能源化工期权策略早报-20250904

1. Report Industry Investment Rating No relevant content in the provided document. 2. Core Viewpoints of the Report - The report focuses on energy - chemical options, covering various sectors such as energy, polyolefins, polyesters, and alkalis. It analyzes the fundamentals, market trends, and option factors of different underlying assets and provides corresponding option strategies and suggestions [3][9]. - It is recommended to construct option combination strategies mainly based on sellers and spot hedging or covered strategies to enhance returns [3]. 3. Summary by Related Catalogs 3.1 Option - Underlying Futures Market Overview - Multiple energy - chemical option underlying futures are presented, including details like the latest price, price change, change rate, trading volume, volume change, open interest, and open interest change. For example, the latest price of crude oil (SC2510) is 484, with a price drop of 8 and a decline rate of 1.67% [4]. 3.2 Option Factors 3.2.1 Volume - Open Interest PCR - The volume - open interest PCR data of various option varieties are provided, which are used to describe the strength of the option - underlying market and the turning point of the underlying market. For instance, the volume PCR of crude oil is 0.61 with a change of 0.08, and the open interest PCR is 0.77 with a change of 0.06 [5]. 3.2.2 Pressure and Support Levels - The pressure and support levels of different option varieties 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 is 600 and the support level is 450 [6]. 3.2.3 Implied Volatility - The implied volatility data of various option varieties are presented, including at - the - money implied volatility, weighted implied volatility, and its change, annual average, call implied volatility, put implied volatility, historical volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of crude oil is 26.005, and the weighted implied volatility is 29.16 with a change of 1.62 [7]. 3.3 Strategy and Suggestions 3.3.1 Energy - Class Options - Crude Oil: The fundamentals are healthy with OPEC's supply restraint. The market shows a short - term upward resistance and decline. Option strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [8]. - LPG: The supply is loose, and the demand is weak. The market is in a weak state. Option strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [10]. 3.3.2 Alcohol - Class Options - Methanol: The import volume increases, and the downstream demand is weak. The market is weak. Option strategies include constructing a bear spread strategy of put options, a short - biased call + put option combination strategy, and a long collar strategy for spot hedging [10]. - Ethylene Glycol: The port inventory is decreasing. The market shows a wide - range weak oscillation. Option strategies include constructing a short - volatility strategy and a long collar strategy for spot hedging [11]. 3.3.3 Polyolefin - Class Options - Polypropylene: The inventory shows a mixed trend. The market is weak. Option strategies include a long collar strategy for spot hedging [11]. 3.3.4 Rubber Options - Rubber: The tire production capacity utilization rate shows different trends. The market is short - term weak. Option strategies include constructing a neutral call + put option combination strategy [12]. 3.3.5 Polyester - Class Options - PTA: The inventory is decreasing, and the downstream load is rising. The market shows a rebound resistance and decline. Option strategies include constructing a neutral call + put option combination strategy [12]. 3.3.6 Alkali - Class Options - Caustic Soda: The production capacity utilization rate decreases in most regions. The market shows an oscillatory trend. Option strategies include a long collar strategy for spot hedging [13]. - Soda Ash: The inventory is decreasing. The market shows an oscillatory trend. Option strategies include constructing a short - volatility combination strategy and a long collar strategy for spot hedging [13]. 3.3.7 Urea Options - The port inventory increases, and the enterprise inventory is under pressure. The market shows a low - level oscillation. Option strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [14].