烯烃类期权早报-20260401

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The report analyzes the market data, option factors, and provides trading strategies for various olefin - related options, including BZ (pure benzene), EB (styrene), L (plastic), PL (propylene), and PP (polypropylene) options. Due to geopolitical risks, it is not recommended to use seller - based volatility strategies [7][20][32][44][57] Summary by Related Catalogs 1. BZ (Pure Benzene) Option - Market Data: The bz2605 contract closed at 8790 yuan yesterday, down 254 yuan (-2.80%) from the previous day. The trading volume was 36024 lots, a decrease of 2455 lots, and the open interest was 24404 lots, a decrease of 1488 lots [3][6] - Option Factors: The implied volatility of BZ (pure benzene option) fluctuates above the mean of 0.2160. The option's open - interest PCR is 0.9096, at the 76.61% level in the past year. The pressure level is 10200, and the support level is 4900 [5][6] - Trading Strategies: Build a bull - spread combination strategy of call options to obtain directional returns, such as B BZ2605C8400, S BZ2605C10000. Do not recommend seller - based volatility strategies [7] 2. EB (Styrene) Option - Market Data: The eb2605 contract closed at 10597 yuan yesterday, down 235 yuan (-2.16%) from the previous day. The trading volume was 791380 lots, a decrease of 98765 lots, and the open interest was 223609 lots, a decrease of 11872 lots [16][19] - Option Factors: The implied volatility of EB (styrene option) fluctuates above the mean of 0.2892. The option's open - interest PCR is 1.5338, at the 97.96% level in the past year. The pressure level is 11800, and the support level is 8000 [18][19] - Trading Strategies: Build a bull - spread combination strategy of call options to obtain directional returns, such as B EB2605C10000, S EB2605C11200. Do not recommend seller - based volatility strategies [20] 3. L (Plastic) Option - Market Data: The l2605 contract closed at 8614 yuan yesterday, down 404 yuan (-4.47%) from the previous day. The trading volume was 830040 lots, a decrease of 60698 lots, and the open interest was 299225 lots, a decrease of 24962 lots [28][31] - Option Factors: The implied volatility of L (plastic option) fluctuates above the mean of 0.1838. The option's open - interest PCR is 0.979, at the 93.47% level in the past year. The pressure level is 9000, and the support level is 7000 [31] - Trading Strategies: No directional strategy is provided. Do not recommend seller - based volatility strategies [32] 4. PL (Propylene) Option - Market Data: The PL605 contract closed at 8795 yuan yesterday, down 353 yuan (-3.85%) from the previous day. The trading volume was 11847 lots, a decrease of 3618 lots, and the open interest was 6170 lots, a decrease of 2083 lots [40][43] - Option Factors: The implied volatility of PL (propylene option) fluctuates above the mean of 0.1647. The option's open - interest PCR is 1.3352, at the 95.78% level in the past year. The pressure level is 6900, and the support level is 5700 [42][43] - Trading Strategies: Build a bull - spread combination strategy of call options to obtain directional returns. Do not recommend seller - based volatility strategies [44] 5. PP (Polypropylene) Option - Market Data: The pp2605 contract closed at 9103 yuan yesterday, down 391 yuan (-4.11%) from the previous day. The trading volume was 912841 lots, a decrease of 119622 lots, and the open interest was 319551 lots, a decrease of 18026 lots [53][56] - Option Factors: The implied volatility of PP (polypropylene option) fluctuates above the mean of 0.1721. The option's open - interest PCR is 1.2555, at the 99.59% level in the past year. The pressure level and support level are both 8000 [55][56] - Trading Strategies: Build a bull - spread combination strategy of call options to obtain directional returns. Do not recommend seller - based volatility strategies [57]