能源化工期权策略早报-20250725

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies mainly involve constructing option combination strategies dominated by sellers, along with spot hedging or covered strategies to enhance returns [3][9] Summary by Relevant Catalogs 1. Futures Market Overview - Various energy - chemical futures showed different price movements, trading volumes, and open interest changes on July 26, 2025. For example, crude oil (SC2509) closed at 507 with a 0.56% increase, while liquefied gas (PG2509) closed at 4,037 with a 1.08% increase [4] 2. Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different energy - chemical options were presented, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the volume PCR of crude oil options was 0.55 with a 0.07 change, and the open interest PCR was 0.51 with a - 0.03 change [5] 3. Option Factors - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of different energy - chemical options were analyzed. For example, the pressure level of crude oil options was 640 and the support level was 500 [6] 4. Option Factors - Implied Volatility - The implied volatility of different energy - chemical options was provided, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of crude oil options was 28.965, and the weighted implied volatility was 33.64 with a 0.07 change [7] 5. Strategies and Recommendations Energy - related Options - Crude Oil: OPEC+ will increase oil supply in August, and the US supply rebounds with oil prices. The crude oil market showed a short - term weak trend. Option strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [8] - Liquefied Gas: The LPG futures showed a weak trend. The demand side has potential negative feedback risks. Option strategies include constructing a bearish call + put option combination strategy and a long collar strategy for spot hedging [10] Alcohol - related Options - Methanol: Port inventory increased, and the market showed a weak rebound. Option strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [10] - Ethylene Glycol: Port inventory decreased, and the market showed a weak and narrow - range oscillation. Option strategies include constructing a short - volatility strategy and a long collar strategy for spot hedging [11] Polyolefin - related Options - Polypropylene: PP inventory showed different trends, and the market was weak. Option strategies include a long collar strategy for spot hedging [11] Rubber - related Options - Rubber: Domestic synthetic rubber production increased, and the market showed a low - level consolidation trend. Option strategies include constructing a neutral call + put option combination strategy [12] Polyester - related Options - PTA: PTA load remained stable, and the market was weak. Option strategies include constructing a neutral call + put option combination strategy [12] Alkali - related Options - Caustic Soda: The capacity utilization rate changed, and the market showed a bullish trend. Option strategies include a long collar strategy for spot hedging [13] - Soda Ash: Inventory was at a high level, and the market showed a bullish trend. Option strategies include constructing a bullish call spread strategy and a long collar strategy for spot hedging [13] Urea Options - Urea inventory showed different trends, and the market oscillated under bearish pressure. Option strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [14]