能源化工期权策略早报-20250421

1. Report Industry Investment Rating - No information provided in the content 2. Core Viewpoints of the Report - The report conducts fundamental, market, and volatility analyses of various energy and chemical options, and provides corresponding strategy operations and suggestions [2] 3. Summary by Relevant Catalogs 3.1 Energy and Chemical Option Classification - Energy and chemical options are mainly divided into 5 categories: basic chemicals, energy, polyester chemicals, polyolefin chemicals, and other chemicals [2] 3.2 Option Analysis and Strategy Suggestions for Each Category 3.2.1 Basic Chemicals Sector - Methanol Option: Last week, port inventory increased by 1.58 tons to 58.56 tons, enterprise inventory decreased by 0.19 tons to 31.24 tons, and enterprise orders to be delivered increased by 1.99 tons to 27.44 tons. The market continued to fluctuate weakly under the bearish pressure line. The implied volatility remained above the historical average. Suggest to construct a bearish combination strategy of call + put options to obtain time - value and directional returns, such as S_MA2506P2275, etc. [2] - Rubber/Synthetic Rubber Option: As of April 18, the all - steel tire operating rate was 67.44% (+0.23%), and the semi - steel tire operating rate was 72.40% (-1.99%). Qingdao port inventory decreased slightly, while social inventory increased slightly. The market showed a weak consolidation and oscillation pattern under the bearish pressure line. The implied volatility of rubber options was at a relatively high historical level. Suggest to construct a bearish volatility - selling strategy to obtain directional and time - value returns, such as S_RU2509P14250, etc. [2] - Styrene Option: As of April 17, 2025, the sample inventory of Chinese styrene factories was 21.84 tons, a decrease of 0.98 tons (-4.30%) from the previous period, and the sample port inventory in Jiangsu was 9.56 tons, a decrease of 2.34 tons (-19.66%). After reaching a high in late February, it continued to decline weakly, and after an accelerated decline in early April, it rebounded and oscillated in a range. The implied volatility continued to fluctuate at a relatively high historical level. Suggest to construct a volatility - selling option combination strategy to obtain time - value and directional returns, such as S_EB2506P7100, etc. [3] 3.2.2 Oil and Gas Sector - Crude Oil Option: OPEC plans to increase oil production by 411,000 barrels per day in May. US supply has declined. The short - term supply negatives have been fully released, and shale oil has started to cut production. The market showed large fluctuations under the bearish pressure line. The implied volatility remained at a relatively high level. Suggest to construct a volatility - selling strategy: a combination of selling put and call options to obtain time - value returns, such as S_SC2506P4 and S_SC2506C [3] - Liquefied Gas Option: Port storage capacity utilization was at a multi - year low, refinery storage capacity utilization was near the multi - year low, and gas station storage capacity utilization was at a one - year low. Port inventory was at a low level. The market showed a short - term weak rebound pattern with upper pressure. The implied volatility remained above the historical average. Suggest to construct a bearish call + put option combination strategy to obtain directional and time - value returns, adjust the position delta dynamically according to market changes, and close the position if the market rises or falls sharply, such as S_PG2506P4250, etc. [3] 3.2.3 Polyester Chemicals Sector - PX/PTA Option: The overall social inventory of PTA (excluding credit warehouse receipts) was 297.7 tons, a decrease of 7.3 tons from the previous period, continuing the de - stocking trend. The downstream load continued to rise, and the PTA maintenance season continued. The market showed a pattern of bearish decline with upper pressure, and then a sharp oscillation in the low - level range after an oversold rebound. The implied volatility of PTA options rose rapidly to a relatively high level. Suggest to construct a volatility - selling strategy to obtain time - value returns, such as S_TA2506P4250 [4] - Ethylene Glycol Option: As of April 14, port inventory was 77.1 tons, a decrease of 2.9 tons from the previous period; downstream factory inventory days were 13.5 days, an increase of 0.3 days. In the short term, port inventory is expected to accumulate. The market showed a pattern of short - term weak bearish large - scale oscillation with upper pressure. The implied volatility rose rapidly to a relatively high historical level. Suggest to construct a volatility - selling strategy to obtain time - value returns, such as S_EG2506P4050 [4] - Short - Fiber Option: Polyester load was 93.8%, an increase of 0.5%. Among them, filament load was 92.5%, a decrease of 2.5%; short - fiber load was 88.9%, unchanged; bottle chip load was 75.9%, unchanged. The market showed a pattern of bearish decline with upper pressure and low - level consolidation after an accelerated decline in April. The implied volatility remained at a relatively high average level. Suggest to construct a volatility - selling call + put option combination strategy to obtain time - value returns, such as S_PF2506P5800 [4] 3.2.4 Polyolefin Chemicals Sector - Polypropylene Option: PP production enterprise inventory was 61.91 tons, a week - on - week de - stocking of 2.83%, and a year - on - year stocking of 12.09%; PP trader inventory was 14.38 tons, a de - stocking of 4.26% from the previous week; PP port inventory was 7.60 tons, a de - stocking of 0.26% from the previous week. The market showed a pattern of large - scale oscillation with upper pressure and weakness. The implied volatility was fluctuating at a relatively high historical level. Suggest to construct a bearish call + put option combination strategy to obtain directional and time - value returns, adjust the position delta dynamically according to market changes, and close the position if the market rises or falls sharply, such as S_PP2506P7100 [5] - Polyethylene Option: PE production enterprise inventory was 49.7 tons, a week - on - week stocking of 3.41%, and a year - on - year stocking of 2.58%; PE trader inventory was 5.39 tons, a stocking of 4.58% from the previous week. The market showed a pattern of weak consolidation with upper pressure. The implied volatility of plastic options rose rapidly to a relatively high level. Suggest to construct a bearish directional strategy to obtain directional returns, such as B_L2506P7200 [5] - PVC Option: Factory inventory was 41.1 tons, a de - stocking of 4 tons; social inventory was 72.5 tons, a de - stocking of 2.8 tons; overall inventory was 113.6 tons, a de - stocking of 6.8 tons; the number of warehouse receipts increased. The market showed a pattern of oscillatory rebound with upper pressure. The implied volatility remained at a relatively low level. Suggest to construct a bearish directional strategy to obtain directional returns, such as B_V2506P4900 [5] 3.3 Option Data Summary - 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: Presents volume - PCR, volume - PCR changes, open interest - PCR, open interest - PCR changes, turnover - PCR, and turnover - PCR changes of various options [9] - Option Maximum Open Interest at Strike Price: Lists the pressure points, support points, maximum call open interest, and maximum put open interest of various options [10] - Option Implied Volatility: Shows implied volatility, implied volatility changes, annual averages, call implied volatility, put implied volatility, HISV - 20, and volatility differences of various options [12]