能源化工期权策略早报-20250522

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies mainly focus on building option combinations based on different varieties' fundamentals and market trends to enhance returns and hedge risks [2][8]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest changes of various energy - chemical futures are presented, such as the latest price of crude oil futures SC2507 being 463, down 5 with a decline of 1.09%, trading volume of 155,000 lots, and open interest of 29,100 lots [3]. 3.2 Option Factor Analysis 3.2.1 Volume - Open Interest PCR - The volume and open - interest PCR of various energy - chemical options are provided, along with their changes. For example, the volume PCR of crude oil options is 0.80, an increase of 0.05; the open - interest PCR is 0.81, an increase of 0.06 [4]. 3.2.2 Pressure and Support Levels - The pressure and support levels of various energy - chemical options are analyzed from the perspective of the maximum open interest of call and put options. For instance, the pressure level of crude oil is 570, and the support level is 400 [5]. 3.2.3 Implied Volatility - The implied volatility data of various energy - chemical options are presented, including at - the - money implied volatility, volume - weighted implied volatility, and its changes. For example, the at - the - money implied volatility of crude oil is 28.845%, and the volume - weighted implied volatility is 31.90%, an increase of 0.18% [6]. 3.3 Strategy and Recommendations 3.3.1 Energy - Related Options - Fundamentals and Market Analysis: OPEC+ plans to increase supply, but actual exports have not significantly increased. US shale oil production has rebounded. Crude oil prices have shown a pattern of short - term recovery followed by a decline [7]. - Option Factor Research: Implied volatility is at a relatively high level, and the open - interest PCR is below 0.80, indicating a release of short - term bearish forces. The pressure level is 570, and the support level is 400 [7]. - Option Strategies: Construct a neutral short - call + short - put option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [7]. 3.3.2 Liquefied Petroleum Gas (LPG) Options - Fundamentals and Market Analysis: Saudi CP expectations for propane and butane in June and July are rising. LPG prices have been in a wide - range rectangular shock and are gradually weakening [9]. - Option Factor Research: Implied volatility fluctuates around the historical average, and the open - interest PCR is around 0.80, indicating a weak market. The pressure level is 4600, and the support level is 3900 [9]. - Option Strategies: Build a short - biased put + call option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [9]. 3.3.3 Methanol Options - Fundamentals and Market Analysis: Port inventories are decreasing, and enterprise inventories are increasing. Methanol prices have shown a pattern of recent increase followed by a decline [9]. - Option Factor Research: Implied volatility fluctuates around the historical average, and the open - interest PCR is above 1.00, indicating support below. The pressure level is 2950, and the support level is 2050 [9]. - Option Strategies: Construct a bull - spread strategy for call options, a neutral short - call + short - put option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [9]. 3.3.4 Ethylene Glycol Options - Fundamentals and Market Analysis: Port inventories are decreasing, and the market is in a de - stocking pattern. Ethylene glycol prices have shown a short - term bullish trend [10]. - Option Factor Research: Implied volatility is at a relatively high level, and the open - interest PCR is around 1.00, indicating a strong shock. The pressure level is 4700, and the support level is 4400 [10]. - Option Strategies: Construct a bull - spread strategy for call options, a short - volatility strategy, and a long - collar strategy for spot long - position hedging [10]. 3.3.5 Polypropylene (PP) Options - Fundamentals and Market Analysis: PP production enterprise inventories are decreasing, and trade inventories are increasing. PP prices have shown a pattern of recent increase followed by a decline [10]. - Option Factor Research: Implied volatility fluctuates above the historical average, and the open - interest PCR is below 1.00. The pressure level is 7500, and the support level is 6800 [10]. - Option Strategies: Construct a bull - spread strategy for call options and a long - collar strategy for spot long - position hedging [10]. 3.3.6 Rubber Options - Fundamentals and Market Analysis: Natural rubber inventories are slightly increasing. Rubber prices have shown a pattern of recent increase followed by a decline [11]. - Option Factor Research: Implied volatility fluctuates around the average, and the open - interest PCR is below 0.60. The pressure level is 21000, and the support level is 13500 [11]. - Option Strategies: Construct a bull - spread strategy for call options and a neutral short - call + short - put option combination strategy for volatility [11]. 3.3.7 PTA Options - Fundamentals and Market Analysis: PTA and polyester loads are increasing. PTA prices have shown a bullish trend and high - level shock [12]. - Option Factor Research: Implied volatility is at a relatively high level, and the open - interest PCR is above 1.00, indicating a strengthening market. The pressure level is 5000, and the support level is 3800 [12]. - Option Strategies: Construct a bull - spread strategy for call options and a long - biased short - call + short - put option combination strategy for volatility [12]. 3.3.8 Caustic Soda Options - Fundamentals and Market Analysis: Downstream alumina production cuts are expanding, and caustic soda inventories are increasing. Caustic soda prices have shown a short - term shock [13]. - Option Factor Research: Implied volatility is decreasing, and the open - interest PCR is below 0.60, indicating a weak market. The pressure level is 2600, and the support level is 2400 [13]. - Option Strategies: Construct a short - strangle option combination strategy for volatility and a covered - call strategy for spot long - position hedging [13]. 3.3.9 Soda Ash Options - Fundamentals and Market Analysis: Soda ash production and inventories are increasing, and glass production is low. Soda ash prices have shown a weak bearish trend [13]. - Option Factor Research: Implied volatility is at a relatively high level, and the open - interest PCR is below 0.50, indicating a weak shock. The pressure level is 1400, and the support level is 1220 [13]. - Option Strategies: Construct a bear - spread strategy for put options, a neutral short - call + short - put option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [13]. 3.3.10 Urea Options - Fundamentals and Market Analysis: Urea enterprise inventories are decreasing, and pre - orders are increasing. Urea prices have shown a pattern of increase followed by a shock [14]. - Option Factor Research: Implied volatility is at a relatively low level, and the open - interest PCR is above 1.00, indicating a strong bullish force. The pressure level is 1960, and the support level is 1700 [14]. - Option Strategies: Construct a bull - spread strategy for call options, a neutral short - call + short - put option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [14].