能源化工期权 2025-05-19 | 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) | | | 原油 | SC2507 | 463 | 1 | 0.30 | 9.58 | 1.43 | 3.03 | 0.35 | | 液化气 | PG2507 | 4,206 | 7 | 0.17 | 3.50 | 0.27 | 5.26 | -0.30 | | 甲醇 | MA2507 | 2,308 | -15 | -0.65 | 1.30 | -0.08 | 0.64 | 0.08 | | 乙二醇 | EG2509 | 4,497 | 8 | 0.18 | 35.10 | 2.80 | 29.17 | 0.53 | | 聚丙烯 | PP2509 | 7,124 | 2 | 0.03 | 28.19 | -9.77 | 41.96 | -0.03 | | 聚氯乙烯 | V2509 | 4,9 ...

金属期权 2025-05-16 金属期权策略早报 | 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 | 金属期权策略早报概要：（1）有色金属盘整震荡偏上，构建做空波动率策略策略；（2）黑色系大幅反弹回暖，适 合构建卖方期权组合策略；（3）贵金属多头趋势方向上高位震荡，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 | 78,490 | 100 | 0.13 | 11.02 | ...

Report Information - Report Title: Energy and Chemical Options Strategy Morning Report [1] - Report Date: May 16, 2025 - Research Analysts: Lu Pinxian, Huang Kehan Investment Rating - No investment rating for the industry is provided in the report. Core Viewpoints - The energy and chemical sector includes energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies mainly involve constructing option portfolios with a focus on sellers, as well as spot hedging or covered strategies to enhance returns [2][8]. Summary by Relevant Catalogs 1. Market Overview of Underlying Futures - Various energy and chemical option underlying futures contracts are presented, including details such as the latest price, price change, percentage change, trading volume, volume change, open interest, and open interest change. For example, the latest price of crude oil (SC2507) is 462, with a decrease of 10 and a decline rate of 2.14% [3]. 2. Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different option varieties are provided, which are used to describe the strength of the option underlying market and the turning point of the market. For instance, the volume PCR of crude oil is 1.22, and the open interest PCR is 0.77 [4]. 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 crude oil is 560, and the support level is 400 [5]. 4. Option Factors - Implied Volatility - The implied volatility of options is presented, 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 crude oil is 31.63%, and the weighted implied volatility is 34.36% [6]. 5. Strategy and Recommendations for Different Option Varieties Energy - Related Options - **Crude Oil**: The fundamental situation involves OPEC + increasing supply and the US maintaining production cuts. The market shows a pattern of short - term recovery followed by a decline. Implied volatility is at a relatively high level, and the open interest PCR indicates the release of short - selling power. Strategies include constructing a neutral call + put option combination for volatility, and a long collar strategy for spot hedging [7]. - **LPG**: The fundamental situation is that the cost of imported gas from the Middle East supports domestic prices. The market is in a weak, bearish state. Implied volatility fluctuates around the historical average, and the open interest PCR indicates a weak market. Strategies include constructing a bearish call + put option combination for volatility, and a long collar strategy for spot hedging [9]. Alcohol - Related Options - **Methanol**: The fundamental situation is that port and enterprise inventories have increased, and downstream demand has weakened. The market shows a recent upward trend. Implied volatility is declining and fluctuating around the historical average, and the open interest PCR indicates support. Strategies include constructing a bullish call spread for direction, a bullish call + put option combination for volatility, and a long collar strategy for spot hedging [9]. - **Ethylene Glycol**: The fundamental situation is that port inventories are expected to decrease. The market shows a short - term bullish trend. Implied volatility is at a relatively high level, and the open interest PCR indicates a strong, oscillating market. Strategies include constructing a bullish call spread for direction, a short - volatility strategy for volatility, and a long collar strategy for spot hedging [10]. Polyolefin - Related Options - **Polypropylene**: The fundamental situation is that the inventories of production enterprises and traders have increased. The market shows a recent upward trend. Implied volatility fluctuates above the historical average, and the open interest PCR is above 1. Strategies include constructing a bullish call spread for direction, and a long collar strategy for spot hedging [10]. Rubber - Related Options - **Rubber**: The fundamental situation is that the import volume has increased, and the capacity utilization rate of tire enterprises has decreased. The market shows a short - term bullish trend. Implied volatility fluctuates around the average, and the open interest PCR is below 0.6. Strategies include constructing a bullish call spread for direction, a bullish call + put option combination for volatility [11]. Polyester - Related Options - **PTA**: The fundamental situation is that polyester load has increased, and PTA inventory is decreasing. The market shows a bullish trend. Implied volatility is at a relatively high level, and the open interest PCR indicates a strengthening market. Strategies include constructing a bullish call spread for direction, and a bullish call + put option combination for volatility [12]. Other Options - **Caustic Soda**: The fundamental situation is that factory inventories and the start - up rate have changed. The market is in a weak, oscillating state. Implied volatility is decreasing and below the average, and the open interest PCR indicates a weak market. Strategies include constructing a bearish wide - straddle option combination for volatility, and a covered call strategy for spot hedging [13]. - **Soda Ash**: The fundamental situation is that domestic production has decreased. The market shows a recent bearish trend. Implied volatility is rising but below the historical average, and the open interest PCR indicates a weak, oscillating market. Strategies include constructing a bearish call spread for direction, a neutral call + put option combination for volatility, and a long collar strategy for spot hedging [13]. - **Urea**: The fundamental situation is that production capacity utilization has rebounded, and inventories have changed. The market shows a recent bullish trend. Implied volatility has decreased and is below the average, and the open interest PCR indicates strong bullish power. Strategies include constructing a bullish call spread for direction, a bullish call + put option combination for volatility, and a long collar strategy for spot hedging [14].

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 | 78,650 | 150 | 0.19 | 11.24 | 2.15 | 19.39 | 1.20 | | 铝 | AL2506 | 20,295 | 140 | 0.69 | 16.10 | 2.01 | 15.18 | -0.86 | | 锌 | ZN2506 | 22,800 | 280 | 1.24 | 21.91 | 4.85 | 10.49 | -0.71 | | 铅 | PB2506 | 17,025 | 105 | 0.62 | 3.26 | 0.57 | 3.07 | 0.02 | | 镍 | NI2506 | 125,540 | 1,140 | 0.92 | 13.66 | -2.33 | 6.31 | -0.86 | | 锡 | SN2506 | ...

Group 1: Report Information - Report name: Volatility Data Daily Report [1] - Update time: May 15, 2025 [1] Group 2: Index Explanation - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract, reflecting the implied volatility change trend of the main contract [2] - The difference between the implied volatility index and historical volatility: A larger difference indicates that the implied volatility is relatively higher than the historical volatility, while a smaller difference means the opposite [2] Group 3: Implied Volatility and Historical Volatility Charts - Charts show the trends of implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various products including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, IFR, corn, cotton, rubber, PTA, crude oil, Chinese jujube, iron ore, aluminum, PVC, rebar, zinc, urea, palm oil, etc [3][5][6][7][11] Group 4: Quantile Ranking - Implied volatility and historical volatility quantile rankings are provided for products such as PTA, 50ETF, methanol, etc. For example, the implied volatility quantile of PTA is 0.93, and its historical volatility quantile is 0.79 [13]

金属期权 2025-05-14 金属期权策略早报 | 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 | 金属期权策略早报概要：（1）有色金属盘整震荡，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）贵金属多头趋势方向上高位震荡，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 | 78,650 | 770 | 0.99 | 9.09 | -3.42 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product options market shows diverse trends, with oilseeds and oils in a range - bound consolidation, some showing a weak trend, while agricultural by - products maintain a volatile pattern. Soft commodities like sugar face resistance in rising and then decline, and cotton continues a weak rebound. Grains such as corn and starch gradually recover and then consolidate in a narrow range [2]. - It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product futures have various price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2507) is 4,155, down 5 with a decline rate of 0.12%, and its trading volume is 13.38 million lots, down 4.06 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators of different agricultural product options vary. For instance, the volume PCR of soybean No.1 is 0.62 with a change of 0.10, and the open interest PCR is 0.68 with a change of 0.01 [4]. 3.3 Option Factors - Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure level of soybean No.1 (A2507) is 4,500 and the support level is 4,000 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different agricultural product options shows different characteristics. For example, the implied volatility of soybean No.1 is 12.69% for at - the - money, and the weighted implied volatility is 14.99%, down 0.49% [6]. 3.5 Option Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The future soybean supply is relatively sufficient. The soybean No.1 shows a high - level consolidation pattern. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The basis of soybean meal has changed, and the inventory has increased week - on - week. The market shows a weak short - term trend. It is recommended to construct a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The production of palm oil in Malaysia has increased. Palm oil shows a downward trend after a rebound. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [10]. - **Peanut**: The peanut market shows a rebound after a long - term weak trend. It is recommended to use a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - **Pig**: The pig market shows a range - bound pattern after a rise. It is recommended to construct a neutral short call + put option combination strategy and a covered call strategy for spot [11]. - **Egg**: The egg market shows a weak rebound and then a decline. It is recommended to construct a short - biased call + put option combination strategy [12]. - **Apple**: The apple market shows a decline after a high - level breakthrough. It is recommended to construct a neutral short call + put option combination strategy [12]. - **Jujube**: The jujube market shows a continuous decline. It is recommended to construct a bear spread strategy for directional trading and a short strangle strategy for volatility trading, as well as a covered call strategy for spot hedging [13]. 3.5.3 Soft Commodity Options - **Sugar**: The sugar market shows a bullish volatile pattern. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [13]. - **Cotton**: The cotton market shows a rebound after a decline. It is recommended to construct a neutral short call + put option combination strategy and a covered call strategy for spot [14]. 3.5.4 Grain Options - **Corn and Starch**: The corn market shows a pattern of rising and then falling after a range - bound movement. It is recommended to construct a neutral short call + put option combination strategy [14].

Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day. The commodity option implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility: a larger difference indicates that the implied volatility is relatively higher than the historical volatility, while a smaller difference means the opposite [3] Group 2: Implied Volatility and Historical Volatility Graphs - There are graphs showing the trends of implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 50ETF, 1000 - stock index, 500ETF, ES, Shanghai Gold, corn, soybean meal, sugar, cotton, rubber, PTA, methanol, iron ore, crude oil, aluminum, zinc, urea, palm oil, rapeseed meal, Shanghai copper, PVC, and rebar [4][6][7][8][9][10][11][12][13][14][15] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [17] - The implied volatility quantile rankings are as follows: PTA (0.78), natural rubber (0.70), etc. [18] - The historical volatility quantile rankings are as follows: PTA (0.94), 50ETF (0.87), etc. [19]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural products sector includes beans, oils, agricultural by - products, soft commodities, grains, and others. Each sector has options strategies and suggestions for selected varieties. The overall market shows different trends: oils and fats are in a range - bound or weakening trend, soft commodities like sugar and cotton have their own fluctuations, and grains like corn and starch are gradually warming up and then moving in a narrow range. It is recommended to construct option combination strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2][8]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various agricultural product futures have different price changes, trading volumes, and open interest changes. For example, the price of soybean A2507 is 4,171 with a 0.05% increase, and its trading volume is 22.73 million lots; the price of palm oil P2506 is 8,128 with a 0.99% increase, and its trading volume is 1.12 million lots [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the volume PCR of soybean A is 0.67 with a 0.31 change, and the open interest PCR is 0.66 with a 0.04 change [4]. 3.3 Option Factor - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of option underlyings are analyzed. For example, the pressure level of soybean A2507 is 4,500 and the support level is 4,000 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility of different agricultural product options is presented, 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 soybean A is 15.05%, and the weighted implied volatility is 17.37% with a - 0.33 change [6]. 3.5 Option Strategies and Suggestions 3.5.1 Oils and Fats Options - **Beans (Soybean A, Soybean B)**: In May, the supply of domestic soybeans is expected to improve. The soybean A market has been in a high - level consolidation recently. It is recommended to construct a neutral call + put option combination strategy to obtain time value and a long collar strategy for spot hedging [7]. - **Bean Meal and Rapeseed Meal**: The domestic bean meal spot price has fallen during the holiday. The short - term US soybeans are under pressure due to the trade war. It is recommended to construct a bearish call + put option combination strategy and a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, Rapeseed Oil**: The domestic oil supply is relatively sufficient. The palm oil market has been falling recently. It is recommended to construct a bear spread strategy, a neutral call + put option combination strategy, and a long collar strategy for spot hedging [10]. - **Peanuts**: The domestic peanut price has been weak. It is recommended to use a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - **Pigs**: The pig price has been fluctuating in April. It is recommended to construct a neutral call + put option combination strategy and a covered call strategy for spot [11]. - **Eggs**: The egg supply is expected to be in surplus in the future. The market has been in a weak downward trend recently. It is recommended to construct a bearish call + put option combination strategy [12]. - **Apples**: The apple market has been highly volatile recently. It is recommended to construct a neutral call + put option combination strategy [12]. - **Jujubes**: The jujube market has been in a downward trend recently. It is recommended to construct a put bear spread strategy, a wide - straddle option combination strategy, and a covered call strategy for spot [13]. 3.5.3 Soft Commodity Options - **Sugar**: The sugar production in Brazil has increased. The sugar market has been in a bullish consolidation recently. It is recommended to construct a neutral call + put option combination strategy and a long collar strategy for spot hedging [13]. - **Cotton**: The spinning and weaving factory operating rates are lower than last year. The cotton market has been in a low - level consolidation recently. It is recommended to construct a neutral call + put option combination strategy and a covered call strategy for spot [14]. 3.5.4 Grain Options - **Corn and Starch**: The long - position and short - position holdings of CBOT corn futures have decreased. The corn market has been rising recently. It is recommended to construct a bullish call + put option combination strategy [14].

Market Overview - The market showed an increase in cautious sentiment before the long holiday, with broad market indices experiencing a decline, while small-cap stocks stabilized and recovered [4][2]. - The week before the May Day holiday saw a balanced performance between large-cap and small-cap styles, as well as between value and growth styles, with a continued decrease in style volatility [6][2]. Market Structure - The excess return dispersion of industry indices slightly decreased, and the proportion of rising constituent stocks also saw a decline, indicating a slowdown in industry rotation [6][2]. - The trading concentration decreased, with the proportion of trading volume from the top 100 stocks rebounding from a low level, while the top five industries' trading volume proportion continued to decline [6][2]. Market Activity - Market volatility continued to decrease due to the upcoming holiday, and turnover rates also saw a reduction [7][2]. Commodity Market - There was a divergence in trend strength among commodity sectors, with energy and black metals maintaining strong trends, while non-ferrous and agricultural products showed weaker trends, and precious metals experienced a significant decline in trend strength [18][17]. - The non-ferrous sector had the highest basis momentum, while the black sector saw a rapid decline [18][17]. - Volatility across all sectors remained high, and liquidity was stable across the board [18][17]. Options Market - Implied volatility levels for the Shanghai Stock Exchange 50 and CSI 1000 indices increased, indicating some speculative sentiment in the market before the holiday [23][3]. - The skew of call options for the CSI 1000 improved, while the skew for the Shanghai Stock Exchange 50 saw a notable decline, suggesting a market expectation of small-cap stocks performing better post-holiday [23][3]. Convertible Bond Market - The valuation level of the convertible bond market slightly increased, remaining above the historical median for the past year, with a small rebound in the number of convertible bonds with low conversion premiums [27][3]. - Overall trading volume in the convertible bond market continued to recover [27][3].