能源化工期权策略早报-20250612

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The energy and chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [8]. - Strategies suggest constructing 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 - Various energy and chemical futures showed different price movements, volume changes, and open - interest changes. For example, crude oil (SC2508) had a latest price of 476, a rise of 1, and a volume of 2.69 million lots with a decrease of 0.52 million lots compared to the previous period [3]. 3.2 Option Factors - Volume and Open - Interest PCR - PCR indicators were used to describe the strength of the option underlying market and the turning points. For instance, the open - interest PCR of crude oil was 1.20, indicating an increase in the long - side strength [4]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels were determined from the strike prices of the maximum open - interest of call and put options. For example, the pressure level of crude oil was 570 and the support level was 400 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility was calculated using different methods. For example, the weighted implied volatility of crude oil was 28.09% with a decrease of 1.08% [6]. 3.5 Strategy and Recommendations for Each Option Type - Energy - related Options (Crude Oil): Based on fundamental and technical analysis, strategies included constructing a short - neutral call + put option combination strategy and a long - collar strategy for spot hedging [7]. - LPG Options: With a weak - bearish market, strategies involved constructing a short - bearish call + put option combination strategy and a long - collar strategy for spot hedging [9]. - Alcohol - related Options (Methanol and Ethylene Glycol): Strategies included constructing short - neutral or short - volatility option combination strategies and long - collar strategies for spot hedging [9][10]. - Polyolefin - related Options (Polypropylene, etc.): Strategies included constructing a bear - spread strategy for put options and long - collar strategies for spot hedging [10]. - Rubber Options: Strategies included constructing a bear - spread strategy for put options and a short - bearish call + put option combination strategy [11]. - Polyester - related Options (PTA, etc.): Strategies included constructing a short - neutral call + put option combination strategy [12]. - Alkali - related Options (Caustic Soda and Soda Ash): Strategies included constructing bear - spread strategies for put options, short - bearish option combination strategies, and long - collar or covered - call strategies for spot hedging [13]. - Urea Options: Strategies included constructing a bear - spread strategy for put options, a short - bearish call + put option combination strategy, and a long - collar strategy for spot hedging [14].