能源化工期权策略早报-20250812

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies mainly involve constructing option combination strategies with sellers as the main body and spot hedging or covered strategies to enhance returns [3][9]. 3. Summary by Related Catalogs 3.1. Market Overview of Underlying Futures - Various energy - chemical option underlying futures have different price changes, trading volumes, and open interest changes. For example, the latest price of crude oil (SC2510) is 492, with a rise of 2 and a rise - fall rate of 0.33%, and the trading volume is 4.87 million lots with a change of 1.58 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 0.88 with a change of 0.07, and the open interest PCR is 0.52 with a change of 0.01 [5]. 3.3. Option Factors - Pressure and Support Levels - From the perspective of option factors, different option varieties have corresponding pressure and support levels. For example, the pressure level of crude oil is 550 and the support level is 480 [6]. 3.4. Option Factors - Implied Volatility - Each option variety has different implied volatility indicators such as at - the - money implied volatility, weighted implied volatility, etc. For example, the at - the - money implied volatility of crude oil is 27.72%, and the weighted implied volatility is 34.76% with a change of - 3.41% [7]. 3.5. Option Strategies and Suggestions 3.5.1. Energy - related Options - Crude Oil: The fundamental situation shows a decrease in US crude oil inventory. The market shows short - term weakness after an attempt to rebound. Option strategies include constructing a short - neutral call + put option combination strategy and a long collar strategy for spot hedging [8]. - LPG: Factory and port inventories are at relatively high levels, and the market is short - term bearish. Strategies include constructing a bearish spread strategy for put options, a short - bearish call + put option combination strategy, and a long collar strategy for spot hedging [10]. 3.5.2. Alcohol - related Options - Methanol: Production and import data are given, and the market is in a weak state. Strategies include constructing a short - bearish call + put option combination strategy and a long collar strategy for spot hedging [10]. - Ethylene Glycol: The inventory in the main port in East China has decreased. The market shows a wide - range weak oscillation. Strategies include constructing a short - volatility strategy and a long collar strategy for spot hedging [11]. 3.5.3. Polyolefin - related Options - Polypropylene: The inventory of production enterprises is expected to change. The market is in a weak state. The strategy is to hold a long spot + buy an at - the - money put option + sell an out - of - the - money call option for spot hedging [12]. 3.5.4. Rubber - related Options - Rubber: The import volume has increased. The market shows short - term weakness. Strategies include constructing a short - neutral call + put option combination strategy [13]. 3.5.5. Polyester - related Options - PTA: The industry inventory has decreased, but the filament inventory has increased. The market is in a weak consolidation state. Strategies include constructing a short - neutral call + put option combination strategy [14]. 3.5.6. Alkali - related Options - Caustic Soda: The enterprise's production is high, and it is in the off - season of demand. The market shows a weak oscillation. The strategy is to construct a long collar strategy for spot hedging [15]. - Soda Ash: The inventory and production data are given, and the market is in a weak and bearish state. Strategies include constructing a short - volatility combination strategy and a long collar strategy for spot hedging [15]. 3.5.7. Other Options - Urea: The enterprise inventory has decreased slightly. The market shows a low - level oscillation. Strategies include constructing a short - bearish call + put option combination strategy and a long collar strategy for spot hedging [16].