能源化工期权：能源化工期权策略早报-20251224

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies mainly involve constructing option portfolios with sellers as the main component, along with spot hedging or covered call strategies to enhance returns [3][9] 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various energy - chemical option underlying futures have different price, trading volume, and open interest changes. For example, the latest price of crude oil (SC2602) is 442, up 1 with a 0.14% increase, trading volume of 7.98 million lots (down 0.21 million lots), and open interest of 3.69 million lots (down 0.29 million lots) [4] 3.2 Option Factors - Volume and Open Interest PCR - Different option varieties have different volume and open interest PCR values and their changes. For instance, the volume PCR of crude oil options is 0.63 (down 0.00), and the open interest PCR is 0.77 (up 0.03) [5] 3.3 Option Factors - Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure level of crude oil is 540, and the support level is 400 [6] 3.4 Option Factors - Implied Volatility - Implied volatility of different option varieties varies. For example, the at - the - money implied volatility of crude oil is 25.14%, and the weighted implied volatility is 27.56% (up 0.24%) [7] 3.5 Option Strategies and Recommendations 3.5.1 Energy - related Options (Crude Oil) - Fundamental analysis: US crude oil inventories have different changes. The overall performance of crude oil is a weak market trend. - Option factor research: Implied volatility is below the average, open interest PCR is below 0.70, pressure level is 540, and support level is 430. - Option strategies: Construct bearish option bear - spread strategy, short - biased call + put option combination strategy, and long collar strategy for spot hedging [8] 3.5.2 Liquefied Petroleum Gas (LPG) - Fundamental analysis: Supply decreased, and demand increased. The market is a bearish oscillating market. - Option factor research: Implied volatility is around the average, open interest PCR is below 0.80, pressure level is 4300, and support level is 4000. - Option strategies: Construct bearish option bear - spread strategy, short - biased call + put option combination strategy, and long collar strategy for spot hedging [10] 3.5.3 Alcohols (Methanol) - Fundamental analysis: Demand changes may be limited in the short term. The market is a rebound - then - decline market. - Option factor research: Implied volatility is around the historical average, open interest PCR is below 0.60, pressure level is 2300, and support level is 2000. - Option strategies: Construct short - biased call + put option combination strategy and long collar strategy for spot hedging [10] 3.5.4 Alcohols (Ethylene Glycol) - Fundamental analysis: Inventory pressure increases, indicating a supply - surplus situation. The market is a weak bearish market. - Option factor research: Implied volatility is above the average and rising, open interest PCR is below 0.60, pressure level is 3800, and support level is 3600. - Option strategies: Construct bearish option bear - spread strategy, short volatility strategy, and long collar strategy for spot hedging [11] 3.5.5 Polyolefins (PVC) - Fundamental analysis: Inventory and production rates have changed. The market is a weak bearish market. - Option factor research: Implied volatility has decreased to below the average, open interest PCR is below 0.60, pressure level is 5000, and support level is 4300. - Option strategies: Construct long collar strategy for spot hedging [11] 3.5.6 Rubber - Fundamental analysis: Inventory has increased. The market is a weak oscillating market. - Option factor research: Implied volatility is approaching the average, open interest PCR is below 0.60, pressure level is 16000, and support level is 15000. - Option strategies: Construct short - neutral call + put option combination strategy [12] 3.5.7 Polyesters (PTA) - Fundamental analysis: Supply is becoming more abundant, and inventory is high. The market is a short - term strong rebound market. - Option factor research: Implied volatility is at a low - average level, open interest PCR is around 0.80, pressure level is 4750, and support level is 4400. - Option strategies: Construct bullish option bull - spread strategy, short - bullish call + put option combination strategy [12] 3.5.8 Alkaline Chemicals (Caustic Soda) - Fundamental analysis: Capacity utilization has decreased. The market is a weak bearish market. - Option factor research: Implied volatility is at a high level, open interest PCR is below 0.60, pressure level is 2320, and support level is 2000. - Option strategies: Construct bear - spread strategy and long collar strategy for spot hedging [13] 3.5.9 Alkaline Chemicals (Soda Ash) - Fundamental analysis: Production costs and profits have changed. The market is a low - level weak oscillating market. - Option factor research: Implied volatility is at a relatively high historical level, open interest PCR is below 0.50, pressure level is 1300, and support level is 1100. - Option strategies: Construct bear - spread strategy, short volatility combination strategy, and long collar strategy for spot hedging [13] 3.5.10 Urea - Fundamental analysis: Supply - demand difference has increased, and inventory has decreased. The market is a short - term weak market. - Option factor research: Implied volatility is at a low - historical average level, open interest PCR is below 0.60, pressure level is 1700, and support level is 1640. - Option strategies: Construct short - neutral call + put option combination strategy and long collar strategy for spot hedging [14]