卖权策略在聚丙烯产业中的实际应用及优化

Core Viewpoint - The polypropylene industry is facing challenges due to rapid upstream capacity expansion, leading to reduced price elasticity and profitability for basis traders, necessitating the exploration of new profit growth points through strategies like selling options [1][2][3]. Group 1: Industry Dynamics - The supply-demand balance for polypropylene has shifted from tight supply to oversupply, resulting in lower production profit margins and reduced trading opportunities for midstream traders [2]. - The profitability of basis trading has weakened, with long-term low or negative profits becoming the norm, highlighting the need for innovative solutions within the polypropylene industry [2]. Group 2: Options Strategy Development - The rapid growth of polypropylene options trading has made it an important tool for cost reduction and efficiency improvement for industry participants [3]. - Selling options strategies, particularly put options, have shown a high win rate and potential for cost reduction and efficiency gains, especially in a low volatility environment [4][8]. Group 3: Performance of Selling Options Strategies - Historical data from January 2022 to October 2024 indicates that selling out-of-the-money call options has a win rate of approximately 86%, with total profits reaching 21,155.07 yuan and an average profit of 31.81 yuan per ton [5]. - Selling out-of-the-money put options has a win rate of around 80.6%, but total profits are lower at approximately 9,199 yuan, with an average profit of 13.83 yuan per ton [6]. - The selling of a combination of out-of-the-money call and put options (wide straddle strategy) yielded a win rate of 74.7% and total profits of about 30,354 yuan, with an average profit of 45.64 yuan per ton [7]. Group 4: Strategy Optimization - The selling options strategy can be optimized based on operational cycles, volatility, and execution prices to enhance profitability [9]. - A rolling operation approach is recommended to reduce reliance on subjective judgment and improve overall strategy performance [11][12]. - The execution price's proximity to the underlying asset's price affects the premium received and the associated risk, necessitating careful consideration in strategy formulation [13][14]. Group 5: Volatility Considerations - The impact of volatility on the profitability of selling options strategies is significant, with higher implied volatility favoring the selling of wide straddle options [16]. - In periods of low volatility, such as below 6%, it may be prudent for investors to pause operations to mitigate risks [17]. Group 6: Tailored Strategies for Different Market Segments - Different segments of the polypropylene supply chain can adopt tailored options strategies, such as selling call options for sellers to enhance spot market returns or selling put options for buyers to lower procurement costs [18]. - The mathematical models used for strategy optimization have limitations and should be adjusted based on real market conditions and individual risk management needs [19].