能源化工期权策略早报-20250902

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each sector, some varieties are selected to provide option strategies and suggestions. Each option variety's strategy report includes an analysis of the underlying asset's market, option factor research, and option strategy recommendations [9] 3. Summary According to Related 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. For example, the latest price of crude oil SC2510 is 489, with a price increase of 5 and a price increase percentage of 1.10% [4] 3.2 Option Factors 3.2.1 Volume and Open Interest PCR - The volume PCR and open interest PCR of different option varieties are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the volume PCR of crude oil is 0.75 with a change of - 0.01, and the open interest PCR is 0.66 with a change of 0.02 [5] 3.2.2 Pressure and Support Levels - The pressure points, pressure point offsets, support points, support point offsets, maximum call option open interests, and maximum put option open interests of various option varieties are given. For example, the pressure point of crude oil is 600 and the support point is 415 [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 of different option varieties. For example, the at - the - money implied volatility of crude oil is 24.095, and the weighted implied volatility is 26.73 with a change of 1.15 [7] 3.3 Option Strategies and Suggestions 3.3.1 Energy - Class Options - Crude Oil: The fundamental situation of crude oil is healthy with OPEC showing a restraint attitude to support prices. The market has been fluctuating, with short - term weakness. Option strategies include constructing a neutral call + put option combination for volatility strategy and a long collar strategy for spot hedging [8] - LPG: The domestic supply of LPG is loose, and the demand is low. The market has been in a weak state. Option strategies involve constructing a short - biased call + put option combination for volatility strategy and a long collar strategy for spot hedging [10] 3.3.2 Alcohol - Class Options - Methanol: The import volume of methanol has increased, and the downstream demand is weak. The market has been in a downward trend. Option strategies include a bear spread strategy for directional trading, a short - biased call + put option combination for volatility strategy, and a long collar strategy for spot hedging [10] - Ethylene Glycol: The port inventory of ethylene glycol is decreasing. The market has been in a wide - range weak fluctuation. Option strategies include a short - volatility strategy for volatility trading and a long collar strategy for spot hedging [11] 3.3.3 Polyolefin - Class Options - Polypropylene: The inventory of polypropylene has decreased. The market has been in a weak state. Option strategies include a long collar strategy for spot hedging [11] 3.3.4 Rubber - Class Options - Rubber: The capacity utilization rate of rubber tire enterprises has changed. The market has been in a short - term weak state. Option strategies include constructing a neutral call + put option combination for volatility strategy [12] 3.3.5 Polyester - Class Options - PTA: The social inventory of PTA has decreased, and the downstream load has increased. The market has been in a weak rebound state. Option strategies include constructing a neutral call + put option combination for volatility strategy [12] 3.3.6 Alkali - Class Options - Caustic Soda: The average capacity utilization rate of caustic soda enterprises has decreased. The market has been in a fluctuating state. Option strategies include a long collar strategy for spot hedging [13] - Soda Ash: The inventory of soda ash has decreased. The market has been in a fluctuating state with support at the bottom. Option strategies include a short - volatility combination strategy for volatility trading and a long collar strategy for spot hedging [13] 3.3.7 Other Options - Urea: The port inventory of urea has increased, and the enterprise inventory is under pressure. The market has been in a low - level fluctuation state. Option strategies include constructing a short - biased call + put option combination for volatility strategy and a long collar strategy for spot hedging [14]