12月25日，临近岁末，加密货币市场正处于关键的突破前夕。OEXN表示，尽管12月以来比特币在 85000美元至90000美元的窄幅区间内持续震荡，令部分追随趋势的投资者感到受挫，但这种横盘整理本 质上是衍生品市场博弈的结果。随着宏观经济环境趋于平稳，风险资产的整体配置重点正转向支撑更高 估值的方向，比特币的"静默期"可能即将结束。 从技术分析与衍生品数据来看，当前的区间波动主要受制于交易商的对冲机制。分析师认为，在85000 美元附近存在大量的看跌期权Gamma，这在价格下行时形成了天然的买盘支撑；而在90000美元关口， 沉重的看涨期权Gamma则限制了价格的进一步突破。OEXN观察到，这种由对冲需求而非基本面减弱导 致的波动性压制，通常会在合约结算后释放出巨大的动能。目前Deribit平台上即将到期的期权名义价值 高达270亿美元，这一规模足以改变短期的市场平衡。 在具体的期权布局方面，市场呈现出明显的看涨倾斜。统计数据表示，目前的牛熊比（Put-Call Ratio） 低至0.38，这意味着看涨合约的数量几乎是看跌合约的三倍。大量头寸集中在100000美元至116000美元 的行权区间，显示出大型机构 ...

Report Summary 1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints - The energy - chemical industry is divided into several categories including energy, alcohols, polyolefins, rubber, polyesters, alkalis, etc. [9] - For each selected option variety, the report provides option strategies based on the analysis of the underlying market, option factor research, aiming to enhance returns through strategies such as option combinations and spot hedging [3][9] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, trading volumes, and open interest of various energy - chemical option underlying futures contracts, such as the latest price of crude oil (SC2602) is 443 with a decline of 0 and a decline rate of - 0.02%, and its trading volume is 6.58 million lots with a decrease of 1.40 million lots [4] 3.2 Option Factor - Volume and Open Interest PCR - It shows the trading volume, volume changes, open interest, open interest changes, volume PCR, and open interest PCR of various option varieties. For example, the volume PCR of crude oil options is 0.63 with no change, and the open interest PCR is 0.77 with no change [5] 3.3 Option Factor - Pressure and Support Levels - The pressure points, support points, and their offsets of various option varieties are provided. For instance, the pressure point of crude oil options is 540 and the support point is 400 [6] 3.4 Option Factor - Implied Volatility - The report lists the at - the - money implied volatility, weighted implied volatility, its change, annual average, call implied volatility, put implied volatility, historical 20 - day volatility, and the difference between implied and historical volatility of each option variety. For example, the at - the - money implied volatility of crude oil options is 24.925%, and the weighted implied volatility is 27.31% with a decrease of - 0.25% [7] 3.5 Option Strategies and Recommendations - **Crude Oil Options**: - **Underlying Market Analysis**: US crude oil inventories have different changes. The overall trend shows a weak market [8] - **Option Factor Research**: Implied volatility fluctuates below the average, open interest PCR is below 0.70, pressure point is 540, and support point is 430 [8] - **Option Strategy Recommendations**: Construct bear spread of put options, sell call + put option combinations, and build long collar strategies for spot hedging [8] - **LPG Options**: - **Underlying Market Analysis**: The supply decreased last week, and the demand increased. The overall market shows a weak downward trend [10] - **Option Factor Research**: Implied volatility fluctuates around the average, open interest PCR is below 0.80, pressure point is 4300, and support point is 4000 [10] - **Option Strategy Recommendations**: Construct bear spread of put options, sell call + put option combinations, and use long collar strategies for spot hedging [10] - **Methanol Options**: - **Underlying Market Analysis**: The开工 rate of related industries has different changes, and the market shows a weak trend after a rebound [10] - **Option Factor Research**: Implied volatility fluctuates around the historical average, open interest PCR is below 0.60, pressure point is 2300, and support point is 2000 [10] - **Option Strategy Recommendations**: Sell call + put option combinations and use long collar strategies for spot hedging [10] - **Ethylene Glycol Options**: - **Underlying Market Analysis**: The inventory pressure increases, and the market shows a weak downward trend [11] - **Option Factor Research**: Implied volatility is above the average and rising, open interest PCR is below 0.60, pressure point is 3800, and support point is 3600 [11] - **Option Strategy Recommendations**: Construct bear spread of put options, sell volatility strategies, and use long collar strategies for spot hedging [11] - **PVC Options**: - **Underlying Market Analysis**: The inventory and开工 rate have changed, and the market is weak [11] - **Option Factor Research**: Implied volatility decreases below the average, open interest PCR is below 0.60, pressure point is 5000, and support point is 4300 [11] - **Option Strategy Recommendations**: Use long collar strategies for spot hedging [11] - **Rubber Options**: - **Underlying Market Analysis**: The inventory in Qingdao has increased, and the market shows a weak consolidation trend [12] - **Option Factor Research**: Implied volatility gradually returns to the average, open interest PCR is below 0.60, pressure point is 16000, and support point is 15000 [12] - **Option Strategy Recommendations**: Sell call + put option combinations to maintain a neutral position [12] - **PTA Options**: - **Underlying Market Analysis**: The supply is loose, and the market shows a strong short - term trend after a rebound [12] - **Option Factor Research**: Implied volatility is at a relatively low level, open interest PCR is around 0.80, pressure point is 4750, and support point is 4400 [12] - **Option Strategy Recommendations**: Construct bull spread of call options, sell call + put option combinations, and use long collar strategies for spot hedging [12] - **Caustic Soda Options**: - **Underlying Market Analysis**: The capacity utilization rate has decreased, and the market is weak [13] - **Option Factor Research**: Implied volatility is at a high level, open interest PCR is below 0.60, pressure point is 2320, and support point is 2000 [13] - **Option Strategy Recommendations**: Construct bear spread strategies, and use long collar strategies for spot hedging [13] - **Soda Ash Options**: - **Underlying Market Analysis**: The cost and profit situation has changed, and the market shows a weak consolidation trend [13] - **Option Factor Research**: Implied volatility is at a relatively high level, open interest PCR is below 0.50, pressure point is 1300, and support point is 1100 [13] - **Option Strategy Recommendations**: Construct bear spread strategies, sell volatility combinations, and use long collar strategies for spot hedging [13] - **Urea Options**: - **Underlying Market Analysis**: The supply - demand difference has increased, and the market shows a short - term weak trend [14] - **Option Factor Research**: Implied volatility is at a relatively low level, open interest PCR is below 0.60, pressure point is 1700, and support point is 1640 [14] - **Option Strategy Recommendations**: Sell call + put option combinations to maintain a neutral position, and use long collar strategies for spot hedging [14]

金属期权 2025-12-25 金属期权策略早报 | 李立勤 | 高级投研经 理 | 从业资格号：F3074095 | 交易咨询号：Z0017896 | 邮箱：lilq@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 | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | 金属期权策略早报概要：（1）有色金属偏多上行，构建卖方中性波动率策略策略；（2）黑色系维持大幅度波动的 行情走势，适合构建做空波动率组合策略；（3）贵金属反弹回暖上升，构建牛市价差组合策略。 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) | ...

农产品期权 2025-12-25 农产品期权策略早报 | 李立勤 | 高级投研经 | 从业资格号：F3074095 | 交易咨询号：Z0017896 | 邮箱：lilq@wkqh.cn | | --- | --- | --- | --- | --- | | | 理 | | | | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | 农产品期权策略早报概要：油料油脂类农产品偏弱震荡，油脂类，农副产品维持震荡行情，软商品白糖小幅震荡， 棉花偏强盘整，谷物类玉米和淀粉偏多窄幅盘整。 策略上：构建卖方为主的期权组合策略以及现货套保或备兑策略增强收益。 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 | | --- | --- | --- | --- | --- | --- | --- | --- | -- ...

东方证券表示，自11月初看好黄金以来，沪金平值隐含波动率整体在18%-26%区间内波动，黄金价格维 持稳步上涨，行情始终未进入到加速阶段。虽然12月22日伴随沪金向上突破1000元/克，上期所黄金平 值期权隐波同步上升至25%，但并未偏离过往波动区间，仍属正常波动范围，故后续黄金或仍将维持稳 步上涨的节奏。在美元信用恶化的中期逻辑下，黄金依然值得投资者保持关注。 白银：价格与隐波同步创新高，白银仍然看好但短期波动大不宜盲目增仓 智通财经APP获悉，东方证券发布研报称，12月22日，伦敦金现首次站上4400美元关口，再创历史新 高，今年以来累计涨幅超68%；伦敦银现价格一度攀升至69美元/盎司上方，同样创下历史最高水平。 根据上期所黄金、白银收盘价与平值期权隐含波动率变化情况，商品端两者后续投资节奏或存在分化。 自11月初看好黄金以来，沪金平值隐含波动率整体在18%-26%区间内波动，黄金价格维持稳步上涨，行 情始终未进入到加速阶段。而白银价格与隐波同步创历史新高，意味着后续短期市场波动较大。 东方证券主要观点如下： 金银同创历史新高之时，后续投资节奏或随隐波而分化 东方证券认为，根据上期所黄金、白银收盘价与平 ...

隐含波动率全天震荡下行，最终较前一交易日走低。截至12月23日，上证50ETF当月合约平值期权隐含 波动率为10.45%。历史波动率低位运行，上证50ETF的30日历史波动率为10.59%，沪深300指数的30日 历史波动率为13.48%。隐含波动率与历史波动率差值有所收缩。 各大指数认购、认沽期权多在虚值和浅虚值部位增仓，且增持力度相当，市场交易者对标的资产价格在 短期内出现显著波动的预期增强。因此，做空波动率的组合建议逢低减持。 沪深300期权整体成交量回落，而持仓量回升。深交所沪深300ETF期权持仓量增加20.93%，上交所沪深 300ETF期权持仓量增加12.35%，中金所沪深300股指期权持仓量增加4.42%。与此同时，深交所沪深 300ETF期权成交量减少21.67%，上交所沪深300ETF期权成交量减少0.28%，中金所沪深300股指期权成 交量则增加3.19%。从交投较为活跃的上交所沪深300ETF期权持仓变动情况来看，1月合约总计增持 12.27万张。其中，认购增持6.17万张，认沽增持6.10万张。认购、认沽在浅虚值部位均大幅增持，力度 相当，且价位宽泛，预计沪深300指数短期宽幅波动。 ...

能源化工期权策略早报 | 李立勤 | 高级投研经 | 从业资格号：F3074095 | 交易咨询号：Z0017896 | 邮箱：lilq@wkqh.cn | | --- | --- | --- | --- | --- | | | 理 | | | | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | 能源化工期权 2025-12-24 能源化工期权策略早报概要：能源类：原油、LPG；聚烯烃类期权：聚丙烯、聚氯乙烯、塑料、苯乙烯；聚酯类期 权：对二甲苯、PTA、短纤、瓶片；碱化工类：烧碱、纯碱；其他能源化工类：橡胶等。 策略上：构建卖方为主的期权组合策略以及现货套保或备兑策略增强收益。 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 | | --- | --- | --- | --- | --- | ...

金属期权 2025-12-24 金属期权策略早报 | 李立勤 | 高级投研经 理 | 从业资格号：F3074095 | 交易咨询号：Z0017896 | 邮箱：lilq@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 | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | 金属期权策略早报概要：（1）有色金属偏多上行，构建卖方中性波动率策略策略；（2）黑色系维持大幅度波动的 行情走势，适合构建做空波动率组合策略；（3）贵金属反弹回暖上升，构建牛市价差组合策略。 | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | ...

来源：市场资讯 Greeks live 表示，受圣诞假期、美股休市及欧美机构离场影响，市场整体交投将持续疲弱至元旦后；同 时本周五（26 日）迎来年度期权交割，目前仍有超过 50% 持仓待到期。由于机构提前移仓与情绪降 温，主要期限隐含波动率 IV 已连续下滑——过去一个月比特币中短期限 IV 普遍下跌超 10%，以太坊 跌幅更大，显示市场一致预期短期将维持低波动甚至偏阴跌的行情结构。 （来源：吴说） ...

策略精选 | 品种 | 上周策略 | 策略复盘 | | --- | --- | --- | | PVC | 整体需求端对PVC支撑乏力，供需仍处过剩格局，价格难言乐观， | | | | 预计延续趋弱格局,且本周PVC主力平值IV环比上涨60.78%，至 | 12月15日开盘构建组合，组合价格为-505，12月19日收盘时 | | | 99.10%历史分位，可以考虑买入虚三档的看涨期权V2602-C | 组合价格为-717.5，区间跌幅为-42.08%。组合亏损原因主要 | | | 4400，卖出实一档的看涨期权V2602-C-4200构建熊市价差组 | 是本周V2602合约价格涨幅达2.92%，delta端带来较大亏损。 | | | 合 | | | 锡 | 市场情绪偏好，叠加基本面偏强，预计年内锡价都维持偏强走势， | 12月15日开盘构建组合，组合价格为-9396，12月19日收盘 | | | 对锡价保持偏多思路，且本周锡主力平值IV涨至96.70%，可以 | | | | 考虑买入虚三档的看跌期权SN2601P320000，卖出实一档的看 | 时组合价格为-3514，区间涨幅为+62.60%。组合盈利原因主 ...