1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The overall trend of agricultural product options shows that oilseeds and oils are weakly volatile, while other sectors such as by - products, soft commodities, and grains maintain a volatile market. It is recommended to construct option combination strategies mainly based on sellers and spot hedging or covered strategies to enhance returns [2] 3. Summary According to Related Catalogs 3.1 Overview of the Underlying Futures Market - Different agricultural product options have various price changes, trading volumes, and open - interest changes. For example, the price of soybeans A2601 decreased by 0.12% to 4,113, with a trading volume of 7.95 million lots and a decrease of 4.92 million lots compared to the previous period, and an open - interest of 24.71 million lots with a decrease of 0.05 million lots [3] 3.2 Option Factors - Volume and Open - Interest PCR - PCR indicators are used to describe the strength of the option underlying market and the turning point of the market. For instance, the volume PCR of soybeans is 0.68 with a change of 0.10, and the open - interest PCR is 1.22 with a change of 0.02 [4] 3.3 Option Factors - Pressure and Support Levels - From the perspective of the maximum open - interest of call and put options, the pressure and support levels of different option underlying are determined. For example, the pressure level of soybeans is 4,200 and the support level is 4,050 [5] 3.4 Option Factors - Implied Volatility - The implied volatility of different option products shows different trends. For example, the weighted implied volatility of soybeans decreased by 0.20 to 11.96, and the difference between implied and historical volatility is - 1.23 [6] 3.5 Option Strategies for Different Agricultural Products 3.5.1 Oilseeds and Oils Options - **Soybeans**: Fundamentally, the CNF premium of Brazilian soybeans decreased, and the import cost increased. The market has shown a rebound after a decline. Optionally, the implied volatility is below the historical average, and the open - interest PCR indicates a weak market. Strategies include constructing a neutral call + put option combination and a long collar strategy for spot hedging [7] - **Soybean Meal**: Fundamentally, the trading volume and pick - up volume decreased, and the basis increased slightly. The market has shown a rebound after a decline. Optionally, the implied volatility is below the historical average, and the open - interest PCR indicates a weak market. Strategies include constructing a neutral call + put option combination and a long collar strategy for spot hedging [9] - **Palm Oil**: Fundamentally, the production in Malaysia is expected to be high in the fourth quarter, and the inventory will gradually decline. The market is in a low - level consolidation. Optionally, the implied volatility is below the historical average, and the open - interest PCR indicates support at the bottom. Strategies include constructing a bearish call + put option combination and a long collar strategy for spot hedging [9] - **Peanuts**: Fundamentally, the peanut oil market is in a contradictory situation. The market is in a weak consolidation. Optionally, the implied volatility is at a relatively high historical level, and the open - interest PCR indicates a weak market. Strategies include a long collar strategy for spot hedging [10] 3.5.2 By - products Options - **Pigs**: Fundamentally, the production and inventory of pigs have increased. The market is in a downward trend. Optionally, the implied volatility is above the historical average, and the open - interest PCR indicates a weak market. Strategies include constructing a bearish spread strategy for call options, a bearish call + put option combination, and a covered strategy for spot [10] - **Eggs**: Fundamentally, the market has a high supply and weak demand. The market has shown a rebound after a decline. Optionally, the implied volatility is at a relatively high level, and the open - interest PCR indicates a weak market. Strategies include constructing a neutral call + put option combination [11] - **Apples**: Fundamentally, the apple production has decreased, and the expected cold - storage inventory is low. The market is in an upward trend. Optionally, the implied volatility is above the historical average, and the open - interest PCR indicates strong support at the bottom. Strategies include constructing a bullish call + put option combination and a long collar strategy for spot hedging [11] - **Jujubes**: Fundamentally, the market price is stable, and the supply is sufficient. The market is in a downward trend. Optionally, the implied volatility has rapidly increased to above the historical average, and the open - interest PCR indicates a weak market. Strategies include constructing a bearish wide - straddle option combination and a covered strategy for spot hedging [12] 3.5.3 Soft Commodities Options - **Sugar**: Fundamentally, the external sugar market is weak, and the production in Brazil may decline. The market is in a weak and volatile state. Optionally, the implied volatility is at a relatively low historical level, and the open - interest PCR indicates a range - bound market. Strategies include constructing a bearish call + put option combination and a long collar strategy for spot hedging [12] - **Cotton**: Fundamentally, the new cotton supply will increase, putting pressure on prices. The market is in a short - term weak state. Optionally, the implied volatility is at a low level, and the open - interest PCR indicates a weak market. Strategies include constructing a bearish call + put option combination and a covered strategy for spot [13] 3.5.4 Grains Options - **Corn**: Fundamentally, the purchase price of corn has decreased, and the supply exceeds demand. The market is in a weak rebound state. Optionally, the implied volatility is at a relatively low historical level, and the open - interest PCR indicates a weak market. Strategies include constructing a neutral call + put option combination [13]

金融期权 2025-11-12 金融期权策略早报 | 卢品先 | 投研经理 | 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 | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 表3：期权因子—量仓PCR | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | ...

Group 1: Report Summary - The agricultural products option market shows a mixed trend, with oilseeds and oils, and agricultural by - products in a weak or stable oscillation. Soft commodities like sugar and cotton also display a similar pattern, and grains such as corn and starch are in a narrow - range weak oscillation [2]. - It is recommended to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. Group 2: Futures Market Overview - Various agricultural product futures show different price changes. For example, the latest price of soybean No.1 (A2601) is 4,138, up 24 with a 0.58% increase; soybean meal (M2601) is 3,051, unchanged; and palm oil (P2601) is 8,708, up 38 with a 0.44% increase [3]. Group 3: Option Factor - Quantity and Position PCR - The PCR indicators of different agricultural product options vary. For instance, the volume PCR of soybean No.1 is 0.53, down 0.29; the position PCR is 1.19, down 0.00. These indicators help describe the strength of the option - underlying market and potential turning points [4]. Group 4: Option Factor - Pressure and Support Levels - Each agricultural product option has its own pressure and support levels. For example, the pressure point of soybean No.1 is 4,200 and the support point is 4,050; the pressure point of soybean meal is 3,100 and the support point is also 3,100 [5]. Group 5: Option Factor - Implied Volatility - The implied volatility of different agricultural product options shows different trends. For example, the weighted implied volatility of soybean No.1 is 12.18, down 0.52; that of soybean meal is 15.09, up 0.17 [6]. Group 6: Option Strategies and Recommendations Oilseeds and Oils Options - **Soybean No.1**: The fundamentals are affected by factors such as the decline of Brazilian soybean CNF premium and the slowdown of planting progress. The market shows a rebound after a decline. It is recommended to construct a neutral - selling call + put option combination strategy and a long - collar strategy for spot hedging [7]. - **Soybean Meal**: The fundamentals are related to factors like daily trading volume and inventory changes. The market shows a rebound after a decline. Similar to soybean No.1, a neutral - selling call + put option combination strategy and a long - collar strategy for spot hedging are recommended [9]. - **Palm Oil**: The fundamentals are influenced by Malaysian production and inventory. The market is in a low - level consolidation. It is recommended to construct a short - biased selling call + put option combination strategy and a long - collar strategy for spot hedging [9]. - **Peanut**: The fundamentals are in a contradictory state of high - quality resource support and loose supply - demand. The market is in a weak downward trend. A long - collar strategy for spot hedging is recommended [10]. Agricultural By - products Options - **Pig**: The fundamentals are related to the increase in pig slaughter and inventory. The market is in a weak downward trend. A bear - spread strategy of put options, a short - biased selling call + put option combination strategy, and a covered strategy for spot are recommended [10]. - **Egg**: The fundamentals are characterized by high supply and weak demand. The market shows a rebound after a decline. A neutral - selling call + put option combination strategy is recommended [11]. - **Apple**: The fundamentals are affected by factors such as reduced production and low inventory. The market is in a rising and oscillating state. A long - biased selling call + put option combination strategy and a long - collar strategy for spot hedging are recommended [11]. - **Jujube**: The fundamentals are related to stable prices and sufficient supply. The market is in a weak downward trend. A short - biased wide - straddle option combination strategy and a covered strategy for spot hedging are recommended [12]. Soft Commodities Options - **Sugar**: The fundamentals are affected by the weak external sugar market. The market is in a weak downward state. A short - biased selling call + put option combination strategy and a long - collar strategy for spot hedging are recommended [12]. - **Cotton**: The fundamentals are related to the end of cotton harvesting and increasing supply. The market is in a short - term weak state. A short - biased selling call + put option combination strategy and a covered strategy for spot are recommended [13]. Grains Options - **Corn**: The fundamentals are influenced by factors such as price declines and supply - demand imbalance. The market shows a rebound after a decline. A neutral - selling call + put option combination strategy is recommended [13].

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - In the context of the fluctuating market of the CSI 1000 Index, it is advisable to construct a bull spread strategy using CSI 1000 index options. The market sentiment is generally positive, the implied volatility is at a low level, and the index is likely to fluctuate in the short - term while having an upward trend in the medium - to - long - term [1][11] - The policies during the 15th Five - Year Plan period will continue to boost consumption, stabilize macro - economic aggregate demand, and promote a positive economic cycle [8][9] - The trend of incremental funds flowing into the stock market remains unchanged, which strongly supports the stock index [10] Summary by Related Catalogs Market Conditions of CSI 1000 Index - Since September, the CSI 1000 Index has entered a range - bound market. Due to the intertwined bullish and bearish factors, it is difficult for investors to time the market, and using linear profit - loss tools for asset allocation bears high volatility risks [1] - The CSI 1000 Index is likely to fluctuate in the short term because although there are positive policy expectations and continuous capital inflows, there is still a need for short - term technical consolidation due to the significant increase in stock valuations [5] Option Indicators - As of November 6, the position PCR of CSI 1000 index options was 108.90%, at the 96.0% quantile level since 2023, indicating that the proportion of non - bearish investors in the market is at a relatively high historical quantile, and the market sentiment is generally positive [3] - Since late October, the at - the - money implied volatility of CSI 1000 index options has continued to decline. As of November 6, it was 18.15%, at the 37.5% quantile level since 2023. It is advisable to hold a positive vega risk exposure when constructing option portfolio strategies [4][5] Policy Factors - In October, the manufacturing PMI showed a seasonal decline, indicating that the problem of insufficient domestic demand still exists, and subsequent policies may continue to work on stabilizing demand and restoring corporate profit expectations [6] - The consumption - boosting policies during the 15th Five - Year Plan period will create new markets, reduce the living burden of residents, and promote a positive economic cycle [8][9] Capital Factors - As of November 6, the margin trading balance was 2.47 trillion yuan, significantly higher than that in September last year and June this year. The active margin trading funds can attract more investors to enter the market [10] - Resident wealth management funds, institutional medium - and long - term funds, and foreign capital are continuously flowing into the stock market. The long - term funds entering the market have enhanced the internal stability of the A - share market, and the trend of foreign capital inflows remains unchanged [10] Strategy Suggestions - A bull spread strategy can be constructed using CSI 1000 index options. Taking the call bull spread as an example, this strategy is suitable for a moderately bullish market, with limited maximum losses and the potential to accumulate floating profits when the index rises [11][13]

Report Overview - The report focuses on energy and chemical options, covering various sectors such as energy, alcohols, polyolefins, rubber, polyesters, alkalis, etc. It provides an analysis of the underlying market, option factors, and offers option strategies and suggestions for each selected option variety [8]. 1. Market Overview of Underlying Futures 1.1 Price and Volume Changes - The report presents the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of multiple energy and chemical futures contracts. For example, the latest price of crude oil (SC2601) is 462, with a price increase of 2 and a price change percentage of 0.43%. Its trading volume is 2.93 million lots, an increase of 0.34 million lots, and the open interest is 2.55 million lots, an increase of 0.16 million lots [3]. 2. Option Factors Analysis 2.1 Volume and Open Interest PCR - The volume and open interest PCR of various option varieties are analyzed. For instance, the volume PCR of crude oil options is 1.00, with a change of 0.15, and the open interest PCR is 0.66, with a change of 0.01. These indicators are used to describe the strength of the option underlying market and the turning point of the underlying market [4]. 2.2 Pressure and Support Levels - The pressure and support levels of option underlying assets are determined based on the strike prices of the maximum open interest of call and put options. For example, the pressure level of crude oil is 500, and the support level is 450 [5]. 2.3 Implied Volatility - The implied volatility of options is analyzed, including at - the - money implied volatility, weighted implied volatility, and its changes, annual average implied volatility, call and put implied volatility, historical volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of crude oil options is 24.1, the weighted implied volatility is 28.90, with a change of 0.91 [6]. 3. Option Strategies and Suggestions for Different Varieties 3.1 Crude Oil Options - **Underlying Market Analysis**: The demand of US refineries has stabilized and rebounded. Shale oil production has slightly increased, and OPEC exports have increased. The European refined oil inventory is in a low - level destocking state, and the crude oil inventory has increased. The crude oil market showed a short - term weak and volatile trend in August, continued to be weak and bearish in September and then gradually rebounded, fell sharply in October and then stopped falling and rebounded, and has shown a weak and bearish sharp decline since November [7]. - **Option Factor Research**: The implied volatility of crude oil options has decreased to near the average. The open interest PCR is below 0.80, indicating a weak market. The pressure level is 500, and the support level is 450 [7]. - **Option Strategy Suggestions**: Directional strategy: None. Volatility strategy: Construct a short - biased call + put option combination strategy to obtain option time value and directional returns, and dynamically adjust the position to keep the delta of the position short. Spot long - hedging strategy: Construct a long collar strategy, holding spot long + buying put options + selling out - of - the - money call options [7]. 3.2 Other Option Varieties - Similar analyses and strategy suggestions are provided for other option varieties such as liquefied petroleum gas, methanol, ethylene glycol, etc., including underlying market analysis, option factor research, and option strategy suggestions [9][10][11]. 4. Charts - The report includes a series of charts for different option varieties, such as price charts, volume and open interest charts, PCR charts, implied volatility charts, historical volatility cone charts, and pressure and support level charts, to visually present the market conditions and option factors of each option variety [14][36][54].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product options market shows different trends. Oilseeds and oils are weakly volatile, while some other products like eggs and apples have their own specific trends. Strategies mainly focus on constructing option - combination strategies based on sellers and spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Different agricultural product futures have various price changes. For example, the price of soybean No.1 (A2601) is 4,042, down 34 (-0.83%); the price of soybean No.2 (B2512) is 3,707, down 32 (-0.86%); and the price of palm oil (P2601) is 8,654, up 2 (0.02%) [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open - interest PCR of different agricultural product options vary. For instance, the volume PCR of soybean No.1 is 1.14, with a change of - 0.02; the open - interest PCR is 1.20, with a change of 0.05 [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of option factors, different agricultural products have different pressure and support levels. For example, the pressure level of soybean No.1 is 4,200, and the support level is 4,050; the pressure level of soybean No.2 is 3,800, and the support level is 3,600 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different agricultural product options also shows differences. For example, the at - the - money implied volatility of soybean No.1 is 11.145, and the weighted implied volatility is 11.91, with a change of - 0.35 [6]. 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No.1**: The fundamental price is stable with a slight upward trend. The option implied volatility is below the historical average. The recommended strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal**: The domestic soybean weekly crushing volume has decreased. The option implied volatility is below the historical average. The recommended strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9]. - **Palm Oil**: The production of Malaysian palm oil faces pressure, and the export growth rate has narrowed. The option implied volatility is below the historical average. The recommended strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9]. - **Peanut**: The price of peanut oil is stable. The option implied volatility is at a relatively high historical level. The recommended strategy is a long collar strategy for spot hedging [10]. 3.5.2 Agricultural By - product Options - **Pig**: The average price in some regions has increased slightly. The option implied volatility is above the historical average. The recommended strategies include constructing a bear spread strategy with put options, a short - biased call + put option combination strategy, and a covered call strategy for spot [10]. - **Egg**: The inventory of laying hens has decreased. The option implied volatility is at a relatively high level. The recommended strategies include constructing a bear spread strategy with put options and a short - biased call + put option combination strategy [11]. - **Apple**: The price of apple futures has increased. The option implied volatility is above the historical average. The recommended strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [11]. - **Jujube**: The physical inventory has increased. The option implied volatility has risen rapidly. The recommended strategies include constructing a short - biased strangle option combination strategy and a covered call strategy for spot hedging [12]. 3.5.3 Soft Commodity Options - **Sugar**: The spot price has decreased, and the basis has weakened. The option implied volatility is at a relatively low historical level. The recommended strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [12]. - **Cotton**: The price index has increased, and the basis has fluctuated. The option implied volatility is at a relatively low level. The recommended strategies include constructing a short - biased call + put option combination strategy and a covered call strategy for spot [13]. 3.5.4 Grain Options - **Corn**: The supply in the origin has increased, and the trading enthusiasm of traders has decreased. The option implied volatility is at a relatively low historical level. The recommended strategy is to construct a short - biased call + put option combination strategy [13].

1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a market trend of high-level volatile upward movement [3]. - The implied volatility of financial options decreased but remained at a relatively high level of fluctuation [3]. - For ETF options, it is suitable to construct a long-biased buyer strategy and a bull spread strategy for call options. For index options, it is suitable to construct a long-biased seller strategy, a bull spread strategy for call options, and an arbitrage strategy between synthetic long futures of options and short futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,986.90, down 29.43 points or 0.73%, with a trading volume of 107.01 billion yuan and an increase of 10.18 billion yuan. The PE was 16.81 [4]. - The Shenzhen Component Index closed at 13,532.13, down 159.26 points or 1.16%, with a trading volume of 135.16 billion yuan and an increase of 6.38 billion yuan. The PE was 30.82 [4]. - The Shanghai 50 Index closed at 3,046.61, down 16.41 points or 0.54%, with a trading volume of 18.47 billion yuan and an increase of 2.84 billion yuan. The PE was 12.17 [4]. - The CSI 300 Index closed at 4,709.91, down 37.93 points or 0.80%, with a trading volume of 72.00 billion yuan and an increase of 7.41 billion yuan. The PE was 14.49 [4]. - The CSI 500 Index closed at 7,385.71, down 95.26 points or 1.27%, with a trading volume of 47.38 billion yuan and an increase of 3.07 billion yuan. The PE was 33.73 [4]. - The CSI 1000 Index closed at 7,485.08, down 84.03 points or 1.11%, with a trading volume of 47.85 billion yuan and an increase of 3.93 billion yuan. The PE was 46.48 [4]. 3.2 Option Underlying ETF Market Overview - The Shanghai 50 ETF closed at 3.193, down 0.017 or 0.53%, with a trading volume of 9.8691 million lots and an increase of 9.8061 million lots. The trading value was 3.163 billion yuan and an increase of 1.144 billion yuan [5]. - The Shanghai 300 ETF closed at 4.823, down 0.039 or 0.80%, with a trading volume of 8.1646 million lots and an increase of 8.0967 million lots. The trading value was 3.955 billion yuan and an increase of 0.671 billion yuan [5]. - The Shanghai 500 ETF closed at 7.497, down 0.097 or 1.28%, with a trading volume of 2.3978 million lots and an increase of 2.3771 million lots. The trading value was 1.804 billion yuan and an increase of 0.250 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.535, down 0.030 or 1.92%, with a trading volume of 33.6352 million lots and an increase of 33.3258 million lots. The trading value was 5.213 billion yuan and an increase of 0.406 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.488, down 0.027 or 1.78%, with a trading volume of 7.6315 million lots and an increase of 7.5528 million lots. The trading value was 1.146 billion yuan and a decrease of 0.038 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.973, down 0.040 or 0.80%, with a trading volume of 1.4426 million lots and an increase of 1.4307 million lots. The trading value was 0.721 billion yuan and an increase of 0.128 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.992, down 0.039 or 1.29%, with a trading volume of 0.9333 million lots and an increase of 0.9269 million lots. The trading value was 0.280 billion yuan and an increase of 0.090 billion yuan [5]. - The Shenzhen 100 ETF closed at 3.625, down 0.052 or 1.41%, with a trading volume of 0.3849 million lots and an increase of 0.3803 million lots. The trading value was 0.141 billion yuan and a decrease of 0.027 billion yuan [5]. - The ChiNext ETF closed at 3.239, down 0.061 or 1.85%, with a trading volume of 14.0688 million lots and an increase of 13.9318 million lots. The trading value was 4.602 billion yuan and an increase of 0.129 billion yuan [5]. 3.3 Option Factor - Volume and Open Interest PCR - For the Shanghai 50 ETF option, the trading volume was 873,400 contracts and an increase of 278,200 contracts. The open interest was 1,330,300 contracts and an increase of 97,200 contracts. The volume PCR was 0.78 and a decrease of 0.15. The open interest PCR was 0.96 and a decrease of 0.01 [6]. - For the Shanghai 300 ETF option, the trading volume was 1,160,800 contracts and an increase of 412,800 contracts. The open interest was 1,277,100 contracts and an increase of 116,400 contracts. The volume PCR was 0.93 and an increase of 0.08. The open interest PCR was 1.17 and a decrease of 0.05 [6]. - For the Shanghai 500 ETF option, the trading volume was 1,513,500 contracts and an increase of 183,900 contracts. The open interest was 1,362,000 contracts and an increase of 125,200 contracts. The volume PCR was 1.03 and an increase of 0.10. The open interest PCR was 1.35 and a decrease of 0.10 [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 1,356,200 contracts and an increase of 301,500 contracts. The open interest was 2,134,100 contracts and an increase of 134,300 contracts. The volume PCR was 0.72 and an increase of 0.07. The open interest PCR was 0.99 and a decrease of 0.02 [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 245,400 contracts and an increase of 28,600 contracts. The open interest was 608,600 contracts and an increase of 58,200 contracts. The volume PCR was 0.59 and a decrease of 0.16. The open interest PCR was 0.95 and a decrease of 0.05 [6]. - For the Shenzhen 300 ETF option, the trading volume was 164,200 contracts and an increase of 39,200 contracts. The open interest was 260,000 contracts and an increase of 13,400 contracts. The volume PCR was 0.84 and a decrease of 0.38. The open interest PCR was 0.82 and a decrease of 0.06 [6]. - For the Shenzhen 500 ETF option, the trading volume was 218,000 contracts and an increase of 26,700 contracts. The open interest was 389,200 contracts and an increase of 17,000 contracts. The volume PCR was 0.96 and an increase of 0.11. The open interest PCR was 0.86 and a decrease of 0.03 [6]. - For the Shenzhen 100 ETF option, the trading volume was 42,200 contracts and a decrease of 9,200 contracts. The open interest was 100,800 contracts and an increase of 500 contracts. The volume PCR was 1.46 and a decrease of 0.33. The open interest PCR was 1.31 and a decrease of 0.01 [6]. - For the ChiNext ETF option, the trading volume was 2,126,100 contracts and an increase of 399,000 contracts. The open interest was 1,675,900 contracts and an increase of 85,900 contracts. The volume PCR was 0.87 and an increase of 0.09. The open interest PCR was 1.28 and a decrease of 0.19 [6]. - For the Shanghai 50 index option, the trading volume was 40,000 contracts and an increase of 15,400 contracts. The open interest was 67,000 contracts and an increase of 900 contracts. The volume PCR was 0.36 and a decrease of 0.04. The open interest PCR was 0.69 and no change [6]. - For the CSI 300 index option, the trading volume was 146,700 contracts and an increase of 38,400 contracts. The open interest was 176,000 contracts and an increase of 6,500 contracts. The volume PCR was 0.59 and a decrease of 0.11. The open interest PCR was 0.93 and an increase of 0.03 [6]. - For the CSI 1000 index option, the trading volume was 283,400 contracts and an increase of 82,300 contracts. The open interest was 287,200 contracts and an increase of 5,500 contracts. The volume PCR was 0.89 and an increase of 0.08. The open interest PCR was 1.07 and a decrease of 0.02 [6]. 3.4 Option Factor - Pressure and Support Points - For the Shanghai 50 ETF option, the underlying closing price was 3.193, the at-the-money strike price was 3.20, the pressure point was 3.20, the support point was 3.10, the maximum call open interest was 115,212, and the maximum put open interest was 107,493 [8]. - For the Shanghai 300 ETF option, the underlying closing price was 4.823, the at-the-money strike price was 4.80, the pressure point was 5.00, the support point was 4.70, the maximum call open interest was 70,141, and the maximum put open interest was 86,825 [8]. - For the Shanghai 500 ETF option, the underlying closing price was 7.497, the at-the-money strike price was 7.50, the pressure point was 7.50, the support point was 7.25, the maximum call open interest was 83,811, and the maximum put open interest was 124,977 [8]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.535, the at-the-money strike price was 1.55, the pressure point was 1.60, the support point was 1.40, the maximum call open interest was 123,871, and the maximum put open interest was 75,916 [8]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 1.488, the at-the-money strike price was 1.50, the pressure point was 1.60, the support point was 1.35, the maximum call open interest was 22,143, and the maximum put open interest was 15,242 [8]. - For the Shenzhen 300 ETF option, the underlying closing price was 4.973, the at-the-money strike price was 5.00, the pressure point was 5.25, the support point was 4.80, the maximum call open interest was 23,040, and the maximum put open interest was 11,272 [8]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.992, the at-the-money strike price was 3.00, the pressure point was 3.20, the support point was 2.85, the maximum call open interest was 18,221, and the maximum put open interest was 17,376 [8]. - For the Shenzhen 100 ETF option, the underlying closing price was 3.625, the at-the-money strike price was 3.60, the pressure point was 3.70, the support point was 3.50, the maximum call open interest was 6,158, and the maximum put open interest was 5,122 [8]. - For the ChiNext ETF option, the underlying closing price was 3.239, the at-the-money strike price was 3.20, the pressure point was 3.60, the support point was 3.00, the maximum call open interest was 87,572, and the maximum put open interest was 80,433 [8]. - For the Shanghai 50 index option, the underlying closing price was 3,046.61, the at-the-money strike price was 3,050, the pressure point was 3,100, the support point was 2,950, the maximum call open interest was 3,230, and the maximum put open interest was 2,301 [8]. - For the CSI 300 index option, the underlying closing price was 4,709.91, the at-the-money strike price was 4,700, the pressure point was 4,800, the support point was 4,700, the maximum call open interest was 6,637, and the maximum put open interest was 7,088 [8]. - For the CSI 1000 index option, the underlying closing price was 7,485.08, the at-the-money strike price was 7,500, the pressure point was 7,500, the support point was 7,000, the maximum call open interest was 9,031, and the maximum put open interest was 10,098 [8]. 3.5 Option Factor - Implied Volatility - For the Shanghai 50 ETF option, the at-the-money implied volatility was 15.17%, the weighted implied volatility was 15.42% and a decrease of 0.39%, the annual average was 15.99%, the call implied volatility was 15.53%, the put implied volatility was 15.25%, the 20-day historical volatility was 15.65%, and the difference between implied and historical volatility was -0.24% [11]. - For the Shanghai 300 ETF option, the at-the-money implied volatility was 16.50%, the weighted implied volatility was 16.37% and a decrease of 0.57%, the annual average was 16.43%, the call implied volatility was 16.32%, the put implied volatility was 16.44%, the 20-day historical volatility was 16.58%, and the difference between implied and historical volatility was -0.21% [11]. - For the Shanghai 500 ETF option, the at-the-money implied volatility was 20.17%, the weighted implied volatility was 20.55% and a decrease of 0.32%, the annual average was 20.

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The stock market shows a high - level volatile upward trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks all performing in this way [3]. - The implied volatility of financial options has decreased but remains at a relatively high level of fluctuation [3]. - For ETF options, it is suitable to construct a bullish buyer strategy and a bull spread strategy of call options; for index options, it is suitable to construct a bullish seller strategy, a bull spread strategy of call options, and an arbitrage strategy between synthetic long futures of options and short futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 4,016.33, up 28.11 points or 0.70%, with a trading volume of 968.2 billion yuan and an increase of 27.5 billion yuan [4]. - The Shenzhen Component Index closed at 13,691.38, up 261.28 points or 1.95%, with a trading volume of 1,287.8 billion yuan and an increase of 80.7 billion yuan [4]. - The SSE 50 Index closed at 3,063.02, up 12.60 points or 0.41%, with a trading volume of 156.3 billion yuan and an increase of 7.6 billion yuan [4]. - The CSI 300 Index closed at 4,747.84, up 55.86 points or 1.19%, with a trading volume of 645.9 billion yuan and an increase of 74.3 billion yuan [4]. - The CSI 500 Index closed at 7,480.97, up 139.94 points or 1.91%, with a trading volume of 443.1 billion yuan and an increase of 21.1 billion yuan [4]. - The CSI 1000 Index closed at 7,569.12, up 89.90 points or 1.20%, with a trading volume of 439.2 billion yuan and an increase of 8.1 billion yuan [4]. 3.2 Option - underlying ETF Market Overview - The SSE 50 ETF closed at 3.210, up 0.014 or 0.44%, with a trading volume of 6.3035 million shares and a decrease of 4.95 billion yuan in trading value [5]. - The SSE 300 ETF closed at 4.862, up 0.060 or 1.25%, with a trading volume of 6.7928 million shares and a decrease of 2.12 billion yuan in trading value [5]. - The SSE 500 ETF closed at 7.594, up 0.153 or 2.06%, with a trading volume of 2.0619 million shares and an increase of 2.82 billion yuan in trading value [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.565, up 0.020 or 1.29%, with a trading volume of 30.9369 million shares and an increase of 4.91 billion yuan in trading value [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.515, up 0.019 or 1.27%, with a trading volume of 7.8679 million shares and a decrease of 1.49 billion yuan in trading value [5]. - The Shenzhen 300 ETF closed at 5.013, up 0.058 or 1.17%, with a trading volume of 1.1888 million shares and a decrease of 0.64 billion yuan in trading value [5]. - The Shenzhen 500 ETF closed at 3.031, up 0.061 or 2.05%, with a trading volume of 0.6327 million shares and a decrease of 0.13 billion yuan in trading value [5]. - The Shenzhen 100 ETF closed at 3.677, up 0.072 or 2.00%, with a trading volume of 0.4604 million shares and a decrease of 0.37 billion yuan in trading value [5]. - The ChiNext ETF closed at 3.300, up 0.095 or 2.96%, with a trading volume of 13.7014 million shares and an increase of 1.21 billion yuan in trading value [5]. 3.3 Option Factor - Volume and Open Interest PCR - For the SSE 50 ETF option, the trading volume was 595,100 contracts (down 167,700), the open interest was 1,233,100 contracts (down 55,600), the volume PCR was 0.93 (unchanged), and the open - interest PCR was 0.97 (down 0.02) [6]. - For the SSE 300 ETF option, the trading volume was 748,100 contracts (down 108,700), the open interest was 1,160,700 contracts (down 52,300), the volume PCR was 0.85 (down 0.14), and the open - interest PCR was 1.21 (up 0.05) [6]. - For the SSE 500 ETF option, the trading volume was 1,329,600 contracts (up 123,700), the open interest was 1,236,800 contracts (down 84,800), the volume PCR was 0.93 (down 0.09), and the open - interest PCR was 1.45 (up 0.17) [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 1,054,800 contracts (down 80,900), the open interest was 1,999,800 contracts (down 25,900), the volume PCR was 0.66 (down 0.09), and the open - interest PCR was 1.01 (down 0.02) [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 216,800 contracts (down 2,400), the open interest was 550,400 contracts (down 36,000), the volume PCR was 0.75 (down 0.07), and the open - interest PCR was 1.00 (down 0.01) [6]. - For the Shenzhen 300 ETF option, the trading volume was 125,000 contracts (down 13,600), the open interest was 246,600 contracts (up 3,900), the volume PCR was 1.22 (up 0.40), and the open - interest PCR was 0.88 (up 0.06) [6]. - For the Shenzhen 500 ETF option, the trading volume was 191,300 contracts (down 69,200), the open interest was 372,200 contracts (down 1,500), the volume PCR was 0.85 (down 1.29), and the open - interest PCR was 0.90 (up 0.01) [6]. - For the Shenzhen 100 ETF option, the trading volume was 51,400 contracts (up 4,700), the open interest was 100,400 contracts (down 1,900), the volume PCR was 1.79 (down 0.44), and the open - interest PCR was 1.32 (up 0.04) [6]. - For the ChiNext ETF option, the trading volume was 1,727,100 contracts (down 77,900), the open interest was 1,590,000 contracts (up 36,000), the volume PCR was 0.78 (down 0.07), and the open - interest PCR was 1.47 (up 0.13) [6]. - For the SSE 50 index option, the trading volume was 24,600 contracts (down 8,800), the open interest was 66,000 contracts (up 1,900), the volume PCR was 0.41 (down 0.07), and the open - interest PCR was 0.69 (unchanged) [6]. - For the CSI 300 index option, the trading volume was 108,300 contracts (down 5,700), the open interest was 169,600 contracts (up 9,300), the volume PCR was 0.70 (down 0.05), and the open - interest PCR was 0.90 (up 0.04) [6]. - For the CSI 1000 index option, the trading volume was 201,000 contracts (down 18,300), the open interest was 281,700 contracts (up 3,400), the volume PCR was 0.81 (down 0.05), and the open - interest PCR was 1.08 (up 0.06) [6]. 3.4 Option Factor - Pressure and Support Levels - For the SSE 50 ETF, the pressure levels were 3.20 and the support level was 3.10 [8]. - For the SSE 300 ETF, the pressure level was 5.00 and the support level was 4.70 [8]. - For the SSE 500 ETF, the pressure level was 7.50 and the support level was 7.25 [8]. - For the Huaxia Science and Technology Innovation 50 ETF, the pressure level was 1.60 and the support level was 1.45 [8]. - For the E Fund Science and Technology Innovation 50 ETF, the pressure level was 1.60 and the support level was 1.35 [8]. - For the Shenzhen 300 ETF, the pressure level was 5.25 and the support level was 4.70 [8]. - For the Shenzhen 500 ETF, the pressure level was 3.30 and the support level was 2.85 [8]. - For the Shenzhen 100 ETF, the pressure level was 3.70 and the support level was 3.50 [8]. - For the ChiNext ETF, the pressure level was 3.60 and the support level was 3.00 [8]. - For the SSE 50 index, the pressure level was 3,100 and the support level was 2,950 [8]. - For the CSI 300 index, the pressure level was 4,800 and the support level was 4,700 [8]. - For the CSI 1000 index, the pressure level was 7,500 and the support level was 7,000 [8]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF option, the at - the - money implied volatility was 15.54%, the weighted implied volatility was 15.80% (up 0.33%), the annual average was 16.00%, the call implied volatility was 16.04%, the put implied volatility was 15.44%, the 20 - day historical volatility was 15.87%, and the implied - historical volatility difference was - 0.07% [11]. - For the SSE 300 ETF option, the at - the - money implied volatility was 16.78%, the weighted implied volatility was 16.94% (up 0.43%), the annual average was 16.43%, the call implied volatility was 16.90%, the put implied volatility was 16.99%, the 20 - day historical volatility was 16.79%, and the implied - historical volatility difference was 0.15% [11]. - For the SSE 500 ETF option, the at - the - money implied volatility was 20.13%, the weighted implied volatility was 20.87% (up 0.61%), the annual average was 20.17%, the call implied volatility was 20.96%, the put implied volatility was 20.76%, the 20 - day historical volatility was 20.63%, and the implied - historical volatility difference was 0.23% [11]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 36.12%, the weighted implied volatility was 37.12% (up 1.20%), the annual average was 32.58%, the call implied volatility was 37.69%, the put implied volatility was 36.16%, the 20 - day historical volatility was 36.00%, and the implied - historical volatility difference was 1.11% [11]. - For the E Fund Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 72.01%, the weighted implied volatility was 37.70% (up 1.50%), the annual average was 33.42%, the call implied volatility was 37.77%, the put implied volatility was 37.56%, the 20 - day historical volatility was 36.77%, and the implied - historical volatility difference was 0.92% [11]. - For the Shenzhen 300 ETF option, the at - the - money implied volatility was 17.00%, the weighted implied volatility was 20.75% (up 3.15%), the annual average was 18.17%, the call implied volatility was 18.97%, the put implied volatility was 22.80%, the 20 - day historical volatility was 18.31%, and the implied - historical volatility difference was 2.44% [11]. - For the Shenzhen 500 ETF option, the at - the - money implied volatility was 20.84%, the weighted implied volatility was 22.53% (down 0.10%), the annual average was 21.66%, the call implied volatility was 22.07%, the put implied volatility was 23.15%, the 20 - day historical volatility was 21.49%, and the implied - historical volatility difference was 1.05% [11]. - For the Shenzhen 100 ETF option, the at - the - money implied volatility was 22.79%, the weighted implied volatility was 25.34% (down 1.54%), the annual average was 24.84%, the call implied volatility was 23.68%, the put implied volatility was 27.07%, the 20 - day historical volatility was 26.30%, and the implied - historical volatility difference was - 0.96% [11]. - For the ChiNext ETF option, the at - the - money implied volatility was 32.76%, the weighted implied volatility was 34.71% (up 2.07%), the annual average was 28.69%, the call implied volatility was 33.72%, the put implied volatility was 35.99%, the 20 - day historical volatility was 31.93%, and the implied - historical volatility difference was 2.78% [11]. - For the SSE 50 index option, the at - the - money implied volatility was 16.21%, the weighted implied volatility was 16.42% (up 0.33%), the annual average was 17.16%, the call implied volatility was 16.49%, the put implied volatility was 16.23%, the 20 - day historical volatility was 16.10%, and the implied - historical volatility difference was 0.32% [11]. - For the CSI 300 index option, the at - the - money implied volatility was 16.65%, the weighted implied volatility was 16.56% (up 0.30%), the annual average was 16.92%, the call implied volatility was 16.38%, the put implied volatility was 16.83%, the 20 - day historical volatility was 16.81%, and the implied - historical volatility difference was - 0.25% [11]. - For the CSI 100

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy and chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [9]. - Select some varieties from each sector to provide options strategies and recommendations [9]. - Write options strategy reports for each options variety according to the analysis of the underlying market, research on options factors, and options strategy recommendations [9]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The futures prices of most energy and chemical products showed a downward trend. For example, the price of crude oil SC2512 dropped by 8 to 458, a decline of 1.78%; the price of synthetic rubber BR2512 dropped by 285 to 10,585, a decline of 2.62%. Only the price of rubber RU2601 increased by 10 to 15,395, an increase of 0.06% [4]. 3.2 Options Factor - Volume and Position PCR - The PCR indicators of different options varieties showed different trends. For example, the volume PCR of crude oil increased by 0.14 to 0.86, and the position PCR decreased by 0.01 to 0.81; the volume PCR of methanol increased by 0.26 to 0.84, and the position PCR decreased by 0.02 to 0.51 [5]. 3.3 Options Factor - Pressure and Support Levels - Different options varieties have different pressure and support levels. For example, the pressure level of crude oil is 590, and the support level is 440; the pressure level of methanol is 2300, and the support level is 2200 [6]. 3.4 Options Factor - Implied Volatility - The implied volatility of different options varieties also showed different trends. For example, the weighted implied volatility of crude oil decreased by 1.69 to 30.31; the weighted implied volatility of methanol increased by 1.00 to 19.46 [7]. 3.5 Strategy and Recommendations 3.5.1 Energy - Related Options: Crude Oil - Fundamental analysis: US refinery demand has stabilized and rebounded. During the recent oil price decline, shale oil production only decreased by 10,000 barrels per day. OPEC exports have increased, but most of them are absorbed by China, so there is no obvious visible inventory in the market. In Europe, the overall refined oil inventory is in a low - level destocking state, the crude oil inventory has increased, but the refinery demand is about to enter the peak season, and the diesel crack spread remains high [8]. - Market analysis: Since July, the crude oil market has gradually weakened and then consolidated in a range. In August, it first rose and then fell, showing a short - term weak shock. In September, it continued to be weak and bearish and then gradually rebounded. In October, it fell sharply and then stopped falling and rebounded [8]. - Options factor research: The implied volatility of crude oil options has decreased to near the average. The position PCR of options is reported at around 0.80, indicating that the crude oil market has been weak recently. From the perspective of options, the pressure level of the underlying is 590, and the support level is 440 [8]. - Strategy recommendations: Directional strategy: None. Volatility strategy: Construct a short - neutral call + put options combination strategy to obtain options time value and directional returns, and dynamically adjust the position to keep the position delta neutral. Spot long - hedging strategy: Construct a long collar strategy, hold a spot long position + buy a put option + sell an out - of - the - money call option [8]. 3.5.2 Energy - Related Options: Liquefied Petroleum Gas (LPG) - Fundamental analysis: The US is under great pressure due to high production and high inventory. Extreme weather in winter and the trend of Sino - US trade will affect its price and trade flow. At present, the total export volume from the Middle East is relatively stable, and OPEC+ policies and actual production increases will affect future exports [10]. - Market analysis: In July, LPG reached a high and then fell back, continuously declining and then weakly consolidating. Since August, it has accelerated its decline, moved downward bearishly, then rebounded and rose but was blocked and fell back. In September, it first fell and then rose, gradually warming up. Overall, it shows an oversold rebound market with pressure above [10]. - Options factor research: The implied volatility of LPG options has significantly decreased and returned to near the lower - than - average level. The position PCR of LPG options is reported at around 0.80, indicating that the LPG market has been weak recently. From the perspective of options, the pressure level of the underlying is 4550, and the support level is 4000 [10]. - Strategy recommendations: Directional strategy: None. Volatility strategy: Construct a short - neutral call + put options combination strategy to obtain options time value and directional returns, and dynamically adjust the position to keep the position delta neutral. Spot long - hedging strategy: Construct a long collar strategy, hold a spot long position + buy a put option + sell an out - of - the - money call option [10]. 3.5.3 Alcohol - Related Options: Methanol - Fundamental analysis: The port inventory is 1.5122 million tons, a month - on - month increase of 20,800 tons. The unloading is lower than expected, and the inventory accumulation speed has slowed down. The enterprise inventory is 360,400 tons, a month - on - month increase of 500 tons, and it is at a low level compared with the same period last year [10]. - Market analysis: In July, methanol reached a high and then fell back, continuously declining and then fluctuating greatly. Since August, it has gradually weakened and moved downward bearishly. In September, it consolidated at a low level and then rebounded. Since October, it has continued to be weak and bearish. Overall, it shows a weak market trend with pressure above [10]. - Options factor research: The implied volatility of methanol options fluctuates around the historical average level. The position PCR of methanol options is reported below 0.80, indicating that the methanol market has been in a weak and oscillating state recently. From the perspective of options, the pressure level of the underlying is 2300, and the support level is 2200 [10]. - Strategy recommendations: Directional strategy: None. Volatility strategy: Construct a short - bearish call + put options combination strategy to obtain options time value, and dynamically adjust the position to keep the position delta bearish. Spot long - hedging strategy: Construct a long collar strategy, hold a spot long position + buy a put option + sell an out - of - the - money call option. When the market rebounds to a high strike price, close the position in combination with spot sales [10]. 3.5.4 Alcohol - Related Options: Ethylene Glycol - Fundamental analysis: Last week, the EG load was 73.3%, a month - on - month decrease of 3.7%. Among them, the load of synthetic gas production was 82.2%, a month - on - month increase of 0.8%; the load of ethylene production was 68.2%, a month - on - month decrease of 6.3%. The port inventory is 579,000 tons, a month - on - month increase of 38,000 tons; the inventory days of downstream factories are 13.4 days, a month - on - month increase of 0.2 days. In the short term, the arrival volume last week was moderately low, the departure volume increased, and the port inventory is expected to slightly decrease. With the high domestic load and the increase in overseas arrivals, ethylene glycol has entered the inventory accumulation cycle [11]. - Market analysis: In July, ethylene glycol weakly consolidated and oscillated at a low level, gradually rose, and then fell rapidly. In August, it continued to weakly consolidate slightly. Since September, it has continued to be weak and bearish. Overall, it shows a weak market trend with pressure above [11]. - Options factor research: The implied volatility of ethylene glycol options fluctuates around the lower - than - average level. The position PCR of options is reported at around 0.70, indicating that the short - selling force of ethylene glycol has been relatively strong recently. From the perspective of options, the pressure level of the underlying is 4500, and the support level is 4050 [11]. - Strategy recommendations: Directional strategy: Construct a bearish spread combination strategy of put options to obtain directional returns. Volatility strategy: Construct a short - volatility strategy to obtain time value returns. Spot long - hedging strategy: Hold a spot long position + buy a put option + sell an out - of - the - money call option [11]. 3.5.5 Polyolefin - Related Options: Polypropylene - Fundamental analysis: The inventory of PE production enterprises is 514,600 tons, a month - on - month decrease of 2.81%, and an increase of 2.02% compared with the same period last year; the inventory of PE traders is 50,000 tons, a month - on - month decrease of 0.70%. The inventory of PP production enterprises is 638,500 tons, a month - on - month decrease of 5.92%, and an increase of 12.69% compared with the same period last year; the inventory of PP traders is 220,000 tons, a month - on - month decrease of 7.80%; the PP port inventory is 66,800 tons, a month - on - month decrease of 1.62%. The overall inventory pressure of PP is higher than that of PE [11]. - Market analysis: Since July, the decline of polypropylene has narrowed, gradually stabilized, slightly oscillated and rebounded, and then rapidly declined. In August, it maintained a weak and slight fluctuation. In September, it continued to be weak and bearish. In October, it accelerated its decline and then oscillated at a low level. Overall, it shows a weak market trend with bearish pressure above [11]. - Options factor research: The implied volatility of polypropylene options has decreased to near the average level. The position PCR of options is reported at around 0.70, indicating that the polypropylene market has weakened recently. From the perspective of options, the pressure level of the underlying is 6900, and the support level is 6300 [11]. - Strategy recommendations: Directional strategy: None. Volatility strategy: None. 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]. 3.5.6 Rubber - Related Options: Rubber - Fundamental analysis: The offer price of the imported rubber market has risen, traders have rotated stocks, and the factory's inventory - building sentiment has been weak. The futures market has maintained a relatively strong oscillating pattern, and the spot price of domestic natural rubber has followed the market up. The downstream procurement willingness has been relatively weak, mainly replenishing goods with appropriate rigid demand. The overall trading atmosphere in the market has been average, and the actual transaction performance has been light [12]. - Market analysis: Since July, the rubber market has continued to rise in the short term, reached a high, and then fell back. In August, it gradually warmed up and rose and then consolidated and oscillated in a range. Since September, it has maintained a weak and bearish trend. In October, it continued to be weak and consolidated at a low level. Overall, it shows a weak consolidation market trend with support below and pressure above [12]. - Options factor research: The implied volatility of rubber options has risen rapidly and then decreased to near the lower - than - average level. The position PCR of rubber options is reported below 0.60. From the perspective of options, the pressure level of the underlying has dropped significantly to 17,000, and the support level is 14,000 [12]. - Strategy recommendations: Directional strategy: None. Volatility strategy: Construct a short - bearish call + put options combination strategy to obtain options time value and directional returns, and dynamically adjust the position to keep the position delta bearish. Spot hedging strategy: None [12]. 3.5.7 Polyester - Related Options: PTA - Fundamental analysis: The PTA load is 78.8%, a month - on - month increase of 2.8%. In terms of equipment, the load of Yisheng Ningbo has slightly decreased, and the load of individual equipment has recovered. The maintenance volume of PTA in October has slightly decreased, and the overall load is low under low processing fees [12]. - Market analysis: In July, the PTA market continued to be weak and then rebounded and rose. In August, it fell back, slightly consolidated, and then rapidly rebounded, rose, and was blocked and fell back. In September, it continued to be weak and bearish. Overall, it shows a weak and bearish market trend with pressure above [12]. - Options factor research: The implied volatility of PTA options fluctuates at a relatively high level above the average. The position PCR of PTA options is reported at around 0.70, indicating that the PTA market has been in an oscillating state recently. From the perspective of options, the pressure level of the underlying is 4600, and the support level is 4300 [12]. - Strategy recommendations: Directional strategy: None. Volatility strategy: Construct a short - bearish call + put options combination strategy to obtain options time value, and dynamically adjust the position to keep the position delta bearish. Spot hedging strategy: None [12]. 3.5.8 Alkali - Related Options: Caustic Soda - Fundamental analysis: In the spot market, non - aluminum industries have no obvious inventory - building behavior, which is lower than expected, or they are waiting for the spot price to bottom out to stimulate speculative demand. Secondly, as the maintenance is restored, the spot support may weaken. The price of liquid chlorine has risen, weakening the cost support [13]. - Market analysis: In July, caustic soda first rose and then fell. In August, it quickly fell back, then gradually rebounded, moved upward bullishly in the short term, and then oscillated at a high level. Since September, it has continuously reported negative lines and gradually weakened. In October, it accelerated its decline. Overall, it shows a weak and bearish market trend with pressure above recently [13]. - Options factor research: The implied volatility of caustic soda options fluctuates at a relatively high level. The position PCR of caustic soda options is reported below 0.80, indicating that the caustic soda market has been in a weak and oscillating state recently. From the perspective of options, the pressure level of the underlying is 2600, and the support level is 2240 [13]. - Strategy recommendations: Directional strategy: Construct a bearish spread combination strategy to obtain directional returns. Volatility strategy: None. Spot collar hedging strategy: Hold a spot long position + buy a put option + sell an out - of - the - money call option [13]. 3.5.9 Alkali - Related Options: Soda Ash - Fundamental analysis: As of October 25, 2025, the in - factory inventory of soda ash is 1.7021 million tons, a month - on - month increase of 16,000 tons; the available inventory days are 14.11 days, a month - on - month increase of 0.01 days. The in - factory inventory of heavy soda ash is 93.45 yuan/ton, a month - on - month decrease of 0.62 yuan/ton; the in - factory inventory of light soda ash is 76.76 yuan/ton, a month - on - month increase of 0.78 yuan/ton [13]. - Market analysis: Since August, the soda ash market has continued to be weak and consolidated. In September, it fluctuated slightly at a low level and was weak. In October, it continued to be weak. Recently, it shows a low - level weak oscillating market trend with support below [13]. - Options factor research: The implied volatility of soda ash options fluctuates at a relatively high level in history. The position PCR of soda ash options is reported below 0.60, indicating that the bearish pressure is relatively strong. From the perspective of options, the pressure level of the underlying is 1300, and the support level is 1100 [13]. - Strategy recommendations: Directional strategy: None. Volatility strategy: Construct a short - volatility combination strategy to obtain volatility returns. Spot long - hedging strategy: Construct a long collar strategy, hold a spot long position + buy a put option + sell an out - of - the - money call option [13]. 3.5.10 Other Energy - Chemical Options: Urea - Fundamental analysis: The enterprise inventory is 1.6302 million tons, a month - on - month increase of 14,800 tons, and it is at a high level compared with the same period last year. The port inventory is 210,000 tons, a month - on - month decrease of 236,000 tons, and the goods are accelerating to leave the port [14]. - Market analysis: In July, the urea market oscillated widely in a range under the bearish pressure line and then rose rapidly. In August, it continued to fluctuate widely in a range. In September, it gradually weakened. In October, it oscillated weakly at a low level. Overall, it shows a low - level oscillating and weak market trend [14]. - Options factor research: The implied volatility of urea options fluctuates slightly around the historical average level

1. Report Industry Investment Rating - Not provided in the document 2. Core Views of the Report - The energy - chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [9] - Options strategies and suggestions are provided for selected varieties in each sector [9] - The option strategy report for each option variety is compiled according to the underlying market analysis, option factor research, and option strategy suggestions [9] 3. Summary by Relevant Content 3.1 Underlying Futures Market Overview - Various option varieties' underlying contracts' latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes are presented, such as crude oil (SC2512) with a latest price of 470, a price increase of 16, and a price change rate of 3.48% [4] 3.2 Option Factors - Volume and Open Interest PCR - Volume PCR and open interest PCR for different option varieties are given, along with their changes, which are used to describe the strength of the option underlying market and the turning point of the underlying market [5] 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels for different option varieties are analyzed from the perspective of the strike prices with the largest open interests of call and put options [6] 3.4 Option Factors - Implied Volatility - Implied volatility data for different option varieties are provided, including at - the - money implied volatility, weighted implied volatility, and its changes, etc. [7] 3.5 Option Strategies and Suggestions 3.5.1 Energy - related Options - **Crude Oil**: Fundamentals involve OPEC's production increase and US shale oil production. The market has shown different trends from July to October. Option factors indicate a decline in implied volatility, a weak market according to open interest PCR, and specific pressure and support levels. Strategies include a volatility strategy of selling a neutral call + put option combination and a spot long - hedging strategy of constructing a long collar [8] - **Liquefied Petroleum Gas (LPG)**: Fundamentals show a decrease in domestic LPG production in September. The market has experienced ups and downs. Option factors suggest a decline in implied volatility, a weak market, and specific pressure and support levels. Strategies include a volatility strategy of selling a neutral call + put option combination and a spot long - hedging strategy of constructing a long collar [10] 3.5.2 Alcohol - related Options - **Methanol**: Fundamentals involve port and enterprise inventories. The market has been weak. Option factors indicate that implied volatility fluctuates around the historical average, a weak - oscillating market, and specific pressure and support levels. Strategies include a volatility strategy of selling a bearish call + put option combination and a spot long - hedging strategy of constructing a long collar [10] - **Ethylene Glycol**: Fundamentals show inventory changes. The market has been weak. Option factors suggest that implied volatility fluctuates below the average, strong bearish power, and specific pressure and support levels. Strategies include a directional strategy of constructing a bearish spread of put options, a volatility strategy of shorting volatility, and a spot long - hedging strategy [11] 3.5.3 Polyolefin - related Options - **Polypropylene**: Fundamentals involve inventory changes. The market has been weak. Option factors indicate a decline in implied volatility to around the average, a weak market, and specific pressure and support levels. Strategies include a spot long - hedging strategy of holding a spot long position, buying an at - the - money put option, and selling an out - of - the - money call option [11] 3.5.4 Rubber - related Options - **Rubber**: Fundamentals show inventory changes. The market has been in a weak consolidation. Option factors suggest that implied volatility has decreased to around the average, a relatively strong bullish market according to open interest PCR, and specific pressure and support levels. Strategies include a volatility strategy of selling a bearish call + put option combination [12] 3.5.5 Polyester - related Options - **PTA**: Fundamentals show inventory accumulation. The market has been weak. Option factors indicate that implied volatility fluctuates at a relatively high level, an oscillating market, and specific pressure and support levels. Strategies include a volatility strategy of selling a bearish call + put option combination [12] 3.5.6 Alkali - related Options - **Caustic Soda**: Fundamentals show a decline in production capacity utilization. The market has been weak. Option factors suggest high - level volatility of implied volatility, a weak - oscillating market, and specific pressure and support levels. Strategies include a directional strategy of constructing a bearish spread and a spot collar - hedging strategy [13] - **Soda Ash**: Fundamentals show an increase in factory inventory. The market has been in a low - level weak oscillation. Option factors indicate that implied volatility fluctuates at a relatively high historical level, strong bearish pressure, and specific pressure and support levels. Strategies include a volatility strategy of shorting volatility and a spot long - hedging strategy of constructing a long collar [13] 3.5.7 Other Options - **Urea**: Fundamentals show an increase in enterprise and port inventories. The market has been in a low - level weak oscillation. Option factors suggest that implied volatility fluctuates around the historical average, strong bearish pressure, and specific pressure and support levels. Strategies include a directional strategy of constructing a bearish spread of put options, a volatility strategy of selling a bearish call + put option combination, and a spot long - hedging strategy [14] 3.6 Option Charts - Charts for various option varieties, such as crude oil, LPG, methanol, etc., are provided, including price trends, trading volume and open interest, open interest PCR, implied volatility, historical volatility cones, and pressure and support levels [15][36][54]