能源化工期权：能源化工期权策略早报-20251216

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The energy - chemical sector includes energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies mainly involve constructing option portfolios with a focus on sellers and using spot hedging or covered strategies to enhance returns [4][10]. 3. Summary by Directory 3.1 Futures Market Overview - Various energy - chemical option underlying futures contracts are presented, including details on their latest prices, price changes, trading volumes, and open interest changes. For example, the latest price of crude oil (SC2602) is 432, down 6 with a decline of 1.26%, trading volume of 3.30 million lots (down 0.33 million lots), and open interest of 3.18 million lots (up 0.37 million lots) [5]. 3.2 Option Factors - Volume and Open Interest PCR - PCR indicators (volume PCR and open interest PCR) are used to analyze option - underlying market trends. For instance, the open interest PCR of crude oil is 0.72 (up 0.12), and the volume PCR is 0.79 (down 0.11), which helps describe the strength of the option - underlying market and potential turning points [6]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels of option - underlying assets are determined based on the strike prices with the largest open interest of call and put options. For example, the pressure point of crude oil is 540, and the support point is 430 [7]. 3.4 Option Factors - Implied Volatility - Implied volatility data of various options are provided, including at - the - money implied volatility, weighted implied volatility, and its changes. For example, the at - the - money implied volatility of crude oil is 23.27%, and the weighted implied volatility is 26.19% (down 3.17%) [8]. 3.5 Strategy and Recommendations - Crude Oil: - Fundamental analysis shows stable and rising demand from US refineries, with little change in shale oil production during the recent price decline. OPEC's short - term supply is flat, and Libya's exports have recovered rapidly [9]. - Market analysis indicates a weak overall trend, with a sharp decline in October, followed by a rebound, and then a significant drop in December [9]. - Option factor research reveals that the implied volatility is below the average, the open interest PCR is below 0.70, and the pressure and support levels are 540 and 430 respectively [9]. - Strategies include constructing a bearish spread of put options, a short - biased call + put option combination, and a long collar strategy for spot hedging [9]. - LPG: - Fundamental analysis shows a slight increase in warehouse receipts and port inventories, and the demand may weaken due to potential maintenance plans and current losses [11]. - Market analysis shows an overall downward and volatile trend, with a sharp drop in December [11]. - Option factor research reveals that the implied volatility is around the average, the open interest PCR is below 0.80, and the pressure and support levels are 4200 and 4000 respectively [11]. - Strategies include constructing a bearish spread of put options, a short - biased call + put option combination, and a long collar strategy for spot hedging [11]. - Methanol: - Fundamental analysis shows a decrease in inventory due to a decline in arrivals [11]. - Market analysis shows a weak overall trend, with a rebound and then a decline [11]. - Option factor research reveals that the implied volatility is around the historical average, the open interest PCR is below 0.60, and the pressure and support levels are 2300 and 2000 respectively [11]. - Strategies include constructing a bearish spread of put options, a short - biased call + put option combination, and a long collar strategy for spot hedging [11]. - Ethylene Glycol: - Fundamental analysis shows a decline in polyester load and an increase in port inventory [12]. - Market analysis shows a continuous weak and downward trend since August, with an accelerated decline in December [12]. - Option factor research reveals that the implied volatility is above the average and rising, the open interest PCR is below 0.60, and the pressure and support levels are 3800 and 3600 respectively [12]. - Strategies include constructing a bearish spread of put options, a short - volatility strategy, and a long collar strategy for spot hedging [12]. - PVC: - Fundamental analysis shows an increase in overall inventory [12]. - Market analysis shows a continuous downward trend since July, with a short - term rebound after an over - decline in December [12]. - Option factor research reveals that the implied volatility has decreased to below the average, the open interest PCR is below 0.60, and the pressure and support levels are 6200 and 4100 respectively [12]. - Strategies include constructing a bearish spread of put options and a long collar strategy for spot hedging [12]. - Rubber: - Fundamental analysis shows normal demand for all - steel tires and weakening demand for semi - steel tires in the European market. There is a transformation from explicit to implicit inventory [13]. - Market analysis shows a weak and volatile trend [13]. - Option factor research reveals that the implied volatility is approaching the average, the open interest PCR is below 0.60, and the pressure and support levels are 16000 and 15000 respectively [13]. - Strategies include constructing a short - neutral call + put option combination for time - value and directional returns [13]. - PTA: - Fundamental analysis shows a low overall load and little change in domestic installations [13]. - Market analysis shows a weak trend with a slight rebound and then a decline [13]. - Option factor research reveals that the implied volatility is below the average, the open interest PCR is around 0.80, and the pressure and support levels are 4850 and 4600 respectively [13]. - Strategies include constructing a short - neutral call + put option combination for time - value returns [13]. - Caustic Soda: - Fundamental analysis shows an increase in the average utilization rate of large - scale caustic soda enterprises [14]. - Market analysis shows a continuous downward trend since August [14]. - Option factor research reveals that the implied volatility is at a high level, the open interest PCR is below 0.60, and the pressure and support levels are 2320 and 2000 respectively [14]. - Strategies include constructing a bearish spread and a long collar strategy for spot hedging [14]. - Soda Ash: - Fundamental analysis shows a decrease in factory inventory [14]. - Market analysis shows a weak and volatile trend since mid - September [14]. - Option factor research reveals that the implied volatility is at a relatively high historical level, the open interest PCR is below 0.50, and the pressure and support levels are 1300 and 1100 respectively [14]. - Strategies include constructing a bearish spread, a short - volatility combination, and a long collar strategy for spot hedging [14]. - Urea: - Fundamental analysis shows a decrease in enterprise inventory and an increase in port inventory [15]. - Market analysis shows a short - term weak trend, with a decline in December after a rebound [15]. - Option factor research reveals that the implied volatility is below the historical average, the open interest PCR is below 0.60, and the pressure and support levels are 1700 and 1640 respectively [15]. - Strategies include constructing a short - neutral call + put option combination and a long collar strategy for spot hedging [15].