聚乙烯风险管理日报 戴一帆（投资咨询证号：Z0015428） 顾恒烨（期货从业证号：F03143348 ） 投资咨询业务资格：证监许可【2011】1290号 聚乙烯价格区间预测 | | 价格区间预测（月度） | 当前波动率（20日滚动） | 当前波动率历史百分位（3年） | | --- | --- | --- | --- | | 聚乙烯 | 6900-7200 | 12.40% | 22.2% | source： 南华研究,同花顺 聚乙烯套保策略表 | 行为导 | 情景分 | 现货敞 | 策略推荐 | 套保工具 买卖方 | | 套保比例(%) | 建议入场 | | --- | --- | --- | --- | --- | --- | --- | --- | | 向 | 析 | 口 | | | 向 | | 区间 | | | 产成品 库存偏 | | 为了防止存货跌价损失，可以根据企业的库存情况，做空 塑料期货来锁定利润，弥补企业的生产成本 | L2509 | 卖出 | 25% | 7100-71 50 | | 库存管 | 高，担 | 多 | | | | | | | 理 | 心塑料 价格下 | | 卖出看涨期权收 ...

聚乙烯风险管理日报 戴一帆（投资咨询证号：Z0015428） 顾恒烨（期货从业证号：F03143348 ） 投资咨询业务资格：证监许可【2011】1290号 聚乙烯价格区间预测 | | 价格区间预测（月度） | 当前波动率（20日滚动） | 当前波动率历史百分位（3年） | | --- | --- | --- | --- | | 聚乙烯 | 6900-7200 | 14.45% | 33.8% | 【核心矛盾】 今日盘面上午受中美谈判的情绪影响较多，下午情绪有所回落。 近期PE供需双弱的格局持续：供给端，PE装置处于集中检修季中，供给边 际减量，但由于年初装置投产较多，产量大幅高于往年同期，检修带来的边际减量无法完全抵消高产能增速带来的供给增量；而需求端，低 利润环境对开工率形成压制，加上农膜正处于产销淡季，需求暂看不到增量驱动。另外，当前HD-LL价差仍处于高位，需持续关注全密度装 置的转产情况。 【利多解读】 1. PE装置进入季节性检修，集中检修季预计持续至7月。 2. 当前盘面已处于偏低水位，向下空间有限。 3. HDPE-LLDPE价差处于高位，或将带来更多全密度装置的转产。 source： 南华研 ...

1. Report Industry Investment Rating - Not provided 2. Core Viewpoints - The recent core contradiction of PE is that the weak supply - demand pattern restricts its upward space. On the supply side, although PE plants are in the centralized maintenance season with marginal supply reduction, the production is still much higher than the same period in previous years due to many new productions at the beginning of the year. On the demand side, the low - profit environment suppresses the operating rate, and the agricultural film is in the off - season, so there is no incremental demand driver [2]. - There are some positive factors, including PE plants entering the seasonal maintenance season which is expected to last until July, and the current futures price being at a relatively low level with limited downward space [3]. - There are also negative factors, such as the planned commissioning of multiple HDPE plants in the middle of the year, the reduction of domestic demand due to the off - season of downstream production and sales and the low - profit environment, and the continuous weakness of the plastic spot market with the basis in North China turning from positive to negative [4]. 3. Summary by Relevant Content 3.1 Price Forecast - The monthly price range forecast for polyethylene is 6900 - 7200 yuan/ton, the current 20 - day rolling volatility is 14.63%, and the historical percentile of the current volatility in the past 3 years is 34.7% [1]. 3.2 Hedging Strategies Inventory Management - When the inventory of finished products is high and there are concerns about falling plastic prices, for long - position inventory, it is recommended to short plastic futures (L2509) with a hedging ratio of 25% and enter the market at 7100 - 7150 yuan/ton to prevent inventory depreciation losses and lock in profits; also, sell call options (L2509C7200) with a hedging ratio of 50% and a premium range of 70 - 120 yuan to reduce costs and lock in the spot selling price if the polyethylene price rises [1]. Procurement Management - When the procurement of regular inventory is low and there is a need to purchase according to orders, for short - position inventory, it is recommended to buy plastic futures (L2509) with a hedging ratio of 50% and enter the market at 6900 - 7000 yuan/ton to prevent the increase in procurement costs due to rising polyethylene prices; also, sell put options (L2509P6900) with a hedging ratio of 75% and a premium range of 50 - 100 yuan to reduce procurement costs and lock in the spot purchase price if the polyethylene price falls [1]. 3.3 Market Data Futures Prices and Spreads - On June 6, 2025, the plastic main - contract basis was 119 yuan/ton, showing a daily decrease of 12 yuan/ton and a weekly decrease of 36 yuan/ton. The prices of L01, L05, and L09 contracts were 7037 yuan/ton, 7016 yuan/ton, and 7066 yuan/ton respectively, with daily increases of 32 yuan/ton, 24 yuan/ton, and 32 yuan/ton, and weekly increases of 52 yuan/ton, 26 yuan/ton, and 41 yuan/ton [5]. - The L1 - 5 month spread was 21 yuan/ton, showing a daily increase of 8 yuan/ton and a weekly increase of 26 yuan/ton; the L5 - 9 month spread was - 50 yuan/ton, showing a daily decrease of 8 yuan/ton and a weekly decrease of 15 yuan/ton; the L9 - 1 month spread was - 29 yuan/ton, with no daily change and a weekly increase of 11 yuan/ton [5]. - The L - P spread was 141 yuan/ton, showing a daily increase of 18 yuan/ton and a weekly increase of 34 yuan/ton [7]. Spot Prices and Regional Spreads - On June 6, 2025, the spot prices in North China, East China, and South China were 7030 yuan/ton, 7160 yuan/ton, and 7200 yuan/ton respectively. The prices in North China and East China remained unchanged compared with the previous day, while the price in South China increased by 30 yuan/ton. The weekly changes were - 30 yuan/ton, - 30 yuan/ton, and 20 yuan/ton respectively [7]. - The difference between East China and North China was 130 yuan/ton with no daily or weekly change; the difference between East China and South China was - 40 yuan/ton, showing a daily decrease of 30 yuan/ton and a weekly decrease of 50 yuan/ton [7]. Non - standard and Standard Product Spreads - The spreads between HDPE film, HDPE hollow, HDPE injection, HDPE drawing, HDPE pipe, LDPE film and LLDPE film all had certain daily and weekly changes on June 6, 2025, most of which showed a daily decrease of 20 yuan/ton [7]. Upstream Prices and Processing Profits - On June 6, 2025, the Brent crude oil price was 65 US dollars/barrel, the US ethane price was 0.2248 US dollars/gallon, the coal price in the Northwest was 475 yuan/ton, and the methanol price in East China was 2365 yuan/ton. The daily and weekly changes of these prices varied [7]. - The processing profits of oil - based PE, coal - based PE, externally - purchased methanol - based PE, externally - purchased ethane - based PE, and externally - purchased ethylene - based PE also had different daily and weekly changes [7].

聚乙烯风险管理日报 戴一帆（投资咨询证号：Z0015428） 顾恒烨（期货从业证号：F03143348 ） 投资咨询业务资格：证监许可【2011】1290号 聚乙烯价格区间预测 | | 价格区间预测（月度） | 当前波动率（20日滚动） | 当前波动率历史百分位（3年） | | --- | --- | --- | --- | | 聚乙烯 | 6900-7200 | 14.89% | 36.3% | source： 南华研究,同花顺 聚乙烯套保策略表 | 情景分析 | 现货 | 策略推荐 | 套保工具 | 买卖 | 套保比例(%) | 建议入 | | --- | --- | --- | --- | --- | --- | --- | | | 敞口 | | | 方向 | | 场区间 | | 库存 产成品库存偏高，担心 管理 塑料价格下跌 | 多 | 为了防止存货跌价损失，可以根据企业的库存情 况，做空塑料期货来锁定利润，弥补企业的生产 成本 | L2509 | 卖出 | 25% | 7100- 7150 | | | | 卖出看涨期权收取权利金降低成本，若聚乙烯价 格上涨还可以锁定现货卖出价格 | L2509C72 ...

聚乙烯风险管理日报 戴一帆（投资咨询证号：Z0015428） 顾恒烨（期货从业证号：F03143348 ） 投资咨询业务资格：证监许可【2011】1290号 聚乙烯价格区间预测 | | 价格区间预测（月度） | 当前波动率（20日滚动） | 当前波动率历史百分位（3年） | | --- | --- | --- | --- | | 聚乙烯 | 6900-7200 | 15.22% | 78.4% | source： 南华研究 聚乙烯套保策略表 | | 情景分析 | 现货 | 策略推荐 | 套保工具 | 买卖 | 套保比例(%) | 建议入 | | --- | --- | --- | --- | --- | --- | --- | --- | | | | 敞口 | | | 方向 | | 场区间 | | | 产成品库存偏高，担心 塑料价格下跌 | 多 | 为了防止存货跌价损失，可以根据企业的库存情 况，做空塑料期货来锁定利润，弥补企业的生产 成本 | L2509 | 卖出 | 25% | 7150- 7200 | | | | | 卖出看涨期权收取权利金降低成本，若聚乙烯价 格上涨还可以锁定现货卖出价格 | L250 ...

聚乙烯风险管理日报 戴一帆（投资咨询证号：Z0015428） 顾恒烨（期货从业证号：F03143348 ） 投资咨询业务资格：证监许可【2011】1290号 聚乙烯价格区间预测 | | 价格区间预测（月度） | 当前波动率（20日滚动） | 当前波动率历史百分位（3年） | | --- | --- | --- | --- | | 聚乙烯 | 7100-7400 | 19.44% | 90.6% | source： 南华研究 聚乙烯套保策略表 1. 内需情况持续偏弱，农膜仍处于产销淡季。 | 行为 | 情景分析 | 现货 | 策略推荐 | 套保工具 | 买卖 | 套保比例(%) | 建议入 | | --- | --- | --- | --- | --- | --- | --- | --- | | 导向 | | 敞口 | 为了防止存货跌价损失，可以根据企业的库存情 | | 方向 | | 场区间 | | 库存 管理 | 产成品库存偏高，担心 塑料价格下跌 | 多 | 况，做空塑料期货来锁定利润，弥补企业的生产 成本 | L2509 | 卖出 | 25% | 7300- 7400 | | | | | 卖出看涨期权收取 ...

聚乙烯风险管理日报 戴一帆（投资咨询证号：Z0015428） 顾恒烨（期货从业证号：F03143348 ） 投资咨询业务资格：证监许可【2011】1290号 【核心矛盾】 短期，一是中美关系走向缓和，PE受宏观情绪带动上涨；二是在集中检修和全密度装置转产的作用下，PE基本面预计边际改善。但中长 期，PE供强需弱格局不变。 | 行为 | 情景分析 | 现货 | 策略推荐 | 套保工具 | 买卖 | 套保比例(%) | 建议入 | | --- | --- | --- | --- | --- | --- | --- | --- | | 导向 | | 敞口 | | | 方向 | | 场区间 | | 库存 管理 | 产成品库存偏高，担心 塑料价格下跌 | 多 | 为了防止存货跌价损失，可以根据企业的库存情 况，做空塑料期货来锁定利润，弥补企业的生产 成本 | L2509 | 卖出 | 25% | 7200- 7250 | | | | | 卖出看涨期权收取权利金降低成本，若聚乙烯价 | | | | 70-10 | | | | | 格上涨还可以锁定现货卖出价格 | L2509C7200 | 卖出 | 50% | 0 | | ...