能源化工期权：能源化工期权策略早报-20251231

Report Summary 1. Report Industry Investment Rating No information provided in the document. 2. Core Viewpoints - The energy and chemical industry is divided into several sectors including energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [8]. - The report provides option strategies and suggestions for selected varieties in each sector, covering underlying market analysis, option factor research, and option strategy recommendations [8]. - It is recommended to construct option - combination strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Underlying Futures Market Overview - The prices, price changes, trading volumes, and open interests of various energy and chemical futures are presented, such as crude oil, LPG, methanol, etc. For example, the latest price of crude oil (SC2602) is 437, down 2 with a decline rate of - 0.36%, trading volume of 6.61 million lots (down 0.71 million lots), and open interest of 3.04 million lots (down 0.18 million lots) [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR data of different option varieties are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For example, the volume PCR of crude oil is 0.56 (down 0.23), and the open interest PCR is 0.66 (down 0.02) [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of option underlying assets are determined from the strike prices of the maximum call and put option open interests. For example, the pressure level of crude oil is 540, and the support level is 435 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility data of different options are presented, including at - the - money implied volatility, weighted implied volatility, and its changes, etc. For example, the at - the - money implied volatility of crude oil is 26.515%, the weighted implied volatility is 32.23% (up 1.59%) [6]. 3.5 Option Strategies and Suggestions 3.5.1 Energy - Related Options - Crude Oil: - Underlying Market Analysis: The US Department of Energy delayed data release due to the Christmas holiday. Military interceptions in Venezuela and production changes in Kazakhstan and the Middle East affected the market. The price showed a weak trend [7]. - Option Factor Research: The 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 435 [7]. - Option Strategy Recommendations: Construct a short - biased call + put option combination strategy; for spot long hedging, construct a long collar strategy [7]. - LPG: - Underlying Market Analysis: Supply had no significant increase, and chemical demand supported the price. The price showed a volatile and downward trend [9]. - Option Factor Research: The implied volatility was around the average, the open interest PCR was below 0.80, indicating a weak market. The pressure level was 4300, and the support level was 4000 [9]. - Option Strategy Recommendations: Construct a short - biased call + put option combination strategy; for spot long hedging, construct a long collar strategy [9]. 3.5.2 Alcohol - Related Options - Methanol: - Underlying Market Analysis: Inventory was expected to increase, and the price showed a weak trend with limited rebound [9]. - Option Factor Research: The 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 2100 [9]. - Option Strategy Recommendations: Construct a short - biased call + put option combination strategy; for spot long hedging, construct a long collar strategy [9]. - Ethylene Glycol: - Underlying Market Analysis: Port inventory was expected to increase, and the price showed a continuous weak trend [10]. - Option Factor Research: The implied volatility was above the average and rising, the open interest PCR was below 0.60, indicating strong short - side power. The pressure level was 3800, and the support level was 3600 [10]. - Option Strategy Recommendations: Construct a short - volatility strategy; for spot long hedging, hold spot long + buy put option + sell out - of - the - money call option [10]. 3.5.3 Olefin - Related Options - PVC: - Underlying Market Analysis: Inventory decreased overall, and the price showed a weak rebound after a continuous decline [10]. - Option Factor Research: The implied volatility decreased to below the average, the open interest PCR was below 0.60, indicating a continuous weak trend. The pressure level was 5000, and the support level was 4300 [10]. - Option Strategy Recommendations: For spot long hedging, hold spot long + buy at - the - money put option + sell out - of - the - money call option [10]. 3.5.4 Rubber - Related Options - Rubber: - Underlying Market Analysis: Inventory was at a medium level, and the price showed a warming - up trend [11]. - Option Factor Research: The implied volatility gradually returned to around the average, the open interest PCR was below 0.60, indicating a weak overall trend. The pressure level was 17000, and the support level was 14000 [11]. - Option Strategy Recommendations: Construct a neutral - biased call + put option combination strategy; no spot hedging strategy was provided [11]. - Synthetic Rubber: No detailed analysis and strategy recommendations in the above - mentioned format were found. 3.5.5 Polyester - Related Options - PTA: - Underlying Market Analysis: Polyester load decreased, and PTA inventory decreased. The price showed a strong short - term rebound [11]. - Option Factor Research: The implied volatility was at a relatively low level, the open interest PCR was above 1.00, indicating a strong market. The pressure level was 4750, and the support level was 4400 [11]. - Option Strategy Recommendations: Construct a bull - spread call option strategy; construct a long - biased call + put option combination strategy; no spot hedging strategy was provided [11]. 3.5.6 Alkali - Related Options - Caustic Soda: - Underlying Market Analysis: The capacity utilization rate increased, and the price showed a weak and stable trend [12]. - Option Factor Research: The implied volatility was at a high level, the open interest PCR was below 0.60, indicating a weak market. The pressure level was 2320, and the support level was 2040 [12]. - Option Strategy Recommendations: Construct a bear - spread strategy; for spot long hedging, construct a long collar strategy [12]. - Soda Ash: - Underlying Market Analysis: Inventory decreased, and the price showed a low - level volatile trend [12]. - Option Factor Research: The 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 1300, and the support level was 1100 [12]. - Option Strategy Recommendations: Construct a bear - spread strategy; construct a short - volatility combination strategy; for spot long hedging, construct a long collar strategy [12]. 3.5.7 Urea Options - Underlying Market Analysis: Production decreased, and the price showed a short - term weak trend [13]. - Option Factor Research: The implied volatility was at a relatively low historical level, the open interest PCR was below 0.60, indicating strong short - side pressure. The pressure level was 1700, and the support level was 1640 [13]. - Option Strategy Recommendations: Construct a neutral - biased call + put option combination strategy; for spot long hedging, hold spot long + buy at - the - money put option + sell out - of - the - money call option [13].