能源化工期权策略早报-20250709

Report Overview - Report Title: Energy Chemical Options Strategy Morning Report [2] - Date: July 9, 2025 - Scope: Energy chemicals, including energy (crude oil, LPG), polyolefins (PP, PVC, etc.), polyesters (PX, PTA, etc.), alkali chemicals (caustic soda, soda ash), and others (rubber) [3] - Strategy: Construct option portfolio strategies mainly as sellers, and spot hedging or covered strategies to enhance returns [3] 1. Market Overview of Underlying Futures - Multiple energy chemical futures are presented, including details such as latest price, change, change rate, trading volume, and open interest. For example, crude oil (SC2508) is priced at 512, up 11 with a 2.13% increase, trading volume of 13.35 million lots, and open interest of 2.63 million lots [4]. 2. Option Factors 2.1 Quantity and Open Interest PCR - For various options, their quantity PCR and open - interest PCR are given, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the quantity PCR of crude oil options is 0.72, with a change of 0.07, and the open - interest PCR is 0.60, with a change of - 0.02 [5]. 2.2 Pressure and Support Levels - Pressure and support levels of each option underlying are analyzed from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure level of crude oil is 660 and the support level is 450 [6]. 2.3 Implied Volatility - Implied volatility data of options are provided, including at - the - money implied volatility, weighted implied volatility, and its change, etc. For example, the at - the - money implied volatility of crude oil options is 26.515, and the weighted implied volatility is 34.07, down 1.05 [7]. 3. Strategy and Recommendations 3.1 Energy - related Options Crude Oil - Fundamental analysis: U.S. crude oil inventories and production data are presented. The market shows a short - term weak trend. - Option factor research: Implied volatility remains at a relatively high historical level, and the open - interest PCR below 0.80 indicates increasing short - selling power. - Strategy: Construct a short - neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [8]. LPG - Fundamental analysis: Geopolitical factors and cost changes affect the market. It shows a short - term bearish trend. - Option factor research: Implied volatility fluctuates slightly above the historical average, and the open - interest PCR below 0.60 indicates increasing short - selling power. - Strategy: Similar to crude oil, construct a short - neutral option combination strategy and a long collar strategy for spot hedging [10]. 3.2 Alcohol - related Options Methanol - Fundamental analysis: Port inventory and MTO device utilization data are provided. The market shows short - term narrow - range fluctuations. - Option factor research: Implied volatility is at a relatively high historical average, and the open - interest PCR around 0.90 indicates a volatile market. - Strategy: Construct a short - neutral option combination strategy and a long collar strategy for spot hedging [10]. Ethylene Glycol - Fundamental analysis: Market price and supply - demand expectations are considered. The market shows a weak and bearish oscillating pattern. - Option factor research: Implied volatility fluctuates around the historical average, and the open - interest PCR around 0.70 indicates a weak trend. - Strategy: Construct a short - volatility strategy and a long collar strategy for spot hedging [11]. 3.3 Polyolefin - related Options Polypropylene - Fundamental analysis: Production volume and new device data are presented. The market shows a weak pattern with overhead pressure. - Option factor research: Implied volatility fluctuates around the historical average, and the decreasing open - interest PCR below 0.80 indicates a weakening trend. - Strategy: For spot hedging, hold a long spot position + buy an at - the - money put option + sell an out - of - the - money call option [11]. 3.4 Rubber - related Options Rubber - Fundamental analysis: Exchange inventory data are provided. The market shows a low - level consolidation pattern. - Option factor research: Implied volatility fluctuates around the average, and the open - interest PCR below 0.60 indicates short - selling power. - Strategy: Construct a short - neutral option combination strategy [12]. 3.5 Polyester - related Options PTA - Fundamental analysis: Inventory data show a de - stocking trend. The market shows a highly volatile pattern. - Option factor research: Implied volatility remains at a relatively high historical level, and the open - interest PCR around 0.90 indicates a weakening trend. - Strategy: Construct a short - neutral option combination strategy [13]. 3.6 Alkali - related Options Caustic Soda - Fundamental analysis: Inventory and profit data are provided. The market shows a trend of first falling and then rebounding. - Option factor research: Implied volatility is decreasing and fluctuating around the average, and the open - interest PCR is 0.69. - Strategy: Construct a bearish put spread strategy for direction and a covered call strategy for spot hedging [14]. Soda Ash - Fundamental analysis: Supply - demand and market sentiment data are considered. The market shows a weak and bearish low - level consolidation pattern. - Option factor research: Implied volatility fluctuates around the historical average, and the open - interest PCR below 0.50 indicates a weak and oscillating market. - Strategy: Construct a bearish put spread strategy, a short - bearish option combination strategy, and a long collar strategy for spot hedging [14]. 3.7 Urea Options - Fundamental analysis: Supply - demand difference and inventory data are presented. The market shows an oscillating pattern under bearish pressure. - Option factor research: Implied volatility fluctuates slightly below the historical average, and the open - interest PCR below 0.80 indicates a weakening trend. - Strategy: Construct a short - neutral option combination strategy and a spot hedging strategy [15]