能源化工期权策略早报：能源化工期权-20250929

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The energy and chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Options strategies and suggestions are provided for selected varieties in each sector [9]. - A seller - dominated options portfolio strategy, along with spot hedging or covered strategies, should be constructed to enhance returns [3]. 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 and chemical futures contracts, including crude oil, LPG, methanol, etc. For example, the latest price of crude oil (SC2511) is 495, with a price increase of 6 and a price change rate of 1.21% [4]. 3.2 Options Factors 3.2.1 Volume and Open Interest PCR - The volume PCR and open interest PCR of various options are provided, along with their changes. These indicators are used to describe the strength of the options underlying market and the timing of market turning points. For example, the volume PCR of crude oil options is 0.66, with a change of - 0.07, and the open interest PCR is 1.10, with a change of 0.01 [5]. 3.2.2 Pressure and Support Levels - The pressure and support levels of various options 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 options is 570, and the support level is 480 [6]. 3.2.3 Implied Volatility - The implied volatility of various options is presented, including at - the - money implied volatility, weighted implied volatility, and its change, annual average implied volatility, call and put implied volatility, historical volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of crude oil options is 40.31, and the weighted implied volatility is 43.83, with a change of 5.56 [7]. 3.3 Options Strategies and Suggestions 3.3.1 Energy - related Options - Crude Oil Options - Fundamentals: OPEC +'s production return plan may exacerbate the supply surplus, but the Russia - Ukraine situation causes supply disruptions. The US EIA apparent demand is weak, and the economic recovery after interest rate cuts needs to be observed [8]. - Market Analysis: Since July, crude oil has shown a pattern of weakening, followed by range - bound consolidation, and then a rebound. - Options Factor Research: The implied volatility of crude oil options fluctuates at a level slightly higher than the average. The open interest PCR is above 1.00, indicating some support below. The pressure level is 570, and the support level is 480 [8]. - Options Strategies: Construct a short neutral call + put options combination strategy for volatility strategies; construct a long collar strategy for spot long - position hedging [8]. - LPG Options - Fundamentals: The maintenance of PDH plants in China is stable, but the profit of PDH plants has declined significantly. It is expected that the capacity utilization rate will decline after entering the peak season [10]. - Market Analysis: LPG has shown a pattern of over - decline and rebound, with pressure above [10]. - Options Factor Research: The implied volatility of LPG options has dropped significantly to near the average. The open interest PCR is below 0.80, indicating a weak market. The pressure level is 4500, and the support level is 4200 [10]. - Options Strategies: Similar to crude oil options, construct a short neutral call + put options combination strategy for volatility strategies; construct a long collar strategy for spot long - position hedging [10]. 3.3.2 Alcohol - related Options - Methanol Options - Fundamentals: Port and enterprise inventories of methanol have decreased, and enterprise orders to be delivered have increased due to pre - holiday downstream stocking [10]. - Market Analysis: Methanol has shown a weak upward trend with pressure above [10]. - Options Factor Research: The implied volatility of methanol options fluctuates around the historical average. The open interest PCR is below 0.80, indicating a weak and volatile market. The pressure level is 2350, and the support level is 2250 [10]. - Options Strategies: Construct a short bearish call + put options combination strategy for volatility strategies; construct a long collar strategy for spot long - position hedging [10]. - Ethylene Glycol Options - Fundamentals: Port inventory of ethylene glycol is expected to be low and volatile in the short term and may enter a stocking cycle later [11]. - Market Analysis: Ethylene glycol has shown a weak downward trend [11]. - Options Factor Research: The implied volatility of ethylene glycol options fluctuates slightly below the average. The open interest PCR is around 0.70, indicating strong bearish power. The pressure level is 4500, and the support level is 4250 [11]. - Options Strategies: Construct a bearish spread combination strategy of put options for directional strategies; construct a short volatility strategy for volatility strategies; construct a long collar strategy for spot long - position hedging [11]. 3.3.3 Polyolefin - related Options - Polypropylene Options - Fundamentals: The inventory pressure of PP is higher than that of PE, with overall inventory reduction [12]. - Market Analysis: Polypropylene has shown a weak downward trend [12]. - Options Factor Research: The implied volatility of polypropylene options has decreased to near the average. The open interest PCR is around 0.70, indicating a weak market. The pressure level is 7400, and the support level is 6700 [12]. - Options Strategies: Construct a long collar strategy for spot long - position hedging [12]. 3.3.4 Rubber - related Options - Rubber Options - Fundamentals: Pre - holiday stocking has ended, and the buying sentiment at home and abroad has weakened, leading to a decline in rubber prices [13]. - Market Analysis: Rubber has shown a weak and volatile trend [13]. - Options Factor Research: The implied volatility of rubber options has risen rapidly and then dropped to near the average. The open interest PCR is below 0.60. The pressure level has dropped significantly to 17000, and the support level is 14500 [13]. - Options Strategies: Construct a short bearish call + put options combination strategy for volatility strategies [13]. 3.3.5 Polyester - related Options - PTA Options - Fundamentals: The weekly production and capacity utilization rate of domestic PTA have decreased, and social inventory has decreased [14]. - Market Analysis: PTA has shown a weak downward trend [14]. - Options Factor Research: The implied volatility of PTA options fluctuates at a level slightly higher than the average. The open interest PCR is around 0.70, indicating a volatile market. The pressure level is 5000, and the support level is 4600 [14]. - Options Strategies: Construct a short bearish call + put options combination strategy for volatility strategies [14]. 3.3.6 Alkali - related Options - Caustic Soda Options - Fundamentals: The caustic soda market is stable, with some fluctuations in the liquid caustic soda market and stability in the flake caustic soda market. Some chlor - alkali enterprises have maintenance or under - capacity operation, which has a certain positive impact on local prices [15]. - Market Analysis: Caustic soda has shown a downward - trending and volatile pattern [15]. - Options Factor Research: The implied volatility of caustic soda options is at a relatively high level. The open interest PCR is below 0.90, indicating a weak and volatile market. The pressure level is 3000, and the support level is 2440 [15]. - Options Strategies: Construct a bearish spread combination strategy for directional strategies; construct a long collar strategy for spot long - position hedging [15]. - Soda Ash Options - Fundamentals: The inventory of soda ash plants has decreased, and the inventory - available days have also decreased [15]. - Market Analysis: Soda ash has shown a weak and volatile trend at a low level [15]. - Options Factor Research: The implied volatility of soda ash options 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 1160 [15]. - Options Strategies: Construct a short volatility combination strategy for volatility strategies; construct a long collar strategy for spot long - position hedging [15]. 3.3.7 Urea Options - Fundamentals: The enterprise and port inventories of urea have increased, and the supply has returned, resulting in a continuous increase in enterprise inventory [16]. - Market Analysis: Urea has shown a weak and volatile trend at a low level [16]. - Options Factor Research: The implied volatility of urea options 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 [16]. - Options Strategies: Construct a short bearish call + put options combination strategy for volatility strategies; construct a long collar strategy for spot long - position hedging [16].