能源化工期权：能源化工期权策略早报-20260108

1. Report Industry Investment Rating - No relevant information provided in the document 2. Core Viewpoints of the Report - The energy - chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each sector, options strategies and suggestions are provided for selected varieties. Each option variety's strategy report includes underlying market analysis, option factor research, and option strategy suggestions [9]. - It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [3]. 3. Summary According to Relevant Catalogs 3.1 Underlying Futures Market Overview - The report shows the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open - interest changes of various energy - chemical futures contracts, such as crude oil, liquefied petroleum gas (LPG), methanol, etc. For example, the latest price of crude oil contract SC2602 is 416, with a decrease of 9 and a decline rate of 2.19%, trading volume of 111,000 lots, and an open interest of 33,000 lots [4]. 3.2 Option Factors 3.2.1 Volume - Open Interest PCR - The report presents the trading volume, volume change, open interest, open - interest change, trading - volume PCR, volume - PCR change, open - interest PCR, and open - interest - PCR change of various energy - chemical options. For instance, the trading - volume PCR of crude oil options is 0.53, with a change of 0.03, and the open - interest PCR is 0.45, with a change of - 0.08 [5]. 3.2.2 Pressure and Support Levels - It shows the underlying contract, at - the - money strike price, pressure points, pressure - point offsets, support points, support - point offsets, maximum call - option open interest, and maximum put - option open interest of various energy - chemical options. For example, the pressure point of crude oil options (SC2602) is 450 and the support point is 400 [6]. 3.2.3 Implied Volatility - The report provides information on the at - the - money implied volatility, weighted implied volatility, weighted - implied - volatility change, annual average implied volatility, call - option implied volatility, put - option implied volatility, 20 - day historical volatility, and implied - historical - volatility difference of various energy - chemical options. For example, the at - the - money implied volatility of crude oil options is 35.09%, and the weighted implied volatility is 43.46% with a change of 11.52% [7]. 3.3 Option Strategies and Suggestions 3.3.1 Energy - Type Options (Crude Oil and LPG) - Crude Oil: The fundamental situation involves geopolitical events and OPEC+ production policies. The market has shown a weak - bearish trend recently. Option strategies include constructing a short - biased call + put option combination strategy for the volatility strategy and a long collar strategy for the spot long - hedging strategy [8]. - LPG: The supply has no significant increase, and the chemical demand supports the price. The market shows an oscillating - decline bearish trend. Option strategies are similar to those of crude oil, with a short - biased call + put option combination strategy for volatility and a long collar strategy for spot hedging [10]. 3.3.2 Alcohol - Type Options (Methanol and Ethylene Glycol) - Methanol: The import volume from Venezuela and domestic inventory conditions affect the price. The market shows an upward - rebound trend after a decline. Option strategies include a short - neutral call + put option combination strategy for volatility and a long collar strategy for spot hedging [10]. - Ethylene Glycol: The port inventory situation impacts the price. The market shows a weak - bearish trend. Option strategies include a short - volatility strategy for volatility and a long - spot + long put + short out - of - the - money call strategy for spot hedging [11]. 3.3.3 Olefin - Type Options (PVC) - PVC: The production - capacity utilization rate and the market show a bearish trend followed by a rebound. Option strategies include a bull - spread call - option combination strategy for directionality and a long - spot + long at - the - money put + short out - of - the - money call strategy for spot hedging [11]. 3.3.4 Rubber - Type Options (Rubber and Synthetic Rubber) - Rubber: The inventory and production data affect the price. The market shows a warming - up upward trend. Option strategies include a short - neutral call + put option combination strategy for volatility [12]. - Synthetic Rubber: No detailed fundamental and strategic analysis is given in the text. 3.3.5 Polyester - Type Options (PTA) - PTA: The market start - up rate and production affect the price. The market shows a short - term strong upward - rebound trend. Option strategies include a bull - spread call - option combination strategy for directionality and a short - bullish call + put option combination strategy for volatility [12]. 3.3.6 Alkali - Type Options (Caustic Soda and Soda Ash) - Caustic Soda: The capacity utilization rate and the market show a weak - bearish trend. Option strategies include a bear - spread combination strategy for directionality and a long collar strategy for spot hedging [13]. - Soda Ash: The effective production capacity and the market show a low - level weak - oscillating trend. Option strategies include a short - volatility combination strategy for volatility and a long collar strategy for spot hedging [13]. 3.3.7 Other Options (Urea) - Urea: The daily production volume and the market show a short - term weak - bearish trend. Option strategies include a short - bullish call + put option combination strategy for volatility and a long - spot + long at - the - money put + short out - of - the - money call strategy for spot hedging [14].