能源化工期权策略早报-20250813

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints of the Report - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Option strategies and suggestions are provided for selected varieties in each sector. Strategies mainly involve constructing option combinations with sellers as the main body and spot hedging or covered strategies to enhance returns [2][8] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The document presents the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various energy - chemical option underlying futures contracts, including crude oil, LPG, methanol, etc. [3] 3.2 Option Factor - Volume and Open Interest PCR - Volume PCR and open interest PCR are used to describe the strength of the option underlying market and the turning point of the underlying market. The document provides the volume, volume change, open interest, open interest change, volume PCR, volume PCR change, open interest PCR, and open interest PCR change of various energy - chemical options [4] 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of the option underlying are determined from the exercise prices with the largest open interest of call and put options. The document provides the pressure points, pressure point offsets, support points, support point offsets, maximum call open interest, and maximum put open interest of various energy - chemical options [5] 3.4 Option Factor - Implied Volatility - The document provides the at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average implied volatility, call implied volatility, put implied volatility, 20 - day historical volatility, and the difference between implied and historical volatility of various energy - chemical options [6] 3.5 Option Strategies and Suggestions 3.5.1 Energy - related Options - Crude Oil: Fundamentally, US crude oil inventories decreased last week. The market is in a short - term upward - blocked and downward - adjusted state. Option strategies include constructing a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [7] - LPG: Factory inventories are high, and port inventories are in a high - level shock. The market is short - term bearish. Strategies include constructing a bearish spread strategy for direction, a short - biased call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9] 3.5.2 Alcohol - related Options - Methanol: Production and capacity utilization are expected to rise, and imports are estimated. The market is in a weak state with pressure above. Strategies include constructing a short - biased call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9] - Ethylene Glycol: East China main port inventories have decreased significantly. The market is in a weak and wide - range shock state. Strategies include constructing a short - volatility strategy for volatility, and a long collar strategy for spot hedging [10] 3.5.3 Polyolefin - related Options - Polypropylene: Production enterprise inventories are expected to decline. The market is in a weak state with bearish pressure above. Strategies include a long collar strategy for spot hedging [11] 3.5.4 Rubber - related Options - Rubber: Imports have increased. The market is in a short - term weak state with pressure above. Strategies include constructing a neutral call + put option combination strategy for volatility [12] 3.5.5 Polyester - related Options - PTA: Industry inventories have decreased, but filament inventories have increased. The market is in a weak consolidation state with pressure above. Strategies include constructing a neutral call + put option combination strategy for volatility [13] 3.5.6 Alkali - related Options - Caustic Soda: Enterprises have high operating rates, and it is in the off - season of demand. The market is in a weak shock state with pressure above. Strategies include a long collar strategy for spot hedging [14] - Soda Ash: Domestic inventories and production have increased. The market is in a shock state with support below. Strategies include constructing a short - volatility combination strategy for volatility, and a long collar strategy for spot hedging [14] 3.5.7 Other Options - Urea: Enterprise inventories have decreased slightly. The market is in a low - level shock state. Strategies include constructing a short - biased call + put option combination strategy for volatility, and a long collar strategy for spot hedging [15]