能源化工期权：能源化工期权策略早报-20260113

Report Summary 1. Report Industry Investment Rating No information provided on the industry investment rating. 2. Core Viewpoints - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [8]. - Strategies focus on constructing option portfolios mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1. Futures Market Overview - Various energy - chemical option underlying futures contracts are presented, including details on 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 (SC2603) is 437, with a 0.05% increase, a trading volume of 5.29 million lots, and an open - interest increase of 0.12 million lots [3]. 3.2. Option Factors - Volume and Open Interest PCR - The PCR (Put - Call Ratio) indicators of various energy - chemical options are provided, including volume PCR, volume PCR change, open - interest PCR, and open - interest PCR change. These indicators are used to describe the strength of the option underlying market and the turning point of the underlying market. For instance, the volume PCR of crude oil is 0.47 with a 0.03 change, and the open - interest PCR is 0.53 with a 0.04 change [4]. 3.3. Option Factors - Pressure and Support Levels - The pressure and support levels of various energy - chemical options are given, along with information on the at - the - money strike price, pressure points, pressure - point offsets, support points, support - point offsets, maximum call open interest, and maximum put open interest. For example, the pressure point of crude oil is 540, and the support point is 420 [5]. 3.4. Option Factors - Implied Volatility - Implied volatility data of various energy - chemical options are presented, including at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average implied volatility, 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 33.845%, and the weighted implied volatility change is 2.25% [6]. 3.5. Option Strategies and Recommendations - Energy Options (Crude Oil and LPG) - For crude oil, the fundamental situation shows that OPEC+ is expected to maintain the original production suspension policy, and Nigeria's crude oil production is increasing. The market is in a weak - rebound trend. Option strategies include constructing a short - biased call + put option combination, and a long collar strategy for spot hedging [7]. - For LPG, the supply has no significant increase, and the chemical demand supports the price. The market is in a downward - oscillating trend. Strategies are similar to crude oil, including short - biased option combinations and long collar strategies [9]. - Alcohol Options (Methanol and Ethylene Glycol) - Methanol production and capacity utilization are slightly increasing. The market shows an oversold - rebound trend. Strategies include constructing neutral - biased option combinations and long collar strategies [9]. - Ethylene glycol's polyester load is stable, and the market is in a weak - downward trend. Strategies include short - volatility strategies and long collar strategies [10]. - Olefin Options (PVC) - PVC inventory is increasing, and the market is in a rebound - after - decline trend. Strategies include a bull - spread combination for call options and long collar strategies for spot hedging [10]. - Rubber Options - The inventory of natural rubber in Qingdao is increasing. The market shows a warming - up trend. Strategies include constructing neutral - biased option combinations [11]. - Polyester Options (PTA) - PTA load is slightly increasing, and the market is in a short - term strong rebound trend. Strategies include constructing neutral - biased option combinations [11]. - Alkali Options (Caustic Soda and Soda Ash) - Caustic soda's production capacity utilization is increasing, and the market is in a weak - downward trend. Strategies include a bear - spread combination and long collar strategies [12]. - Soda ash's inventory is increasing, and the market is in a low - level weak - oscillating trend. Strategies include short - volatility combinations and long collar strategies [12]. - Urea Options - Urea's supply - demand difference is decreasing, and the market is in a short - term weak trend. Strategies include constructing long - biased option combinations and long collar strategies [13].