能源化工期权策略早报-20250718

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The energy and chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each sector, option strategies and suggestions are provided for selected varieties. Each option variety's strategy report includes an analysis of the underlying asset's market, research on option factors, and option strategy recommendations [8]. - The overall strategy is to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary According to Related Catalogs 3.1 Futures Market Overview - Price and Volume Changes: The report provides the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of various energy and chemical futures contracts, such as crude oil, liquefied petroleum gas (LPG), methanol, and others [3]. 3.2 Option Factors - Volume and Open Interest PCR - PCR Indicators: The volume PCR and open interest PCR of various option varieties are presented. These indicators are used to describe the strength of the option underlying asset's market and the turning point of the underlying asset's market, respectively [4]. 3.3 Option Factors - Pressure and Support Levels - Pressure and Support Points: The pressure points, support points, and their offsets, as well as the maximum open interests of call and put options, are provided for each option variety. These points are determined based on the strike prices with the maximum open interests of call and put options [5]. 3.4 Option Factors - Implied Volatility - Volatility Metrics: The report includes the at-the-money implied volatility, weighted implied volatility, change in weighted implied volatility, annual average implied volatility, call and put implied volatilities, historical volatility, and the difference between implied and historical volatilities for each option variety [6]. 3.5 Option Strategies and Suggestions 3.5.1 Energy - Crude Oil - Fundamentals: OPEC+ increased oil supply in July, and the US supply rebounded with rising oil prices [7]. - Market Analysis: Crude oil prices showed a short - term weak market trend, rising first and then falling [7]. - Option Factors: Implied volatility fluctuated around the mean, the open interest PCR was below 0.80, indicating increasing short - term bearish power, with a pressure level of 500 and a support level of 510 [7]. - Strategies: For volatility, construct a short - neutral call + put option combination strategy; for spot hedging, construct a long collar strategy [7]. 3.5.2 Energy - Liquefied Petroleum Gas (LPG) - Fundamentals: Global supply divergence decreased, but there were uncertainties in demand, and PDH profit recovery might support the operating rate [9]. - Market Analysis: LPG showed a short - term bearish market trend, with wide - range fluctuations followed by a decline [9]. - Option Factors: Implied volatility fluctuated around the historical mean, the open interest PCR was below 0.60, indicating increasing bearish power, with a pressure level of 4500 and a support level of 3700 [9]. - Strategies: For volatility, construct a short - bearish call + put option combination strategy; for spot hedging, construct a long collar strategy [9]. 3.5.3 Alcohols - Methanol - Fundamentals: Domestic methanol production started to recover, and port inventory increased [9]. - Market Analysis: Methanol showed a short - term narrow - range oscillating trend [9]. - Option Factors: Implied volatility was below the historical mean, the open interest PCR was around 0.80, indicating a weak - oscillating market, with a pressure level of 2950 and a support level of 2200 [9]. - Strategies: For volatility, construct a short - neutral call + put option combination strategy; for spot hedging, construct a long collar strategy [9]. 3.5.4 Alcohols - Ethylene Glycol - Fundamentals: Port inventory increased, and the destocking process would slow down [10]. - Market Analysis: Ethylene glycol showed a weak - bearish oscillating trend with pressure above [10]. - Option Factors: Implied volatility fluctuated around the historical mean, the open interest PCR was around 0.70, indicating a weak trend, with a pressure level of 4350 and a support level of 4300 [10]. - Strategies: For volatility, construct a short - volatility strategy; for spot hedging, hold a long spot position + buy a put option + sell an out - of - the - money call option [10]. 3.5.5 Polyolefins - Polypropylene - Fundamentals: PP trade inventory increased, and port inventory decreased [10]. - Market Analysis: Polypropylene showed a weak trend with bearish pressure above [10]. - Option Factors: Implied volatility fluctuated around the historical mean, the open interest PCR decreased below 0.80, indicating a weakening trend, with a pressure level of 7500 and a support level of 6800 [10]. - Strategies: For spot hedging, hold a long spot position + buy an at - the - money put option + sell an out - of - the - money call option [10]. 3.5.6 Rubber - Fundamentals: The price of natural rubber rebounded, but downstream demand did not change significantly [11]. - Market Analysis: Rubber showed a low - level consolidation trend [11]. - Option Factors: Implied volatility fluctuated around the mean, the open interest PCR was below 0.60, with a pressure level of 15000 and a support level of 13000 [11]. - Strategies: For volatility, construct a short - neutral call + put option combination strategy [11]. 3.5.7 Polyesters - PTA - Fundamentals: PTA load increased, and the maintenance season ended [12]. - Market Analysis: PTA showed a weak trend with pressure above [12]. - Option Factors: Implied volatility fluctuated around the mean, the open interest PCR was below 0.80, indicating a weakening trend, with a pressure level of 5000 and a support level of 3800 [12]. - Strategies: For volatility, construct a short - neutral call + put option combination strategy [12]. 3.5.8 Alkalis - Caustic Soda - Fundamentals: The average utilization rate of caustic soda production capacity changed slightly [13]. - Market Analysis: Caustic soda showed a short - term bullish trend [13]. - Option Factors: Implied volatility fluctuated around the mean, the open interest PCR was around 0.80, with a pressure level of 3400 and a support level of 2200 [13]. - Strategies: For spot hedging, hold a long spot position + buy a put option + sell an out - of - the - money call option [13]. 3.5.9 Alkalis - Soda Ash - Fundamentals: Soda ash inventory increased, and enterprise shipments slowed down [13]. - Market Analysis: Soda ash showed a low - level consolidation trend with a bullish bias [13]. - Option Factors: Implied volatility fluctuated around the historical mean, the open interest PCR was below 0.50, indicating a weak - oscillating market, with a pressure level of 2080 and a support level of 1100 [13]. - Strategies: For direction, construct a bearish spread combination strategy of put options; for volatility, construct a short - bearish call + put option combination strategy; for spot hedging, construct a long collar strategy [13]. 3.5.10 Urea - Fundamentals: Supply - demand difference decreased, and inventory declined. Positive export news boosted the market [14]. - Market Analysis: Urea showed an oscillating trend under bearish pressure [14]. - Option Factors: Implied volatility was below the historical mean, the open interest PCR was below 0.80, with a pressure level of 1900 and a support level of 1700 [14]. - Strategies: For volatility, construct a short - neutral call + put option combination strategy; for spot hedging, hold a long spot position + buy an at - the - money put option + sell an out - of - the - money call option [14].