Report Information - Report Date: 2026-03-30 [3] - Authors: Li Liqin (Investment Research Senior Manager), Huang Kehan (Options Researcher) [2] - Contact Information: Email: lilq@wkqh.cn, huangkh@wkqh.cn; Phone: 0755 - 23375252 [2] PG (Liquefied Gas) Options Market Data - Underlying Contract: pq2605 - Closing Price: 6759 - Price Change: 181 - Percentage Change: 2.75% - Trading Volume (10,000 lots): 183925 - Volume Change: -35413 - Open Interest (10,000 lots): 28866 - Open Interest Change: -2617 [4] Option Factor - Volume and Open Interest PCR - Call Option Volume: 28247 - Call Option Volume Change: -6376 - Call Option Open Interest: 18726 - Call Option Open Interest Change: 470 - Put Option Volume: 13302 - Put Option Volume Change: -660 - Put Option Open Interest: 19748 - Put Option Open Interest Change: 212 - Volume PCR: 0.47 - Volume PCR Change: 0.07 - Open Interest PCR: 1.05 - Open Interest PCR Change: -0.02 [5] Option Factor - Pressure and Support - Pressure Level: 7500 - Support Level: 3400 - Weighted Implied Volatility: 86.50% - Implied Volatility Change: 1.67% [6] Market Analysis and Strategy Recommendations - Yesterday's Closing Price of pg2605: 6541 yuan, down 53 yuan (-0.80%) from the previous day - Trading Volume: 219338 lots, a decrease of 144943 lots from the previous day - Position Transfer Volume: 61483 lots, a decrease of 4880 lots from the previous day - Implied Volatility of PG Options: Fluctuating above the average of 0.2863 - Open Interest PCR of PG Options: 1.0701, at the 93.88% level in the past year - Pressure Level: 7500 - Support Level: 3400 - Directional Strategy: Construct a bull spread strategy with call options 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 [7][8] SC (Crude Oil) Options Market Data - Underlying Contract: sc2605 - Closing Price: 740.8 - Price Change: i (unclear) - Percentage Change: 70% (unclear) - Trading Volume (10,000 lots): 95496 - Volume Change: ro ı (unclear) - Open Interest (10,000 lots): 52438 - Open Interest Change: -600 [16] Option Factor - Volume and Open Interest PCR - Call Option Volume: 110004 - Call Option Volume Change: -2488 - Call Option Open Interest: 68832 - Call Option Open Interest Change: 476 - Put Option Volume: 69668 - Put Option Volume Change: -5376 - Put Option Open Interest: 88434 - Put Option Open Interest Change: 1576 - Volume PCR: 0.63 - Volume PCR Change: -0.03 - Open Interest PCR: 1.28 - Open Interest PCR Change: 0.01 [17] Option Factor - Pressure and Support - Pressure Level: 940 - Support Level: 500 - Weighted Implied Volatility: 44.86% - Implied Volatility Change: 3.43% [18] Market Analysis and Strategy Recommendations - Yesterday's Closing Price of sc2605: 733.1 yuan, up 5.9 yuan (0.81%) from the previous day - Trading Volume: 96646 lots, no change from the previous day - Open Interest: 53038 lots, a decrease of 1367 lots from the previous day - Implied Volatility of SC Options: Fluctuating above the average of 0.4451 - Open Interest PCR of SC Options: 1.2707, at the 89.39% level in the past year - Pressure Level: 940 - Support Level: 500 - Directional Strategy: Construct a bull spread strategy with call options 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 [19][20]

Report Summary 1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints - For PG (Liquefied Gas) options, the pg2604 contract closed at 7281 yuan yesterday, up 721 yuan or 10.99% from the previous day. The implied volatility of PG options fluctuates above the mean of 0.2771. The PG option's open interest PCR is at 0.9665, at the 89.80% level in the past year. The pressure level is 7500, and the support level is 3400 [7]. - For SC (Crude Oil) options, the sc2605 contract closed at 834.6 yuan yesterday, up 58.2 yuan or 7.49% from the previous day. The implied volatility of SC options fluctuates above the mean of 0.4350. The SC option's open interest PCR is at 1.5055, at the 95.51% level in the past year. The pressure level is 940, and the support level is 500 [20]. 3. Summary by Relevant Catalogs 3.1. PG (Liquefied Gas) Options - **标的期货市场数据**: The pa2604 contract of PG options closed at 7281 yuan, up 77 yuan or 10.99%. The trading volume was 150713 lots, a decrease of 78129 lots from the previous day, and the open interest was 19616 lots, a decrease of 188 lots [4]. - **期权因子 - 量仓PCR**: The trading volume of PG (Liquefied Gas Call Options) was 52057 lots, a decrease of 4563 lots, and the open interest was 14657 lots, an increase of 4433 lots. The trading volume PCR was 0.28, and the open interest PCR was 0.97, a decrease of 0.03 [5]. - **期权因子 - 压力支撑**: For the pg2605 contract of PG options, the at - the - money strike price was 7200, the pressure level was 7500, the support level was 3400, the weighted implied volatility was 121.90%, an increase of 41.62%, the annual average implied volatility was 27.71%, and HISV20 was 61.92% [6]. - **行情解读与策略建议**: - **标的行情解析及期权因子研究**: As mentioned in the core viewpoints [7]. - **期权策略建议**: Construct a call option bull spread combination strategy for directional gains. Due to high geopolitical risks, strategies mainly based on sellers (such as single - selling and double - selling) are not recommended [8]. 3.2. SC (Crude Oil) Options - **标的期货市场数据**: The sc2605 contract of SC options closed at 834.6 yuan, up 58.2 yuan or 7.49%. The trading volume was 140734 lots, a decrease of 37480 lots from the previous day, and the open interest was 56999 lots, a decrease of 1101 lots [17]. - **期权因子 - 量仓PCR**: The trading volume of SC (Crude Oil Call Options) was 124114 lots, a decrease of 16922 lots, and the open interest was 52016 lots, a decrease of 874 lots. The trading volume PCR was 0.58, a decrease of 0.16, and the open interest PCR was 1.51, an increase of 0.09 [18]. - **期权因子 - 压力支撑**: For the sc2605 contract of SC options, the at - the - money strike price was 830, the pressure level was 940, the support level was 500, the weighted implied volatility was 113.52%, an increase of 9.91%, the annual average implied volatility was 43.50%, and HISV20 was 90.38% [19]. - **行情解读与策略建议**: - **标的行情解析及期权因子研究**: As mentioned in the core viewpoints [20]. - **期权策略建议**: Construct a call option bull spread combination strategy for directional gains. Due to high geopolitical risks, strategies mainly based on sellers (such as single - selling and double - selling) are not recommended [21].

Report Industry Investment Rating - Not provided Core Viewpoints - For both PG (liquefied gas) and SC (crude oil) options, it is recommended to construct a bull spread combination strategy of call options for directional trading to obtain directional returns, and not to adopt seller - based strategies due to high geopolitical risks [7][19] Summary by Directory 1. PG (Liquefied Gas) Options Market Data - The closing price of the pg2604 contract was 5766 yuan, down 61 yuan or 1.04% from the previous day. The trading volume was 83457 lots, a decrease of 24222 lots from the previous day, and the open interest was 30002 lots, a decrease of 7696 lots from the previous day [3][6] Option Factors - Volume and Open Interest PCR - The trading volume of PG (liquefied gas call options) was 2366, a decrease of 57815, and the open interest was 3862, an increase of 714. The trading volume PCR was 0.72, with a change of 0.18, and the open - interest PCR was 0.86, with a change of 0.03 [4] Option Factors - Pressure and Support - For the pg2605 contract, the pressure level was 6700, the support level was 5300, the weighted implied volatility was 52.17%, a decrease of 10.04%, the annual average implied volatility was 26.75%, and HISV20 was 52.82% [5] Market Interpretation and Strategy Suggestions - The implied volatility of PG (liquefied gas options) fluctuated above the mean of 0.2675. The open - interest PCR of PG options was 0.8563, at the 79.18% level in the past year. Directional strategy: construct a bull spread combination strategy of call options; Volatility strategy: not recommended to use seller - based strategies [6][7] 2. SC (Crude Oil) Options Market Data - The closing price of the sc2605 contract was 735.4 yuan, down 9.1 yuan or 1.22% from the previous day. The trading volume was 153715 lots, a decrease of 18776 lots from the previous day, and the open interest was 56313 lots, a decrease of 274 lots from the previous day [15][18] Option Factors - Volume and Open Interest PCR - The trading volume of SC (crude oil call options) was 135582, a decrease of 19672, and the open interest was 50102, an increase of 2638. The trading volume PCR was 0.8, with a change of - 0.06, and the open - interest PCR was 1.43, with a change of 0.02 [16] Option Factors - Pressure and Support - For the sc2605 contract, the pressure level was 940, the support level was 500, the weighted implied volatility was 96.65%, a decrease of 6.26%, the annual average implied volatility was 42.52%, and HISV20 was 82.00% [17] Market Interpretation and Strategy Suggestions - The implied volatility of SC (crude oil options) fluctuated above the mean of 0.4252. The open - interest PCR of SC options was 1.4282, at the 93.88% level in the past year. Directional strategy: construct a bull spread combination strategy of call options; Volatility strategy: not recommended to use seller - based strategies [18][19]