能源化工期权策略早报-20250912
Wu Kuang Qi Huo·2025-09-12 02:38
- 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, etc. Strategies mainly involve constructing option combination strategies dominated by sellers and spot hedging or covered strategies to enhance returns [3][9] 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various energy - chemical futures showed different price movements, trading volumes, and open interest changes. For example, crude oil (SC2511) was at 483, down 6 (-1.31%), with a trading volume of 2.92 million lots (down 0.40 million lots) and open interest of 2.26 million lots (up 0.09 million lots) [4] 3.2 Option Factors - Volume and Open Interest PCR - Different option varieties had different volume and open interest PCR values and their changes. For instance, the volume PCR of crude oil was 0.85 (up 0.18), and the open interest PCR was 0.85 (up 0.12) [5] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of each option variety were analyzed. For example, the pressure level of crude oil was 570 and the support level was 415 [6] 3.4 Option Factors - Implied Volatility - The implied volatility of each option variety was presented, including at - the - money implied volatility, weighted implied volatility, and its changes. For example, the at - the - money implied volatility of crude oil was 29.61%, and the weighted implied volatility was 33.95% (up 2.83%) [7] 3.5 Strategy and Recommendations for Each Option Variety 3.5.1 Energy - related Options: Crude Oil - Fundamentals: Geopolitical short - term disturbances, long - term supply - demand negatives, and concerns about employment and the economy. Market analysis: A bearish market with pressure. Option factors: Implied volatility around the mean, open interest PCR above 0.80, pressure level at 570 and support level at 415. Strategies: Construct a short - biased call + put option combination strategy and a long collar strategy for spot hedging [8] 3.5.2 Energy - related Options: Liquefied Petroleum Gas (LPG) - Fundamentals: Loose supply and low demand. Market analysis: A weak market with pressure. Option factors: Implied volatility near the mean, open interest PCR around 0.70. Strategies: Construct a short - biased call + put option combination strategy and a long collar strategy for spot hedging [10] 3.5.3 Alcohol - related Options: Methanol - Fundamentals: Increased production and capacity utilization. Market analysis: A weak market with pressure. Option factors: Implied volatility below the mean, open interest PCR around 0.90. Strategies: Construct a bear spread strategy for put options, a short - biased call + put option combination strategy, and a long collar strategy for spot hedging [10] 3.5.4 Alcohol - related Options: Ethylene Glycol - Fundamentals: Decreased inventory. Market analysis: A weak market with pressure. Option factors: Implied volatility below the mean, open interest PCR below 0.60. Strategies: Construct a short - volatility strategy and a long collar strategy for spot hedging [11] 3.5.5 Polyolefin - related Options: Polypropylene - Fundamentals: Increased maintenance losses. Market analysis: A weak market with pressure. Option factors: Implied volatility below the mean, open interest PCR around 0.60. Strategies: A long collar strategy for spot hedging [11] 3.5.6 Rubber - related Options: Rubber - Fundamentals: Decreased tire production load. Market analysis: A gradually warming - up market with support and pressure. Option factors: Implied volatility near the mean, open interest PCR below 0.60. Strategies: Construct a neutral - biased call + put option combination strategy [12] 3.5.7 Polyester - related Options: PTA - Fundamentals: Stable supply - demand, low inventory and processing fees. Market analysis: A weak bearish market with pressure. Option factors: Implied volatility above the mean, open interest PCR around 0.70. Strategies: Construct a short - biased call + put option combination strategy [12] 3.5.8 Alkali - related Options: Caustic Soda - Fundamentals: Changes in production load. Market analysis: A market with pressure and downward fluctuations. Option factors: High - level implied volatility, open interest PCR around 1.00. Strategies: A long collar strategy for spot hedging [13] 3.5.9 Alkali - related Options: Soda Ash - Fundamentals: Increased production, weak price due to market supply. Market analysis: A low - level weak consolidation market with pressure. Option factors: High - level implied volatility, open interest PCR below 0.60. Strategies: Construct a short - volatility combination strategy and a long collar strategy for spot hedging [13] 3.5.10 Urea Options - Fundamentals: Weak supply - demand, slow new order transactions. Market analysis: A low - level weak consolidation market. Option factors: Implied volatility around the mean, open interest PCR below 0.60. Strategies: Construct a short - biased call + put option combination strategy and a long collar strategy for spot hedging [14]