the open interest PCR was 0.53 (an increase of 0.02). For AU (gold put options), the trading volume was 22,912 (a decrease of 4,927), and the open interest was 25,159 (an increase of 1,529) [16]. - Option Factor - Pressure and Support: The AU (gold options) with the au2606 contract had a strike price at the money of 1,020, a pressure level of 1,200, a support level of 1,000, a weighted implied volatility of 41.60% (a decrease of 1.53%), an annual average implied volatility of 27.84%, and HISV20 of 44.53% [17]. - Option Strategy Suggestions: No directional strategy. For the volatility strategy, construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust the positions to keep the delta of the positions neutral, such as S_AU2605P928, S_AU2605C1056 [19].