Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. A strategy of building option portfolios mainly as sellers and spot hedging or covered strategies is recommended to enhance returns [3][9]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various energy - chemical futures contracts, including crude oil, LPG, methanol, etc. For example, the latest price of crude oil (SC2511) is 501, with a price increase of 8 and a price change rate of 1.56% [4]. 3.2 Option Factors - Volume - to - Open - Interest PCR: It shows the volume, volume change, open interest, open interest change, volume PCR, volume PCR change, open interest PCR, and open interest PCR change of different option varieties. For instance, the volume PCR of crude oil options is 0.87, with no change, and the open interest PCR is 1.15, with a change of 0.03 [5]. - Pressure and Support Levels: From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support levels of option underlying assets are analyzed. For example, the pressure level of crude oil is 570, and the support level is 480 [6]. - Implied Volatility: It includes the at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average implied volatility, call implied volatility, put implied volatility, historical 20 - day volatility, and the difference between implied and historical volatility of each option variety. For example, the at - the - money implied volatility of crude oil is 29.445, and the weighted implied volatility is 31.93, with a change of - 0.21 [7]. 3.3 Strategy and Recommendations - Energy - related Options (Crude Oil): - Fundamentals: European ARA weekly data shows changes in gasoline, diesel, fuel oil, and naphtha inventories. - Market Analysis: Since July, crude oil has shown a bearish market with pressure above. - Option Factor Research: Implied volatility fluctuates around the average, and the open interest PCR is above 1.00, indicating a sideways market. The pressure level is 570, and the support level is 480. - Strategies: Directional strategy: None; Volatility strategy: Build a short - biased call + put option combination strategy; Spot long - hedging strategy: Build a long collar strategy [8]. - LPG Options: - Fundamentals: Factory inventory and port inventory have increased. - Market Analysis: It shows an oversold rebound market with pressure above. - Option Factor Research: Implied volatility has dropped significantly to around the average, and the open interest PCR is around 0.90, indicating a sideways market. The pressure level is 5300, and the support level is 4200. - Strategies: Directional strategy: None; Volatility strategy: Build a neutral - biased call + put option combination strategy; Spot long - hedging strategy: Build a long collar strategy [10]. - Methanol Options: - Fundamentals: High port inventory persists, but most negative factors have been priced in. Supply is sufficient, and demand is expected to improve marginally. - Market Analysis: It shows a weak - biased market with pressure above. - Option Factor Research: Implied volatility has decreased and fluctuates below the average. The open interest PCR is around 0.90, indicating a weak - sideways market. The pressure level is 2400, and the support level is 2250. - Strategies: Directional strategy: Build a put option bear spread strategy; Volatility strategy: Build a short - biased call + put option combination strategy; Spot long - hedging strategy: Build a long collar strategy [10]. - Ethylene Glycol Options: - Fundamentals: Terminal load remains flat, and port inventory has increased. - Market Analysis: It shows a weak - biased market with pressure above. - Option Factor Research: Implied volatility fluctuates below the average. The open interest PCR is around 0.60, indicating strong bearish power. The pressure level is 4500, and the support level is 4250. - Strategies: Directional strategy: Build a put option bear spread strategy; Volatility strategy: Build a short - volatility strategy; Spot long - hedging strategy: Hold a spot long position + buy a put option + sell an out - of - the - money call option [11]. - Polyolefin Options (Polypropylene, etc.): - Fundamentals: There are changes in production enterprise inventory, trader inventory, and port inventory, and the downstream average operating rate has increased. - Market Analysis: Polypropylene shows a weak - biased market with pressure above. - Option Factor Research: Implied volatility of polypropylene has decreased to below the average. The open interest PCR is around 0.70, indicating a weakening trend. The pressure level is 7400, and the support level is 6700. - Strategies: Directional strategy: None; Volatility strategy: None; Spot long - hedging strategy: Hold a spot long position + buy an at - the - money put option + sell an out - of - the - money call option [11]. - Rubber Options: - Fundamentals: China's natural rubber social inventory has decreased. - Market Analysis: It shows a weak - sideways market with support below and pressure above. - Option Factor Research: Implied volatility has risen sharply and then dropped to around the average. The open interest PCR is below 0.60. The pressure level is 17000, and the support level is 15750. - Strategies: Directional strategy: None; Volatility strategy: Build a neutral - biased call + put option combination strategy; Spot hedging strategy: None [12]. - Polyester Options (PTA, etc.): - Fundamentals: Downstream load has increased, and social inventory has decreased. - Market Analysis: PTA shows a weak - bearish market with pressure above. - Option Factor Research: Implied volatility of PTA fluctuates at a relatively high level. The open interest PCR is around 0.70, indicating a sideways market. The pressure level is 5000, and the support level is 4600. - Strategies: Directional strategy: None; Volatility strategy: Build a short - biased call + put option combination strategy; Spot hedging strategy: None [13]. - Caustic Soda Options: - Fundamentals: National liquid caustic soda factory inventory has decreased. - Market Analysis: It shows a downward - sideways market with pressure above. - Option Factor Research: Implied volatility is at a relatively high level. The open interest PCR is below 0.80, indicating a weak - sideways market. The pressure level is 3000, and the support level is 2400. - Strategies: Directional strategy: None; Volatility strategy: None; Spot collar hedging strategy: Hold a spot long position + buy a put option + sell an out - of - the - money call option [14]. - Soda Ash Options: - Fundamentals: Soda ash factory inventory and delivery warehouse inventory have changed. - Market Analysis: It shows a low - level upward market with support below. - Option Factor Research: Implied volatility is at a relatively high historical level. The open interest PCR is below 0.60, indicating strong bearish pressure. The pressure level is 1300, and the support level is 1200. - Strategies: Directional strategy: Not specified; Volatility strategy: Build a short - volatility combination strategy; Spot long - hedging strategy: Build a long collar strategy [14]. - Urea Options: - Fundamentals: China's urea enterprise total inventory has increased, but some enterprises' inventory has decreased due to export orders. - Market Analysis: It shows a low - level sideways and weak market. - Option Factor Research: Implied volatility fluctuates slightly around the historical average. The open interest PCR is below 0.60, indicating strong bearish pressure. The pressure level is 1800, and the support level is 1620. - Strategies: Directional strategy: None; Volatility strategy: Build a short - biased call + put option combination strategy; Spot hedging strategy: Hold a spot long position + buy an at - the - money put option + sell an out - of - the - money call option [15].
能源化工期权策略早报-20250917
Wu Kuang Qi Huo·2025-09-17 06:49