Report Information - Report Date: 2026/03/20 [1] - Report Type: Financial Options Morning Report - Analysts: Li Liqin (Senior Manager of Investment Research), Huang Kehan (Options Researcher) [2] - Contact Information: Email: lilq@wkqh.cn, huangkh@wkqh.cn; Phone: 0755 - 23375252 [2] Market Overview Financial Market - Major indices showed a downward trend. The Shanghai Composite Index closed at 4006.55, down 56.43 points or 1.39%, with a trading volume of 935.265 billion yuan, an increase of 58.937 billion yuan. The Shanghai 50 Index closed at 2916.23, down 45.19 points or 1.53%, with a trading volume of 136.419 billion yuan, an increase of 22.698 billion yuan. The CSI 300 Index closed at 4583.25, down 75.08 points or 1.61%, with a trading volume of 547.85 billion yuan, an increase of 23.676 billion yuan. The CSI 1000 Index closed at 7909.23, down 187.36 points or 2.31%, with a trading volume of 443.807 billion yuan, an increase of 23.914 billion yuan. The CSI 500 Index closed at 7877.09, down 219.34 points or 2.71%, with a trading volume of 394.855 billion yuan, an increase of 3.612 billion yuan. The Shenzhen Component Index closed at 13901.57, down 286.23 points or 2.02%, with a trading volume of 601.149 billion yuan, an increase of 2.746 billion yuan [3]. ETF Market - Most ETFs also declined. The Shenzhen 100ETF closed at 3.482, down 0.046 or 1.30%, with a trading volume of 55.56 million shares, a decrease of 15.91 million shares, and a trading value of 195 million yuan, a decrease of 55 million yuan. The ChiNext ETF closed at 3.303, down 0.035 or 1.05%, with a trading volume of 1246.93 million shares, an increase of 126.07 million shares, and a trading value of 4.14 billion yuan, an increase of 438 million yuan. The Shenzhen 300ETF closed at 4.790, down 0.074 or 1.52%, with a trading volume of 208.84 million shares, an increase of 64.08 million shares, and a trading value of 1.002 billion yuan, an increase of 302 million yuan. The Shenzhen 500ETF closed at 3.158, down 0.087 or 2.68%, with a trading volume of 274.93 million shares, a decrease of 71.80 million shares, and a trading value of 873 million yuan, a decrease of 242 million yuan. The Shanghai 50ETF closed at 2.993, down 0.042 or 1.38%, with a trading volume of 766.47 million shares, an increase of 175.09 million shares, and a trading value of 2.299 billion yuan, an increase of 506 million yuan. The Shanghai 300ETF closed at 4.599, down 0.063 or 1.35%, with a trading volume of 772.24 million shares, an increase of 1.98 million shares, and a trading value of 3.558 billion yuan, a decrease of 18 million yuan. The Shanghai 500ETF closed at 7.945, down 0.211 or 2.59%, with a trading volume of 391.80 million shares, a decrease of 100.35 million shares, and a trading value of 3.129 billion yuan, a decrease of 861 million yuan. The Huaxia Science and Technology Innovation 50ETF closed at 1.411, down 0.034 or 2.35%, with a trading volume of 2765.12 million shares, an increase of 582.61 million shares, and a trading value of 3.916 billion yuan, an increase of 783 million yuan. The E Fund Science and Technology Innovation 50ETF closed at 1.368, down 0.032 or 2.29%, with a trading volume of 1037.03 million shares, an increase of 92.28 million shares, and a trading value of 1.423 billion yuan, an increase of 110 million yuan [4]. Option Analysis Shanghai 50ETF (510050.SH) - **Volume and Position PCR**: The trading volume of call options was 605,939, an increase of 89,080, and the position was 910,731, an increase of 62,738. The trading volume of put options was 609,564, an increase of 226,359, and the position was 615,138, an increase of 2,683. The trading volume PCR was 1.01, an increase of 0.26, and the position PCR was 0.68, a decrease of 0.05 [5]. - **Pressure and Support**: The average implied volatility was 17.54%, and the historical volatility was 9.34%. The pressure level was 3.1, and the support level was 3 [6][7]. - **Strategy Suggestion**: No directional strategy. For the volatility strategy, construct a combination strategy of selling call and put options to obtain option time - value income and dynamically adjust the position. For example, S_510050_2603P3000 and S_510050_2603C3200 [7]. Shanghai 300ETF (510300.SH) - **Volume and Position PCR**: The trading volume of call options was 697,458, an increase of 49,428, and the position was 874,000, an increase of 58,803. The trading volume of put options was 689,214, an increase of 124,188, and the position was 629,285, a decrease of 16,549. The trading volume PCR was 0.99, an increase of 0.12, and the position PCR was 0.72, a decrease of 0.07 [15]. - **Pressure and Support**: The average implied volatility was 18.19%, and the historical volatility was 11.67%. The pressure level was 4.7, and the support level was 4.5 [16][17]. - **Strategy Suggestion**: No directional strategy. For the volatility strategy, construct a combination strategy of selling call and put options to obtain option time - value income and dynamically adjust the position. For example, S_510300_2603P4600 and S_510300_2603C4800 [18]. ChiNext ETF (159915.SZ) - **Volume and Position PCR**: The trading volume of call options was 858,584, a decrease of 1,198, and the position was 750,951, an increase of 52,576. The trading volume of put options was 1,088,650, an increase of 76,194, and the position was 899,199, a decrease of 33,823. The trading volume PCR was 1.27, an increase of 0.09, and the position PCR decreased by 0.14 [24]. - **Pressure and Support**: The average implied volatility was 31.15%, and the historical volatility was 23.25%. The pressure level was 3.4, and the support level was 3.3 [25][26]. - **Strategy Suggestion**: No directional strategy. For the volatility strategy, construct a combination strategy of selling call and put options to obtain option time - value income and dynamically adjust the position. For example, S_159915_2603P3300 and S_159915_2603C3500 [26]. CSI 1000 Index (MO) - **Volume and Position PCR**: The trading volume of call options was 231,379, an increase of 31,862, and the position was 195,130, an increase of 3,098. The trading volume of put options was 237,049, an increase of 68,389, and the position was 170,665, a decrease of 2,153. The trading volume PCR was 1.02, an increase of 0.18, and the position PCR was 0.87, a decrease of 0.03 [33]. - **Pressure and Support**: The average implied volatility was 23.77%, and the historical volatility was 21.81%. The pressure level was 8100, and the support level was 7800 [34][35]. - **Strategy Suggestion**: No directional strategy. For the volatility strategy, construct a combination strategy of selling call and put options to obtain option time - value income and dynamically adjust the position. For example, S_MO2604P7800 and S_MO2604C8400 [36].

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The report provides an analysis of rubber and paper options, including the market data of underlying futures, option factors, and market sentiment analysis, and gives corresponding option strategy suggestions [4][7][8]. 3. Summary by Relevant Catalogs Synthetic Rubber (BR) Underlying Futures Market Data - The BR (synthetic rubber option) underlying contract is br2604, with a closing price of 13,825, a rise of 265, or 1.95%. The trading volume is 276,462 lots, and the open interest is 32,970 lots, with a decrease of 2543 lots [4]. Option Factors - Volume and Open Interest PCR - For BR (synthetic rubber call options), the trading volume is 44,848, with an increase of 1032, the open interest is 12,574, with an increase of 899, the trading volume PCR is 0.37, with a decrease of 0.07, and the open interest PCR is 1.02, with a decrease of 0.04 [5]. - For BR (synthetic rubber put options), the trading volume is 16,805, with a decrease of 2557, and the open interest is 12,834, with an increase of 455 [5]. Option Factors - Pressure and Support - For the BR (synthetic rubber option) underlying contract br2604, the pressure level is 14,000, and the support level is 12,000 [7]. Market Interpretation and Strategy Suggestions - The br2604 contract closed at 13,465 yuan yesterday, a rise of 810 yuan or 6.40% compared with the previous day. The trading volume is 286,143 lots, an increase of 148,745 lots, and the open interest is 39,385 lots, a decrease of 5367 lots [7]. - The implied volatility of BR (synthetic rubber options) fluctuates above the average level of 0.3029 [7]. - The open interest PCR of BR options is reported at 1.0529, located at the 94.29% level in the past year [7]. - Directional strategy: None. Volatility strategy: Build a short call + put option combination strategy to obtain option time - value income and dynamically adjust positions to keep the delta of positions neutral, such as S_BR2604P13000 and 5_BR2604C14400 [8]. Rubber (RU) Underlying Futures Market Data - The RU (rubber option) underlying contract is ru2605, with a closing price of 16,740, a fall of 410, or 2.39%. The trading volume is 370,025 lots, and the open interest is 152,591 lots, with a decrease of 7755 lots [16]. Option Factors - Volume and Open Interest PCR - For RU (rubber call options), the trading volume is 26,823, with a decrease of 4501, the open interest is 44,944, with an increase of 4029, the trading volume PCR is 0.53, with an increase of 0.22, and the open interest PCR is 0.46, with a decrease of 0.02 [17]. - For RU (rubber put options), the trading volume is 14,223, with an increase of 4365, and the open interest is 20,483, with an increase of 864 [17]. Option Factors - Pressure and Support - For the RU (rubber option) underlying contract ru2605, the at - the - money strike price is 16,750, the pressure level is 18,000, and the support level is 15,000. The weighted implied volatility is 26.55%, with a change of 0.10%, the annual average implied volatility is 24.08%, and HISV20 is 24.77% [18]. Market Interpretation and Strategy Suggestions - The ru2605 contract closed at 17,245 yuan yesterday, a rise of 155 yuan or 0.90% compared with the previous day. The trading volume is 364,042 lots, an increase of 145,215 lots, and the open interest is 170,621 lots, a decrease of 3594 lots [19]. - The implied volatility of RU (rubber options) fluctuates above the average level of 0.2403 [19]. - The open interest PCR of RU options is reported at 0.4829, located at the 67.35% level in the past year [19]. - Directional strategy: None. Volatility strategy: Build a short, relatively neutral call + put option combination strategy to obtain option time - value and directional income, and dynamically adjust positions to keep the delta of positions neutral, such as S_RU2605P16250, S_RU2605P16500, S_RU2605C17500, and S_RU2605C17750 [20].