能源化工期权策略早报-20250516

Report Information - Report Title: Energy and Chemical Options Strategy Morning Report [1] - Report Date: May 16, 2025 - Research Analysts: Lu Pinxian, Huang Kehan Investment Rating - No investment rating for the industry is provided in the report. Core Viewpoints - The energy and chemical sector includes energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies mainly involve constructing option portfolios with a focus on sellers, as well as spot hedging or covered strategies to enhance returns [2][8]. Summary by Relevant Catalogs 1. Market Overview of Underlying Futures - Various energy and chemical option underlying futures contracts are presented, including details such as the latest price, price change, percentage change, trading volume, volume change, open interest, and open interest change. For example, the latest price of crude oil (SC2507) is 462, with a decrease of 10 and a decline rate of 2.14% [3]. 2. Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different option varieties are provided, which are used to describe the strength of the option underlying market and the turning point of the market. For instance, the volume PCR of crude oil is 1.22, and the open interest PCR is 0.77 [4]. 3. Option Factors - Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support levels of option underlyings are analyzed. For example, the pressure level of crude oil is 560, and the support level is 400 [5]. 4. Option Factors - Implied Volatility - The implied volatility of options is presented, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of crude oil is 31.63%, and the weighted implied volatility is 34.36% [6]. 5. Strategy and Recommendations for Different Option Varieties Energy - Related Options - Crude Oil: The fundamental situation involves OPEC + increasing supply and the US maintaining production cuts. The market shows a pattern of short - term recovery followed by a decline. Implied volatility is at a relatively high level, and the open interest PCR indicates the release of short - selling power. Strategies include constructing a neutral call + put option combination for volatility, and a long collar strategy for spot hedging [7]. - LPG: The fundamental situation is that the cost of imported gas from the Middle East supports domestic prices. The market is in a weak, bearish state. Implied volatility fluctuates around the historical average, and the open interest PCR indicates a weak market. Strategies include constructing a bearish call + put option combination for volatility, and a long collar strategy for spot hedging [9]. Alcohol - Related Options - Methanol: The fundamental situation is that port and enterprise inventories have increased, and downstream demand has weakened. The market shows a recent upward trend. Implied volatility is declining and fluctuating around the historical average, and the open interest PCR indicates support. Strategies include constructing a bullish call spread for direction, a bullish call + put option combination for volatility, and a long collar strategy for spot hedging [9]. - Ethylene Glycol: The fundamental situation is that port inventories are expected to decrease. The market shows a short - term bullish trend. Implied volatility is at a relatively high level, and the open interest PCR indicates a strong, oscillating market. Strategies include constructing a bullish call spread for direction, a short - volatility strategy for volatility, and a long collar strategy for spot hedging [10]. Polyolefin - Related Options - Polypropylene: The fundamental situation is that the inventories of production enterprises and traders have increased. The market shows a recent upward trend. Implied volatility fluctuates above the historical average, and the open interest PCR is above 1. Strategies include constructing a bullish call spread for direction, and a long collar strategy for spot hedging [10]. Rubber - Related Options - Rubber: The fundamental situation is that the import volume has increased, and the capacity utilization rate of tire enterprises has decreased. The market shows a short - term bullish trend. Implied volatility fluctuates around the average, and the open interest PCR is below 0.6. Strategies include constructing a bullish call spread for direction, a bullish call + put option combination for volatility [11]. Polyester - Related Options - PTA: The fundamental situation is that polyester load has increased, and PTA inventory is decreasing. The market shows a bullish trend. Implied volatility is at a relatively high level, and the open interest PCR indicates a strengthening market. Strategies include constructing a bullish call spread for direction, and a bullish call + put option combination for volatility [12]. Other Options - Caustic Soda: The fundamental situation is that factory inventories and the start - up rate have changed. The market is in a weak, oscillating state. Implied volatility is decreasing and below the average, and the open interest PCR indicates a weak market. Strategies include constructing a bearish wide - straddle option combination for volatility, and a covered call strategy for spot hedging [13]. - Soda Ash: The fundamental situation is that domestic production has decreased. The market shows a recent bearish trend. Implied volatility is rising but below the historical average, and the open interest PCR indicates a weak, oscillating market. Strategies include constructing a bearish call spread for direction, a neutral call + put option combination for volatility, and a long collar strategy for spot hedging [13]. - Urea: The fundamental situation is that production capacity utilization has rebounded, and inventories have changed. The market shows a recent bullish trend. Implied volatility has decreased and is below the average, and the open interest PCR indicates strong bullish power. Strategies include constructing a bullish call spread for direction, a bullish call + put option combination for volatility, and a long collar strategy for spot hedging [14].