能源化工期权策略早报-20250811

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The energy - chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each sector, options strategies and suggestions are provided for selected varieties. Each option variety's strategy report includes analysis of the underlying market, research on option factors, and option strategy suggestions [9]. - It is recommended to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [3]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of various energy - chemical option underlying futures contracts, such as crude oil, liquefied petroleum gas (LPG), methanol, etc. [4]. 3.2 Option Factors 3.2.1 Volume - to - Open - Interest PCR - It shows the trading volume, volume change, open interest, open interest change, volume PCR, volume PCR change, open interest PCR, and open interest PCR change of various option varieties. Volume PCR is used to describe whether the underlying market has a turning point, and open interest PCR is used to describe the strength of the underlying option market [5]. 3.2.2 Pressure and Support Levels - The pressure points, pressure point offsets, support points, support point offsets, maximum call option positions, and maximum put option positions of various option varieties are provided. These are determined from the strike prices of the maximum call and put option positions [6]. 3.2.3 Implied Volatility - The report shows the at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average implied volatility, call option implied volatility, put option implied volatility, 20 - day historical volatility, and the difference between implied and historical volatility for each option variety [7]. 3.3 Option Strategies and Suggestions 3.3.1 Energy - related Options - Crude Oil: The U.S. crude oil inventory decreased last week. The market showed a short - term upward rebound受阻 pattern with pressure above. The implied volatility of crude oil options fluctuates around the mean. The open interest PCR indicates a weak - oscillating market. Strategies include constructing a neutral call + put option selling portfolio, and a long collar strategy for spot hedging [8]. - LPG: Factory inventories decreased slightly, while port inventories are at a high level and oscillating. The market is short - term bearish. The implied volatility of LPG options is at a relatively high historical level. The open interest PCR indicates strong bearish power. Strategies include a bearish put option spread, a bearish call + put option selling portfolio, and a long collar strategy for spot hedging [10]. 3.3.2 Alcohol - related Options - Methanol: China's methanol production and capacity utilization are expected to increase, and import volumes are estimated. The market shows a weak pattern with pressure above. The implied volatility of methanol options is falling and fluctuating below the mean. The open interest PCR indicates a weak - oscillating market. Strategies include a bearish call + put option selling portfolio and a long collar strategy for spot hedging [10]. - Ethylene Glycol: The inventory in East China's main ports decreased significantly. The market shows a weak and wide - range oscillating pattern with pressure above. The implied volatility of ethylene glycol options fluctuates around the lower - than - mean level. The open interest PCR indicates an oscillating market. Strategies include a volatility - selling strategy and a long collar strategy for spot hedging [11]. 3.3.3 Polyolefin - related Options - Polypropylene: The inventory of polyethylene and polypropylene production enterprises is expected to change. The market shows a weak pattern with bearish pressure above. The implied volatility of polypropylene options fluctuates around the historical mean. The open interest PCR indicates a weakening trend. Strategies include a long collar strategy for spot hedging [12]. 3.3.4 Rubber - related Options - Rubber: The import volume of natural and synthetic rubber in July increased. The market shows a short - term weak pattern with pressure above. The implied volatility of rubber options first rises sharply and then falls to around the mean. The open interest PCR indicates a weak market. Strategies include a neutral call + put option selling portfolio [13]. 3.3.5 Polyester - related Options - PTA: The industry inventory has decreased, but there is inventory accumulation in finished filament. The market shows a weak - oscillating pattern with pressure above. The implied volatility of PTA options fluctuates at a relatively high level above the mean. The open interest PCR indicates a weakening trend. Strategies include a neutral call + put option selling portfolio [14]. 3.3.6 Alkali - related Options - Caustic Soda: Enterprises have high production starts, but it is the off - season for demand, and export orders are few. The market shows a weak - oscillating pattern with pressure above. The implied volatility of caustic soda options first rises sharply and then falls but remains at a high level. The open interest PCR indicates strong bearish pressure. Strategies include a long collar strategy for spot hedging [15]. - Soda Ash: The total inventory of domestic soda ash manufacturers is high, and production has increased. The market shows a weak - bearish pattern. The implied volatility of soda ash options first rises sharply and then falls but remains at a high level. The open interest PCR indicates strong bearish pressure. Strategies include a volatility - selling portfolio and a long collar strategy for spot hedging [15]. 3.3.7 Other Options - Urea: The total inventory of urea enterprises has decreased. The market shows a low - level oscillating pattern. The implied volatility of urea options fluctuates slightly around the historical mean. The open interest PCR indicates strong bearish pressure. Strategies include a bearish call + put option selling portfolio and a long collar strategy for spot hedging [16].