能源化工期权策略早报-20250717

Group 1: Report Overview - The report is an energy and chemical options strategy morning report dated July 17, 2025, covering various energy and chemical options including energy, polyolefins, polyesters, alkali chemicals, etc [2][3] - The recommended strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [3] Group 2: Underlying Futures Market Overview - The report provides the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of multiple underlying futures contracts such as crude oil, liquefied petroleum gas (LPG), methanol, etc [4] Group 3: Option Factor - Volume and Open Interest PCR - The report presents the volume and open interest PCR data of various options, along with their changes, which are used to describe the strength of the underlying option market and the turning point of the market [5] Group 4: Option Factor - Pressure and Support Levels - The pressure and support levels of various options are analyzed based on the strike prices with the largest open interest of call and put options [6] Group 5: Option Factor - Implied Volatility - The report shows the implied volatility data of various options, including at - the - money implied volatility, weighted implied volatility, and its changes, as well as the difference between implied and historical volatility [7] Group 6: Strategy and Recommendations for Different Options Energy Options Crude Oil - Fundamental analysis: OPEC+ increased oil supply in July, and US shale oil production recovered. The short - term market is weak [8] - Option factor research: Implied volatility fluctuates around the mean, open interest PCR indicates increasing short - selling power, pressure level is 500, and support level is 510 [8] - Strategy recommendations: Construct a neutral call + put option selling strategy for volatility, and a long collar strategy for spot hedging [8] LPG - Fundamental analysis: Global supply divergence decreases, demand from the blending market is uncertain, and PDH profit has recovered [10] - Option factor research: Implied volatility fluctuates around the historical mean, open interest PCR indicates increasing short - selling power, pressure level is 5100, and support level is 4000 [10] - Strategy recommendations: Construct a bearish call + put option selling strategy for volatility, and a long collar strategy for spot hedging [10] Alcohol Options Methanol - Fundamental analysis: Domestic methanol production is expected to increase after maintenance, and port inventory is accumulating [10] - Option factor research: Implied volatility is below the historical mean, open interest PCR indicates a weak - oscillating market, pressure level is 2950, and support level is 2200 [10] - Strategy recommendations: Construct a neutral call + put option selling strategy for volatility, and a long collar strategy for spot hedging [10] Ethylene Glycol - Fundamental analysis: Port inventory is accumulating, and the de - stocking process will slow down [11] - Option factor research: Implied volatility fluctuates around the historical mean, open interest PCR indicates a weak market, pressure level is 4350, and support level is 4300 [11] - Strategy recommendations: Construct a volatility - selling strategy, and a long collar strategy for spot hedging [11] Polyolefin Options Polypropylene - Fundamental analysis: PP trade inventory is accumulating, and port inventory is decreasing [11] - Option factor research: Implied volatility fluctuates around the historical mean, open interest PCR indicates a weak market, pressure level is 7500, and support level is 6800 [11] - Strategy recommendations: Use a long collar strategy for spot hedging [11] Rubber Options Rubber - Fundamental analysis: The price of natural rubber has rebounded, but downstream demand is weak [12] - Option factor research: Implied volatility fluctuates around the mean, open interest PCR is below 0.6, pressure level is 15000, and support level is 13000 [12] - Strategy recommendations: Construct a neutral call + put option selling strategy for volatility [12] Polyester Options PTA - Fundamental analysis: PTA production load has increased, and the maintenance season is over [13] - Option factor research: Implied volatility fluctuates around the mean, open interest PCR is below 0.8, pressure level is 5000, and support level is 3800 [13] - Strategy recommendations: Construct a neutral call + put option selling strategy for volatility [13] Alkali Chemical Options Caustic Soda - Fundamental analysis: The average utilization rate of caustic soda production capacity has slightly decreased [14] - Option factor research: Implied volatility fluctuates around the mean, open interest PCR is around 0.8, pressure level is 3400, and support level is 2200 [14] - Strategy recommendations: Use a long collar strategy for spot hedging [14] Soda Ash - Fundamental analysis: Domestic soda ash inventory has accumulated, and enterprise shipments have slowed down [14] - Option factor research: Implied volatility fluctuates around the historical mean, open interest PCR is below 0.5, pressure level is 2080, and support level is 1100 [14] - Strategy recommendations: Construct a bearish spread strategy for direction, a bearish call + put option selling strategy for volatility, and a long collar strategy for spot hedging [14] Urea Options - Fundamental analysis: The supply - demand gap has decreased, and the market has strengthened after a short - term decline [15] - Option factor research: Implied volatility is below the historical mean, open interest PCR is below 0.8, pressure level is 1900, and support level is 1700 [15] - Strategy recommendations: Construct a neutral call + put option selling strategy for volatility, and a long collar strategy for spot hedging [15]