能源化工期权：能源化工期权策略早报-20251209

Report Summary 1. Report Industry Investment Rating No information provided in the document. 2. Core Viewpoints of the Report - The energy - chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [9]. - For each sector, options strategies and suggestions are provided for selected varieties [9]. - An options strategy report is prepared for each options variety based on underlying market analysis, options factor research, and options strategy suggestions [9]. 3. Summary by Relevant Catalogs 3.1 Underlying Futures Market Overview - The report presents data on the latest prices, price changes, trading volumes, and open interests of various energy - chemical futures, including crude oil, LPG, methanol, etc. For example, the latest price of crude oil (SC2601) is 448, with a decrease of 8 and a decline rate of - 1.84%, and a trading volume of 6.76 million lots [4]. 3.2 Options Factors 3.2.1 Volume - Open Interest PCR - The volume - open interest PCR data of different options varieties are provided, which can be used to describe the strength of the underlying market and the turning point of the market. For instance, the volume PCR of crude oil options is 0.67 with a change of - 0.02, and the open interest PCR is 0.68 with a change of 0.06 [5]. 3.2.2 Pressure and Support Levels - The report shows the pressure and support levels of each option variety from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure level of crude oil is 540 and the support level is 440 [6]. 3.2.3 Implied Volatility - Implied volatility data of various option varieties are given, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatilities. For example, the at - the - money implied volatility of crude oil is 24.685%, and the weighted implied volatility is 26.17% with a change of - 0.99% [7]. 3.3 Options Strategies and Suggestions for Each Variety 3.3.1 Energy - Related Options (Crude Oil, LPG) - Crude Oil - Underlying Market Analysis: US crude oil production slightly increased, refinery processing volume rose, and global floating storage increased. The market showed a weak trend [8]. - Options Factor Research: Implied volatility was below the average, the open interest PCR was below 0.70, indicating a weak market. The pressure level was 540 and the support level was 430 [8]. - Options Strategy Suggestions: Construct a bear - spread put option strategy, a short - biased call + put option combination strategy, and a long - collar strategy for spot hedging [8]. - LPG - Underlying Market Analysis: Crude oil prices fluctuated around $63. The domestic LPG market was relatively strong due to low arrivals and strong chemical demand. The market was in a range - bound state with support below and pressure above [10]. - Options Factor Research: Implied volatility was around the average, the open interest PCR was below 0.80, indicating a range - bound market. The pressure level was 4500 and the support level was 4150 [10]. - Options Strategy Suggestions: Construct a neutral - biased short call + put option combination strategy and a long - collar strategy for spot hedging [10]. 3.3.2 Alcohol - Related Options (Methanol, Ethylene Glycol) - Methanol - Underlying Market Analysis: Enterprise inventories declined. The market showed a weak trend with pressure above after a rebound [10]. - Options Factor Research: Implied volatility was around the historical average, the open interest PCR was below 0.60, indicating a weak market. The pressure level was 2300 and the support level was 2000 [10]. - Options Strategy Suggestions: Construct a bear - spread put option strategy, a short - biased call + put option combination strategy, and a long - collar strategy for spot hedging [10]. - Ethylene Glycol - Underlying Market Analysis: Port inventories increased, downstream demand was limited, and the market showed a weak downward trend [11]. - Options Factor Research: Implied volatility was above the average and rising, the open interest PCR was below 0.60, indicating strong short - side forces. The pressure level was 3900 and the support level was 3850 [11]. - Options Strategy Suggestions: Construct a bear - spread put option strategy, a short - volatility strategy, and a long - collar strategy for spot hedging [11]. 3.3.3 Olefin - Related Options (PVC, Polypropylene, etc.) - PVC - Underlying Market Analysis: Inventories were in a build - up cycle, and the market showed a weak downward trend with bearish sentiment [11]. - Options Factor Research: Implied volatility decreased to below the average, the open interest PCR was below 0.60, indicating a continuous weakening market. The pressure level was 4600 and the support level was 4300 [11]. - Options Strategy Suggestions: Construct a bear - spread put option strategy and a long - collar strategy for spot hedging [11]. - Polypropylene - Underlying Market Analysis: No detailed description in the given text. - Options Factor Research: Implied volatility was at a certain level, and relevant PCR data were provided [5][106]. - Options Strategy Suggestions: No detailed description in the given text. 3.3.4 Rubber - Related Options (Rubber, Synthetic Rubber) - Rubber - Underlying Market Analysis: Tire production capacity utilization rates changed, and the market showed a weak consolidation trend [12]. - Options Factor Research: Implied volatility gradually returned to around the average, the open interest PCR was below 0.60, indicating a weak market. The pressure level dropped to 16000 and the support level was 15000 [12]. - Options Strategy Suggestions: Construct a neutral - biased short call + put option combination strategy [12]. - Synthetic Rubber - Underlying Market Analysis: No detailed description in the given text. - Options Factor Research: Implied volatility and relevant PCR data were provided [5]. - Options Strategy Suggestions: No detailed description in the given text. 3.3.5 Polyester - Related Options (PTA, Short - Fiber, etc.) - PTA - Underlying Market Analysis: Factory inventories were expected to accumulate, and the market showed a rebound and then a small - range fluctuation trend with pressure above [12]. - Options Factor Research: Implied volatility was at a relatively low average level, the open interest PCR was around 0.80, indicating a range - bound market. The pressure level was 4800 and the support level was 4500 [12]. - Options Strategy Suggestions: Construct a neutral - biased short call + put option combination strategy [12]. - Short - Fiber - Underlying Market Analysis: No detailed description in the given text. - Options Factor Research: Implied volatility and relevant PCR data were provided [5]. - Options Strategy Suggestions: No detailed description in the given text. 3.3.6 Alkali - Related Options (Caustic Soda, Soda Ash) - Caustic Soda - Underlying Market Analysis: Production capacity utilization increased, and the market showed a weak downward trend [13]. - Options Factor Research: Implied volatility was at a high level, the open interest PCR was below 0.60, indicating a weak market. The pressure level was 2240 and the support level was 2120 [13]. - Options Strategy Suggestions: Construct a bear - spread combination strategy and a long - collar strategy for spot hedging [13]. - Soda Ash - Underlying Market Analysis: Production increased, inventories were at a high level, and the market showed a weak downward oscillation trend [13]. - Options Factor Research: Implied volatility was at a relatively high historical level, the open interest PCR was below 0.50, indicating a bearish market. The pressure level was 1860 and the support level was 1100 [13]. - Options Strategy Suggestions: Construct a bear - spread combination strategy, a short - volatility combination strategy, and a long - collar strategy for spot hedging [13]. 3.3.7 Urea Options - Underlying Market Analysis: Supply pressure was alleviated to some extent, and the market showed a low - level oscillation and then a rebound trend [14]. - Options Factor Research: Implied volatility was at a relatively low historical average level, the open interest PCR was below 0.60, indicating strong short - side pressure. The pressure level was 1800 and the support level was 1660 [14]. - Options Strategy Suggestions: Construct a neutral - biased short call + put option combination strategy and a long - collar strategy for spot hedging [14].