能源化工期权：能源化工期权策略早报-20251204

1. Report's Investment Rating for the Industry - No information provided on the industry investment rating 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 portfolios mainly with sellers and using spot hedging or covered strategies to enhance returns [3][9] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, trading volumes, and open interest of various energy - chemical futures contracts, including crude oil, LPG, methanol, etc. For example, the latest price of crude oil (SC2601) is 451, with a change of 2 and a percentage increase of 0.36% [4] 3.2 Option Factors 3.2.1 Volume - Open Interest PCR - It shows the volume, volume change, open interest, open interest change, volume PCR, volume PCR change, open interest PCR, and open interest PCR change of different option varieties. For instance, the volume PCR of crude oil options is 0.80, with a change of 0.33, and the open interest PCR is 0.60, with a change of - 0.09 [5] 3.2.2 Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support levels of option underlying assets are analyzed. For example, the pressure level of crude oil is 540, and the support level is 440 [6] 3.2.3 Implied Volatility - It provides the at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average implied volatility, call implied volatility, put implied volatility, 20 - day historical implied volatility, and the difference between implied and historical volatility of various options. For example, the at - the - money implied volatility of crude oil options is 26.69% [7] 3.3 Strategy and Recommendations 3.3.1 Energy - Class Options (Crude Oil) - Fundamental analysis: US refinery demand has stabilized and rebounded. Shale oil production has slightly decreased, and refinery diesel output has increased. OPEC's short - term supply is flat, and there are changes in exports in some regions [8] - Market analysis: Crude oil prices showed a complex trend from August to November, including rising, falling, and rebounding phases [8] - Option factor research: The implied volatility of crude oil options fluctuates above the average, the open interest PCR is below 0.80, and the pressure and support levels are 540 and 430 respectively [8] - Strategy recommendations: Construct bear - spread put option portfolios, sell call + put option portfolios with a short - bias, and construct long - collar strategies for spot hedging [8] 3.3.2 Energy - Class Options (LPG) - Fundamental analysis: US propane inventory is high, and crude oil prices are affected by supply and geopolitical issues [10] - Market analysis: LPG prices showed a trend of rising, falling, and rebounding from September to November [10] - Option factor research: The implied volatility of LPG options has dropped significantly to below the average, the open interest PCR is around 0.80, and the pressure and support levels are 4500 and 4150 respectively [10] - Strategy recommendations: Sell call + put option portfolios with a long - bias, and construct long - collar strategies for spot hedging [10] 3.3.3 Alcohol - Class Options (Methanol) - Fundamental analysis: Port inventory has decreased, and enterprise inventory and orders have changed [10] - Market analysis: Methanol prices have shown a trend of weakening, rebounding, and then weakening again from August to November [10] - Option factor research: The implied volatility of methanol options fluctuates around the historical average, the open interest PCR is below 0.60, and the pressure and support levels are 2300 and 2000 respectively [10] - Strategy recommendations: Construct bear - spread put option portfolios, sell call + put option portfolios with a short - bias, and construct long - collar strategies for spot hedging [10] 3.3.4 Other Options (Ethylene Glycol, Polypropylene, etc.) - Similar to the above, each option variety is analyzed from fundamental, market, option factor, and strategy recommendation aspects [11][12][13][14]