天富期货能化假期策略前瞻简述

Report Summary 1. Investment Rating No investment rating is provided in the report. 2. Core View The report focuses on the prospects of energy - chemical holiday strategies. It believes that the current trading logic of crude oil is a game between short - term emotional positives from geopolitical or threat - sanction news and medium - term supply - demand surplus fundamentals. The probability of the crude oil price center shifting down in the fourth quarter is high. For futures, most energy - chemical products have a weakening trend, and for options, the potential of put - buying strategies is analyzed [1][4]. 3. Summary by Directory 3.1 Holiday Potential Driving Events and Possible Impacts - There are two scenarios for the September non - farm payrolls data to be released on October 3. If it continues to weaken, the previous interest - rate cut expectations will continue. If there is an upward revision of the August data and the September data stabilizes, it may correct the current optimistic interest - rate cut expectations, having a negative impact on gold, silver, copper, and crude oil, but it's not enough to break the $60 support for WTI unless there is a collective slump in risk assets [1]. - At the OPEC+ meeting on October 5, OPEC is expected to increase production by 137,000 barrels per day in October and may partially or fully restore 1.65 million barrels per day in the future. Whether the continued or unexpectedly high production increase can drive the crude oil price below the $60 support is worth attention, as a breakdown may lead to a large decline in overseas crude oil futures during the holiday [1]. 3.2 Futures Strategy Since August, most short - selling strategies in the evening reports, except for crude oil, have achieved significant profits. The holiday strategy is to actively take half - position or more profits and keep a partial position. The weak fundamentals of most energy - chemical products remain unchanged, and the downward trend continues [2]. 3.3 Put - Buying Strategy - Current Background: The trading logic of crude oil is a game between short - term positives and medium - term negatives. The probability of the crude oil price center shifting down in the fourth quarter is high [4]. - Advantages: The absolute volatility of overseas crude oil futures during holidays has significantly increased in recent years. For put options, as long as the absolute price movement of the underlying asset is large enough, the option yield far exceeds the futures yield [4]. - Disadvantages: Before long holidays, the implied volatility of put options has been rising rapidly, resulting in high premiums for put options before holidays and a lower cost - effectiveness compared to four or five years ago [4]. - Investment Suggestion: The investment in put - buying should not exceed 5% - 15% of the account funds, depending on the contract month. Generally, the 11 - contract should not exceed 5%, the 12 - contract should not exceed 10%, and the farther 12 - contract should not exceed 15%. One can also use the previous futures profits for partial investment. When buying put options, one should consider whether the profit from the absolute price change during the 8 - day National Day holiday can exceed the time value and volatility value depreciation [5]. - Value Estimation: Taking the 11 - contract P out - of - the - money 4 - strike put option of crude oil as an example, the total depreciation is about 70%. The value of the put option is the same as before the holiday when the 11 - contract opens 3.2% lower after the holiday, and it doubles when it drops 5%. For the 12 - contract P out - of - the - money 5 - strike put option of crude oil, the total depreciation is about 35%. The value of the put option is the same as before the holiday when the 12 - contract opens 2.3% lower after the holiday, and it doubles when it drops 6.5%. For the 12 - contract P out - of - the - money 2.5 - strike put option of PX, the total depreciation is about 55%. The value of the put option is the same as before the holiday when the 12 - contract opens 1.6% lower after the holiday, and it doubles when it drops 3.2% [6]. - Alternative Option: Usually, other energy - chemical products follow crude oil, so generally, only crude oil put options are considered. But this year, due to the high premium of crude oil put options and relatively low implied - volatility premium of PX12 - contract put options, PX12 can be a second choice [6].