1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - For BR (Synthetic Rubber Options), it is recommended to construct a bull spread strategy of call options to obtain directional returns, and not to adopt strategies mainly based on sellers due to high geopolitical risks [7] - For RU (Rubber Options), it is recommended to construct a neutral combination strategy of selling call and put options to obtain option time value and directional returns, and dynamically adjust positions to keep the position delta neutral [19] 3. Summary by Directory 3.1 BR (Synthetic Rubber Options) 3.1.1标的期货市场数据 - The closing price of the br2605 contract was 17,725 yuan, down 2.39% [3] - The trading volume was 800,879 lots, a decrease of 278,976 lots; the open interest was 87,205 lots, an increase of 14,951 lots [3] 3.1.2 期权因子 - 量仓PCR - The trading volume of BR (Synthetic Rubber Call Options) was 42,648 lots, a decrease of 31,120 lots; the open interest was 17,249 lots, an increase of 166 lots [4] - The trading volume of BR (Synthetic Rubber Put Options) was 31,064 lots, an increase of 4,657 lots; the open interest was 16,498 lots, an increase of 1,731 lots [4] - The trading volume PCR was 0.73, an increase of 0.37; the open interest PCR was 0.96, an increase of 0.09 [4] 3.1.3 期权因子 - 压力支撑 - The pressure level of the BR option underlying was 20,600, and the support level was 15,000 [6] 3.1.4 行情解读与策略建议 - The closing price of the br2605 contract yesterday was 17,840 yuan, up 0.05% from the previous day; the trading volume was 1,079,860 lots, a decrease of 2,100 lots; the open interest was 102,156 lots, a decrease of 14,791 lots [6] - The implied volatility of BR (Synthetic Rubber Options) fluctuated above the average of 0.3366 [6] - The open interest PCR of BR options was reported at 0.8644, at the 74.29% level in the past year [6] - Directional strategy: Construct a bull spread strategy of call options, such as B BR2605C16000 and S BR2605C18600 [7] - Volatility strategy: Due to high geopolitical risks, strategies mainly based on sellers (such as single selling and double selling) are not recommended [7] 3.2 RU (Rubber Options) 3.2.1 标的期货市场数据 - The closing price of the ru2605 contract was 17,541 yuan, up 0.24% [15] - The trading volume was 183,593 lots, an increase of 49,928 lots; the open interest was 81,467 lots, a decrease of 10,483 lots [15] 3.2.2 期权因子 - 量仓PCR - The trading volume of RU (Rubber Call Options) was 27,553 lots, a decrease of 1,551 lots; the open interest was 48,630 lots, a decrease of 1,154 lots [16] - The trading volume of RU (Rubber Put Options) was 9,557 lots, a decrease of 2,220 lots; the open interest was 23,602 lots, an increase of 307 lots [16] - The trading volume PCR was 0.35, a decrease of 0.06; the open interest PCR was 0.49, an increase of 0.01 [16] 3.2.3 期权因子 - 压力支撑 - The pressure level of the RU option underlying was 17,000, and the support level was 15,000 [18] 3.2.4 行情解读与策略建议 - The closing price of the ru2605 contract yesterday was 16,510 yuan, up 0.33% from the previous day; the trading volume was 233,521 lots, an increase of 27,631 lots; the open interest was 91,950 lots, a decrease of 10,209 lots [18] - The implied volatility of RU (Rubber Options) fluctuated above the average of 0.2489 [18] - The open interest PCR of RU options was reported at 0.4803, at the 73.06% level in the past year [18] - Directional strategy: None [19] - Volatility strategy: Construct a neutral combination strategy of selling call and put options, such as S_RU2605P15250, S_RU2605P15750 and S_RU2605C16750, S_RU2605C17000 [19]

1. Report Industry Investment Rating - Not provided 2. Report's Core View - For synthetic rubber (BR), the br2605 contract showed a significant increase, with the price rising 4.29% to 17975 yuan, and the implied volatility of BR options remained above the mean. A bull spread strategy for call options is recommended. For natural rubber (RU), the ru2605 contract had a 0.54% increase to 16460 yuan, and the implied volatility of RU options also stayed above the mean. A neutral option - selling strategy is proposed [7][19]. 3. Summary by Relevant Catalogs 3.1 Synthetic Rubber (BR) 3.1.1标的期货市场数据 - The closing price of the br2605 contract was 17840 yuan, with a 0.05% increase. The trading volume was 1079860 lots, a decrease of 2100 lots, and the open interest was 102156 lots, with 14791 new positions [4]. 3.1.2期权因子 - 量仓PCR - The trading volume of BR call options was 73768 lots, a decrease of 21339 lots, and the open interest was 17083 lots, an increase of 2296 lots. The trading volume of BR put options was 26407 lots, an increase of 1183 lots, and the open interest was 14767 lots, an increase of 3094 lots. The trading volume PCR was 0.36, an increase of 0.09, and the open - interest PCR was 0.86, an increase of 0.07 [5]. 3.1.3期权因子 - 压力支撑 - The pressure level of the BR option underlying was 20600, and the support level was 15000 [7]. 3.1.4行情解读与策略建议 - The br2605 contract closed at 17975 yuan yesterday, up 740 yuan or 4.29% from the previous day. The trading volume was 1081960 lots, an increase of 191851 lots, and the open interest was 116947 lots, an increase of 1942 lots. The implied volatility of BR options remained above the mean of 0.3349. The open - interest PCR of BR options was 0.7894, at the 66.53% level in the past year. Directional strategy: Construct a bull spread strategy for call options, such as B BR2605C16000 and S BR2605C18600. Volatility strategy: Due to high geopolitical risks, strategies mainly based on selling (such as single - selling and double - selling) are not recommended [7][8]. 3.2 Natural Rubber (RU) 3.2.1标的期货市场数据 - The closing price of the ru2605 contract was 16510 yuan, with a 0.33% increase. The trading volume was 233521 lots, an increase of 27631 lots, and the open interest was 91950 lots, a decrease of 10209 lots [16]. 3.2.2期权因子 - 量仓PCR - The trading volume of RU call options was 29104 lots, an increase of 3286 lots, and the open interest was 49784 lots, a decrease of 544 lots. The trading volume of RU put options was 11777 lots, an increase of 3471 lots, and the open interest was 23909 lots, an increase of 232 lots. The trading volume PCR was 0.4, an increase of 0.08, and the open - interest PCR was 0.48, an increase of 0.01 [17]. 3.2.3期权因子 - 压力支撑 - The pressure level of the RU option underlying was 17000, and the support level was 15000 [19]. 3.2.4行情解读与策略建议 - The ru2605 contract closed at 16460 yuan yesterday, up 90 yuan or 0.54% from the previous day. The trading volume was 205890 lots, a decrease of 37968 lots, and the open interest was 102159 lots, a decrease of 5068 lots. The implied volatility of RU options remained above the mean of 0.2486. The open - interest PCR of RU options was 0.4705, at the 70.20% level in the past year. Directional strategy: None. Volatility strategy: Construct a neutral option - selling strategy of call + put options to obtain option time value and directional returns, and dynamically adjust the positions to keep the delta neutral, such as S_RU2605P15250, S_RU2605P15750, S_RU2605C16750, and S_RU2605C17000 [19][20].

Report Overview - Report Title: Rubber and Paper Options Morning Report [1] - Date: March 23, 2026 [1] - Authors: Li Liqin (Senior Investment Research Manager), Huang Kehan (Options Researcher) [2] Industry Investment Rating - Not provided in the report Core Viewpoints - The BR (Synthetic Rubber) br2605 contract closed at 15,985 yuan yesterday, up 285 yuan or 1.81% from the previous day, with increased trading volume and open interest [6] - The RU (Rubber) ru2605 contract closed at 16,000 yuan yesterday, down 250 yuan or 1.53% from the previous day, with decreased trading volume and open interest [18] Summary by Directory 1. Synthetic Rubber (BR) a. Futures Market Data - The br2605 contract closed at 15,985 yuan, up 1.81% from the previous day, with a trading volume of 370,451 lots (up 69,263 lots) and an open interest of 81,121 lots (up 17,321 lots) [3][6] b. Option Factors - Volume and Open Interest PCR - Call option volume: 80,219 lots (up 11,265 lots), open interest: 23,482 lots (up 1,687 lots), volume PCR: 0.64 (up 0.19), open interest PCR: 1.15 (up 0.03) - Put option volume: 51,708 lots (up 20,237 lots), open interest: 27,081 lots (up 2,689 lots) [4] c. Option Factors - Pressure and Support - Pressure level: 18,400, support level: 14,000, weighted implied volatility: 67.43% (up 0.84%), annual average implied volatility: 32.52%, HISV20: 50.24% [5] d. Market Analysis and Strategy Recommendations - Implied volatility of BR options fluctuates above the mean of 0.3252 - BR option open interest PCR is at 1.1533, at the 93.47% level in the past year - Directional strategy: Construct a bull call spread strategy, e.g., B BR2604C15000 and S BR2604C17000 - Volatility strategy: Due to high geopolitical risks, strategies based on selling (e.g., single selling, double selling) are not recommended [6][7] 2. Rubber (RU) a. Futures Market Data - The ru2605 contract closed at 16,000 yuan, down 1.53% from the previous day, with a trading volume of 251,638 lots (down 51,877 lots) and an open interest of 116,500 lots (down 767 lots) [15][18] b. Option Factors - Volume and Open Interest PCR - Call option volume: 28,343 lots (down 6,982 lots), open interest: 53,393 lots (up 1,532 lots), volume PCR: 0.48 (up 0.05), open interest PCR: 0.42 (down 0.03) - Put option volume: 13,588 lots (down 1,686 lots), open interest: 22,245 lots (down 851 lots) [16] c. Option Factors - Pressure and Support - Pressure level: 17,000, support level: 16,000, weighted implied volatility: 29.31% (down 1.51%), annual average implied volatility: 24.63%, HISV20: 24.09% [17] d. Market Analysis and Strategy Recommendations - Implied volatility of RU options fluctuates above the mean of 0.2463 - RU option open interest PCR is at 0.4166, at the 38.78% level in the past year - Directional strategy: None - Volatility strategy: Construct a neutral selling call + put option combination strategy to obtain option time value and directional returns, and dynamically adjust positions to keep the delta neutral, e.g., S_RU2605P15250, S_RU2605P15750 and S_RU2605C16750, S_RU2605C17000 [18][19]

1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - For BR (Synthetic Rubber Options), the br2605 contract closed at 15,260 yuan yesterday, down 240 yuan or 1.54% from the previous day. The trading volume was 272,822 lots, an increase of 8,875 lots, and the open interest was 66,374 lots, a decrease of 42 lots. The implied volatility remained above the mean of 0.3217. The open interest PCR was 1.2469, at the 95.92% level in the past year. The resistance level was 18,400, and the support level was 14,000 [7]. - For RU (Rubber Options), the ru2605 contract closed at 16,400 yuan yesterday, down 430 yuan or 2.55% from the previous day. The trading volume was 298,877 lots, an increase of 40,371 lots, and the open interest was 127,172 lots, a decrease of 5,883 lots. The implied volatility remained above the mean of 0.2455. The open interest PCR was 0.4198, at the 41.22% level in the past year. The resistance level was 17,000, and the support level was 16,000 [19]. 3. Summary by Related Catalogs 3.1 BR (Synthetic Rubber Options) 3.1.1 Futures Market Data - The br2605 contract closed at 15,260 yuan, down 240 yuan or 1.54% from the previous day. The trading volume was 272,822 lots, an increase of 8,875 lots, and the open interest was 66,374 lots, a decrease of 42 lots [4][7]. 3.1.2 Option Factors - Volume and Open Interest PCR - For BR synthetic rubber call options, the trading volume was 22,277 lots, an increase of 1,235 lots, and the open interest was 18,356 lots, an increase of 2,108 lots. The volume PCR was 1.06, an increase of 0.26, and the open interest PCR was 1.25, a decrease of 0.01. For BR synthetic rubber put options, the trading volume was 23,596 lots, an increase of 6,876 lots, and the open interest was 22,888 lots, an increase of 2,413 lots [5]. 3.1.3 Option Factors - Pressure and Support - The resistance level for BR options was 18,400, and the support level was 14,000 [7]. 3.1.4 Option Strategies - Directional strategy: Construct a bull call spread strategy, such as B BR2604C15000 and S BR2604C16000. - Volatility strategy: Due to high geopolitical risks, strategies based on selling options (such as single - selling or double - selling) are not recommended [8]. 3.2 RU (Rubber Options) 3.2.1 Futures Market Data - The ru2605 contract closed at 16,400 yuan, down 430 yuan or 2.55% from the previous day. The trading volume was 298,877 lots, an increase of 40,371 lots, and the open interest was 127,172 lots, a decrease of 5,883 lots [16][19]. 3.2.2 Option Factors - Volume and Open Interest PCR - For RU rubber call options, the trading volume was 36,479 lots, an increase of 15,069 lots, and the open interest was 53,907 lots, an increase of 866 lots. The volume PCR was 0.42, an increase of 0.1, and the open interest PCR was 0.42, an increase of 0.01. For RU rubber put options, the trading volume was 15,437 lots, an increase of 8,563 lots, and the open interest was 22,629 lots, an increase of 283 lots [17]. 3.2.3 Option Factors - Pressure and Support - The resistance level for RU options was 17,000, and the support level was 16,000. The weighted implied volatility was 30.05%, a decrease of 2.68%, and the annual average implied volatility was 24.55%, with HISV20 at 22.19% [18][19]. 3.2.4 Option Strategies - Directional strategy: None. - Volatility strategy: Construct a neutral - biased strategy of selling call and put options to obtain option time value and directional returns. Dynamically adjust the positions to keep the delta of the positions neutral, such as S_RU2605P16250, S_RU2605P16500, S_RU2605C17500, and S_RU2605C17750 [20].