能源化工期权：能源化工期权策略早报-20251118

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The energy - chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies suggest constructing option combination strategies mainly as sellers and spot hedging or covered strategies to enhance returns [2][8] 3. Summary by Relevant 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 - chemical option underlying futures contracts, such as crude oil, liquefied petroleum gas (LPG), methanol, etc. For example, the latest price of crude oil SC2601 is 462, with a price increase of 1 and a price change rate of 0.24% [3] 3.2 Option Factors - Volume and Open Interest PCR - The report provides the volume and open interest PCR data of various energy - chemical options, which are used to describe the strength of the option underlying market and whether the underlying market has a turning point. For example, the open interest PCR of crude oil options is 0.80, indicating a relatively weak recent crude oil market [4] 3.3 Option Factors - Pressure and Support Levels - From the perspective of the exercise prices with the largest open interest of call and put options, the report determines the pressure and support levels of various energy - chemical option underlying assets. For example, the pressure level of crude oil is 540 and the support level is 460 [5] 3.4 Option Factors - Implied Volatility - The report shows the implied volatility data of various energy - chemical options, including at - the - money implied volatility, weighted implied volatility, and its changes. For example, the at - the - money implied volatility of crude oil options is 24.12%, and the weighted implied volatility is 26.46% with a change of - 0.17% [6] 3.5 Strategy and Recommendations 3.5.1 Energy - related Options - Crude Oil: - Fundamentals: US crude oil inventories showed different trends, with an overall increase in total, strategic, and commercial inventories, and a decrease in Cushing area inventories. - Market Analysis: The price showed a complex trend of rise and fall from August to November. - Option Factors: Implied volatility fluctuated above the average, open interest PCR was below 0.80, indicating a weak market, and the pressure and support levels were 540 and 460 respectively. - Strategies: Construct a short - biased call + put option combination strategy for volatility, and a long collar strategy for spot hedging [7] - LPG: - Fundamentals: The LPG market was relatively strong, with a rebound in the external market and a marginal tightening of the domestic fundamental situation. - Market Analysis: The price showed a trend of decline, rebound, and then consolidation from August to November. - Option Factors: Implied volatility dropped significantly to below the average, open interest PCR was around 0.80, indicating a weak market, and the pressure and support levels were 4500 and 4250 respectively. - Strategies: Construct a neutral - biased call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9] 3.5.2 Alcohol - related Options - Methanol: - Fundamentals: Supply was expected to increase, and inventory might accumulate slightly. - Market Analysis: The price showed a weak downward trend from August to November. - Option Factors: Implied volatility fluctuated around the historical average, open interest PCR was below 0.80, indicating a weak and volatile market, and the pressure and support levels were 2500 and 2000 respectively. - Strategies: Construct a bear spread strategy for direction, a short - biased call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9] - Ethylene Glycol: - Fundamentals: Production increased slightly, and port inventory increased significantly. - Market Analysis: The price showed a weak downward trend from August to November. - Option Factors: Implied volatility fluctuated below the average, open interest PCR was around 0.70, indicating strong short - side power, and the pressure and support levels were 4500 and 4050 respectively. - Strategies: Construct a bear spread strategy for direction, a short - volatility strategy for volatility, and a long collar strategy for spot hedging [10] 3.5.3 Polyolefin - related Options - Polypropylene: - Fundamentals: Production increased, and capacity utilization rose. - Market Analysis: The price showed a weak downward trend from August to November. - Option Factors: Implied volatility dropped to around the average, open interest PCR was around 0.70, indicating a weak market, and the pressure and support levels were 7000 and 6300 respectively. - Strategies: Construct a bear spread strategy for direction, and a long collar strategy for spot hedging [10] 3.5.4 Rubber - related Options - Rubber: - Fundamentals: Tire production capacity utilization showed different trends, and inventory turnover days changed. - Market Analysis: The price showed a weak consolidation trend from August to November. - Option Factors: Implied volatility rose sharply and then dropped to below the average, open interest PCR was below 0.60, and the pressure and support levels were 16000 and 15000 respectively. - Strategies: Construct a short - biased call + put option combination strategy for volatility [11] 3.5.5 Polyester - related Options - PTA: - Fundamentals: Some PTA plants had production adjustments, and the operating rate changed. - Market Analysis: The price showed a trend of decline, rebound, and then consolidation from August to November. - Option Factors: Implied volatility fluctuated above the average, open interest PCR was around 0.70, indicating a volatile market, and the pressure and support levels were 4700 and 4300 respectively. - Strategies: Construct a neutral - biased call + put option combination strategy for volatility [11] 3.5.6 Alkali - related Options - Caustic Soda: - Fundamentals: The average capacity utilization rate of caustic soda plants decreased slightly, with different trends in different regions. - Market Analysis: The price showed a weak downward trend from August to November. - Option Factors: Implied volatility was at a relatively high level, open interest PCR was below 0.80, indicating a weak and volatile market, and the pressure and support levels were 3000 and 2200 respectively. - Strategies: Construct a bear spread strategy for direction, and a long collar strategy for spot hedging [12] - Soda Ash: - Fundamentals: The inventory of soda ash manufacturers increased year - on - year. - Market Analysis: The price showed a weak consolidation trend from August to November. - Option Factors: Implied volatility was at a relatively high historical level, open interest PCR was below 0.60, indicating strong short - side pressure, and the pressure and support levels were 1860 and 1100 respectively. - Strategies: Construct a bear spread strategy for direction, a short - volatility combination strategy for volatility, and a long collar strategy for spot hedging [12] 3.5.7 Other Options - Urea: - Fundamentals: Enterprise inventory decreased, and port inventory increased. - Market Analysis: The price showed a trend of wide - range fluctuation, decline, and then rebound from August to November. - Option Factors: Implied volatility fluctuated slightly around the historical average, open interest PCR was below 0.60, indicating strong short - side pressure, and the pressure and support levels were 1800 and 1600 respectively. - Strategies: Construct a neutral - biased call + put option combination strategy for volatility, and a long collar strategy for spot hedging [13]