能源化工期权策略早报：能源化工期权-20251022

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy and chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each sector, options strategies and suggestions are provided for selected varieties. Each option variety's strategy report includes underlying market analysis, option factor research, and option strategy suggestions [9]. - The overall strategy is to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [3]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Data of Various Options: The report provides the latest prices, price changes, price change rates, trading volumes, volume changes, open interest, and open interest changes of various energy and chemical option underlying futures contracts, such as crude oil, liquefied petroleum gas (LPG), methanol, etc. [4]. 3.2 Option Factors - Volume and Open Interest PCR - Concept Explanation: The PCR indicator includes volume PCR (put option volume / call option volume) and open interest PCR (put option open interest / call option open interest). Volume PCR is mainly used to describe whether the underlying market has a turning point, while open interest PCR is used to describe the strength of the underlying market [5]. - Data of Various Options: The report presents the volume, volume changes, open interest, open interest changes, volume PCR, volume PCR changes, open interest PCR, and open interest PCR changes of various options [5]. 3.3 Option Factors - Pressure and Support Levels - Determination Method: The pressure and support levels of the underlying are determined from the strike prices with the largest open interest of call and put options [6]. - Data of Various Options: The report provides the pressure points, pressure point offsets, support points, support point offsets, maximum call option open interest, and maximum put option open interest of various options [6]. 3.4 Option Factors - Implied Volatility - Calculation Method: The implied volatility includes at - the - money implied volatility (the arithmetic average of call and put at - the - money option implied volatilities) and weighted implied volatility (using volume - weighted average) [7]. - Data of Various Options: The report shows the at - the - money implied volatility, weighted implied volatility, weighted implied volatility changes, annual average implied volatility, call option implied volatility, put option implied volatility, historical 20 - day volatility, and the difference between implied and historical volatility of various options [7]. 3.5 Option Strategies and Suggestions for Different Varieties 3.5.1 Energy - related Options - Crude Oil: - Underlying Market Analysis: OPEC maintains a 137,000 - barrel - per - day increase. The US shale oil production has slightly increased, and refinery operations are seasonally declining but approaching a small demand peak. The crack spread of refined oil has declined, and the monthly spread of crude oil is stronger than the single - price performance. The market has shown a weak trend overall since July [8]. - Option Factor Research: The implied volatility of crude oil options has declined to near the average. The open interest PCR is around 0.60, indicating a weak market. The pressure level is 500, and the support level is 400 [8]. - Option Strategy Suggestions: Directional strategy: None. Volatility strategy: Construct a neutral - biased short call + put option combination strategy. Spot long - hedging strategy: Construct a long collar strategy [8]. - LPG: - Underlying Market Analysis: In September, the estimated domestic LPG commodity volume decreased. The market has shown a pattern of over - decline and rebound with pressure above [10]. - Option Factor Research: The implied volatility of LPG options has significantly declined to below the average. The open interest PCR is around 0.60, indicating a weak market. The pressure level is 4500, and the support level is 3600 [10]. - Option Strategy Suggestions: Directional strategy: None. Volatility strategy: Construct a neutral - biased short call + put option combination strategy. Spot long - hedging strategy: Construct a long collar strategy [10]. 3.5.2 Alcohol - related Options - Methanol: - Underlying Market Analysis: Port inventory has decreased, and enterprise inventory has increased. The market has shown a weak trend with pressure above [10]. - Option 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 2300, and the support level is 2250 [10]. - Option Strategy Suggestions: Directional strategy: None. Volatility strategy: Construct a short - biased short call + put option combination strategy. Spot long - hedging strategy: Construct a long collar strategy [10]. - Ethylene Glycol: - Underlying Market Analysis: Port inventory has increased, and the market has entered a inventory - building cycle. The market has shown a weak trend [11]. - Option Factor Research: The implied volatility of ethylene glycol options fluctuates below the average. The open interest PCR is around 0.60, indicating strong short - side power. The pressure level is 4500, and the support level is 4050 [11]. - Option Strategy Suggestions: Directional strategy: Construct a bear spread strategy using put options. Volatility strategy: Construct a short - volatility strategy. Spot long - hedging strategy: Hold a long spot position + buy a put option + sell an out - of - the - money call option [11]. 3.5.3 Polyolefin - related Options - Polypropylene: - Underlying Market Analysis: PP production enterprise inventory has decreased, and the market has shown a weak trend with downward pressure [11]. - Option Factor Research: The implied volatility of polypropylene options has declined to near the average. The open interest PCR is around 0.70, indicating a weak market. The pressure level is 7300, and the support level is 6300 [11]. - Option Strategy Suggestions: Directional strategy: None. Volatility strategy: None. Spot long - hedging strategy: Hold a long spot position + buy an at - the - money put option + sell an out - of - the - money call option [11]. 3.5.4 Rubber - related Options - Rubber: - Underlying Market Analysis: The social inventory of natural rubber in China has decreased. The market has shown a weak and volatile pattern with support below and pressure above [12]. - Option Factor Research: The implied volatility of rubber options has risen sharply and then declined to near the average. The open interest PCR is around 0.60. The pressure level has dropped significantly to 17000, and the support level is 14000 [12]. - Option Strategy Suggestions: Directional strategy: None. Volatility strategy: Construct a short - biased short call + put option combination strategy. Spot hedging strategy: None [12]. 3.5.5 Polyester - related Options - PTA: - Underlying Market Analysis: The overall social inventory of PTA has increased slightly, and the market has shown a weak and short - biased trend with pressure above [12]. - Option Factor Research: The implied volatility of PTA options fluctuates at a relatively high level. The open interest PCR is around 0.70, indicating a volatile market. The pressure level is 4600, and the support level is 4300 [12]. - Option Strategy Suggestions: Directional strategy: None. Volatility strategy: Construct a short - biased short call + put option combination strategy. Spot hedging strategy: None [12]. 3.5.6 Alkali - related Options - Caustic Soda: - Underlying Market Analysis: The average utilization rate of caustic soda production capacity has decreased. The market has shown a weak and short - biased trend recently [13]. - Option Factor Research: The implied volatility of caustic soda options fluctuates at a relatively high level. The open interest PCR is around 0.90, indicating a weak and volatile market. The pressure level is 2720, and the support level is 2280 [13]. - Option Strategy Suggestions: Directional strategy: Construct a bear spread strategy. Volatility strategy: None. Spot collar hedging strategy: Hold a long spot position + buy a put option + sell an out - of - the - money call option [13]. - Soda Ash: - Underlying Market Analysis: The in - plant inventory of soda ash has increased. The market has shown a low - level and weak - volatile pattern with support below [13]. - Option Factor Research: The implied volatility of soda ash options fluctuates at a relatively high historical level. The open interest PCR is below 0.60, indicating strong short - side pressure. The pressure level is 1400, and the support level is 1100 [13]. - Option Strategy Suggestions: Directional strategy: None. Volatility strategy: Construct a short - volatility combination strategy. Spot long - hedging strategy: Construct a long collar strategy [13]. 3.5.7 Urea Options - Underlying Market Analysis: The enterprise inventory of urea has increased, and the market has shown a low - level and weak - volatile pattern [14]. - Option Factor Research: The implied volatility of urea options fluctuates slightly around the historical average. The open interest PCR is below 0.60, indicating strong short - side pressure. The pressure level is 1800, and the support level is 1600 [14]. - Option Strategy Suggestions: Directional strategy: Construct a bear spread strategy using put options. Volatility strategy: Construct a short - biased short call + put option combination strategy. Spot hedging strategy: Hold a long spot position + buy an at - the - money put option + sell an out - of - the - money call option [14].