能源化工期权策略早报-20250730

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - The energy - 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. Option strategy reports are compiled for each option variety based on underlying market analysis, option factor research, and option strategy suggestions [9]. - Strategies focus on constructing option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [3]. 3. Summary According to Relevant Catalogs 3.1 Futures Market Overview - Various energy - chemical futures contracts show different price movements, trading volumes, and open interest changes. For example, the latest price of crude oil (SC2509) is 516, up 10 with a 2.06% increase; the trading volume is 11.77 million lots, a decrease of 3.49 million lots, and the open interest is 3.78 million lots, a decrease of 0.22 million lots [4]. 3.2 Option Factors - Volume and Open Interest PCR - Different option varieties have different volume and open interest PCR values and their changes. For instance, the volume PCR of crude oil is 0.54, an increase of 0.06, and the open - interest PCR is 0.50, a decrease of 0.03 [5]. 3.3 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 option underlyings are determined. For example, the pressure level of crude oil is 640, and the support level is 500 [6]. 3.4 Option Factors - Implied Volatility - Different option varieties have different implied volatility values, including at - the - money implied volatility, weighted implied volatility, and their changes. For example, the at - the - money implied volatility of crude oil is 29.605%, and the weighted implied volatility is 34.92%, a decrease of 0.30% [7]. 3.5 Option Strategies and Suggestions 3.5.1 Energy - related Options - Crude Oil: The fundamental situation shows that the UAE port transfer increase implies Iran's return to global supply, while Russia's shipments remain tight. The market is short - term weak. Implied volatility fluctuates around the mean, and the open - interest PCR below 0.60 indicates increasing short - side strength. Strategies include constructing a neutral call + put option selling combination for volatility, and a long collar strategy for spot hedging [8]. - LPG: The fundamental situation is that the supply is abundant, and the market is short - term bearish. Implied volatility remains at a relatively high historical level, and the open - interest PCR below 0.60 indicates strong short - side strength. Strategies include constructing a bearish call + put option selling combination for volatility, and a long collar strategy for spot hedging [10]. 3.5.2 Alcohol - related Options - Methanol: The port and enterprise inventories are decreasing, and the market is weak with pressure. Implied volatility first rises to a high level and then falls, and the open - interest PCR below 0.80 indicates a weak - oscillating market. Strategies include constructing a neutral call + put option selling combination for volatility, and a long collar strategy for spot hedging [10]. - Ethylene Glycol: The polyester load is rising, and the market is weakly bullish with pressure. Implied volatility fluctuates above the historical mean, and the open - interest PCR around 0.90 indicates an oscillating market. Strategies include constructing a volatility - selling strategy for time - value gain, and a long collar strategy for spot hedging [11]. 3.5.3 Polyolefin - related Options - Polypropylene: The inventory situation shows mixed trends, and the market is weak with short - side pressure. Implied volatility fluctuates around the historical mean, and the open - interest PCR below 0.80 indicates a weakening market. Strategies include a long collar strategy for spot hedging [11]. 3.5.4 Rubber - related Options - Rubber: The social inventory is decreasing, and the market is in a low - level consolidation. Implied volatility rapidly rises to a high historical level, and the open - interest PCR below 0.60 indicates short - side strength. Strategies include constructing a neutral call + put option selling combination for volatility [12]. 3.5.5 Polyester - related Options - PTA: The inventory is increasing, and the market is weak with pressure. Implied volatility fluctuates at a relatively high mean level, and the open - interest PCR below 0.80 indicates a weakening market. Strategies include constructing a neutral call + put option selling combination for volatility [13]. 3.5.6 Alkali - related Options - Caustic Soda: The inventory is increasing, and the market is falling back with pressure. Implied volatility first rises rapidly and then drops significantly, remaining at a high level. The open - interest PCR below 0.80 indicates a weakening market. Strategies include a long collar strategy for spot hedging [14]. - Soda Ash: The inventory is at a high level and increasing, and the market is falling back with pressure. Implied volatility first rises rapidly and then drops significantly, remaining at a high level. The open - interest PCR below 0.60 indicates strong short - side pressure. Strategies include constructing a volatility - selling combination for volatility gain, and a long collar strategy for spot hedging [14]. 3.5.7 Urea Options - The port inventory is increasing slightly, and the enterprise inventory is decreasing with a slowing slope. The market oscillates under short - side pressure. Implied volatility fluctuates slightly below the historical mean, and the open - interest PCR below 0.80 indicates a weakening market. Strategies include constructing a neutral call + put option selling combination for volatility, and a long collar strategy for spot hedging [15].