能源化工期权：能源化工期权策略早报-20251205

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints of the Report - The energy and chemical industry is divided into several sectors including energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [9] - For each sector, specific options are selected to provide option strategies and suggestions [9] - Option strategy reports for each option variety are prepared based on the analysis of the underlying market, option factor research, and option strategy recommendations [9] - It is recommended to construct option portfolio strategies mainly as sellers, as well as spot hedging or covered call strategies to enhance returns [3] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview | Option Variety | Latest Price | Change | Change Rate | Trading Volume (in 10,000 lots) | Volume Change | Open Interest (in 10,000 lots) | Open Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | | Crude Oil | 457 | 5 | 1.15% | 6.65 | -2.28 | 2.98 | -0.17 | | Liquefied Petroleum Gas (LPG) | 4,310 | 9 | 0.21% | 5.39 | 0 | 6.84 | -0.16 | | Methanol | 2,107 | -11 | -0.52% | 105.31 | 5.68 | 93.47 | -1.37 | | Ethylene Glycol | 3,781 | -40 | -1.05% | 12.60 | -9.17 | 29.52 | -0.41 | | Polypropylene | 6,331 | -21 | -0.33% | 20.60 | -2.21 | 45.02 | -0.97 | | Polyvinyl Chloride (PVC) | 4,481 | -22 | -0.49% | 59.49 | 0.57 | 99.01 | -3.13 | | Plastic | 6,735 | -48 | -0.71% | 21.01 | 2.37 | 38.65 | -1.62 | | Styrene | 6,563 | -11 | -0.17% | 33.86 | -6.88 | 27.96 | -1.70 | | Rubber | 15,100 | 5 | 0.03% | 8.77 | -1.42 | 4.86 | -0.94 | | Synthetic Rubber | 10,460 | -25 | -0.24% | 9.15 | -3.12 | 3.21 | -0.69 | | p-Xylene | 6,850 | -22 | -0.32% | 2.95 | -2.84 | 3.76 | -0.02 | | Purified Terephthalic Acid (PTA) | 4,702 | -20 | -0.42% | 49.07 | -0.93 | 82.44 | -3.52 | | Short Fiber | 6,244 | -22 | -0.35% | 1.29 | 0.35 | 2.11 | -0.13 | | Bottle Chip | 5,660 | -34 | -0.60% | 1.27 | -0.47 | 1.62 | -0.12 | | Caustic Soda | 2,120 | -26 | -1.21% | 22.01 | -7.02 | 16.96 | -0.38 | | Soda Ash | 1,147 | -8 | -0.69% | 66.89 | -4.22 | 106.67 | -3.64 | | Urea | 1,688 | -2 | -0.12% | 15.60 | 3.54 | 20.93 | -0.03 | [4] 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators are used to describe the strength of the underlying option market and the turning point of the market. The open interest PCR is the ratio of put option open interest to call option open interest, and the trading volume PCR is the ratio of put option trading volume to call option trading volume [5] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of the underlying option are determined by the strike prices with the largest open interest in call and put options [6] 3.4 Option Factors - Implied Volatility - The implied volatility includes at-the-money implied volatility, weighted implied volatility, call option implied volatility, and put option implied volatility. The weighted implied volatility is calculated using trading volume - weighted average [7] 3.5 Option Strategies and Suggestions 3.5.1 Energy - related Options - Crude Oil - Underlying Market Analysis: US refinery demand has stabilized and recovered. Shale oil production has slightly declined, and refineries have increased diesel output due to arbitrage demand. OPEC's short - term supply is flat, Libyan exports have quickly recovered, and Russian exports are not blocked. In the Middle East, Kuwait's refinery has resumed operation earlier than expected, weakening the support for low - sulfur fuel oil [8] - Option Factor Research: The implied volatility of crude oil options fluctuates above the average level; the open interest PCR is below 0.80, indicating a weak market; the pressure level is 540, and the support level is 430 [8] - Option Strategy Recommendations: Construct a bear spread strategy with put options for directional returns; construct a short - biased call + put option combination strategy for option time value and directional returns; construct a long collar strategy for spot hedging [8] - Liquefied Petroleum Gas (LPG) - Underlying Market Analysis: US propane inventory is starting to decline but remains at a historical high. The cost - end crude oil is under pressure from oversupply and geopolitical issues, and the LPG price has shown a market trend of over - sold rebound and slight consolidation [10] - Option Factor Research: The implied volatility of LPG options has significantly decreased to near the average level; the open interest PCR is around 0.80, indicating a weak market; the pressure level is 4500, and the support level is 4150 [10] - Option Strategy Recommendations: Construct a long - biased call + put option combination strategy for option time value and directional returns; construct a long collar strategy for spot hedging [10] 3.5.2 Alcohol - related Options - Methanol - Underlying Market Analysis: Port inventory has decreased, and enterprise inventory is at a relatively low level. The market sentiment has improved, and the methanol price has shown a trend of over - sold rebound [10] - Option Factor Research: The implied volatility of methanol options fluctuates around the historical average level; the open interest PCR is below 0.60, indicating a weakly oscillating market; the pressure level is 2300, and the support level is 2000 [10] - Option Strategy Recommendations: Construct a bear spread strategy with put options for directional returns; construct a short - biased call + put option combination strategy for option time value; construct a long collar strategy for spot hedging [10] - Ethylene Glycol - Underlying Market Analysis: Port inventory is expected to increase at a slower pace, and the supply - demand balance sheet is expected to improve. The ethylene glycol price has shown a weak market trend [11] - Option Factor Research: The implied volatility of ethylene glycol options fluctuates below the average level; the open interest PCR is below 0.70, indicating strong short - side power; the pressure level is 4500, and the support level is 3500 [11] - Option Strategy Recommendations: Construct a bear spread strategy with put options for directional returns; construct a short - volatility strategy for time value returns; construct a long collar strategy for spot hedging [11] 3.5.3 Polyolefin - related Options - Polypropylene - Underlying Market Analysis: PE and PP production and trading enterprise inventories have decreased. The polypropylene price has shown a weak market trend [11] - Option Factor Research: The implied volatility of polypropylene options has decreased to near the average level; the open interest PCR is around 0.70, indicating a weak market; the pressure level is 7000, and the support level is 6300 [11] - Option Strategy Recommendations: Construct a bear spread strategy with put options for directional returns; construct a long collar strategy for spot hedging [11] 3.5.4 Rubber - related Options - Rubber - Underlying Market Analysis: The exchange's rubber inventory and warehouse receipts are expected to significantly decrease. The rubber price has shown a weakly oscillating market trend [12] - Option Factor Research: The implied volatility of rubber options has decreased to near the average level after a sharp rise; the open interest PCR is below 0.60; the pressure level is 16000, and the support level is 15000 [12] - Option Strategy Recommendations: Construct a neutral - biased call + put option combination strategy for option time value and directional returns [12] 3.5.5 Polyester - related Options - PTA - Underlying Market Analysis: PTA social inventory is decreasing, and the downstream load remains high. The PTA price has shown a rebound trend [12] - Option Factor Research: The implied volatility of PTA options fluctuates above the average level; the open interest PCR is around 0.70, indicating an oscillating market; the pressure level is 4700, and the support level is 4300 [12] - Option Strategy Recommendations: Construct a neutral - biased call + put option combination strategy for option time value [12] 3.5.6 Alkali - related Options - Caustic Soda - Underlying Market Analysis: Supply is sufficient, and downstream demand is weak. The caustic soda price has shown a weak short - side market trend [13] - Option Factor Research: The implied volatility of caustic soda options fluctuates at a relatively high level; the open interest PCR is below 0.60, indicating a weak market; the pressure level is 3000, and the support level is 2200 [13] - Option Strategy Recommendations: Construct a bear spread strategy for directional returns; construct a long collar strategy for spot hedging [13] - Soda Ash - Underlying Market Analysis: Factory inventory has decreased. The soda ash price has shown a low - level weak oscillating market trend [13] - Option Factor Research: The implied volatility of soda ash options fluctuates at a relatively high historical level; the open interest PCR is below 0.60, indicating strong short - side pressure; the pressure level is 1860, and the support level is 1100 [13] - Option Strategy Recommendations: Construct a bear spread strategy for directional returns; construct a short - volatility combination strategy for volatility returns; construct a long collar strategy for spot hedging [13] 3.5.7 Other Options - Urea - Underlying Market Analysis: Enterprise inventory has decreased, and port inventory is expected to increase. The urea price has shown a trend of low - level oscillation and gradual rebound [14] - Option Factor Research: The implied volatility of urea options fluctuates slightly around the historical average level; the open interest PCR is below 0.60, indicating strong short - side pressure; the pressure level is 1800, and the support level is 1600 [14] - Option Strategy Recommendations: Construct a long - biased call + put option combination strategy for option time value and directional returns; construct a long collar strategy for spot hedging [14]