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能源化工期权策略早报-20250610
Wu Kuang Qi Huo·2025-06-10 03:48
  1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy and chemical sector includes energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. The recommended strategy is to construct option combination strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Crude Oil: The latest price of SC2507 is 479, up 6 with a 1.16% increase. Trading volume is 12.06 million lots, up 1.14 million, and open interest is 2.25 million lots, up 0.14 million [3]. - Liquefied Petroleum Gas (LPG): The latest price of PG2507 is 4,088, down 17 with a 0.41% decrease. Trading volume is 5.34 million lots, down 0.76 million, and open interest is 5.50 million lots, down 0.24 million [3]. - Methanol: The latest price of MA2509 is 2,273, up 3 with a 0.13% increase. Trading volume is 59.02 million lots, down 1.75 million, and open interest is 81.91 million lots, up 1.94 million [3]. - Ethylene Glycol: The latest price of EG2509 is 4,256, down 11 with a 0.26% decrease. Trading volume is 20.86 million lots, down 2.43 million, and open interest is 28.48 million lots, up 0.40 million [3]. - Polypropylene: The latest price of PP2509 is 6,918, down 17 with a 0.25% decrease. Trading volume is 22.95 million lots, up 0.23 million, and open interest is 51.63 million lots, down 0.15 million [3]. - Polyvinyl Chloride (PVC): The latest price of V2509 is 4,782, down 23 with a 0.48% decrease. Trading volume is 92.03 million lots, down 18.30 million, and open interest is 99.14 million lots, down 1.23 million [3]. - Plastic: The latest price of L2509 is 7,072, down 7 with a 0.10% decrease. Trading volume is 24.95 million lots, down 9.28 million, and open interest is 54.54 million lots, up 0.14 million [3]. - Styrene: The latest price of EB2507 is 7,240, up 80 with a 1.12% increase. Trading volume is 48.34 million lots, up 4.87 million, and open interest is 27.49 million lots, down 1.20 million [3]. - Rubber: The latest price of RU2509 is 13,670, up 30 with a 0.22% increase. Trading volume is 35.26 million lots, down 6.86 million, and open interest is 16.84 million lots, down 0.37 million [3]. - Synthetic Rubber: The latest price of BR2507 is 11,225, down 10 with a 0.09% decrease. Trading volume is 10.41 million lots, down 5.54 million, and open interest is 2.30 million lots, down 0.19 million [3]. - Para - xylene: The latest price of PX2509 is 6,486, down 54 with a 0.83% decrease. Trading volume is 27.81 million lots, up 2.11 million, and open interest is 13.83 million lots, up 0.01 million [3]. - Purified Terephthalic Acid (PTA): The latest price of TA2509 is 4,602, down 36 with a 0.78% decrease. Trading volume is 128.77 million lots, up 0.38 million, and open interest is 122.53 million lots, up 1.63 million [3]. - Short - fiber: The latest price of PF2508 is 6,294, down 44 with a 0.69% decrease. Trading volume is 9.83 million lots, up 3.78 million, and open interest is 10.57 million lots, up 1.99 million [3]. - Bottle Chip: The latest price of PR2508 is 5,830, down 46 with a 0.78% decrease. Trading volume is 1.62 million lots, up 0.21 million, and open interest is 1.64 million lots, up 0.04 million [3]. - Caustic Soda: The latest price of SH2508 is 2,337, down 13 with a 0.55% decrease. Trading volume is 3.42 million lots, up 0.22 million, and open interest is 2.02 million lots, up 0.42 million [3]. - Soda Ash: The latest price of SA2509 is 1,195, down 18 with a 1.48% decrease. Trading volume is 174.66 million lots, up 7.84 million, and open interest is 151.34 million lots, up 11.76 million [3]. - Urea: The latest price of UR2509 is 1,697, down 31 with a 1.79% decrease. Trading volume is 27.55 million lots, up 7.93 million, and open interest is 26.59 million lots, up 2.11 million [3]. 3.2 Option Factors - Volume and Open Interest PCR - Different option varieties have different volume and open interest PCR values and their changes, which are used to describe the strength of the option underlying market and the turning point of the underlying market [4]. 3.3 Option Factors - Pressure and Support Levels - Each option variety has corresponding pressure and support levels, which are determined by the strike prices of the maximum open interest of call and put options [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of each option variety includes at - the - money implied volatility, weighted implied volatility, and their changes, as well as the difference between implied and historical volatility [6]. 3.5 Strategy and Recommendations 3.5.1 Energy - related Options (Crude Oil) - Fundamentals: US non - SPR oil inventory is 1.235 billion barrels, up from last week. European crude and refined product inventories are down year - on - year [7]. - Market Analysis: Since May, crude oil has shown a short - term bullish upward trend with resistance [7]. - Option Factor Research: Implied volatility is at a relatively high historical level. The open interest PCR is around 1.00, indicating a balanced game between bulls and bears. The pressure level is 570 and the support level is 400 [7]. - Strategies: No directional strategy. For volatility, construct a neutral short call + put option combination. For spot hedging, use a long collar strategy [7]. 3.5.2 Energy - related Options (LPG) - Fundamentals: International LPG prices are moving down. Domestic production is increasing, and imports are concentrated. Inventory in South China has increased [9]. - Market Analysis: Since April, LPG has shown a weak bearish trend [9]. - Option Factor Research: Implied volatility is around the historical average. The open interest PCR is below 0.80, indicating a weak market. The pressure level is 4500 and the support level is 3800 [9]. - Strategies: No directional strategy. For volatility, construct a bearish short call + put option combination. For spot hedging, use a long collar strategy [9]. 3.5.3 Alcohol - related Options (Methanol) - Fundamentals: Port demand is weak, and inventory has accumulated. Some plants have undergone maintenance and restart [9]. - Market Analysis: Since January, methanol has shown a weak bearish trend with a recent rebound [9]. - Option Factor Research: Implied volatility is around the historical average. The open interest PCR is around 1.00, indicating weakening bearish pressure. The pressure level is 2500 and the support level is 1975 [9]. - Strategies: No directional strategy. For volatility, construct a neutral short call + put option combination. For spot hedging, use a long collar strategy [9]. 3.5.4 Alcohol - related Options (Ethylene Glycol) - Fundamentals: The spot contract price has moved down, and inventory has increased [10]. - Market Analysis: Since May, ethylene glycol has shown a short - term bullish trend followed by a decline [10]. - Option Factor Research: Implied volatility is at a relatively high historical level. The open interest PCR is around 1.00, indicating a strong - side consolidation. The pressure level is 4500 and the support level is 4300 [10]. - Strategies: No directional strategy. For volatility, construct a short - volatility strategy. For spot hedging, use a long collar strategy [10]. 3.5.5 Polyolefin - related Options (Polypropylene) - Fundamentals: Domestic production capacity is increasing, and there is a supply - demand contradiction [10]. - Market Analysis: Since May, polypropylene has shown a bearish trend [10]. - Option Factor Research: Implied volatility is above the historical average. The open interest PCR is below 1.00. The pressure level is 7500 and the support level is 6800 [10]. - Strategies: For direction, construct a bearish put spread. For spot hedging, use a long collar strategy [10]. 3.5.6 Rubber - related Options - Fundamentals: Qingdao's rubber inventory is down [11]. - Market Analysis: Rubber has shown a bearish downward trend with a low - level rebound [11]. - Option Factor Research: The open interest PCR is below 0.60. The pressure level is 21000 and the support level is 13500 [11]. - Strategies: For direction, construct a bearish put spread. For volatility, construct a bearish short call + put option combination [11]. 3.5.7 Polyester - related Options (PTA) - Fundamentals: PX and PTA production and operating rates are up, and PTA inventory is down [12]. - Market Analysis: Since April, PTA has shown a high - level consolidation with a decline [12]. - Option Factor Research: Implied volatility is at a relatively high historical level. The open interest PCR is above 1.00, indicating a strengthening market. The pressure level is 5000 and the support level is 3800 [12]. - Strategies: No directional strategy. For volatility, construct a neutral short call + put option combination [12]. 3.5.8 Alkali - related Options (Caustic Soda) - Fundamentals: Supply pressure is high, and new production capacity is expected [13]. - Market Analysis: After a bearish decline, caustic soda has shown a rebound followed by a decline [13]. - Option Factor Research: Implied volatility is below the average. The open interest PCR is below 0.60, indicating a weak market. The pressure level is 2520 and the support level is 2320 [13]. - Strategies: For direction, construct a bearish put spread. For volatility, construct a bearish short strangle. For spot hedging, use a covered call strategy [13]. 3.5.9 Alkali - related Options (Soda Ash) - Fundamentals: Production and capacity utilization are up, and inventory is slightly up [13]. - Market Analysis: Soda ash has shown a weak bearish trend [13]. - Option Factor Research: Implied volatility is below the historical average. The open interest PCR is below 0.50, indicating a weak consolidation. The pressure level is 1400 and the support level is 1180 [13]. - Strategies: For direction, construct a bearish put spread. For volatility, construct a bearish short call + put option combination. For spot hedging, use a long collar strategy [13]. 3.5.10 Urea - related Options - Fundamentals: Supply pressure is high, and demand is weakening [14]. - Market Analysis: Since May, urea has shown an inverted "V" shape [14]. - Option Factor Research: Implied volatility is below the historical average. The open interest PCR is above 1.00. The pressure level is 1900 and the support level is 1700 [14]. - Strategies: For direction, construct a bearish put spread. For volatility, construct a bearish short call + put option combination. For spot hedging, use a long collar strategy [14].