Report Overview - The report is an early morning report on oil product options dated April 1, 2026, covering liquefied gas (PG) and crude oil (SC) options [1][3] 1. Liquefied Gas (PG) Options 1.1 Market Data - The closing price of the pg2605 contract was 6339 yuan, down 376 yuan or 5.59% from the previous day. The trading volume was 165,022 lots, a decrease of 1,687 lots, and the open interest was 50,737 lots, a decrease of 3,099 lots [4][7] 1.2 Option Factors - Volume and Open Interest PCR: The trading volume of PG (liquefied gas call options) was 25,210, a decrease of 9,783, and the open interest was 19,122, an increase of 409. The trading volume of PG (liquefied gas put options) was 19,137, an increase of 4,209, and the open interest was 20,240, an increase of 201. The volume PCR was 0.76, an increase of 0.33, and the open interest PCR was 1.06, a decrease of 0.01 [5] - Pressure and Support: The pressure level of PG options was 7,500, and the support level was 3,400. The weighted implied volatility was 79.26%, a decrease of 4.09%, and the annual average implied volatility was 29.43% [6] 1.3 Market Analysis - The implied volatility of PG options fluctuated above the mean of 0.2943. The open interest PCR of PG options was reported at 1.0585, at the 91.84% level in the past year [7] 1.4 Strategy Recommendations - Directional Strategy: None - Volatility Strategy: Due to high geopolitical risks, strategies based on selling (such as single selling and double selling) are not recommended [8] 2. Crude Oil (SC) Options 2.1 Market Data - The closing price of the sc2605 contract was 740.6 yuan, down 22.4 yuan or 2.93% from the previous day. The trading volume was 91,655 lots, a decrease of 10,950 lots, and the open interest was 49,215 lots, a decrease of 4,196 lots [16][19] 2.2 Option Factors - Volume and Open Interest PCR: The trading volume of SC (crude oil call options) was 133,102, a decrease of 708, and the open interest was 68,576, an increase of 240. The trading volume of SC (crude oil put options) was 93,706, an increase of 11,936, and the open interest was 95,768, an increase of 1,402. The volume PCR was 0.7, an increase of 0.09, and the open interest PCR was 1.4, an increase of 0.02 [17] - Pressure and Support: The pressure level of SC options was 1,050, and the support level was 500. The weighted implied volatility was 106.39%, a decrease of 7.30%, and the annual average implied volatility was 45.55% [18] 2.3 Market Analysis - The implied volatility of SC options fluctuated above the mean of 0.4555. The open interest PCR of SC options was reported at 1.3965, at the 91.43% level in the past year [19] 2.4 Strategy Recommendations - Directional Strategy: Construct a bull call spread strategy to obtain directional returns - Volatility Strategy: Due to high geopolitical risks, strategies based on selling (such as single selling and double selling) are not recommended [20]
油品期权早报-20260401
Wu Kuang Qi Huo·2026-04-01 07:17