能源化工期权：能源化工期权策略早报-20260107

Group 1: Report Overview - The report is an early morning strategy report on energy and chemical options dated January 7, 2026 [1] - It covers various energy and chemical options including energy, polyolefins, polyesters, alkali chemicals, etc [2] - The recommended strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2] Group 2: Underlying Futures Market Overview - The report provides the latest prices, price changes, trading volumes, and open interest changes of multiple underlying futures contracts such as crude oil, LPG, methanol, etc [3] Group 3: Option Factors Volume and Open Interest PCR - The report presents the volume and open interest PCR data of different option varieties, which are used to describe the strength of the underlying market and the turning point of the market respectively [4] Pressure and Support Levels - The pressure and support levels of each option variety are analyzed from the perspective of the strike prices with the largest open interest of call and put options [5] Implied Volatility - The report shows the implied volatility data of various option varieties, including at - the - money implied volatility, weighted implied volatility, and its changes [6] Group 4: Strategy and Recommendations for Different Option Varieties Energy Options (Crude Oil and LPG) - Crude Oil: Fundamental factors include geopolitical events and OPEC+ policies; directional strategy is none, volatility strategy is to construct a short - biased call + put option combination, and spot long - hedging strategy is to construct a long collar strategy [7] - LPG: Fundamental factors involve supply and demand; directional strategy is none, volatility strategy is to construct a short - biased call + put option combination, and spot long - hedging strategy is to construct a long collar strategy [9] Alcohol Options (Methanol and Ethylene Glycol) - Methanol: Fundamental factors include import volume and inventory; directional strategy is none, volatility strategy is to construct a neutral - biased call + put option combination, and spot long - hedging strategy is to construct a long collar strategy [9] - Ethylene Glycol: Fundamental factors involve port inventory; directional strategy is none, volatility strategy is to construct a short - volatility strategy, and spot long - hedging strategy is to hold spot long + buy put option + sell out - of - the - money call option [10] Olefin Options (PVC) - PVC: Fundamental factors include production capacity utilization; directional strategy is to construct a bull spread combination of call options, volatility strategy is none, and spot long - hedging strategy is to hold spot long + buy at - the - money put option + sell out - of - the - money call option [10] Rubber Options - Rubber: Fundamental factors include port inventory and production; directional strategy is none, volatility strategy is to construct a neutral - biased call + put option combination, and spot hedging strategy is none [11] Polyester Options (PTA) - PTA: Fundamental factors include market operating rate and production; directional strategy is to construct a bull spread combination of call options, volatility strategy is to construct a long - biased call + put option combination, and spot hedging strategy is none [11] Alkali Chemical Options (Caustic Soda and Soda Ash) - Caustic Soda: Fundamental factors include capacity utilization rate; directional strategy is to construct a bear spread combination, volatility strategy is none, and spot collar hedging strategy is to hold spot long + buy put option + sell out - of - the - money call option [12] - Soda Ash: Fundamental factors include domestic effective production capacity; directional strategy is none, volatility strategy is to construct a short - volatility combination, and spot long - hedging strategy is to construct a long collar strategy [12] Urea Options - Urea: Fundamental factors include daily production; directional strategy is none, volatility strategy is to construct a long - biased call + put option combination, and spot hedging strategy is to hold spot long + buy at - the - money put option + sell out - of - the - money call option [13]