能源化工期权：能源化工期权策略早报-20251128

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy - chemical sector includes energy, alcohols, polyolefins, rubber, polyesters, alkalis, etc. [9] - Strategies suggest constructing option combination strategies mainly as sellers and spot hedging or covered strategies to enhance returns. [3] 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 futures contracts such as crude oil, LPG, methanol, etc. For example, the latest price of crude oil SC2601 is 452, with a price increase of 7 and a price change rate of 1.46%. [4] 3.2 Option Factors - Volume and Open Interest PCR - It shows the trading volume, volume change, open interest, open interest change, volume PCR, volume PCR change, open interest PCR, and open interest PCR change of different energy - chemical options. For instance, the volume PCR of crude oil options is 0.69, with a change of - 0.35, and the open interest PCR is 0.74, with a change of - 0.02. [5] 3.3 Option Factors - Pressure and Support Levels - The 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 are provided. For example, the pressure point of crude oil options is 540, and the support point is 430. [6] 3.4 Option Factors - Implied Volatility - The report details the at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average implied volatility, call option implied volatility, put option implied volatility, 20 - day historical volatility, and the difference between implied and historical volatility of different energy - chemical options. For example, the at - the - money implied volatility of crude oil options is 25.395%. [7] 3.5 Strategy and Suggestions for Different Options 3.5.1 Energy - related Options (Crude Oil, LPG) - Crude Oil: Analyzes the fundamentals and market trends. Suggests directional strategies like constructing a bearish spread of put options, volatility strategies of selling a combination of call and put options, and spot long - hedging strategies like the long collar strategy. [8] - LPG: Analyzes the fundamentals and market trends. Proposes volatility strategies of selling a neutral combination of call and put options and spot long - hedging strategies like the long collar strategy. [10] 3.5.2 Alcohol - related Options (Methanol, Ethylene Glycol) - Methanol: Analyzes the fundamentals and market trends. Suggests directional strategies of constructing a bearish spread of put options, volatility strategies of selling a bearish combination of call and put options, and spot long - hedging strategies like the long collar strategy. [10] - Ethylene Glycol: Analyzes the fundamentals and market trends. Proposes directional strategies of constructing a bearish spread of put options, volatility strategies of shorting volatility, and spot long - hedging strategies. [11] 3.5.3 Polyolefin - related Options (Polypropylene, etc.) - Polypropylene: Analyzes the fundamentals and market trends. Suggests directional strategies of constructing a bearish spread of put options and spot long - hedging strategies. [11] 3.5.4 Rubber - related Options (Rubber, Synthetic Rubber) - Rubber: Analyzes the fundamentals and market trends. Proposes volatility strategies of selling a bearish combination of call and put options. [12] - Synthetic Rubber: No specific content on strategy suggestions is provided in the summary part. 3.5.5 Polyester - related Options (PTA) - PTA: Analyzes the fundamentals and market trends. Suggests volatility strategies of selling a neutral combination of call and put options. [12] 3.5.6 Alkali - related Options (Caustic Soda, Soda Ash, Urea) - Caustic Soda: Analyzes the fundamentals and market trends. Suggests directional strategies of constructing a bearish spread and spot long - hedging strategies like the long collar strategy. [13] - Soda Ash: Analyzes the fundamentals and market trends. Proposes directional strategies of constructing a bearish spread, volatility strategies of shorting volatility, and spot long - hedging strategies like the long collar strategy. [13] - Urea: Analyzes the fundamentals and market trends. Suggests volatility strategies of selling a neutral combination of call and put options and spot long - hedging strategies. [14]