能源化工期权策略早报：能源化工期权-20251103

1. Report Industry Investment Rating - Not provided in the document 2. Core View of the Report - The energy and chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each sector, options strategies and recommendations are provided for selected varieties. Options strategy reports are compiled based on the analysis of the underlying market, option factor research, and option strategy recommendations for each option variety. Strategies mainly involve constructing option combination strategies focused on sellers, as well as spot hedging or covered strategies to enhance returns [8]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of various energy and chemical option underlying futures contracts are presented. For example, the latest price of crude oil (SC2512) is 464, with a price increase of 4 and a price change percentage of 0.91%, trading volume of 8.02 million lots, volume change of -2.85 million lots, open interest of 2.96 million lots, and open interest change of -0.19 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - Volume and open interest PCR data for various energy and chemical options are provided. Volume PCR is used to describe whether the underlying market has a turning point, and open interest PCR is used to describe the strength of the option underlying market. For example, the volume PCR of crude oil options is 0.90, with a change of -0.03, and the open interest PCR is 0.66, with a change of -0.03 [4]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels for various energy and chemical option underlying contracts 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 (SC2512) is 500, and the support level is 440 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility data for various energy and chemical options are presented, including at-the-money implied volatility, weighted implied volatility, weighted implied volatility changes, annual average implied volatility, call implied volatility, put implied volatility, historical 20 - day volatility, and the difference between implied and historical volatility. For example, the at-the-money implied volatility of crude oil options is 27.935%, the weighted implied volatility is 29.69%, with a change of -0.19% [6]. 3.5 Strategy and Recommendations 3.5.1 Energy Options - Crude Oil - Fundamental analysis: US refinery demand has stabilized and rebounded. During the recent oil price decline, shale oil production did not significantly decrease. OPEC exports have increased, but most are absorbed by China, so there is no obvious visible inventory in the market. In Europe, the overall refined oil inventory is in a low - level destocking state, and the crude oil inventory has increased, but refinery demand is about to enter the peak season, and the diesel crack spread remains high [7]. - Market analysis: Since July, crude oil prices have gradually weakened and then consolidated in a range. In August, prices first rose and then fell, showing short - term weak fluctuations. In September, the market continued to be weak and bearish before gradually rebounding. In October, prices fell sharply and then stopped falling and rebounded [7]. - Option factor research: The implied volatility of crude oil options has declined to near the average level. The open interest PCR of options is below 0.80, indicating that crude oil has been in a weak market recently. From the perspective of options, the pressure level of crude oil is 500, and the support level is 450 [7]. - Option strategy recommendations: Directional strategy: None. Volatility strategy: Construct a short - neutral call + put option combination strategy to obtain option time value and directional returns, and dynamically adjust the position to keep the position delta neutral. Spot long - hedging strategy: Construct a long collar strategy, holding a spot long position + buying a put option + selling an out - of - the - money call option [7]. 3.5.2 Energy Options - Liquefied Petroleum Gas (LPG) - Fundamental analysis: The cost - end crude oil is under pressure from oversupply on one hand and geopolitical issues on the other. Last week, the crude oil price fluctuated around the $65 mark, and OPEC maintained its production increase. US propane inventories continue to accumulate, and the inventory is at a historical high, waiting for an inventory inflection point [9]. - Market analysis: Since August, LPG prices have accelerated their decline, then rebounded and rose, but the upward movement was blocked and then declined. In September, prices first rose and then fell rapidly. In October, prices were first weak and then strong, gradually rebounding and rising, followed by slight fluctuations, showing an oversold rebound market with resistance above [9]. - Option factor research: The implied volatility of LPG options has significantly declined to near the lower - than - average level. The open interest PCR of LPG options is around 0.80, indicating that LPG has been in a weak market recently. From the perspective of options, the pressure level of LPG is 4500, and the support level is 4000 [9]. - Option strategy recommendations: Directional strategy: None. Volatility strategy: Construct a short - neutral call + put option combination strategy to obtain option time value and directional returns, and dynamically adjust the position to keep the position delta neutral. Spot long - hedging strategy: Construct a long collar strategy, holding a spot long position + buying a put option + selling an out - of - the - money call option [9]. 3.5.3 Alcohol Options - Methanol - Fundamental analysis: The port inventory of methanol is 150.65 million tons, with a month - on - month decrease of 0.57 million tons, remaining in a high - level shock state and difficult to effectively destock. The enterprise inventory is 37.61 million tons, with a month - on - month increase of 1.57 million tons, and the year - on - year level is low. The enterprise's pending orders are 21.56 million tons, with a month - on - month decrease of 0.01 million tons [9]. - Market analysis: In July, methanol prices rose and then fell, continuously declining and weakening, followed by significant fluctuations. Since August, prices have gradually weakened and trended downward. In September, prices consolidated at a low level and then rebounded. Since October, the market has continued to be weak and bearish, showing a weak market trend with resistance above [9]. - Option factor research: The implied volatility of methanol options fluctuates around the historical average level. The open interest PCR of methanol options is below 0.80, indicating that methanol has been in a weak and fluctuating market recently. From the perspective of options, the pressure level of methanol is 2300, and the support level is 2200 [9]. - Option strategy recommendations: Directional strategy: Construct a bear spread strategy of put options to obtain directional returns. Volatility strategy: Construct a short - bearish call + put option combination strategy to obtain option time value, and dynamically adjust the position to keep the position delta bearish. Spot long - hedging strategy: Construct a long collar strategy, holding a spot long position + buying a put option + selling an out - of - the - money call option. When the market rebounds to the high strike price, close the position in combination with spot sales [9]. 3.5.4 Alcohol Options - Ethylene Glycol - Fundamental analysis: The port inventory of ethylene glycol is 52.3 million tons, with a month - on - month destocking of 5.6 million tons; the downstream factory inventory days are 13.4 days, with a month - on - month decrease of 0.1 days. In the short term, the arrival volume was high last week, and the departure volume was moderately low. The port inventory is expected to accumulate. The domestic production load is at a high level, and the overseas arrival volume is increasing, so ethylene glycol has entered an inventory accumulation period [10]. - Market analysis: In July, ethylene glycol prices were in a low - level weak consolidation and gradually rose, then fell rapidly. In August, prices continued to show slight weak consolidation. Since September, the market has continued to be weak and bearish, showing a weak market trend with resistance above [10]. - Option factor research: The implied volatility of ethylene glycol options fluctuates around the lower - than - average level. The open interest PCR of options is around 0.70, indicating that the bearish force of ethylene glycol has been relatively strong recently. From the perspective of options, the pressure level of ethylene glycol is 4500, and the support level is 4050 [10]. - Option strategy recommendations: Directional strategy: Construct a bear spread strategy of put options to obtain directional returns. Volatility strategy: Construct a short - volatility strategy to obtain time value returns. Spot long - hedging strategy: Hold a spot long position + buy a put option + sell an out - of - the - money call option [10]. 3.5.5 Polyolefin Options - Polypropylene - Fundamental analysis: The inventory of PE production enterprises is 51.46 million tons, with a month - on - month destocking of - 2.81%, and a year - on - year inventory increase of 2.02%; the inventory of PE traders is 5.00 million tons, with a month - on - month destocking of - 0.70%. The inventory of PP production enterprises is 63.85 million tons, with a month - on - month destocking of - 5.92%, and a year - on - year inventory increase of 12.69%; the inventory of PP traders is 22.00 million tons, with a month - on - month destocking of - 7.80%; the port inventory of PP is 6.68 million tons, with a month - on - month destocking of - 1.62%. The overall inventory pressure of PP is higher than that of PE [10]. - Market analysis: Since July, the decline of polypropylene prices has narrowed, gradually stabilized, and slightly fluctuated upwards, then fell rapidly. In August, prices maintained slight weak fluctuations. Since September, the market has continued to be weak and bearish. In October, prices fell rapidly and then fluctuated at a low level, showing a weak market trend with bearish pressure above [10]. - Option factor research: The implied volatility of polypropylene options has declined to near the average level. The open interest PCR of options is around 0.70, indicating that polypropylene has been weak recently. From the perspective of options, the pressure level of polypropylene is 7000, and the support level is 6300 [10]. - Option strategy recommendations: Directional strategy: None. Volatility strategy: None. Spot long - hedging strategy: Hold a spot long position + buy an at - the - money put option + sell an out - of - the - money call option [10]. 3.5.6 Rubber Options - Rubber - Fundamental analysis: The social inventory of natural rubber in China is 103.89 million tons, with a month - on - month decrease of 1.1 million tons, a decline of 1%. The total inventory of natural rubber in bonded and general trade in Qingdao is 43.22 million tons, with a month - on - month decrease of 0.53 million tons, a decline of 1.2%. The bonded area inventory is 6.87 million tons, a decline of 1.29%; the general trade inventory is 36.35 million tons, a decline of 1.18% [11]. - Market analysis: Since July, rubber prices have continued to rise in the short term and then reached a peak and fell back. In August, prices gradually recovered and rose, then fluctuated in a range. Since September, the market has continued to be weak and bearish. In October, prices continued to be weak and fluctuated at a low level, showing a weak consolidation market trend with support below and resistance above [11]. - Option factor research: The implied volatility of rubber options has rapidly increased and then declined to near the lower - than - average level. The open interest PCR of rubber options is below 0.60. From the perspective of options, the pressure level of rubber has significantly moved down to 17000, and the support level is 14000 [11]. - Option strategy recommendations: Directional strategy: None. Volatility strategy: Construct a short - bearish call + put option combination strategy to obtain option time value and directional returns, and dynamically adjust the position to keep the position delta bearish. Spot hedging strategy: None [11]. 3.5.7 Polyester Options - PTA - Fundamental analysis: The operating load of PTA is 78%, with a month - on - month decrease of 0.8%. In terms of equipment, Yisheng Dalian and Weilian Chemical slightly reduced their loads, Zhongtai is restarting, and the new plant of Shanshan Energy has been put into production. The expected maintenance volume of PTA in November will increase significantly, and the overall load is under great pressure under low processing fees [11]. - Market analysis: In August, PTA prices fell back, then slightly consolidated, and then rebounded rapidly, but the upward movement was blocked and then declined. Since September, the market has continued to be weak and bearish. In October, prices first fell and then rose, followed by slight fluctuations, showing a weak and bearish market trend with resistance above [11]. - Option factor research: The implied volatility of PTA options fluctuates at a relatively high level compared to the average. The open interest PCR of PTA options is around 0.70, indicating that PTA has been in a fluctuating market recently. From the perspective of options, the pressure level of PTA is 4600, and the support level is 4300 [11]. - Option strategy recommendations: Directional strategy: None. Volatility strategy: Construct a short - bearish call + put option combination strategy to obtain option time value, and dynamically adjust the position to keep the position delta bearish. Spot hedging strategy: None [11]. 3.5.8 Energy and Chemical Options - Caustic Soda - Fundamental analysis: The average utilization rate of the production capacity of Chinese caustic soda sample enterprises with a capacity of 200,000 tons and above is 84.3%, a month - on - month increase of 3.5%. By region, the production loads in the northwest, north, east, northeast, and south have all increased [12]. - Market analysis: In July, caustic soda prices first rose and then fell. In August, prices fell rapidly and then gradually rebounded, showing short - term bullish upward movement and then high - level fluctuations. Since September, prices have continuously closed with negative candles and gradually weakened. In October, prices fell rapidly, showing a weak and bearish market trend with resistance above recently [12]. - Option factor research: The implied volatility of caustic soda options fluctuates at a relatively high level. The open interest PCR of caustic soda options is below 0.8, indicating that caustic soda has been in a weak and fluctuating market recently. From the perspective of options, the pressure level of caustic soda is 2600, and the support level is 2240 [12]. - Option strategy recommendations: Directional strategy: Construct a bear spread strategy to obtain directional returns. Volatility strategy: None. Spot collar hedging strategy: Hold a spot long position + buy a put option + sell an out - of - the - money call option [12]. 3.5.9 Energy and Chemical Options - Soda Ash - Fundamental analysis: As of October 31, 2025, the in - plant inventory of soda ash is 170.2 million tons, with a month - on - month decrease of 0.01 million tons; the inventory available days are 14.11 days, remaining unchanged month - on - month. The in - plant inventory of heavy soda ash is 88.64 yuan/ton, with a month - on - month decrease of 4.81 yuan/ton; the in - plant inventory of light soda ash is 81.56 yuan/ton, with a month - on - month increase of 4.80 yuan/ton [12]. - Market analysis: Since August, soda ash prices have continued to show weak consolidation. In September, prices fluctuated slightly at a low level and were weak. In October, the market continued to be weak, recently showing a low - level weak fluctuating market trend with support below [12]. - Option factor research: The implied volatility of soda ash options fluctuates at a relatively high historical level. The open interest PCR of soda ash options is below 0.60, indicating strong bearish pressure. From the perspective of options, the pressure level of soda ash is 1300, and the support level is 1100 [12]. - Option strategy recommendations: Directional strategy: Construct a bear spread strategy to obtain directional returns. Volatility strategy: Construct a short - volatility combination strategy to obtain volatility returns. Spot long - hedging strategy: Construct a long collar strategy, holding a spot long position + buying a put option + selling an out - of - the - money call option [12]. 3.5.10 Energy and Chemical Options - Urea - Fundamental analysis: The enterprise inventory of urea is 155.43 million tons, with a month - on - month decrease of 7.59 million tons. Some reserve demands have followed up, and the enterprise inventory has decreased from a high level. The port inventory is 11 million tons, with a month - on - month decrease of 10 million tons, and ports in many places have loaded and cleared the inventory [13]. - Market analysis: In July, urea prices fluctuated widely in a large range under the bearish pressure line and then rose rapidly. In August, prices continued to fluctuate widely