能源化工期权：能源化工期权策略早报-20251121

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [9]. - Strategies mainly involve constructing option portfolio strategies dominated by sellers and spot hedging or covered strategies to enhance returns [3]. - Each option variety's strategy report is compiled based on the analysis of the underlying market, option factor research, and option strategy suggestions [9]. 3. Summary by Related Catalogs 3.1 Overview of Underlying Futures Markets - 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 contracts, including crude oil, liquefied petroleum gas (LPG), methanol, etc. [4]. 3.2 Option Factors - Volume and Open Interest PCR - The volume PCR and open interest PCR of various energy - chemical options are provided. These indicators are used to describe the strength of the option underlying market and the turning point of the underlying market [5]. 3.3 Option Factors - Pressure and Support Levels - The pressure points, support points, and their offsets, as well as the maximum call and put open interests of various energy - chemical options, are presented, which help to analyze the pressure and support levels of the underlying assets [6]. 3.4 Option Factors - Implied Volatility - The report shows the at - the - money implied volatility, weighted implied volatility, its change, annual average, call and put implied volatilities, historical 20 - day volatility, and the difference between implied and historical volatilities of various energy - chemical options [7]. 3.5 Strategy and Suggestions for Each Option Variety 3.5.1 Energy - related Options: Crude Oil - Underlying Market Analysis: US crude oil inventories have different changes. The crude oil market has shown a complex price trend from August to November [8]. - Option Factor Research: The implied volatility of crude oil options fluctuates above the average. The open interest PCR is below 0.8, indicating a weak market. The pressure level is 540 and the support level is 460 [8]. - Option Strategy Suggestions: Build a short - biased call + put option combination strategy for volatility. For spot hedging, construct a long collar strategy [8]. 3.5.2 Energy - related Options: LPG - Underlying Market Analysis: The LPG market is relatively strong, with a rebound in the external market. The domestic fundamentals are tightening marginally. The market has shown a complex price trend since August [10]. - Option Factor Research: The implied volatility of LPG options has dropped significantly to near the lower - than - average level. The open interest PCR is around 0.8, indicating a weak market. The pressure level is 4500 and the support level is 4250 [10]. - Option Strategy Suggestions: Build a neutral - biased call + put option combination strategy for volatility. For spot hedging, construct a long collar strategy [10]. 3.5.3 Alcohol - related Options: Methanol - Underlying Market Analysis: The supply may increase, and the inventory is expected to rise slightly. The market has shown a weak - biased trend since August [10]. - Option Factor Research: The implied volatility of methanol options fluctuates around the historical average. The open interest PCR is below 0.8, indicating a weak - oscillating market. The pressure level is 2500 and the support level is 2000 [10]. - Option Strategy Suggestions: Build a bear spread strategy for direction. Build a short - biased call + put option combination strategy for volatility. For spot hedging, construct a long collar strategy [10]. 3.5.4 Alcohol - related Options: Ethylene Glycol - Underlying Market Analysis: The weekly production has a slight increase, and the port inventory has increased significantly. The market has shown a weak - biased trend since August [11]. - Option Factor Research: The implied volatility of ethylene glycol options fluctuates near the lower - than - average level. The open interest PCR is around 0.7, indicating strong short - side power. The pressure level is 4500 and the support level is 4000 [11]. - Option Strategy Suggestions: Build a bear spread strategy for direction. Build a short - volatility strategy for volatility. For spot hedging, hold a long position + buy a put option + sell an out - of - the - money call option [11]. 3.5.5 Polyolefin - related Options: Polypropylene - Underlying Market Analysis: The production has increased, and the capacity utilization rate has risen. The market has shown a weak - biased trend since August [11]. - Option Factor Research: The implied volatility of polypropylene options has dropped to near the average level. The open interest PCR is around 0.7, indicating a weak market. The pressure level is 7000 and the support level is 6300 [11]. - Option Strategy Suggestions: Build a bear spread strategy for direction. For spot hedging, hold a long position + buy an at - the - money put option + sell an out - of - the - money call option [11]. 3.5.6 Rubber - related Options: Rubber - Underlying Market Analysis: The tire production capacity utilization rate and inventory turnover days have different changes. The market has shown a weak - oscillating trend since August [12]. - Option Factor Research: The implied volatility of rubber options has dropped to near the lower - than - average level after a rapid increase. The open interest PCR is below 0.6. The pressure level is 16000 and the support level is 15000 [12]. - Option Strategy Suggestions: Build a short - biased call + put option combination strategy for volatility [12]. 3.5.7 Polyester - related Options: PTA - Underlying Market Analysis: The PTA load has been adjusted, and the market has shown a rebound - with - pressure trend since August [12]. - Option Factor Research: The implied volatility of PTA options fluctuates at a higher - than - average level. The open interest PCR is around 0.7, indicating an oscillating market. The pressure level is 4700 and the support level is 4300 [12]. - Option Strategy Suggestions: Build a neutral - biased call + put option combination strategy for volatility [12]. 3.5.8 Alkali - related Options: Caustic Soda - Underlying Market Analysis: The capacity utilization rate has decreased slightly, and the market has shown a weak - short - side trend since August [13]. - Option Factor Research: The implied volatility of caustic soda options fluctuates at a relatively high level. The open interest PCR is below 0.8, indicating a weak - oscillating market. The pressure level is 3000 and the support level is 2200 [13]. - Option Strategy Suggestions: Build a bear spread strategy for direction. For spot hedging, hold a long position + buy a put option + sell an out - of - the - money call option [13]. 3.5.9 Alkali - related Options: Soda Ash - Underlying Market Analysis: The inventory has increased year - on - year, and the market has shown a low - level weak - oscillating trend since August [13]. - Option Factor Research: The implied volatility of soda ash options fluctuates at a relatively high historical level. The open interest PCR is below 0.6, indicating strong short - side pressure. The pressure level is 1860 and the support level is 1100 [13]. - Option Strategy Suggestions: Build a bear spread strategy for direction. Build a short - volatility combination strategy for volatility. For spot hedging, construct a long collar strategy [13]. 3.5.10 Other Options: Urea - Underlying Market Analysis: The enterprise inventory has decreased, and the port inventory has increased. The market has shown a low - level oscillating and gradually rebounding trend since August [14]. - Option Factor Research: The implied volatility of urea options fluctuates slightly around the historical average. The open interest PCR is below 0.6, indicating strong short - side pressure. The pressure level is 1800 and the support level is 1600 [14]. - Option Strategy Suggestions: Build a neutral - biased call + put option combination strategy for volatility. For spot hedging, hold a long position + buy an at - the - money put option + sell an out - of - the - money call option [14].