金属期权 2025-04-28 金属期权策略早报 | 卢品先 | 期权研究员 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金属期权策略早报概要：（1）有色金属上方空头压力下的盘整震荡，构建做空波动率策略策略；（2）黑色系波动 较大，适合构建卖方期权组合策略；（3）贵金属延续偏强走势创历史新高大幅回落后大幅波动，构建牛市价差组 合策略、做空波动率策略和现货避险策略。 表1：标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万手) | | (万手) | | | 铜 | CU2506 | 77,470 | -170 | ...

Group 1: Report Overview - Report Title: Energy Chemical Options Daily Report 2025 - 04 - 28 [2] - Author: Lu Pinxian [3] - Main Content: Analysis of various energy chemical options including fundamental, market, and volatility analysis, and provides strategy recommendations [3] Group 2: Industry Classification and Options - Energy chemical options are mainly divided into 5 categories: basic chemicals, energy, polyester chemicals, polyolefin chemicals, and other chemicals [3] - Specific options include methanol, rubber, synthetic rubber, styrene, crude oil, liquefied gas, etc. [3] Group 3: Basic Chemicals Sector Methanol Options - Fundamental: Last week, port inventory was 46.32 tons, down 12.24 tons; enterprise inventory was 30.98 tons, down 0.26 tons; enterprise orders to be delivered were 30.27 tons, up 2.83 tons [3] - Market: After falling from the March high, it continued to weaken, accelerated decline in April and then rebounded, and has been consolidating in a wide - range rectangular interval in the past two weeks [3] - Volatility: Implied volatility remained above the historical average [3] - Strategy: Construct a bullish + bearish option bearish combination strategy [3] Rubber and Synthetic Rubber Options - Fundamental: The mainstream price of high - cis butadiene rubber in Shandong decreased by 50 yuan/ton to 11,700 yuan/ton, etc. [3] - Market: Rubber showed a weak consolidation trend under the bearish pressure line [3] - Volatility: Implied volatility was at a relatively high historical level [3] - Strategy: Construct a bearish short - volatility strategy [3] Styrene Options - Fundamental: Both factory and port inventories decreased, but the decline weakened, and it may turn to inventory accumulation next week [4] - Market: After falling from the late - February high, it continued to weaken, accelerated decline in early April and then rebounded, showing a large - fluctuation weak market [4] - Volatility: Implied volatility continued to fluctuate at a relatively high historical level [4] - Strategy: Construct a short - volatility option combination strategy [4] Group 4: Oil and Gas Sector Crude Oil Options - Fundamental: OPEC plans to increase oil production in May; US supply declined [4] - Market: It rebounded in March, rose and then fell in April, and showed a large - fluctuation market under the bearish pressure line this week [4] - Volatility: Implied volatility remained at a relatively high level [4] - Strategy: Construct a short - volatility strategy: sell put + sell call option combination [4] Liquefied Gas Options - Fundamental: Port inventory rebounded; PDH capacity utilization decreased, etc. [4] - Market: It rebounded from March to April, then fell and rebounded weakly [4] - Volatility: Implied volatility remained above the historical average [4] - Strategy: Construct a short - bearish call + put option combination strategy [4] Group 5: Polyester Chemicals Sector PX and PTA Options - Fundamental: PTA load was 78.9%, up 3.5%; multiple devices had maintenance plans [5] - Market: After the previous bearish release, it rebounded last week, showing a mild bullish trend under the bearish pressure line [5] - Volatility: Implied volatility remained at a relatively high level [5] - Strategy: Construct a short - volatility strategy [5] Ethylene Glycol Options - Fundamental: Last week, EG load was 68.5%, up 2.3%; different production methods had different load changes [5] - Market: It showed a large - fluctuation weak bearish market under pressure [5] - Volatility: Implied volatility rapidly rose to a relatively high historical level [5] - Strategy: Construct a short - volatility strategy [5] Short - Fiber Options - Fundamental: Port inventory was 77.5 tons, up 0.4 tons; downstream factory inventory days increased [5] - Market: It declined continuously since late February, accelerated decline in April and then rebounded, showing an oversold rebound market under pressure [5] - Volatility: Implied volatility remained at a relatively high average level [5] - Strategy: Construct a short - volatility sell call + put option combination strategy [5] Group 6: Polyolefin Chemicals Sector Polypropylene Options - Fundamental: PP production enterprise inventory decreased by 2.37% this week; trade and port inventories had different changes [6] - Market: It showed a large - fluctuation weak market under pressure [6] - Volatility: Implied volatility fluctuated at a relatively high historical level [6] - Strategy: Construct a short - bearish call + put option combination strategy [6] Polyethylene Options - Fundamental: PE production enterprise inventory increased by 5.86%; trade inventory decreased [6] - Market: It declined continuously since March, fell sharply in April and then consolidated weakly [6] - Volatility: Implied volatility rapidly rose to a relatively high level [6] - Strategy: Construct a bearish directional strategy [6] PVC Options - Fundamental: Last week, factory inventory increased by 0.9 tons; social inventory decreased by 3.7 tons [6] - Market: It consolidated weakly in a wide range for more than a month and then turned weak [6] - Volatility: Implied volatility remained at a relatively low level [6] - Strategy: Construct a bearish directional strategy [6] Group 7: Data Summary - Option underlying market data includes closing price, change, trading volume, and open interest for each option [8] - Option volume, open interest, and amount data are provided for each option [9] - Option volume - PCR, open interest - PCR, and amount - PCR data are presented for each option [10] - The maximum open interest strike price, pressure point, and support point are given for each option [11] - Implied volatility data such as implied volatility rate, change, and average are provided for each option [13]

1. Market Overview - The report is an early morning report on agricultural product options strategies, covering various agricultural product sectors including oilseeds, oils, agricultural by - products, soft commodities, grains, etc. [2] - It provides information on the underlying futures market, option factors (volume - open interest PCR, pressure and support levels, implied volatility), and offers option strategies and suggestions for each selected option variety. [3][4][5] 2. Underlying Futures Market Conditions - **Price Changes**: Among different option varieties, the prices of some products such as soybeans, soybean meal, and rapeseed meal showed declines, while others like apples and peanuts had price increases. For example, the price of soybean (A2507) dropped to 4,214, a decrease of 54 or 1.27%. [3] - **Volume and Open Interest Changes**: Trading volumes and open - interest also changed. For instance, the trading volume of soybean (A2507) was 30.78 million lots, a decrease of 4.21 million lots, and the open - interest was 18.09 million lots, a decrease of 0.64 million lots. [3] 3. Option Factors 3.1 Volume - Open Interest PCR - The volume - open interest PCR indicators are used to describe the strength of the option underlying market and the turning points of the market. Different option varieties have different PCR values and changes. For example, the volume PCR of soybean (A2507) is 0.51, with a change of 0.16, and the open - interest PCR is 0.66, with no change. [4] 3.2 Pressure and Support Levels - The pressure and support levels of option varieties are determined by the strike prices of the maximum open - interest of call and put options. For example, the pressure level of soybean (A2507) is 4,500, and the support level is 4,000. [5] 3.3 Implied Volatility - Implied volatility reflects the market's expectation of future price fluctuations. Different option varieties have different implied volatility levels and changes. For example, the average implied volatility of soybean (A2507) is 18.68%, a decrease of 0.12%. [6] 4. Option Strategies and Suggestions 4.1 Oilseeds and Oils Options - **Soybean (A2507)**: For directional strategies, there are none. For volatility strategies, a neutral call + put option combination strategy is constructed to obtain option time value. For spot long - hedging strategies, a long collar strategy is built. [7] - **Soybean Meal (M2507) and Rapeseed Meal (RM2507)**: Directional strategies are not recommended. Volatility strategies involve constructing a short - biased call + put option combination strategy. Spot long - hedging strategies use the long collar strategy. [7][9] - **Palm Oil (P2506), Soybean Oil (Y2507), and Rapeseed Oil (OI2507)**: Directional strategies are absent. Volatility strategies construct a neutral call + put option combination strategy. Spot long - hedging strategies use the long collar strategy. [10] - **Peanut (PK2510)**: Directional and volatility strategies are not recommended. The spot long - hedging strategy is to hold a long spot position + buy a put option + sell an out - of - the - money call option. [11] 4.2 Agricultural By - products Options - **Pig (LH2507)**: Directional strategies are not available. Volatility strategies construct a neutral call + put option combination strategy. The spot long - covered call strategy is to hold a long spot position + sell an out - of - the - money call option. [11] - **Egg (JD2506)**: Directional strategies are not recommended. Volatility strategies construct a neutral call + put option combination strategy. There is no spot hedging strategy. [12] - **Apple (AP2510)**: Directional strategies construct a bull call spread combination strategy. Volatility strategies construct a long - biased call + put option combination strategy. There is no spot hedging strategy. [12] - **Jujube (CJ2509)**: Directional strategies construct a bear put spread combination strategy. Volatility strategies construct a short - biased strangle option combination strategy. The spot covered - hedging strategy is to hold a long spot position + sell an out - of - the - money call option. [13] 4.3 Soft Commodities Options - **Sugar (SR2507)**: Directional strategies are not recommended. Volatility strategies construct a neutral call + put option combination strategy. Spot long - hedging strategies use the long collar strategy. [13] - **Cotton (CF2507)**: Directional strategies are not available. Volatility strategies construct a neutral call + put option combination strategy. The spot covered strategy is to hold a long spot position + sell an out - of - the - money call option. [14] 4.4 Grains Options - **Corn (C2507) and Starch (CS2507)**: Directional strategies are not recommended. Volatility strategies construct a long - biased call + put option combination strategy. There is no spot long - hedging strategy. [14]

1. Report Information - Report Title: Energy and Chemical Options Daily Report 2025 - 04 - 24 [1] - Analyst: Lu Pinxian [2] 2. Core Viewpoint - The report analyzes the fundamentals, market trends, and volatility of various energy and chemical options, and provides corresponding option trading strategies and suggestions [2] 3. Industry Classification and Option Analysis 3.1 Basic Chemicals Sector - **Methanol Options**: Port inventory increased, enterprise inventory decreased, and orders to be shipped increased. The market showed a weak trend under short - selling pressure. Implied volatility was above the historical average. A bearish option combination strategy was recommended [2] - **Rubber/Synthetic Rubber Options**: The all - steel tire and semi - steel tire operating rates changed, port inventory decreased slightly, and social inventory increased slightly. The market showed a weak consolidation trend. Implied volatility was at a relatively high historical level. A bearish volatility - shorting strategy was recommended [2] - **Styrene Options**: Factory and port inventories decreased, but the de - stocking intensity weakened. The market showed a large - range volatile trend with pressure above. Implied volatility remained at a relatively high historical level. A volatility - shorting option combination strategy was recommended [3] 3.2 Oil and Gas Sector - **Crude Oil Options**: OPEC planned to increase production, and US supply decreased. The market showed a large - range volatile trend under short - selling pressure. Implied volatility remained at a relatively high level. A volatility - shorting strategy (selling put and call options) was recommended [3] - **Liquefied Gas Options**: Storage capacity utilization rates at ports, refineries, and gas stations were at low levels. The market showed a short - term weak rebound trend with pressure above. Implied volatility remained above the historical average. A bearish call + put option combination strategy was recommended [3] 3.3 Polyester Chemicals Sector - **PX/PTA Options**: PTA social inventory continued to decline. The market showed a bearish downward trend with pressure above, followed by a rebound and low - level wide - range oscillation. Implied volatility rose rapidly to a relatively high level. A volatility - shorting strategy was recommended [4] - **Ethylene Glycol Options**: Port inventory was expected to increase in the short term. The market showed a short - term weak bearish large - range oscillation trend with pressure above. Implied volatility rose rapidly to a relatively high historical level. A volatility - shorting strategy was recommended [4] - **Short - Fiber Options**: Polyester load increased, and short - fiber load remained flat. The market showed a bearish downward trend with pressure above and low - level consolidation. Implied volatility remained at a relatively high average level. A volatility - shorting call + put option combination strategy was recommended [4] 3.4 Polyolefin Chemicals Sector - **Polypropylene Options**: PP production enterprise, trader, and port inventories decreased. The market showed a weak large - range oscillation trend with pressure above. Implied volatility was at a relatively high historical level. A bearish call + put option combination strategy was recommended [5] - **Polyethylene Options**: PE production enterprise and trader inventories increased. The market showed a weak consolidation trend with pressure above. Implied volatility rose rapidly to a relatively high level. A bearish directional strategy was recommended [5] - **PVC Options**: Factory and social inventories decreased, and the overall inventory decreased. The market showed an oscillating rebound trend with pressure above. Implied volatility remained at a relatively low level. A bearish directional strategy was recommended [5] 4. Option Data Summary 4.1 Option Underlying Market Data - It includes information such as closing prices, price changes, trading volumes, and open interest for various option underlying assets [7] 4.2 Option Volume, Open Interest, and Amount Data - It shows data on trading volume, open interest, and trading amount for different options, as well as their changes [8] 4.3 Option Volume, Open Interest, and Amount PCR Data - It presents the put - call ratio (PCR) data for option trading volume, open interest, and trading amount, along with their changes [9] 4.4 Option Maximum Open Interest at Strike Prices - It provides information on the strike prices with the maximum open interest for call and put options, as well as pressure and support levels for each underlying asset [10] 4.5 Option Implied Volatility Data - It shows implied volatility data for different options, including changes, annual averages, call and put implied volatilities, historical volatility, and volatility differences [12]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The non - ferrous metals are consolidating and oscillating within a range under the short - selling pressure above, and a strategy to short volatility is recommended. The black metals have large fluctuations, suitable for constructing a seller's option portfolio strategy. The precious metals continue their strong trend, reaching a record high and then sharply falling in the night session, and a bull spread combination strategy and a spot hedging strategy are recommended [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The report provides the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various metal futures contracts, including copper, aluminum, zinc, etc. For example, the latest price of copper futures contract CU2506 is 77,610, with a price increase of 660 and a price change rate of 0.86% [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume PCR and open interest PCR of various metal options are presented, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the volume PCR of copper options is 0.79, and the open interest PCR is 1.03 [4]. 3.3 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 and support levels of option underlyings are analyzed. For example, the pressure level of copper option CU2506 is 80,000, and the support level is 70,000 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility data of various metal options are given, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of copper options is 17.96% [6]. 3.5 Strategy and Recommendations 3.5.1 Non - ferrous Metals - **Copper Options**: The fundamentals show a decrease in inventory. The market has experienced a bullish rise, followed by a decline and then a rebound. It is recommended to construct a short - volatility seller's option portfolio strategy and a spot hedging strategy [7]. - **Aluminum/Alumina Options**: The inventory of alumina has increased, while the inventory of aluminum has decreased. The market shows a downward trend with fluctuations. A short - biased call + put option combination strategy and a spot collar strategy are recommended [9]. - **Zinc/Lead Options**: The zinc market has experienced a decline and then a rebound. It is recommended to construct a short - biased call + put option combination strategy and a spot collar strategy [9]. - **Nickel Options**: The domestic port inventory of nickel is decreasing. The market has shown a high - level decline and then a rebound. A short - biased call + put option combination strategy and a spot long - position hedging strategy are recommended [10]. - **Tin Options**: The production of tin has changed. The market has fallen from a high level and then consolidated. A bear spread combination strategy, a short - volatility strategy, and a spot collar strategy are recommended [10]. - **Lithium Carbonate Options**: The production of lithium carbonate has decreased, and the inventory has increased. The market is in a downward trend. A bear spread combination strategy, a short - biased call + put option combination strategy, and a spot covered - call strategy are recommended [11]. 3.5.2 Precious Metals - **Gold/Silver Options**: The net long position of gold management funds has decreased, while the global gold ETF holdings have increased. The gold market has reached a record high and then fallen. A bull spread combination strategy, a short - volatility option seller's combination strategy, and a spot hedging strategy are recommended [12]. 3.5.3 Black Metals - **Rebar Options**: The inventory of rebar has decreased. The market is in a weak downward trend. A bear spread combination strategy, a short - biased call + put option combination strategy, and a spot covered - call strategy are recommended [13]. - **Iron Ore Options**: The inventory of iron ore has decreased. The market is in a short - term weak downward trend. A short - biased call + put option combination strategy and a spot collar strategy are recommended [13]. - **Ferroalloy Options**: The production of manganese silicon has decreased, and the inventory has increased. The market is in a weak downward trend. A bear spread combination strategy and a short - put + call option combination strategy are recommended [14]. - **Industrial Silicon/Polysilicon Options**: The inventory of industrial silicon has increased. The market is in a downward trend. A bear spread combination strategy, a short - biased call + put option combination strategy, and a spot covered - call strategy are recommended [14]. - **Glass Options**: The inventory of glass has decreased. The market is in a downward trend. A bear spread combination strategy, a short - volatility call + put option combination strategy, and a spot collar strategy are recommended [15].

Group 1: Core Insights - The article discusses the recent innovations in the U.S. ETF market, highlighting the launch of new products aimed at addressing market concentration risks and enhancing returns through various strategies [1][2]. - BlackRock has introduced a new S&P 500 strategy product with a weight cap of 3% per stock, redistributing excess weight to other stocks, which aims to mitigate drawdown risks in a concentrated market environment [2]. - The overall ETF market saw a net inflow of approximately $4 billion last week, with notable inflows into gold ETFs, while stock products experienced outflows [3][6]. Group 2: ETF Product Launches - Unlimited launched a global macro hedge fund strategy ETF with a management fee of 1%, targeting higher volatility for increased returns [1]. - F/m introduced a high-yield bond ETF that invests in the top 100 high-yield bonds, employing a more stable and secure investment method compared to traditional sampling [1]. - Avantis released an actively managed investment-grade bond ETF aimed at enhancing returns through selective bond investments [1]. Group 3: ETF Fund Flows - Vanguard's S&P 500 ETF (VOO) saw a significant inflow of $25.63 billion, while SPDR S&P 500 ETF Trust (SPY) experienced a notable outflow of $87.45 billion [7]. - Gold ETFs, particularly the SPDR Gold Trust (GLD), recorded inflows of $20.62 billion, indicating strong investor interest in gold amid market volatility [7][9]. - The article notes that the S&P 500 ETF funds have shown considerable volatility, with significant outflows from Russell 2000 ETFs and corporate bond ETFs, while short-term bond products have seen clear inflows [9]. Group 4: Currency-Related ETFs Performance - Currency-related ETFs, particularly those linked to the Japanese yen and euro, have performed well, with year-to-date gains exceeding 10% for several products [10]. - The Invesco CurrencyShares Japanese Yen Trust (FXY) and Invesco CurrencyShares Euro Trust (FXE) have shown respective gains of 10.54% and 10.30% this year [10].

Core Viewpoint - U.S. multinational companies are extending their currency hedging periods to protect cash flows from potential exchange rate fluctuations caused by the tariffs imposed by the Trump administration, reflecting increased uncertainty in the global trade landscape [1][2]. Group 1: Currency Hedging Adjustments - The adjustment in hedging periods indicates that multinational companies are facing heightened uncertainty amid concerns over economic recession and a weakening dollar [1]. - Following the announcement of higher-than-expected global tariffs on April 2, volatility in the foreign exchange market surged, leading to unrealized losses in some companies' hedging positions [1]. - Companies that have managed to withstand volatility are also beginning to extend their hedging periods, with some clients extending to the maximum available duration to lock in protective measures [1][2]. Group 2: Rising Costs of Short-term Hedging - The increase in volatility has raised the costs of short-term hedging tools, prompting companies to extend their hedging periods [2]. - Implied volatility for one-month and three-month parity options has increased by 72% and 46% respectively since April 2, leading to higher costs for companies to mitigate potential short-term losses [2]. Group 3: Shift in Options Strategy - The impact of tariffs has disrupted market expectations for the euro, with a stronger euro increasing operational costs for U.S. companies with significant sales in Europe [3]. - Companies are increasingly building protective mechanisms, particularly those needing to purchase goods and materials priced in euros [3]. - There is a growing demand for "window forward contracts," which combine the advantages of forward contracts with flexible execution times, suitable for companies facing cash flow uncertainties [3]. - More clients are shifting from forward hedging to options strategies to gain greater flexibility amid ongoing trade tensions [3].

1. Report Industry Investment Rating - No information provided in the content 2. Core Viewpoints of the Report - The report conducts fundamental, market, and volatility analyses of various energy and chemical options, and provides corresponding strategy operations and suggestions [2] 3. Summary by Relevant Catalogs 3.1 Energy and Chemical Option Classification - Energy and chemical options are mainly divided into 5 categories: basic chemicals, energy, polyester chemicals, polyolefin chemicals, and other chemicals [2] 3.2 Option Analysis and Strategy Suggestions for Each Category 3.2.1 Basic Chemicals Sector - **Methanol Option**: Last week, port inventory increased by 1.58 tons to 58.56 tons, enterprise inventory decreased by 0.19 tons to 31.24 tons, and enterprise orders to be delivered increased by 1.99 tons to 27.44 tons. The market continued to fluctuate weakly under the bearish pressure line. The implied volatility remained above the historical average. Suggest to construct a bearish combination strategy of call + put options to obtain time - value and directional returns, such as S_MA2506P2275, etc. [2] - **Rubber/Synthetic Rubber Option**: As of April 18, the all - steel tire operating rate was 67.44% (+0.23%), and the semi - steel tire operating rate was 72.40% (-1.99%). Qingdao port inventory decreased slightly, while social inventory increased slightly. The market showed a weak consolidation and oscillation pattern under the bearish pressure line. The implied volatility of rubber options was at a relatively high historical level. Suggest to construct a bearish volatility - selling strategy to obtain directional and time - value returns, such as S_RU2509P14250, etc. [2] - **Styrene Option**: As of April 17, 2025, the sample inventory of Chinese styrene factories was 21.84 tons, a decrease of 0.98 tons (-4.30%) from the previous period, and the sample port inventory in Jiangsu was 9.56 tons, a decrease of 2.34 tons (-19.66%). After reaching a high in late February, it continued to decline weakly, and after an accelerated decline in early April, it rebounded and oscillated in a range. The implied volatility continued to fluctuate at a relatively high historical level. Suggest to construct a volatility - selling option combination strategy to obtain time - value and directional returns, such as S_EB2506P7100, etc. [3] 3.2.2 Oil and Gas Sector - **Crude Oil Option**: OPEC plans to increase oil production by 411,000 barrels per day in May. US supply has declined. The short - term supply negatives have been fully released, and shale oil has started to cut production. The market showed large fluctuations under the bearish pressure line. The implied volatility remained at a relatively high level. Suggest to construct a volatility - selling strategy: a combination of selling put and call options to obtain time - value returns, such as S_SC2506P4 and S_SC2506C [3] - **Liquefied Gas Option**: Port storage capacity utilization was at a multi - year low, refinery storage capacity utilization was near the multi - year low, and gas station storage capacity utilization was at a one - year low. Port inventory was at a low level. The market showed a short - term weak rebound pattern with upper pressure. The implied volatility remained above the historical average. Suggest to construct a bearish call + put option combination strategy to obtain directional and time - value returns, adjust the position delta dynamically according to market changes, and close the position if the market rises or falls sharply, such as S_PG2506P4250, etc. [3] 3.2.3 Polyester Chemicals Sector - **PX/PTA Option**: The overall social inventory of PTA (excluding credit warehouse receipts) was 297.7 tons, a decrease of 7.3 tons from the previous period, continuing the de - stocking trend. The downstream load continued to rise, and the PTA maintenance season continued. The market showed a pattern of bearish decline with upper pressure, and then a sharp oscillation in the low - level range after an oversold rebound. The implied volatility of PTA options rose rapidly to a relatively high level. Suggest to construct a volatility - selling strategy to obtain time - value returns, such as S_TA2506P4250 [4] - **Ethylene Glycol Option**: As of April 14, port inventory was 77.1 tons, a decrease of 2.9 tons from the previous period; downstream factory inventory days were 13.5 days, an increase of 0.3 days. In the short term, port inventory is expected to accumulate. The market showed a pattern of short - term weak bearish large - scale oscillation with upper pressure. The implied volatility rose rapidly to a relatively high historical level. Suggest to construct a volatility - selling strategy to obtain time - value returns, such as S_EG2506P4050 [4] - **Short - Fiber Option**: Polyester load was 93.8%, an increase of 0.5%. Among them, filament load was 92.5%, a decrease of 2.5%; short - fiber load was 88.9%, unchanged; bottle chip load was 75.9%, unchanged. The market showed a pattern of bearish decline with upper pressure and low - level consolidation after an accelerated decline in April. The implied volatility remained at a relatively high average level. Suggest to construct a volatility - selling call + put option combination strategy to obtain time - value returns, such as S_PF2506P5800 [4] 3.2.4 Polyolefin Chemicals Sector - **Polypropylene Option**: PP production enterprise inventory was 61.91 tons, a week - on - week de - stocking of 2.83%, and a year - on - year stocking of 12.09%; PP trader inventory was 14.38 tons, a de - stocking of 4.26% from the previous week; PP port inventory was 7.60 tons, a de - stocking of 0.26% from the previous week. The market showed a pattern of large - scale oscillation with upper pressure and weakness. The implied volatility was fluctuating at a relatively high historical level. Suggest to construct a bearish call + put option combination strategy to obtain directional and time - value returns, adjust the position delta dynamically according to market changes, and close the position if the market rises or falls sharply, such as S_PP2506P7100 [5] - **Polyethylene Option**: PE production enterprise inventory was 49.7 tons, a week - on - week stocking of 3.41%, and a year - on - year stocking of 2.58%; PE trader inventory was 5.39 tons, a stocking of 4.58% from the previous week. The market showed a pattern of weak consolidation with upper pressure. The implied volatility of plastic options rose rapidly to a relatively high level. Suggest to construct a bearish directional strategy to obtain directional returns, such as B_L2506P7200 [5] - **PVC Option**: Factory inventory was 41.1 tons, a de - stocking of 4 tons; social inventory was 72.5 tons, a de - stocking of 2.8 tons; overall inventory was 113.6 tons, a de - stocking of 6.8 tons; the number of warehouse receipts increased. The market showed a pattern of oscillatory rebound with upper pressure. The implied volatility remained at a relatively low level. Suggest to construct a bearish directional strategy to obtain directional returns, such as B_V2506P4900 [5] 3.3 Option Data Summary - **Option Underlying Market Data**: Provides closing prices, price changes, trading volumes, and open interest changes of various option underlying assets [7] - **Option Volume, Open Interest, and Turnover Data**: Includes volume, volume changes, open interest, open interest changes, turnover, and turnover changes of various options [8] - **Option Volume, Open Interest, and Turnover PCR**: Presents volume - PCR, volume - PCR changes, open interest - PCR, open interest - PCR changes, turnover - PCR, and turnover - PCR changes of various options [9] - **Option Maximum Open Interest at Strike Price**: Lists the pressure points, support points, maximum call open interest, and maximum put open interest of various options [10] - **Option Implied Volatility**: Shows implied volatility, implied volatility changes, annual averages, call implied volatility, put implied volatility, HISV - 20, and volatility differences of various options [12]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The overall financial options showed small fluctuations, and the implied volatility of financial options fluctuated around the historical average level [3]. - For ETF options, it is suitable to construct covered strategies, neutral double - selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double - selling strategies and arbitrage strategies between synthetic long or short options and short or long futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,280.34, up 4.34 points or 0.13%, with a trading volume of 442.6 billion yuan, a decrease of 46.6 billion yuan [4]. - The Shenzhen Component Index closed at 9,759.05, down 15.68 points or 0.16%, with a trading volume of 556.9 billion yuan, a decrease of 65.8 billion yuan [4]. - The SSE 50 Index closed at 2,659.90, up 1.40 points or 0.05%, with a trading volume of 71.4 billion yuan, a decrease of 17.9 billion yuan [4]. - The CSI 300 Index closed at 3,772.22, down 0.60 points or 0.02%, with a trading volume of 209 billion yuan, a decrease of 52.7 billion yuan [4]. - The CSI 500 Index closed at 5,557.01, up 0.15 points or 0.00%, with a trading volume of 148.3 billion yuan, a decrease of 15.5 billion yuan [4]. - The CSI 1000 Index closed at 5,839.56, up 4.22 points or 0.07%, with a trading volume of 212.9 billion yuan, a decrease of 16.5 billion yuan [4]. 3.2 Option - underlying ETF Market Overview - The closing prices of various ETFs showed different changes, and the trading volumes and turnovers also had corresponding fluctuations. For example, the SSE 50 ETF closed at 2.718, up 0.003 or 0.11%, with a trading volume of 11.6633 million shares and a turnover of 3.166 billion yuan, a decrease of 3.089 billion yuan [5]. 3.3 Option Factor - Volume and Position PCR - The volume and position PCR of different option varieties showed different trends. For example, the volume PCR of the SSE 50 ETF option was 0.81, a decrease of 0.19, and the position PCR was 0.78, an increase of 0.01 [6]. 3.4 Option Factor - Pressure and Support Points - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support points of different option - underlying assets were obtained. For example, the pressure point of the SSE 50 ETF was 2.75, and the support point was 2.65 [8]. 3.5 Option Factor - Implied Volatility - The implied volatility of different option varieties showed different levels and changes. For example, the at - the - money implied volatility of the SSE 50 ETF option was 14.89%, and the weighted implied volatility was 16.50%, a decrease of 0.20% [10]. 3.6 Strategy and Suggestions - The financial options sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and the growth enterprise board. Different sectors have different option strategies and suggestions [12]. - For each option variety, option strategy reports are prepared according to the analysis of the underlying asset market, option factor research, and option strategy suggestions [12]. - **Financial Stocks Sector (SSE 50 ETF, SSE 50)**: The SSE 50 ETF showed a mild upward trend with support below. The implied volatility fluctuated around the average, and the position PCR indicated a weakening of short - selling sentiment. Strategies included constructing a short - volatility strategy and a covered call strategy [13]. - **Large - cap Blue - chip Stocks Sector (SSE 300 ETF, SZSE 300 ETF, CSI 300)**: The SSE 300 ETF showed a range - bound trend with pressure above and support below. The implied volatility fluctuated around the average, and the position PCR indicated a release of short - selling pressure. Strategies included constructing a short - volatility strategy and a covered call strategy [14]. - **Large - and Medium - sized Stocks Sector (SZSE 100 ETF)**: The SZSE 100 ETF showed a weak range - bound trend with pressure above. The implied volatility fluctuated below the historical average, and the position PCR indicated a weakening of short - selling and an increase in long - buying. Strategies included constructing a short - volatility strategy and a covered call strategy [15]. - **Small and Medium - sized Boards Sector (SSE 500 ETF, SZSE 500 ETF, CSI 1000)**: The SSE 500 ETF showed a weak range - bound trend under short - selling pressure. The implied volatility fluctuated around the historical average, and the position PCR indicated a weakening of short - selling pressure. Strategies included constructing a short - volatility strategy and a covered call strategy [15]. - **Growth Enterprise Board Sector (Growth Enterprise Market ETF, Huaxia Science and Technology Innovation 50 ETF, E Fund Science and Technology Innovation 50 ETF)**: The Growth Enterprise Market ETF showed a weak range - bound trend with pressure above. The implied volatility remained at a relatively high historical level, and the position PCR indicated strong short - selling pressure. Strategies included constructing a bear - spread combination strategy, a short - volatility strategy, and a covered call strategy [16].

上周美国共30只新发产品，月底月初阶段结构化产品发行密集： | 表 1: 上問美国新友 ETF | | | | --- | --- | --- | | 上市时间 | 基金名称 | 代码 | | 2025/4/4 | FT Vest Bitcoin Strategy Floor15 ETF - April | BFAP | | 2025/4/4 | Leverage Shares 2X Long CRM Daily ETF | CRMG | | 2025/4/4 | Leverage Shares 2X Long PYPL Daily ETF | PYPG | | 2025/4/4 | Leverage Shares 2X Long XYZ Daily ETF | XYZG | | 2025/4/4 | Long Pond Real Estate Select ETF | LPRE | | 2025/4/4 | Goldman Sachs India Equity ETF | GIND | | 2025/4/3 | Vanguard Short Duration Bond ETF | VSDB | | 2025 ...