能源化工期权策略早报-20250829

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy and chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each sector, options strategies and recommendations are provided for selected varieties. Each option variety strategy report includes underlying market analysis, option factor research, and option strategy recommendations [9]. - Overall, the report suggests constructing 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 interest, and open interest changes of various energy and chemical futures, including crude oil, liquefied petroleum gas (LPG), methanol, ethylene glycol, polypropylene, polyvinyl chloride, plastics, styrene, rubber, synthetic rubber, p-xylene, purified terephthalic acid (PTA), short - fiber, bottle chips, caustic soda, soda ash, and urea [4]. 3.2 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR data of various energy and chemical options are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For example, the volume PCR and open interest PCR of crude oil options are 0.81 and 0.62 respectively, with changes of - 0.11 and - 0.03 [5]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of various energy and chemical options are analyzed from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure level of crude oil options is 600 and the support level is 415 [6]. 3.4 Option Factor - Implied Volatility - The implied volatility data of various energy and chemical options are presented, including at - the - money implied volatility, weighted implied volatility, weighted implied volatility changes, annual average implied volatility, call implied volatility, put implied volatility, historical 20 - day volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of crude oil options is 24.035%, and the weighted implied volatility is 26.13% with a change of - 1.29 [7]. 3.5 Option Strategies and Recommendations for Different Varieties 3.5.1 Crude Oil Options - Underlying Market Analysis: OPEC + increased oil supply in September, and Russia announced production cuts. The crude oil market showed a short - term upward trend with resistance. - Option Factor Research: The implied volatility of crude oil options fluctuated around the average level. The open interest PCR was below 0.80, indicating a weak and volatile market. The pressure level was 600 and the support level was 415. - Option Strategy Recommendations: Construct a neutral short call + put option combination strategy for volatility, and a long collar strategy for spot hedging [8]. 3.5.2 LPG Options - Underlying Market Analysis: LPG plant inventories decreased slightly, and port inventories were at a high level. The market showed a short - term recovery with resistance. - Option Factor Research: The implied volatility of LPG options decreased significantly to around the average level. The open interest PCR was around 0.60, indicating strong short - side power. The pressure level was 5400 and the support level was 3900. - Option Strategy Recommendations: Construct a neutral short call + put option combination strategy for volatility, and a long collar strategy for spot hedging [10]. 3.5.3 Methanol Options - Underlying Market Analysis: Methanol port and enterprise inventories increased. The market showed a weak trend with resistance. - Option Factor Research: The implied volatility of methanol options fluctuated below the average level. The open interest PCR was below 0.80, indicating a weak and volatile market. The pressure level was 2600 and the support level was 2275. - Option Strategy Recommendations: Construct a short - biased short call + put option combination strategy for volatility, and a long collar strategy for spot hedging [10]. 3.5.4 Ethylene Glycol Options - Underlying Market Analysis: Ethylene glycol port inventories decreased, and the market was expected to shift from de - stocking to stocking. The market showed a weak and volatile trend. - Option Factor Research: The implied volatility of ethylene glycol options fluctuated below the average level. The open interest PCR was below 0.60, indicating strong short - side power. The pressure level was 4600 and the support level was 4400. - Option Strategy Recommendations: Construct a short - volatility strategy for volatility, and a long collar strategy for spot hedging [11]. 3.5.5 Polypropylene Options - Underlying Market Analysis: Polypropylene production and trade inventories showed different trends. The market showed a weak trend with resistance. - Option Factor Research: The implied volatility of polypropylene options decreased to below the average level. The open interest PCR decreased to below 0.60, indicating a weak market. The pressure level was 7300 and the support level was 6800. - Option Strategy Recommendations: For spot hedging, hold a long position in the underlying asset, buy an at - the - money put option, and sell an out - of - the - money call option [11]. 3.5.6 Rubber Options - Underlying Market Analysis: The operating rates of Shandong's all - steel and semi - steel tire industries changed. The market showed a short - term weak trend with resistance. - Option Factor Research: The implied volatility of rubber options first increased rapidly and then decreased to around the average level. The open interest PCR was below 0.60. The pressure level was 18000 and the support level was 15750. - Option Strategy Recommendations: Construct a neutral short call + put option combination strategy for volatility [12]. 3.5.7 PTA Options - Underlying Market Analysis: PTA social inventories decreased, and downstream loads increased. The market showed a recovery trend with resistance. - Option Factor Research: The implied volatility of PTA options fluctuated at a relatively high level. The open interest PCR was around 0.80, indicating a volatile market. The pressure level was 5000 and the support level was 4600. - Option Strategy Recommendations: Construct a neutral short call + put option combination strategy for volatility [13]. 3.5.8 Caustic Soda Options - Underlying Market Analysis: The utilization rate of caustic soda production capacity decreased. The market showed a volatile trend with resistance. - Option Factor Research: The implied volatility of caustic soda options was at a relatively high level. The open interest PCR was above 1.00, indicating strong long - side power. The pressure level was 3000 and the support level was 2400. - Option Strategy Recommendations: Construct a long collar strategy for spot hedging [14]. 3.5.9 Soda Ash Options - Underlying Market Analysis: Soda ash production reached a new high. The market showed a volatile trend with support. - Option Factor Research: The implied volatility of soda ash options first increased rapidly and then decreased significantly but remained at a relatively high level. The open interest PCR was below 0.60, indicating strong short - side pressure. The pressure level was 1640 and the support level was 1200. - Option Strategy Recommendations: Construct a short - volatility combination strategy for volatility, and a long collar strategy for spot hedging [14]. 3.5.10 Urea Options - Underlying Market Analysis: Urea port and enterprise inventories increased. The market showed a low - level volatile trend. - Option Factor Research: The implied volatility of urea options fluctuated around the historical average level. The open interest PCR was below 0.60, indicating strong short - side pressure. The pressure level was 1900 and the support level was 1700. - Option Strategy Recommendations: Construct a short - biased short call + put option combination strategy for volatility, and a long collar strategy for spot hedging [15].