能源化工期权策略早报：能源化工期权-20250919

Group 1: Report Overview - The report is an early morning strategy report on energy and chemical options dated September 19, 2025 [2] - It covers various categories of energy and chemical options, including energy, polyolefins, polyesters, alkali chemicals, and others [3] - The recommended strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [3] Group 2: Underlying Futures Market Overview - Information on the latest price, change, percentage change, trading volume, volume change, open interest, and open interest change of multiple underlying contracts such as crude oil, liquefied gas, and methanol is provided [4] Group 3: Option Factor - Volume and Open Interest PCR - Data on the trading 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 are presented [5] - The volume PCR and open interest PCR are used to describe the strength of the underlying option market and the turning point of the underlying market respectively [5] Group 4: Option Factor - Pressure and Support Levels - The pressure points, pressure point offsets, support points, support point offsets, maximum call option open interest, and maximum put option open interest of various option varieties are shown [6] - These are determined based on the strike prices with the maximum open interest of call and put options [6] Group 5: Option Factor - Implied Volatility - Data on 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 are provided [7] - The at - the - money implied volatility is the arithmetic average of call and put at - the - money option implied volatilities, and the weighted implied volatility uses volume - weighted average [7] Group 6: Strategy and Recommendations for Different Options Energy - related Options Crude Oil - Fundamental data shows changes in European ARA weekly gasoline, diesel, fuel oil, and naphtha inventories [8] - The market has been weak and bearish since July, with the option implied volatility around the average, and the open interest PCR indicating a sideways market [8] - Recommended strategies include constructing a short - biased call + put option combination for volatility, and a long collar strategy for spot hedging [8] Liquefied Gas - Factory and port inventories have changed, and the market has shown a pattern of over - sold rebound [10] - The option implied volatility has dropped to near the average, and the open interest PCR indicates a sideways market [10] - Recommended strategies include constructing a neutral - biased call + put option combination for volatility, and a long collar strategy for spot hedging [10] Alcohol - related Options Methanol - The port has high inventory, and the market has been weak with some rebound recently [10] - The option implied volatility is below the average, and the open interest PCR indicates a weak sideways market [10] - Recommended strategies include a bear spread strategy for direction, a short - biased call + put option combination for volatility, and a long collar strategy for spot hedging [10] Ethylene Glycol - Terminal loads are stable, and the port has inventory accumulation. The market has been weak [11] - The option implied volatility is below the average, and the open interest PCR indicates strong bearish pressure [11] - Recommended strategies include a bear spread strategy for direction, a short volatility strategy, and a long collar strategy for spot hedging [11] Polyolefin - related Options Polypropylene - Inventory changes and downstream开工率 have changed. The market has been weak [11] - The option implied volatility is below the average, and the open interest PCR indicates a weakening market [11] - Recommended strategies include a long collar strategy for spot hedging [11] Rubber - related Options Rubber - Social inventories have decreased. The market has shown a pattern of weak sideways movement [12] - The option implied volatility has fluctuated around the average, and the open interest PCR is below 0.6 [12] - Recommended strategies include constructing a neutral - biased call + put option combination for volatility [12] Polyester - related Options PTA - Downstream loads have increased, and inventory has decreased. The market has been weak and bearish [13] - The option implied volatility is at a relatively high level, and the open interest PCR indicates a sideways market [13] - Recommended strategies include constructing a short - biased call + put option combination for volatility [13] Alkali - related Options Caustic Soda - Factory inventories have decreased. The market has shown a pattern of downward movement with pressure [14] - The option implied volatility is at a high level, and the open interest PCR indicates a weak sideways market [14] - Recommended strategies include a long collar strategy for spot hedging [14] Soda Ash - Factory and delivery warehouse inventories have changed. The market has shown a pattern of low - level sideways movement [14] - The option implied volatility is at a relatively high historical level, and the open interest PCR indicates strong bearish pressure [14] - Recommended strategies include a short volatility combination strategy for volatility, and a long collar strategy for spot hedging [14] Other Options Urea - Enterprise inventories have increased slightly. The market has been in a low - level weak sideways pattern [15] - The option implied volatility is around the historical average, and the open interest PCR indicates strong bearish pressure [15] - Recommended strategies include constructing a short - biased call + put option combination for volatility, and a long collar strategy for spot hedging [15] Group 7: Option Charts - Charts for various option varieties, including price trends, trading volume and open interest, open interest PCR, turnover PCR, implied volatility, historical volatility cones, and pressure and support levels, are provided [16][35][54]