能源化工期权：能源化工期权策略早报-20260114

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The energy chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies suggest constructing option portfolios mainly with sellers and spot hedging or covered strategies to enhance returns [3][9]. Summary by Related Catalogs 1. Futures Market Overview - The report presents the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various energy - chemical option underlying futures contracts, including crude oil, liquefied petroleum gas (LPG), methanol, etc. [4] 2. Option Factors - Volume and Open Interest PCR - It shows 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 option varieties. The volume PCR and open interest PCR are used to describe the strength of the option underlying market and the turning point of the underlying market respectively [5]. 3. Option Factors - Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the pressure points, pressure point offsets, support points, support point offsets, maximum call option open interest, and maximum put option open interest of various option underlying are analyzed [6]. 4. Option Factors - Implied Volatility - It provides 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 the difference between implied and historical volatility of various option varieties [7]. 5. Option Strategies and Recommendations 5.1 Energy Options - Crude Oil - Underlying Market Analysis: OPEC + is expected to keep the original production suspension policy unchanged. Nigeria's crude oil + condensate production reached 1.6 million barrels per day in November 2025, up 1.3% month - on - month. The crude oil market showed a weak rebound trend [8]. - Option Factor Research: The implied volatility of crude oil options fluctuated below the average level. The open interest PCR was below 0.70, indicating a weak market. The pressure level was 450 and the support level was 400 [8]. - Option Strategy Recommendations: No directional strategy; for volatility strategy, construct a neutral call + put option selling combination strategy; for spot long - hedging strategy, construct a long collar strategy [8]. 5.2 Energy Options - LPG - Underlying Market Analysis: There was no significant increase in supply. The chemical demand supported the price bottom. The LPG market showed a volatile recovery trend with upper pressure [10]. - Option Factor Research: The implied volatility of LPG options fluctuated around the average level. The open interest PCR was below 0.80, indicating a weak market. The pressure level was 4300 and the support level was 4000 [10]. - Option Strategy Recommendations: No directional strategy; for volatility strategy, construct a neutral call + put option selling combination strategy; for spot long - hedging strategy, construct a long collar strategy [10]. 5.3 Alcohol Options - Methanol - Underlying Market Analysis: China's methanol production was about 2.0511 million tons with a capacity utilization rate of about 90.31%. The market showed a rebound trend with upper pressure [10]. - Option Factor Research: The implied volatility of methanol options fluctuated around the historical average level. The open interest PCR was below 0.60, indicating a weak market. The pressure level was 2300 and the support level was 2100 [10]. - Option Strategy Recommendations: No directional strategy; for volatility strategy, construct a neutral call + put option selling combination strategy; for spot long - hedging strategy, construct a long collar strategy [10]. 5.4 Alcohol Options - Ethylene Glycol - Underlying Market Analysis: The polyester load was 90.8% last week. The ethylene glycol market showed a volatile recovery trend with upper pressure [11]. - Option Factor Research: The implied volatility of ethylene glycol options fluctuated above the average level. The open interest PCR was below 0.60, indicating strong short - side power. The pressure level was 3800 and the support level was 3600 [11]. - Option Strategy Recommendations: No directional strategy; for volatility strategy, construct a short - volatility strategy; for spot long - hedging strategy, hold a spot long position + buy a put option + sell an out - of - the - money call option [11]. 5.5 Olefin Options - PVC - Underlying Market Analysis: The inventory increased. The PVC market showed a rebound trend with short - side pressure [11]. - Option Factor Research: The implied volatility of PVC options decreased to fluctuate below the average level. The open interest PCR was below 0.60, indicating a continuous weak market. The pressure level was 5000 and the support level was 4300 [11]. - Option Strategy Recommendations: For directional strategy, construct a call option bull spread combination strategy; no volatility strategy; for spot long - hedging strategy, hold a spot long position + buy an at - the - money put option + sell an out - of - the - money call option [11]. 5.6 Rubber Options - Underlying Market Analysis: The rubber market showed a recovery trend with lower support and upper pressure [12]. - Option Factor Research: The implied volatility of rubber options gradually returned to fluctuate around the average level. The open interest PCR was below 0.60, indicating a weak market. The pressure level dropped significantly to 17000 and the support level was 14000 [12]. - Option Strategy Recommendations: No directional strategy; for volatility strategy, construct a neutral call + put option selling combination strategy; no spot hedging strategy [12]. 5.7 Polyester Options - PTA - Underlying Market Analysis: The PTA load was 78.2%. The market showed a short - term strong recovery trend [12]. - Option Factor Research: The implied volatility of PTA options fluctuated at a low average level. The open interest PCR was above 1.00, indicating a strong market. The pressure level was 4750 and the support level was 4400 [12]. - Option Strategy Recommendations: No directional strategy; for volatility strategy, construct a neutral call + put option selling combination strategy; no spot hedging strategy [12]. 5.8 Alkali Options - Caustic Soda - Underlying Market Analysis: The average capacity utilization rate of large - scale caustic soda enterprises was 86.8%. The market showed a weak short - side trend with upper pressure [13]. - Option Factor Research: The implied volatility of caustic soda options fluctuated 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 [13]. - Option Strategy Recommendations: For directional strategy, construct a bear spread combination strategy; no volatility strategy; for spot collar hedging strategy, hold a spot long position + buy a put option + sell an out - of - the - money call option [13]. 5.9 Alkali Options - Soda Ash - Underlying Market Analysis: The soda ash inventory increased. The market showed a low - level weak - side volatile trend [13]. - Option Factor Research: The implied volatility of soda ash options fluctuated at a historically high level. The open interest PCR was below 0.50, indicating a short - side market. The pressure level was 1300 and the support level was 1100 [13]. - Option Strategy Recommendations: No directional strategy; for volatility strategy, construct a short - volatility combination strategy; for spot long - hedging strategy, construct a long collar strategy [13]. 5.10 Urea Options - Underlying Market Analysis: The supply - demand difference decreased, and the enterprise inventory increased. The market showed a short - term weak trend with upper pressure [14]. - Option Factor Research: The implied volatility of urea options fluctuated at a low historical average level. The open interest PCR was below 0.60, indicating large short - side pressure. The pressure level was 1700 and the support level was 1640 [14]. - Option Strategy Recommendations: No directional strategy; for volatility strategy, construct a slightly long - biased call + put option selling combination strategy; for spot hedging strategy, hold a spot long position + buy an at - the - money put option + sell an out - of - the - money call option [14].