能源化工期权策略早报-20250418

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report conducts a comprehensive analysis of various energy and chemical options, including fundamental analysis, market trend analysis, volatility analysis, and provides corresponding strategy recommendations for each type of option [2][3]. 3. Summary by Related Catalogs 3.1 Energy and Chemical Option Classification - Energy and chemical options are mainly divided into five categories: basic chemicals (methanol, rubber, synthetic rubber, styrene options), energy (crude oil, liquefied gas options), polyester chemicals (paraxylene, PTA, ethylene glycol, short - fiber options), polyolefin chemicals (polypropylene, PVC, polyethylene options), and other chemicals (caustic soda, soda ash, urea options) [2]. 3.2 Option Analysis and Strategy Recommendations 3.2.1 Basic Chemicals Sector - Methanol Option: The port inventory is at a medium - low level. The market shows a weak and bearish trend. The implied volatility remains at a relatively high historical level. It is recommended to construct a bearish combination strategy of call + put options to obtain time - value and directional returns, such as S_MA2506P2275, S_MA2506P2250, S_MA2506C2350, S_MA2506C2375 [2]. - Rubber and Synthetic Rubber Options: The downstream tire production rate has declined, and the inventory has changed slightly. The market shows a weak consolidation trend under bearish pressure. The implied volatility of rubber options is at a relatively high level. It is recommended to construct a bear - spread put option strategy to obtain directional returns, such as B_RU2505P15250, B_RU2505P15000, S_RU2505P14250, S_RU2505P14500 [2]. - Styrene Option: The factory inventory has increased, and the port inventory has decreased. The market has shown a weak and volatile trend after a decline. The implied volatility remains at a relatively high historical level. It is recommended to construct an option combination strategy to short volatility to obtain time - value and directional returns, such as S_EB2506P7100, S_EB2506P7200, S_EB2506C7500, S_EB2506C7400 [3]. 3.2.2 Oil and Gas Sector - Crude Oil Option: OPEC plans to increase production, and the US supply remains high. The market has shown a bearish downward trend followed by a large - scale low - level oscillation. The implied volatility remains at a relatively high level. It is recommended to construct a strategy of selling put + call options to short volatility and obtain time - value returns, such as S_SC2506P465 and S_SC2506C485 [3]. - Liquefied Gas Option: Affected by China's tariff counter - measures, the PDH plant may reduce production. The market has shown a short - term weak bearish trend after a rebound. The implied volatility remains at a relatively high level above the historical average. It is recommended to construct a combination strategy of selling bearish call + put options, adjust the position delta dynamically according to the market, and close the position if the market fluctuates sharply, such as S_PG2506P4250, S_PG2506P4300, S_PG2506C4450, S_PG2506C4400 [3]. 3.2.3 Polyester Chemicals Sector - PX and PTA Options: PTA is in the maintenance season, and the overall load will be low. The market shows a bearish downward trend with resistance to rebound. The implied volatility of PTA options has risen to a relatively high level. It is recommended to construct a bear - spread strategy to obtain directional returns, such as B_TA2506P4300 and S_TA2506P4150 [4]. - Ethylene Glycol Option: The load has decreased, and the port inventory has increased. The market shows a short - term weak bearish and volatile trend. The implied volatility has risen to a relatively high historical level. It is recommended to construct a strategy to short volatility and obtain time - value returns, such as S_EG2506P4050 and S_EG2506C4200 [4]. - Short - Fiber Option: The polyester load has slightly increased, but the short - fiber load has decreased, and there is pressure to reduce production. The market shows a bearish downward and low - level consolidation trend. The implied volatility remains at a relatively high average level. It is recommended to construct a combination strategy of selling call + put options to short volatility and obtain time - value returns, such as S_PF2506P5800, S_PF2506C6100 [4]. 3.2.4 Polyolefin Chemicals Sector - Polypropylene Option: The production enterprise inventory has increased, and the market shows a volatile trend under pressure. The implied volatility remains at a relatively high historical level. It is recommended to construct a combination strategy of selling bearish call + put options, adjust the position delta dynamically according to the market, and close the position if the market fluctuates sharply, such as S_PP2506P7100, S_PP2506P7000, S_PP2506C7200, S_PP2506C7300 [5]. - Polyethylene Option: The production enterprise inventory has increased, and the market shows a weak consolidation trend under pressure. The implied volatility has risen to a relatively high level. It is recommended to construct a bearish directional strategy to obtain directional returns, such as B_L2506P7200 and S_L2506C7300 [5]. - PVC Option: The capacity utilization rate has decreased, and the inventory has decreased. The market shows a volatile and upward - trending consolidation under pressure. The implied volatility remains at a relatively low level. It is recommended to construct a bearish directional strategy to obtain directional returns, such as B_V2506P4900, B_V2506P4950, S_V2506C5000, S_V2506C5100 [5]. 3.3 Option Data - Option Underlying Market Data: Provides closing prices, price changes, trading volumes, and open interest changes of various option underlying assets [7]. - Option Volume, Open Interest, and Turnover Data: Includes volume, volume changes, open interest, open - interest changes, turnover, and turnover changes of various options [8]. - Option Volume, Open Interest, and Turnover PCR Data: Presents PCR values and their changes for volume, open interest, and turnover of various options [9]. - Option Maximum Open Interest at Strike Prices: Shows the strike prices with the maximum open interest, pressure points, support points, and related offsets for various options [10]. - Option Implied Volatility Data: Provides implied volatility, implied - volatility changes, annual averages, call and put implied volatilities, historical 20 - day volatility, and volatility differences for various options [12].