Report Summary 1. Investment Rating There is no information provided regarding the industry investment rating in the report. 2. Core Viewpoint - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Options strategies and suggestions are provided for selected varieties in each sector, including analysis of underlying asset market conditions, option factor research, and option strategy recommendations [9]. 3. Summary by Category 3.1 Futures Market Overview - Various energy - chemical futures contracts are presented, including details such as the latest price, price change, percentage change, trading volume, volume change, open interest, and open interest change. For example, the latest price of crude oil (SC2602) is 445, with a price increase of 2 and a percentage increase of 0.38%. Its trading volume is 4.59 million lots, a decrease of 1.99 million lots, and the open interest is 3.48 million lots, a decrease of 0.19 million lots [4]. 3.2 Option Factors - Volume - Open Interest PCR: This factor is used to describe the strength of the option underlying asset market and the turning point of the underlying asset market. For instance, the volume PCR of crude oil is 0.73, with a change of 0.10, and the open interest PCR is 0.77, with a change of - 0.01 [5]. - Pressure and Support Levels: Determined from 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 400 [6]. - Implied Volatility: Includes at - the - money implied volatility, weighted implied volatility, and its change, annual average, call implied volatility, put implied volatility, historical 20 - day volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of crude oil is 24.115%, the weighted implied volatility is 27.68%, with a change of 0.37% [7]. 3.3 Option Strategies and Suggestions - Crude Oil: - Underlying Asset Market Analysis: The total US crude oil inventory decreased by 1.025 million barrels (- 0.12%) to 837 million barrels, while the strategic crude oil inventory increased by 249,000 barrels (+ 0.06%) to 412 million barrels. The market showed a weak trend overall [8]. - Option Factor Research: The implied volatility of crude oil options fluctuated below the average level. The open interest PCR was below 0.70, indicating a weak market. The pressure level was 540, and the support level was 430 [8]. - Option Strategy Recommendations: Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy to obtain option time value and directional returns, and adjust the position dynamically to keep the delta of the position short; Spot long - hedging strategy: Construct a long collar strategy, holding a spot long position + buying a put option + selling an out - of - the - money call option [8]. - Liquefied Petroleum Gas (LPG): - Underlying Asset Market Analysis: The total LPG supply decreased by 52,000 tons to 1.1946 million tons last week. The demand side saw an increase in the operating rate to 75%. The market showed a bearish trend with resistance above [10]. - Option Factor Research: The implied volatility of LPG options fluctuated around the average level. The open interest PCR was below 0.80, indicating a weak market. The pressure level was 4300, and the support level was 4000 [10]. - Option Strategy Recommendations: Directional strategy: Construct a bearish put spread strategy to obtain directional returns; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [10]. - Methanol: - Underlying Asset Market Analysis: The MTO operating rate decreased by 0.71 percentage points to 89.49%. The market showed a weak trend with resistance above [10]. - Option Factor Research: The implied volatility of methanol options fluctuated around the historical average level. The open interest PCR was below 0.60, indicating a weak market. The pressure level was 2300, and the support level was 2000 [10]. - Option Strategy Recommendations: Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [10]. - Ethylene Glycol: - Underlying Asset Market Analysis: The inventory in the East China main port increased by 25,000 tons to 844,000 tons, indicating a continuous oversupply situation. The market showed a weak bearish trend [11]. - Option Factor Research: The implied volatility of ethylene glycol options fluctuated above the average level, with an increasing volatility. The open interest PCR was below 0.60, indicating strong bearish power. The pressure level was 3800, and the support level was 3600 [11]. - Option Strategy Recommendations: Directional strategy: Construct a bearish put spread strategy; Volatility strategy: Construct a short - volatility strategy; Spot long - hedging strategy: Hold a spot long position + buy a put option + sell an out - of - the - money call option [11]. - Polyvinyl Chloride (PVC): - Underlying Asset Market Analysis: The factory inventory of PVC was 344,000 tons (+18,000 tons), and the social inventory was 517,000 tons (- 12,000 tons). The market showed a weak trend with bearish pressure above [11]. - Option Factor Research: The implied volatility of PVC options decreased to a level below the average. The open interest PCR was below 0.60, indicating a continuous weakening trend. The pressure level was 5000, and the support level was 4300 [11]. - Option Strategy Recommendations: Directional strategy: None; Volatility strategy: None; Spot long - hedging strategy: Hold a spot long position + buy an at - the - money put option + sell an out - of - the - money call option [11]. - Rubber: - Underlying Asset Market Analysis: As of December 14, 2025, the total inventory of natural rubber in Qingdao was 498,900 tons, an increase of 10,200 tons. The market showed a weak consolidation trend [12]. - Option Factor Research: The implied volatility of rubber options gradually returned to a level around the average. The open interest PCR was below 0.60, indicating a weak overall market. The pressure level dropped significantly to 17,000, and the support level was 14,000 [12]. - Option Strategy Recommendations: Directional strategy: None; Volatility strategy: Construct a neutral - biased call + put option combination strategy; Spot hedging strategy: None [12]. - Purified Terephthalic Acid (PTA): - Underlying Asset Market Analysis: The PX plant operating rate remained high, and the new production capacity was expected to be put into operation. The PTA plant inventory continued to accumulate. The market showed a short - term strong trend after a rebound from oversold conditions [12]. - Option Factor Research: The implied volatility of PTA options fluctuated at a relatively low average level. The open interest PCR was above 1.00, indicating a strong PTA market recently. The pressure level was 4750, and the support level was 4400 [12]. - Option Strategy Recommendations: Directional strategy: Construct a bullish call spread strategy; Volatility strategy: Construct a long - biased call + put option combination strategy; Spot hedging strategy: None [12]. - Caustic Soda: - Underlying Asset Market Analysis: The average capacity utilization rate of caustic soda sample enterprises with a capacity of 200,000 tons and above was 84.7%, a decrease of 1.5% week - on - week. The market showed a weak bearish trend [13]. - Option Factor Research: The implied volatility of caustic soda options fluctuated at a relatively high level. The open interest PCR was below 0.60, indicating a weak market recently. The pressure level was 2320, and the support level was 2000 [13]. - Option Strategy Recommendations: Directional strategy: Construct a bearish spread strategy; Volatility strategy: None; Spot collar hedging strategy: Hold a spot long position + buy a put option + sell an out - of - the - money call option [13]. - Soda Ash: - Underlying Asset Market Analysis: The production cost of the ammonia - soda process decreased, and the production cost of the combined - soda process in East China also decreased. The market showed a low - level weak consolidation trend [13]. - Option Factor Research: The implied volatility of soda ash options fluctuated at a relatively high historical level. The open interest PCR was below 0.50, indicating a bearish market. The pressure level was 1300, and the support level was 1100 [13]. - Option Strategy Recommendations: Directional strategy: Construct a bearish spread strategy; Volatility strategy: Construct a short - volatility combination strategy; Spot long - hedging strategy: Construct a long collar strategy [13]. - Urea: - Underlying Asset Market Analysis: The supply - demand difference increased by 14.16% week - on - week, and the enterprise inventory decreased by 54,500 tons. The market showed a short - term weak trend with resistance above [14]. - Option Factor Research: The implied volatility of urea options fluctuated at a relatively low historical average level. The open interest PCR was below 0.60, indicating strong bearish pressure. The pressure level was 1700, and the support level was 1640 [14]. - Option Strategy Recommendations: Directional strategy: None; Volatility strategy: Construct a neutral - biased call + put option combination strategy; Spot hedging strategy: Hold a spot long position + buy an at - the - money put option + sell an out - of - the - money call option [14].
能源化工期权：能源化工期权策略早报-20251226
Wu Kuang Qi Huo·2025-12-26 03:11