能源化工期权：能源化工期权策略早报-20260109

Report Summary 1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [8]. - For each sector, options strategies and suggestions are provided for selected varieties [8]. - Options strategy reports are written for each option variety based on underlying market analysis, option factor research, and option strategy suggestions [8]. 3. Summary by Related Catalogs 3.1 Underlying Futures Market Overview - Various option varieties' underlying contracts are presented, including details such as the latest price, change, percentage change, trading volume, volume change, open interest, and open interest change [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR for different option varieties are given, along with their changes. These PCR indicators are used to describe the strength of the option - underlying market and the timing of market turning points [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels for each option variety are provided, along with the offset values, maximum call and put open interests [5]. 3.4 Option Factor - Implied Volatility - Implied volatility data for different option varieties are presented, including at - the - money implied volatility, weighted implied volatility, its change, annual average, call and put implied volatility, and the difference between implied and historical volatility [6]. 3.5 Strategy and Suggestions 3.5.1 Energy - related Options (Crude Oil and LPG) - Fundamentals: For crude oil, the US military raid on Maduro has not damaged domestic oil and gas facilities; the rift between Saudi - UAE on the Yemen issue has not affected OPEC + coordination. NNPC aims to increase production. For LPG, the supply has no new increment, and chemical demand supports the price [7][9]. - Market Analysis: Crude oil has shown a weak - biased market trend over time. LPG has an oscillating and downward - biased market [7][9]. - Option Factor Research: Crude oil's implied volatility is below the average, and the open interest PCR indicates a weak market. LPG's implied volatility is around the average, and the open interest PCR also shows a weak market [7][9]. - Option Strategies: For both crude oil and LPG, there are no directional strategies. Volatility strategies involve selling a combination of call and put options, and spot long - hedging strategies involve constructing long collar strategies [7][9]. 3.5.2 Alcohol - related Options (Methanol and Ethylene Glycol) - Fundamentals: For methanol, imports from Venezuela in 2025 - 2026 and the supply - demand situation are considered. For ethylene glycol, the port inventory situation is presented [9][10]. - Market Analysis: Methanol shows an oversold rebound trend, while ethylene glycol shows a weak - biased trend [9][10]. - Option Factor Research: Methanol's implied volatility is around the historical average, and the open interest PCR indicates a weak market. Ethylene glycol's implied volatility is above the average, and the open interest PCR shows strong short - side power [9][10]. - Option Strategies: There are no directional strategies. Volatility strategies involve selling a combination of call and put options for methanol and short - selling volatility for ethylene glycol. Spot long - hedging strategies involve constructing long collar strategies [9][10]. 3.5.3 Olefin - related Options (PVC) - Fundamentals: The production capacity utilization rate of PVC is presented, with attention to future maintenance efforts [10]. - Market Analysis: PVC has shown a downward trend and then a rebound [10]. - Option Factor Research: PVC's implied volatility has decreased to below the average, and the open interest PCR indicates a continued weak trend [10]. - Option Strategies: A bull spread strategy for call options is constructed for directional gain, and spot long - hedging strategies involve holding spot long + buying at - the - money put options + selling out - of - the - money call options [10]. 3.5.4 Rubber - related Options (Rubber) - Fundamentals: The inventory and production data of natural and synthetic rubber are provided [11]. - Market Analysis: Rubber has shown a recovery trend [11]. - Option Factor Research: Rubber's implied volatility is approaching the average, and the open interest PCR indicates a weak market [11]. - Option Strategies: There are no directional strategies. Volatility strategies involve selling a combination of call and put options, and there is no spot hedging strategy [11]. 3.5.5 Polyester - related Options (PTA) - Fundamentals: The PTA market's start - up rate and the operation of production facilities are presented [11]. - Market Analysis: PTA has shown an oversold rebound and short - term strong trend [11]. - Option Factor Research: PTA's implied volatility is at a relatively low level, and the open interest PCR indicates a strong market [11]. - Option Strategies: There are no directional strategies. Volatility strategies involve selling a combination of call and put options, and there is no spot hedging strategy [11]. 3.5.6 Alkali - related Options (Caustic Soda and Soda Ash) - Fundamentals: For caustic soda, the capacity utilization rate of sample enterprises is given. For soda ash, the domestic effective production capacity is presented [12]. - Market Analysis: Caustic soda has shown a weak - biased trend, and soda ash has shown a low - level weak oscillation [12]. - Option Factor Research: Caustic soda's implied volatility is at a high level, and the open interest PCR indicates a weak market. Soda ash's implied volatility is at a relatively high historical level, and the open interest PCR indicates a short - biased market [12]. - Option Strategies: For caustic soda, a bear spread strategy is constructed for directional gain, and a spot collar hedging strategy is used. For soda ash, volatility strategies involve short - selling volatility, and spot long - hedging strategies involve constructing long collar strategies [12]. 3.5.7 Other Options (Urea) - Fundamentals: The daily production data of urea are provided [13]. - Market Analysis: Urea has shown a short - term weak trend [13]. - Option Factor Research: Urea's implied volatility is at a low level, and the open interest PCR indicates strong short - side pressure [13]. - Option Strategies: There are no directional strategies. Volatility strategies involve selling a combination of call and put options with a long - biased delta, and spot hedging strategies involve holding spot long + buying at - the - money put options + selling out - of - the - money call options [13].