能源化工期权策略早报-20250624

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy - chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies suggest constructing option portfolios mainly as sellers and spot hedging or covered strategies to enhance returns [3][9]. 3. Summary According to Related Catalogs 3.1 Futures Market Overview - Crude Oil: The latest price of SC2508 is 538, down 32 (-5.65%), with a trading volume of 42.27 million lots (-3.28 million lots) and an open interest of 4.37 million lots (+0.24 million lots) [4]. - Liquefied Petroleum Gas (LPG): The latest price of PG2508 is 4,445, down 83 (-1.83%), with a trading volume of 10.36 million lots (+1.97 million lots) and an open interest of 7.67 million lots (+0.31 million lots) [4]. - Methanol: The latest price of MA2509 is 2,469, down 43 (-1.71%), with a trading volume of 249.70 million lots (+49.39 million lots) and an open interest of 99.35 million lots (+10.88 million lots) [4]. - Ethylene Glycol: The latest price of EG2509 is 4,454, down 50 (-1.11%), with a trading volume of 30.28 million lots (+1.85 million lots) and an open interest of 29.92 million lots (-0.64 million lots) [4]. - Polypropylene: The latest price of PP2509 is 7,242, up 5 (0.07%), with a trading volume of 38.71 million lots (+1.15 million lots) and an open interest of 48.85 million lots (-0.64 million lots) [4]. - Polyvinyl Chloride: The latest price of V2509 is 4,895, down 12 (-0.24%), with a trading volume of 99.22 million lots (-6.39 million lots) and an open interest of 96.92 million lots (+1.61 million lots) [4]. - Plastic: The latest price of L2509 is 7,428, up 6 (0.08%), with a trading volume of 42.18 million lots (+0.76 million lots) and an open interest of 47.73 million lots (-0.72 million lots) [4]. - Styrene: The latest price of EB2508 is 7,486, down 109 (-1.44%), with a trading volume of 32.35 million lots (+6.79 million lots) and an open interest of 24.62 million lots (+2.03 million lots) [4]. - Rubber: The latest price of RU2509 is 13,835, down 50 (-0.36%), with a trading volume of 42.59 million lots (+3.64 million lots) and an open interest of 15.64 million lots (+0.10 million lots) [4]. - Synthetic Rubber: The latest price of BR2508 is 11,440, down 25 (-0.22%), with a trading volume of 8.14 million lots (+0.08 million lots) and an open interest of 5.82 million lots (-0.04 million lots) [4]. - Para - xylene: The latest price of PX2509 is 7,076, down 8 (-0.11%), with a trading volume of 34.96 million lots (-10.63 million lots) and an open interest of 13.80 million lots (+0.16 million lots) [4]. - Purified Terephthalic Acid (PTA): The latest price of TA2509 is 4,986, up 2 (0.04%), with a trading volume of 144.17 million lots (-23.43 million lots) and an open interest of 129.15 million lots (+0.77 million lots) [4]. - Short - fiber: The latest price of PF2508 is 6,796, down 12 (-0.18%), with a trading volume of 17.87 million lots (-3.13 million lots) and an open interest of 14.70 million lots (-0.95 million lots) [4]. - Bottle Chip: The latest price of PR2508 is 6,232, down 10 (-0.16%), with a trading volume of 1.32 million lots (-0.60 million lots) and an open interest of 1.63 million lots (-0.08 million lots) [4]. - Caustic Soda: The latest price of SH2508 is 2,276, up 20 (0.89%), with a trading volume of 2.32 million lots (-0.65 million lots) and an open interest of 2.56 million lots (+0.05 million lots) [4]. - Soda Ash: The latest price of SA2509 is 1,170, up 2 (0.17%), with a trading volume of 105.53 million lots (-40.92 million lots) and an open interest of 148.48 million lots (+1.67 million lots) [4]. - Urea: The latest price of UR2509 is 1,711, down 35 (-2.00%), with a trading volume of 26.97 million lots (-13.60 million lots) and an open interest of 23.32 million lots (+0.77 million lots) [4]. 3.2 Option Factors - Volume and Open Interest PCR - Different option varieties have different volume and open interest PCR values and their changes, which can be used to describe the strength of the option underlying market and the turning point of the market [5]. 3.3 Option Factors - Pressure and Support Levels - Each option variety has corresponding pressure and support levels determined from the strike prices of the maximum open interest of call and put options [6]. 3.4 Option Factors - Implied Volatility - Different option varieties have different implied volatility values, including at - the - money implied volatility, weighted implied volatility, and their changes, as well as the difference between implied and historical volatility [7]. 3.5 Option Strategies and Recommendations 3.5.1 Energy - related Options - Crude Oil: - Fundamentals: OPEC + plans to increase supply, and US shale oil production shows signs of recovery [8]. - Market Analysis: The price has fluctuated since May, with a significant decline at night [8]. - Option Factors: Implied volatility is at a relatively high historical level, and the open interest PCR indicates strong bullish power. The pressure level is 610, and the support level is 450 [8]. - Strategies: Construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [8]. - LPG: - Fundamentals: Due to the Iran - Israel conflict, the energy sector is strong, and Iranian LPG exports may decrease [10]. - Market Analysis: After a decline since April, it rebounded in June and then fell back [10]. - Option Factors: Implied volatility fluctuates around a relatively high historical average, and the open interest PCR indicates a short - term bullish trend. The pressure level is 5100, and the support level is 4000 [10]. - Strategies: Construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [10]. 3.5.2 Alcohol - related Options - Methanol: - Fundamentals: Port and enterprise inventories are decreasing, and low - inventory de - stocking drives changes in basis and spreads [10]. - Market Analysis: After a long - term decline, it rebounded in June and then fell back [10]. - Option Factors: Implied volatility is at a relatively high historical average, and the open interest PCR indicates an increase in short - term bullish power. The pressure level is 2950, and the support level is 2200 [10]. - Strategies: Construct a short - bullish call + put option combination strategy and a long collar strategy for spot hedging [10]. - Ethylene Glycol: - Fundamentals: Port inventory is decreasing, and the domestic maintenance season is ending [11]. - Market Analysis: It rebounded in May and then fluctuated in June [11]. - Option Factors: Implied volatility is rising and at a relatively high historical level, and the open interest PCR indicates a strong - side oscillation. The pressure level is 4500, and the support level is 4350 [11]. - Strategies: Construct a short - volatility strategy and a long + put + short - call option strategy for spot hedging [11]. 3.5.3 Polyolefin - related Options - Polypropylene: - Fundamentals: Downstream开工率 is low, and inventories are accumulating [11]. - Market Analysis: It rebounded in June after a decline [11]. - Option Factors: Implied volatility fluctuates above the historical average, and the open interest PCR is falling below 1. The pressure level is 7500, and the support level is 6800 [11]. - Strategies: Construct a bull - spread call option strategy and a long + put + short - call option strategy for spot hedging [11]. 3.5.4 Rubber - related Options - Rubber: - Fundamentals: Qingdao general trade inventory is slightly accumulating [12]. - Market Analysis: It has been in a weak oscillation, with a short - term rebound [12]. - Option Factors: Implied volatility fluctuates around the average, and the open interest PCR is below 0.6. The pressure level is 21000, and the support level is 13000 [12]. - Strategies: Construct a neutral short call + put option combination strategy [12]. 3.5.5 Polyester - related Options - PTA and related products: - Fundamentals: PTA industry inventory is decreasing slightly [13]. - Market Analysis: It has been in a high - level oscillation and rebounded [13]. - Option Factors: Implied volatility is at a relatively high historical level, and the open interest PCR indicates a strengthening trend. The pressure level is 5000, and the support level is 3800 [13]. - Strategies: Construct a neutral short call + put option combination strategy [13]. 3.5.6 Alkali - related Options - Caustic Soda: - Fundamentals: Chlor - alkali plant inventory is decreasing, but the future supply - demand pattern may weaken [14]. - Market Analysis: It has been in a downward trend since June [14]. - Option Factors: Implied volatility is decreasing, and the open interest PCR indicates a weak market. The pressure level is 2400, and the support level is 2040 [14]. - Strategies: Construct a bear - spread put option strategy, a short - bearish wide - straddle option combination strategy, and a covered spot hedging strategy [14]. - Soda Ash: - Fundamentals: Production and sales have improved slightly, but the market is still weak [14]. - Market Analysis: It has been in a downward trend and is oscillating at a low level [14]. - Option Factors: Implied volatility is rising but below the historical average, and the open interest PCR indicates a weak oscillation. The pressure level is 1300, and the support level is 1100 [14]. - Strategies: Construct a bear - spread put option strategy, a short - bearish call + put option combination strategy, and a long collar strategy for spot hedging [14]. 3.5.7 Urea Options - Fundamentals: Domestic enterprise inventory is decreasing, and port inventory is increasing [15]. - Market Analysis: It rebounded in May and then declined in June [15]. - Option Factors: Implied volatility fluctuates below the historical average, and the open interest PCR indicates a strengthening trend. The pressure level is 1900, and the support level is 1700 [15]. - Strategies: Construct a neutral short call + put option combination strategy and a long + put + short - call option strategy for spot hedging [15].