农副期权早报-20260401
Wu Kuang Qi Huo·2026-04-01 07:23
  1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The report provides a comprehensive analysis of various agricultural and sideline product options, including apple, cotton, jujube, egg, log, hog, and sugar options. It presents market data, option factors, and offers corresponding trading strategy suggestions for each option type [3][4][5] 3. Summary by Directory 3.1 Apple Options (AP) - Market Data: The AP605 contract closed at 9826 yuan yesterday, down 77 yuan or 0.77% from the previous day. The trading volume was 71,834 lots, an increase of 11,999 lots, and the open interest was 46,182 lots, a decrease of 4,969 lots [3][6] - Option Factors: The implied volatility of AP options fluctuated above the average of 0.2549. The open interest PCR was 0.3913, at the 4.08% level in the past year. The pressure level was 10,000, and the support level was 7,000 [5][6] - Strategy Suggestions: No directional strategy. No volatility strategy [7] 3.2 Cotton Options (CF) - Market Data: The CF605 contract closed at 15,295 yuan yesterday, down 110 yuan or 0.71% from the previous day. The trading volume was 217,405 lots, an increase of 212 lots, and the open interest was 493,580 lots, a decrease of 21,504 lots [15][18] - Option Factors: The implied volatility of CF options fluctuated above the average of 0.1460. The open interest PCR was 0.8508, at the 66.94% level in the past year. The pressure level was 16,400, and the support level was 14,800 [17][18] - Strategy Suggestions: No directional strategy. Construct a short call + put option combination strategy to obtain option time - value income, such as S_CF2605P14400, S_CF2605P14600, S_CF2605C15600, and S_CF2605C15800 [19] 3.3 Jujube Options (CJ) - Market Data: The CJ605 contract closed at 8,750 yuan yesterday, down 45 yuan or 0.51% from the previous day. The trading volume was 95,292 lots, an increase of 29,982 lots, and the open interest was 77,860 lots, a decrease of 12,737 lots [27][30] - Option Factors: The implied volatility of CJ options fluctuated above the average of 0.2763. The open interest PCR was 0.2146, at the 1.63% level in the past year. The pressure level was 11,600, and the support level was 8,300 [29][30] - Strategy Suggestions: No directional strategy. Construct a short call + put option combination strategy to obtain option time - value income and dynamically adjust positions, such as S_CJ2607P8800 and S_CJ2607C9300 [31] 3.4 Egg Options (JD) - Market Data: The jd2605 contract closed at 3,440 yuan yesterday, down 11 yuan or 0.31% from the previous day. The trading volume was 168,133 lots, a decrease of 12,585 lots, and the open interest was 138,616 lots, a decrease of 17,311 lots [39][42] - Option Factors: The implied volatility of JD options fluctuated above the average of 0.2497. The open interest PCR was 0.606, at the 81.22% level in the past year. The pressure level was 4,000, and the support level was 3,200 [41][42] - Strategy Suggestions: No directional strategy. Construct a short call + put option combination strategy to obtain option time - value and directional income, and dynamically adjust positions to keep the position delta neutral, such as S_JD2605P3100, S_JD2605P3200, S_JD2605C3450, and S_JD2605C3550 [43] 3.5 Log Options (LG) - Market Data: The lg2605 contract closed at 820.5 yuan yesterday, down 2 yuan or 0.24% from the previous day. The trading volume was 4,637 lots, a decrease of 830 lots, and the open interest was 11,027 lots, a decrease of 360 lots [51][54] - Option Factors: The implied volatility of LG options fluctuated above the average of 0.2192. The open interest PCR was 0.3735, at the 4.90% level in the past year. The pressure level was 950, and the support level was 725 [54] - Strategy Suggestions: No directional strategy. No volatility strategy [55] 3.6 Hog Options (LH) - Market Data: The lh2605 contract closed at 9,770 yuan yesterday, down 230 yuan or 2.30% from the previous day. The trading volume was 188,706 lots, an increase of 5,757 lots, and the open interest was 187,160 lots, a decrease of 2,159 lots [63][66] - Option Factors: The implied volatility of LH options fluctuated above the average of 0.2447. The open interest PCR was 0.2212, at the 3.67% level in the past year. The pressure level was 15,600, and the support level was 9,400 [65][66] - Strategy Suggestions: Construct a bearish put spread strategy to obtain directional income, such as B_LH2605P11000, S_LH2605P9600. No volatility strategy [67] 3.7 Sugar Options (SR) - Market Data: The SR605 contract closed at 5,398 yuan yesterday, down 82 yuan or 1.49% from the previous day. The trading volume was 292,071 lots, a decrease of 113,226 lots, and the open interest was 269,186 lots, a decrease of 34,897 lots [75][78] - Option Factors: The implied volatility of SR options fluctuated above the average of 0.1224. The open interest PCR was 0.4185, at the 1.22% level in the past year. The pressure level was 6,200, and the support level was 5,300 [77][78] - Strategy Suggestions: No directional strategy. Construct a short call + put option combination strategy to obtain option time - value income, and dynamically adjust positions to keep the position delta neutral, such as S_SR2605P5200 and S_SR2605C5600 [79]
农副期权早报-20260401 - Reportify