能源化工期权策略早报-20250910

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy - chemical sector includes energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies suggest constructing option combination strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [3][9]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various energy - chemical option underlying futures have different price changes, trading volumes, and open interest changes. For example, the latest price of crude oil (SC2511) is 483, with a rise of 1 and a rise - fall rate of 0.25%, trading volume of 2.70 million lots (a decrease of 0.85 million lots), and open interest of 2.03 million lots (an increase of 0.12 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, which can be used to analyze the strength and turning points of the option underlying market. For instance, the volume PCR of crude oil is 0.97 (a decrease of 0.01), and the open interest PCR is 0.70 (a decrease of 0.04) [5]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different option varieties can be seen from the strike prices of the maximum open interest of call and put options. For example, the pressure level of crude oil is 600 and the support level is 470 [6]. 3.4 Option Factors - Implied Volatility - The implied volatility of different option varieties shows different characteristics. For example, the at - the - money implied volatility of crude oil is 29.06%, the weighted implied volatility is 30.14% (a decrease of 0.77%), and the annual average is 35.85% [7]. 3.5 Strategies and Recommendations for Different Option Varieties 3.5.1 Energy - related Options (Crude Oil, LPG) - Crude Oil: - Fundamentals: Geopolitical short - term disturbances, long - term supply - demand negatives, and concerns about employment and the economy. - Market Analysis: Weak and bearish overall since July. - Option Factors: Implied volatility around the mean, open interest PCR below 0.80, pressure level at 600, and support level at 470. - Strategies: Construct a short - biased call + put option combination strategy for volatility, and a long - collar strategy for spot hedging [8]. - LPG: - Fundamentals: Loose domestic supply, low summer demand. - Market Analysis: Weak and bearish since July. - Option Factors: Implied volatility back to the mean, open interest PCR around 0.60, pressure level at 4500, and support level at 4200. - Strategies: Similar to crude oil, construct a short - biased option combination strategy and a long - collar strategy for spot hedging [10]. 3.5.2 Alcohol - related Options (Methanol, Ethylene Glycol) - Methanol: - Fundamentals: Domestic production increased, capacity utilization rose. - Market Analysis: Weak and bearish overall. - Option Factors: Implied volatility below the mean, open interest PCR below 0.80, pressure level at 2350, and support level at 2275. - Strategies: Construct a bear - spread strategy for direction, a short - biased option combination strategy for volatility, and a long - collar strategy for spot hedging [10]. - Ethylene Glycol: - Fundamentals: Main port inventory decreased. - Market Analysis: Weak with pressure. - Option Factors: Implied volatility below the mean, open interest PCR below 0.60, pressure level at 4450, and support level at 4350. - Strategies: Construct a short - volatility strategy and a long - collar strategy for spot hedging [11]. 3.5.3 Polyolefin - related Options (Polypropylene, PVC, Plastic, Styrene) - Polypropylene: - Fundamentals: Increased maintenance losses. - Market Analysis: Weak and bearish. - Option Factors: Implied volatility below the mean, open interest PCR around 0.60, pressure level at 7300, and support level at 6900. - Strategies: A long - collar strategy for spot hedging [11]. 3.5.4 Rubber - related Options (Rubber, Synthetic Rubber) - Rubber: - Fundamentals: Tire production load decreased. - Market Analysis: Gradually recovering. - Option Factors: Implied volatility around the mean, open interest PCR below 0.60, pressure level at 18000, and support level at 15750. - Strategies: Construct a neutral - biased call + put option combination strategy [12]. 3.5.5 Polyester - related Options (PX, PTA, Short - fiber, Bottle - chip) - PTA: - Fundamentals: Stable supply - demand, low inventory and processing fees. - Market Analysis: Weak and bearish. - Option Factors: Implied volatility above the mean, open interest PCR around 0.60, pressure level at 5000, and support level at 4500. - Strategies: Construct a short - biased option combination strategy [12]. 3.5.6 Alkali - related Options (Caustic Soda, Soda Ash) - Caustic Soda: - Fundamentals: Some devices' load changes. - Market Analysis: Weak with pressure. - Option Factors: High - level implied volatility, open interest PCR below 0.80, pressure level at 3000, and support level at 2480. - Strategies: A long - collar strategy for spot hedging [13]. - Soda Ash: - Fundamentals: Supply recovery, price weakening. - Market Analysis: Weak and consolidating at a low level. - Option Factors: High - level implied volatility, open interest PCR below 0.60, pressure level at 1640, and support level at 1160. - Strategies: Construct a short - volatility combination strategy and a long - collar strategy for spot hedging [13]. 3.5.7 Urea Options - Fundamentals: Weak supply - demand, slow new - order transactions. - Market Analysis: Weak and fluctuating at a low level. - Option Factors: Implied volatility around the historical mean, open interest PCR below 0.60, pressure level at 1900, and support level at 1640. - Strategies: Construct a short - biased option combination strategy and a long - collar strategy for spot hedging [14].