能源化工期权策略早报：能源化工期权-20251023

1. Report Industry Investment Rating There is no information provided regarding the report industry investment rating in the given content. 2. Core Viewpoints of the Report - The energy - 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, and option strategy reports are prepared for each option variety based on underlying market analysis, option factor research, and option strategy suggestions [9]. - Overall, the report suggests constructing option combination strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [3]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The report provides the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of various energy - chemical futures, including crude oil, liquefied petroleum gas (LPG), methanol, ethylene glycol, etc. For example, the latest price of crude oil futures (SC2512) is 449, with a price increase of 7 and a price increase percentage of 1.65% [4]. 3.2 Option Factor - Volume and Open Interest PCR - It shows the trading volumes, volume changes, open interests, open interest changes, volume PCR (Put - Call Ratio), volume PCR changes, open interest PCR, and open interest PCR changes of various energy - chemical options. For instance, the volume PCR of crude oil options is 0.52, with a change of - 0.13, and the open interest PCR is 0.56, with a change of 0.01 [5]. 3.3 Option Factor - Pressure and Support Levels - The report presents the at - the - money strike prices, pressure points, pressure point offsets, support points, support point offsets, maximum call option open interests, and maximum put option open interests of various energy - chemical options. For example, the pressure point of crude oil options is 500, and the support point is 400 [6]. 3.4 Option Factor - Implied Volatility - It provides 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, 20 - day historical volatility, and implied - historical volatility differences of various energy - chemical options. For example, the at - the - money implied volatility of crude oil options is 28.2, and the weighted implied volatility is 30.84, with a change of - 2.19 [7]. 3.5 Strategy and Suggestions 3.5.1 Energy - related Options (Crude Oil) - Underlying Market Analysis: OPEC maintains a principle - based production increase of 137,000 barrels per day. The U.S. shale oil production has slightly increased, and refineries are in a seasonal decline but are about to enter 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. Since July, crude oil has gradually weakened and then traded in a range, showing a weak market trend with upward pressure [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 recent weak crude oil market. The pressure point is 500, and the support point is 400 [8]. - Option Strategy Suggestions: No directional strategy is recommended. A volatility strategy of selling a relatively neutral combination of call and put options is proposed to obtain option time value and directional returns, with dynamic adjustment of positions to keep the delta neutral. A spot long - hedging strategy of constructing a long collar strategy is also suggested [8]. 3.5.2 Energy - related Options (LPG) - Underlying Market Analysis: In September, the estimated domestic LPG commercial volume was 1.6221 million tons, a month - on - month decrease of 5.65%. Since July, LPG has shown a market trend of over - sold rebound with upward pressure [10]. - Option Factor Research: The implied volatility of LPG options has significantly declined to below the average. The open interest PCR is around 0.70, indicating a recent weak LPG market. The pressure point is 4500, and the support point is 3600 [10]. - Option Strategy Suggestions: No directional strategy is recommended. A volatility strategy of selling a relatively neutral combination of call and put options is proposed, along with a spot long - hedging strategy of constructing a long collar strategy [10]. 3.5.3 Alcohol - related Options (Methanol) - Underlying Market Analysis: The port inventory is 1.4914 million tons, a month - on - month decrease of 51,800 tons. The enterprise inventory is 359,900 tons, a month - on - month increase of 20,500 tons. Since July, methanol has shown a weak market trend with upward pressure [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 recent weak and volatile methanol market. The pressure point is 2300, and the support point is 2250 [10]. - Option Strategy Suggestions: No directional strategy is recommended. A volatility strategy of selling a relatively bearish combination of call and put options is proposed, along with a spot long - hedging strategy of constructing a long collar strategy [10]. 3.5.4 Alcohol - related Options (Ethylene Glycol) - Underlying Market Analysis: The port inventory is 541,000 tons, a month - on - month increase of 34,000 tons. Since July, ethylene glycol has shown a weak market trend with upward pressure [11]. - Option Factor Research: The implied volatility of ethylene glycol options fluctuates below the average. The open interest PCR is around 0.70, indicating strong recent bearish forces. The pressure point is 4500, and the support point is 4050 [11]. - Option Strategy Suggestions: A directional strategy of constructing a bear - spread combination of put options is recommended. A volatility strategy of shorting volatility is proposed, along with a spot long - hedging strategy [11]. 3.5.5 Polyolefin - related Options (Polypropylene) - Underlying Market Analysis: The inventory of PP production enterprises, traders, and ports has decreased. Since July, polypropylene has shown a weak market trend with upward bearish 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 recent weak polypropylene market. The pressure point is 7300, and the support point is 6300 [11]. - Option Strategy Suggestions: No directional or volatility strategy is recommended. A spot long - hedging strategy of holding a long position in the underlying + buying an at - the - money put option + selling an out - of - the - money call option is proposed [11]. 3.5.6 Rubber - related Options (Rubber) - Underlying Market Analysis: The social inventory of natural rubber in China has decreased. Since July, rubber has shown a weak and volatile market trend with support below and pressure above [12]. - Option Factor Research: The implied volatility of rubber options has rapidly increased and then declined to near the average. The open interest PCR is below 0.60. The pressure point has significantly moved down to 17000, and the support point is 14000 [12]. - Option Strategy Suggestions: No directional strategy is recommended. A volatility strategy of selling a relatively bearish combination of call and put options is proposed. No spot hedging strategy is provided [12]. 3.5.7 Polyester - related Options (PTA) - Underlying Market Analysis: The overall social inventory of PTA (excluding credit warehouse receipts) has increased slightly. Since July, PTA has shown a weak and bearish market trend with upward pressure [12]. - Option Factor Research: The implied volatility of PTA options fluctuates at a relatively high level above the average. The open interest PCR is around 0.70, indicating a recent volatile PTA market. The pressure point is 4600, and the support point is 4300 [12]. - Option Strategy Suggestions: No directional strategy is recommended. A volatility strategy of selling a relatively bearish combination of call and put options is proposed. No spot hedging strategy is provided [12]. 3.5.8 Alkali - related Options (Caustic Soda) - Underlying Market Analysis: The average capacity utilization rate of caustic soda sample enterprises has decreased. Since July, caustic soda has shown a weak and bearish market trend with upward pressure [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 recent weak and volatile caustic soda market. The pressure point is 2600, and the support point is 2280 [13]. - Option Strategy Suggestions: A directional strategy of constructing a bear - spread combination is recommended. No volatility strategy is provided. A spot collar hedging strategy is proposed [13]. 3.5.9 Alkali - related Options (Soda Ash) - Underlying Market Analysis: The in - plant inventory of soda ash has increased. Since July, soda ash has shown a low - level and volatile market trend 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 bearish pressure. The pressure point is 1400, and the support point is 1100 [13]. - Option Strategy Suggestions: A volatility strategy of shorting the volatility combination is proposed. A spot long - hedging strategy of constructing a long collar strategy is also suggested [13]. 3.5.10 Other Options (Urea) - Underlying Market Analysis: The enterprise and port inventories of urea have increased. Since July, urea has shown a low - level and volatile market trend [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 bearish pressure. The pressure point is 1800, and the support point is 1600 [14]. - Option Strategy Suggestions: A directional strategy of constructing a bear - spread combination of put options is recommended. A volatility strategy of selling a relatively bearish combination of call and put options is proposed, along with a spot hedging strategy [14].