Group 1: Report Summary - The report is an energy and chemical options strategy morning report, covering energy (crude oil, LPG), polyolefins (PP, PVC, plastic, styrene), polyesters (PX, PTA, short - fiber, bottle chips), alkali chemicals (caustic soda, soda ash), and other energy - chemical products like rubber [2] - The recommended strategy is to construct an option portfolio strategy mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2] Group 2: Underlying Futures Market Overview - Information on the latest price, price change, price change rate, trading volume, volume change, open interest, and open interest change of various option underlying futures contracts is provided, such as crude oil (SC2509), LPG (PG2509), etc [3] Group 3: Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of different option varieties are presented, along with their changes, which are used to describe the strength of the option underlying market and whether the underlying market has a turning point [4] Group 4: Option Factor - Pressure and Support Levels - The pressure points, support points, and their offsets of different option underlying are analyzed from the perspective of the strike prices with the largest open interest of call and put options [5] Group 5: Option Factor - Implied Volatility - The at - the - money implied volatility, weighted implied volatility, its change, annual average, call implied volatility, put implied volatility, historical 20 - day volatility, and the difference between implied and historical volatility of various options are provided [6] Group 6: Strategy and Recommendations for Different Option Varieties Energy - related Options - Crude Oil Options - Fundamental analysis shows that OPEC + increased oil supply in July, and US shale oil production has recovered. The market has shown short - term weakness recently. - Option factor research indicates that the implied volatility is near the average, the open interest PCR is below 0.8, the pressure level is 660, and the support level is 500. - Strategies include constructing a short - neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [7] - LPG Options - Fundamentally, global supply differences are decreasing, and the demand side has uncertainties. The market shows short - term bearishness. - Option factors show that the implied volatility is near the average, the open interest PCR is below 0.6, the pressure level is 5100, and the support level is 4000. - Strategies include constructing a short - neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9] Alcohol - related Options - Methanol Options - Fundamentally, domestic methanol production is expected to increase after maintenance, and port inventory is rising. The market shows short - term narrow - range fluctuations. - Option factors show that the implied volatility is below the average, the open interest PCR is around 0.8, the pressure level is 2950, and the support level is 2200. - Strategies include constructing a short - neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9] - Ethylene Glycol Options - Fundamentally, port inventory is rising, and the destocking process will slow down. The market shows weak and bearish fluctuations with upper pressure. - Option factors show that the implied volatility is near the average, the open interest PCR is around 0.7, the pressure level is 4350, and the support level is 4300. - Strategies include constructing a short - volatility strategy for volatility, and a long collar strategy for spot hedging [10] Polyolefin - related Options - Polypropylene Options - Fundamentally, PP trader inventory is increasing, and port inventory is decreasing. The market shows a weak trend with upper bearish pressure. - Option factors show that the implied volatility is near the average, the open interest PCR is below 0.8, the pressure level is 7500, and the support level is 6800. - Strategies include a long collar strategy for spot hedging [10] Rubber - related Options - Rubber Options - Fundamentally, the natural rubber market price has rebounded, but downstream demand has no obvious change. The market shows low - level consolidation. - Option factors show that the implied volatility is near the average, the open interest PCR is below 0.6, the pressure level is 15000, and the support level is 13000. - Strategies include constructing a short - neutral call + put option combination strategy for volatility [11] Polyester - related Options - PTA Options - Fundamentally, the PTA maintenance season is over, and the load is high. The market shows a weak trend with upper pressure. - Option factors show that the implied volatility is near the average, the open interest PCR is below 0.8, the pressure level is 5000, and the support level is 3800. - Strategies include constructing a short - neutral call + put option combination strategy for volatility [11] Alkali - related Options - Caustic Soda Options - Fundamentally, the average utilization rate of caustic soda production capacity has slightly decreased. The market shows a short - term bullish trend. - Option factors show that the implied volatility is near the average, the open interest PCR is around 0.8, the pressure level is 3400, and the support level is 2200. - Strategies include a long collar strategy for spot hedging [12] - Soda Ash Options - Fundamentally, the total inventory of soda ash manufacturers is increasing, and enterprise shipments are slowing down. The market shows a weak and bearish trend with low - level consolidation. - Option factors show that the implied volatility is near the average, the open interest PCR is below 0.5, the pressure level is 2080, and the support level is 1100. - Strategies include constructing a bear - spread strategy for direction, a short - bearish call + put option combination strategy for volatility, and a long collar strategy for spot hedging [12] Urea Options - Fundamentally, the supply - demand difference has decreased, and the enterprise inventory has declined. The market shows fluctuations under bearish pressure. - Option factors show that the implied volatility is below the average, the open interest PCR is below 0.8, the pressure level is 1900, and the support level is 1700. - Strategies include constructing a short - neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [13]
能源化工期权策略早报-20250715
Wu Kuang Qi Huo·2025-07-15 06:43