能源化工期权策略早报-20250804

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The energy - chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies suggest constructing option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [3][9]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The latest prices of various energy - chemical futures showed different trends. For example, crude oil (SC2509) was at 513, down 15 (-2.86%); liquefied petroleum gas (PG2509) was at 3,923, down 64 (-1.61%); methanol (MA2509) was at 2,383, down 20 (-0.83%) [4]. 3.2 Option Factor - Quantity and Position PCR - The PCR indicators of different option varieties varied. For instance, the volume PCR of crude oil was 1.01 with a change of 0.46, and the position PCR was 0.85 with a change of 0.01. These indicators are used to describe the strength of the option underlying market and the turning point of the market [5]. 3.3 Option Factor - Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure level of crude oil was 640 and the support level was 500; the pressure level of liquefied petroleum gas was 5,200 and the support level was 3,800 [6]. 3.4 Option Factor - Implied Volatility - The implied volatility of different option varieties also differed. For example, the at - the - money implied volatility of crude oil was 33.445, and the weighted implied volatility was 36.36 with a change of - 1.17 [7]. 3.5 Strategy and Recommendations for Each Option Variety 3.5.1 Energy - related Options (Crude Oil, Liquefied Petroleum Gas) - Crude Oil: The US crude oil inventories increased. The market showed a short - term upward受阻and then downward trend. Implied volatility fluctuated around the mean. Recommended strategies included constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [8]. - Liquefied Petroleum Gas: Factory and port inventories were at high levels. The market was short - term bearish. Implied volatility was at a relatively high historical level. Recommended strategies included constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [10]. 3.5.2 Alcohol - related Options (Methanol, Ethylene Glycol) - Methanol: Production enterprise inventories and orders decreased. The market was weakly bullish with pressure. Implied volatility fluctuated around the mean. Recommended strategies included constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [10]. - Ethylene Glycol: The overall operating rate was stable, but production profits were under pressure. The market was weakly bullish with pressure. Implied volatility fluctuated around the historical mean. Recommended strategies included constructing a short - volatility strategy and a long collar strategy for spot hedging [11]. 3.5.3 Polyolefin - related Options (Polypropylene, Polyvinyl Chloride, Plastic, Styrene) - Polypropylene: The number of maintenance production lines decreased, and production increased. The market was weakly bearish. Implied volatility was around the historical mean. Recommended strategies included a long collar strategy for spot hedging [11]. 3.5.4 Rubber - related Options (Rubber, Synthetic Rubber) - Rubber: Hainan's natural rubber production decreased. The market was bearish. Implied volatility decreased to around the mean after a sharp increase. Recommended strategies included constructing a neutral short call + put option combination strategy [12]. 3.5.5 Polyester - related Options (Para - xylene, PTA, Short - fiber, Bottle - chip) - PTA: Factory inventories continued to accumulate, and prices were under pressure. The market was slightly bullish with pressure. Implied volatility was at a relatively high level. Recommended strategies included constructing a neutral short call + put option combination strategy [13]. 3.5.6 Alkali - related Options (Caustic Soda, Soda Ash, Urea) - Caustic Soda: The average utilization rate of production capacity decreased slightly. The market was weakly bullish with pressure. Implied volatility was at a relatively high level. Recommended strategies included a long collar strategy for spot hedging [14]. - Soda Ash: Inventories continued to accumulate at a high level. The market was bearish after a sharp decline. Implied volatility was at a relatively high level. Recommended strategies included constructing a short - volatility combination strategy and a long collar strategy for spot hedging [14]. - Urea: Supply decreased slightly, and demand was weak. The market was bearish with fluctuations. Implied volatility was below the historical mean. Recommended strategies included constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [15].