1. Report Investment Rating - No investment rating for the industry is provided in the report. 2. Core Viewpoint - The agricultural product options market shows different trends: oilseeds and oils are weakly volatile, agricultural by - products maintain a volatile trend, soft commodities like sugar have slight fluctuations, cotton is strongly consolidating, and grains such as corn and starch are narrowly consolidating in a bullish direction. The recommended strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Various option - underlying futures have different price movements. For example, the price of soybean No.1 (A2601) is 4,091, down 29 (-0.70%); soybean meal (M2601) is 3,034, unchanged (0.00%); and corn (C2601) is 2,302, up 29 (1.28%). Their trading volumes and open interests also vary [3]. 3.2 Option Factors - Quantity and Position PCR - Different option varieties have different quantity and position PCR values. For instance, the quantity PCR of soybean No.1 is 0.53, and the position PCR is 0.91; the quantity PCR of soybean meal is 0.77, and the position PCR is 0.76. These values help describe the strength of the option - underlying market trends and potential turning points [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 is 4,250, and the support level is 4,000; the pressure level of soybean meal is 3,100, and the support level is also 3,100 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different option varieties varies. For example, the at - the - money implied volatility of soybean No.1 is 9.83%, and the weighted implied volatility is 12.00% with a change of - 0.22%. The implied volatility can reflect the market's expectation of future price fluctuations [6]. 3.5 Option Strategies and Recommendations - **Oilseeds and Oils Options**: - **Soybean No.1**: The fundamental situation shows high domestic soybean and soybean meal inventories with slow inventory depletion. The price has shown a rebound after a decline. The implied volatility is below the historical average, and the position PCR indicates a volatile market. Recommended strategies include constructing a neutral short call + put option combination and a long collar strategy for spot hedging [7]. - **Soybean Meal**: The oil mill operating rate is about 61.41%. The price has shown a downward - then - upward trend. The implied volatility is below the historical average, and the position PCR indicates a weak market. Recommended strategies include constructing a short - biased call + put option combination and a long collar strategy for spot hedging [9]. - **Palm Oil**: Malaysian palm oil production has increased, while exports have decreased. The price has shown a weak downward trend. The implied volatility is below the historical average, and the position PCR indicates a weak market. Recommended strategies include constructing a bear spread strategy for put options, a short - biased call + put option combination, and a long collar strategy for spot hedging [9]. - **Peanut**: The peanut market is in a high - level consolidation phase. The price has shown a short - term bullish trend. The implied volatility is at a relatively high historical level, and the position PCR indicates a volatile and strong market. The recommended strategy is a long collar strategy for spot hedging [10]. - **Agricultural By - products Options**: - **Pig**: The average weight of pig slaughter has increased. The price has shown a weak downward trend. The implied volatility is above the historical average, and the position PCR indicates a weak market. Recommended strategies include constructing a short - biased call + put option combination and a covered call strategy for spot [10]. - **Egg**: The domestic egg price has shown a slight increase with sufficient supply. The price has shown a volatile rebound. The implied volatility is at a high level, and the position PCR indicates a weak market. Recommended strategies include constructing a neutral short call + put option combination [11]. - **Apple**: The new - season apple storage situation is complex. The price has shown a continuous upward and volatile trend. The implied volatility is above the historical average, and the position PCR indicates strong support. Recommended strategies include constructing a long - biased short call + put option combination and a long collar strategy for spot hedging [11]. - **Jujube**: The new - season jujube has a strong expected production cut but with inventory pressure. The price has shown a weak downward trend. The implied volatility has rapidly risen above the historical average, and the position PCR indicates a weak market. Recommended strategies include constructing a short - biased wide - straddle option combination and a covered call strategy for spot hedging [12]. - **Soft Commodities Options**: - **Sugar**: The sugar - mill opening situation in Guangxi is behind schedule. The price has shown a weak downward trend. The implied volatility is at a low historical level, and the position PCR indicates a range - bound market. Recommended strategies include constructing a short - biased call + put option combination and a long collar strategy for spot hedging [12]. - **Cotton**: The spinning mill operating rate is stable, and the commercial inventory has increased. The price has shown a short - term bullish trend. The implied volatility is at a low level, and the position PCR indicates a weak market. Recommended strategies include constructing a long - biased short call + put option combination and a covered call strategy for spot [13]. - **Grain Options**: - **Corn**: The corn inventory in northern ports is accumulating, and the trading in Guangdong ports is light. The price has shown a weak rebound. The implied volatility is at a low historical level, and the position PCR indicates a weak market. Recommended strategies include constructing a long - biased short call + put option combination [13]. - **Starch**: The price has shown a bullish trend. The implied volatility is at a low historical level, and the position PCR indicates a weak market. The recommended strategy is a long collar strategy for spot hedging [13].

Report Summary - **Report Date**: December 5, 2025 [1] - **Report Title**: Metal Options Strategy Morning Report 1. Industry Investment Rating - No industry investment rating is provided in the report 2. Core Viewpoints - For non - ferrous metals showing a bullish upward trend, construct a neutral volatility strategy for sellers [2]. - For the black series with large - amplitude fluctuations, construct a short - volatility portfolio strategy [2]. - For precious metals rebounding and rising, construct a bull spread portfolio strategy [2] 3. Summary by Related Catalogs 3.1 Futures Market Overview | Option Variety | Latest Price | Change | Change Rate (%) | Volume (10,000 lots) | Volume Change | Open Interest (10,000 lots) | Open Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | | Copper | 90,960 | 170 | 0.19 | 22.53 | 9.93 | 23.46 | 1.06 | | Aluminum | 22,235 | 175 | 0.79 | 24.64 | 8.48 | 24.45 | - 0.48 | | Zinc | 23,010 | 170 | 0.74 | 16.43 | 5.79 | 10.57 | 0.11 | | Lead | 17,305 | 120 | 0.70 | 3.73 | 1.03 | 4.66 | 0 | | Nickel | 117,700 | - 30 | - 0.03 | 10.33 | - 0.91 | 11.80 | - 0.06 | | Tin | 320,070 | 1,690 | 0.53 | 34.50 | 13.90 | 5.21 | - 0.10 | | Alumina | 2,590 | - 30 | - 1.15 | 18.44 | - 2.01 | 32.93 | - 1.51 | | Gold | 958.46 | 0.82 | 0.09 | 31.05 | 1.04 | 19.76 | - 0.02 | | Silver | 13,366 | - 260 | - 1.91 | 228.09 | - 38.35 | 45.24 | - 0.61 | | Lithium Carbonate | 92,400 | - 1,140 | - 1.22 | 1.20 | 0.03 | 2.62 | 0.04 | | Industrial Silicon | 8,925 | - 35 | - 0.39 | 1.65 | 0.13 | 6.76 | 0.46 | | Polysilicon | 55,520 | 300 | 0.54 | 1.76 | 0.41 | 3.20 | 0.22 | | Rebar | 3,148 | 11 | 0.35 | 32.20 | - 5.18 | 62.75 | - 5.02 | | Iron Ore | 791.50 | - 2.00 | - 0.25 | 18.67 | 1.72 | 29.37 | - 4.11 | | Manganese Silicon | 5,778 | 38 | 0.66 | 13.60 | 3.36 | 16.11 | - 3.89 | | Ferrosilicon | 5,468 | 60 | 1.11 | 4.00 | 1.88 | 5.58 | - 1.40 | | Glass | 1,008 | 0 | 0.00 | 116.38 | - 5.97 | 125.61 | - 3.22 | [3] 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators are mainly used to describe the strength of the option underlying market and the turning point of the underlying market [4] 3.2.1 Volume PCR | Option Variety | Volume PCR | Volume PCR Change | | --- | --- | --- | | Copper | 0.39 | 0.03 | | Aluminum | 0.26 | - 0.02 | | Zinc | 0.32 | - 0.29 | | Lead | 0.37 | - 0.04 | | Nickel | 0.34 | - 0.10 | | Tin | 0.42 | 0.12 | | Alumina | 0.44 | 0.14 | | Gold | 0.36 | - 0.12 | | Silver | 0.79 | 0.21 | | Lithium Carbonate | 0.85 | 0.05 | | Industrial Silicon | 0.75 | 0.21 | | Polysilicon | 0.95 | 0.02 | | Rebar | 0.54 | - 0.07 | | Iron Ore | 1.27 | - 0.42 | | Manganese Silicon | 0.41 | - 0.13 | | Ferrosilicon | 0.34 | - 0.33 | | Glass | 0.89 | 0.26 | [4] 3.2.2 Open Interest PCR | Option Variety | Open Interest PCR | Open Interest PCR Change | | --- | --- | --- | | Copper | 0.83 | 0.06 | | Aluminum | 0.57 | - 0.02 | | Zinc | 0.94 | - 0.05 | | Lead | 0.77 | - 0.02 | | Nickel | 0.57 | 0 | | Tin | 0.85 | 0.19 | | Alumina | 0.23 | 0 | | Gold | 0.56 | - 0.01 | | Silver | 1.34 | 0.03 | | Lithium Carbonate | 0.82 | - 0.02 | | Industrial Silicon | 0.45 | - 0.01 | | Polysilicon | 1.30 | - 0.17 | | Rebar | 0.59 | 0.01 | | Iron Ore | 1.68 | 0.01 | | Manganese Silicon | 0.67 | - 0.01 | | Ferrosilicon | 0.79 | - 0.02 | | Glass | 0.35 | - 0.02 | [4] 3.3 Option Factors - Pressure and Support Levels | Option Variety | Pressure Point | Support Point | | --- | --- | --- | | Copper | 90,000 | 84,000 | | Aluminum | 22,000 | 21,000 | | Zinc | 23,000 | 22,000 | | Lead | 18,000 | 16,800 | | Nickel | 120,000 | 110,000 | | Tin | 335,000 | 290,000 | | Alumina | 3,000 | 2,700 | | Gold | 1,000 | 904 | | Silver | 14,000 | 12,000 | | Lithium Carbonate | 100,000 | 80,000 | | Industrial Silicon | 10,000 | 8,600 | | Polysilicon | 60,000 | 50,000 | | Rebar | 3,200 | 3,000 | | Iron Ore | 900 | 700 | | Manganese Silicon | 6,000 | 5,700 | | Ferrosilicon | 5,700 | 5,400 | | Glass | 1,620 | 1,000 | [5] 3.4 Option Factors - Implied Volatility | Option Variety | At - the - Money Implied Volatility (%) | Weighted Implied Volatility (%) | Weighted Implied Volatility Change | Annual Average | Call Implied Volatility (%) | Put Implied Volatility (%) | HISV20 | Implied - Historical Volatility Difference | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Copper | 19.25 | 22.29 | 1.88 | 17.99 | 23.58 | 18.96 | 15.73 | 3.52 | | Aluminum | 11.89 | 13.42 | 0.44 | 12.40 | 13.63 | 12.61 | 11.10 | 0.79 | | Zinc | 11.19 | 12.59 | 1.44 | 14.21 | 12.80 | 11.92 | 10.89 | 0.30 | | Lead | 10.65 | 13.33 | - 0.22 | 14.69 | 13.80 | 12.09 | 12.51 | - 1.87 | | Nickel | 12.81 | 16.06 | 0.55 | 23.31 | 16.47 | 14.87 | 15.81 | - 3.00 | | Tin | 28.28 | 30.46 | 0.86 | 26.69 | 31.53 | 27.93 | 22.76 | 5.51 | | Alumina | 19.41 | 23.99 | - 0.24 | 29.19 | 26.09 | 19.19 | 22.57 | - 3.16 | | Gold | 20.78 | 24.39 | 0.68 | 22.13 | 25.89 | 20.22 | 22.50 | - 1.72 | | Silver | 38.38 | 40.10 | - 3.26 | 29.82 | 39.95 | 40.28 | 30.87 | 7.51 | | Lithium Carbonate | 34.80 | 34.24 | - 2.89 | 39.79 | 36.20 | 31.95 | 34.89 | - 0.09 | | Industrial Silicon | 20.04 | 23.73 | - 0.32 | 33.57 | 26.65 | 19.84 | 23.29 | - 3.25 | | Polysilicon | 32.67 | 41.71 | 0.84 | 44.01 | 41.23 | 42.22 | 35.36 | - 2.69 | | Rebar | 11.38 | 13.62 | - 0.08 | 16.55 | 13.67 | 13.52 | 13.76 | - 2.38 | | Iron Ore | 16.90 | 18.52 | - 0.47 | 21.46 | 17.28 | 19.49 | 18.84 | - 1.94 | | Manganese Silicon | 12.86 | 14.67 | 0.16 | 21.90 | 14.94 | 14.01 | 13.95 | - 1.09 | | Ferrosilicon | 14.86 | 15.63 | 1.86 | 23.13 | 16.01 | 14.49 | 15.00 | - 0.14 | | Glass | 25.78 | 29.36 | - 1.29 | 36.84 | 31.97 | 26.41 | 30.56 | - 4.79 | [6] 3.5 Strategy and Recommendations 3.5.1 Non - Ferrous Metals - **Copper Options**: Construct a call option bull spread strategy, a short - volatility seller option portfolio strategy, and a spot long - hedging strategy [8] - **Aluminum Options**: Construct a call option bull spread strategy, a short call + put option portfolio strategy with a bullish bias, and a spot collar strategy [9] - **Zinc Options**: Construct a short call + put option portfolio strategy with a neutral bias and a spot collar strategy [9] - **Nickel Options**: Construct a short call + put option portfolio strategy with a bearish bias and a spot covered - call strategy [10] - **Tin Options**: Construct a call option bull spread strategy, a short - volatility strategy, and a spot collar strategy [10] - **Lithium Carbonate Options**: Construct a short call + put option portfolio strategy with a bullish bias and a spot long - hedging strategy [11] 3.5.2 Precious Metals (Silver) - Construct a short - volatility option seller portfolio strategy with a bullish bias and a spot hedging strategy [12] 3.5.3 Black Series - **Rebar Options**: Construct a short call + put option portfolio strategy with a bearish bias and a spot covered - call strategy [13] - **Iron Ore Options**: Construct a short call + put option portfolio strategy with a bearish bias and a spot long - collar strategy [13] - **Ferroalloy Options (Manganese Silicon)**: Construct a short - volatility strategy [14] - **Industrial Silicon Options**: Construct a short call + put option portfolio strategy to short volatility and a spot long - hedging strategy [14] - **Glass Options**: Construct a short call + put option portfolio strategy to short volatility and a spot long - collar strategy [15]

Core Viewpoint - The article introduces the Long Butterfly Spread options strategy, which serves as a "price range insurance" for investors expecting a stock to remain stable within a certain price range, allowing for limited risk and potentially high returns [1][3]. Strategy Composition - The strategy involves trading three options: buying one lower strike Call (X1), buying one higher strike Call (X3), and selling two middle strike Calls (X2), with the relationship X2 = (X1 + X3)/2 [1][2]. - The initial net premium paid is calculated as C1 + C3 - 2 × C2, where C1, C2, and C3 are the premiums for the respective options [1][5]. Investment Significance - The core of the strategy is to have the underlying asset's price remain close to the middle strike price (X2) before the options expire, with minimal volatility [3]. - It combines elements of both Bull Call Spread and Bear Call Spread, making it a neutral strategy that profits in sideways markets [3]. Profit and Loss Characteristics - Maximum profit occurs when the stock price equals the middle strike price (X2), while maximum loss is limited to the initial net premium paid [6][8]. - The strategy is characterized by a small risk of loss, with profits increasing as the stock price approaches the middle strike price [6][10]. Practical Application Example - An example is provided where an investor believes a stock priced at $633 will remain stable around $635. The investor sets up a Long Butterfly Spread by buying Calls at $630 and $640, and selling Calls at $635, resulting in a maximum loss of $25 and a maximum profit of $475 [7][8]. Recommendations for Use - The strategy is best suited for short to medium-term contracts (20-30 days until expiration) and should be executed when implied volatility is high [10][11]. - Investors are advised to avoid holding positions until expiration to mitigate risks associated with significant price movements [12]. Conclusion - The Long Butterfly Spread is a low-risk strategy ideal for investors seeking to profit from minimal price fluctuations in stable markets, particularly when volatility is expected to decrease [6][10].

能源化工期权策略早报 | 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 | | 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。 能源化工期权 2025-12-04 | 期权品种 | 成交量 | 量变化 | 持仓量 | 仓变化 | 成交量 | 量PCR | 持仓量 | 仓PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | ...

1. Report Industry Investment Rating - No information about the report industry investment rating is provided in the given content. 2. Core Viewpoints of the Report - The morning report on agricultural product option strategies indicates that oilseeds and oils are in a weak oscillation, while oils, by - products, and soft - commodity sugar show slight oscillations. Cotton is in a strong consolidation, and grains such as corn and starch are in a narrow, long - biased consolidation. The strategy suggests constructing option combination strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summaries Based on Relevant Catalogs 3.1 Futures Market Overview - The futures market overview table includes various option varieties such as soybeans, palm oil, and eggs. For example, the latest price of soybeans (A2601) is 4,131, with a change of 2 and a change rate of 0.05%. The trading volume is 7.33 million lots, a decrease of 1.58 million lots, and the open interest is 18.26 million lots, a decrease of 0.52 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR table shows data for different option varieties. For example, for soybeans (A2601), the volume PCR is 0.39, a decrease of 0.24, and the open interest PCR is 0.91, a decrease of 0.01. The volume PCR is used to describe the turning point of the underlying asset's market, and the open interest PCR is used to describe the strength of the underlying asset's market [4]. 3.3 Option Factors - Pressure and Support Levels - The table of option factors - pressure and support levels presents the pressure and support levels for each option variety. For instance, for soybeans (A2601), the pressure level is 4,200 and the support level is 4,050, which are determined by the strike prices of the maximum open interest of call and put options [5]. 3.4 Option Factors - Implied Volatility - The implied volatility table shows data for different option varieties. For example, for soybeans (A2601), the at - the - money implied volatility is 8.97%, the weighted implied volatility is 12.22%, an increase of 0.35%, and the difference between implied and historical volatility is - 3.07% [6]. 3.5 Strategy and Suggestions - **Soybean Options**: The fundamental situation shows that China's purchase of US soybeans has advanced the buying schedule, but the domestic soybean and soybean meal inventories are at a high level, and the supply pressure is still large. The option strategy includes constructing a short - neutral call + put option combination strategy for volatility, and a long collar strategy for spot long - position hedging [7]. - **Soybean Meal Options**: The oil mill's operating rate is about 61.41%. The option strategy includes constructing a short - bearish call + put option combination strategy for volatility, and a long collar strategy for spot long - position hedging [9]. - **Palm Oil Options**: Malaysian palm oil production has increased, while exports have decreased. The option strategy includes constructing a bearish put spread strategy for direction, a short - bearish call + put option combination strategy for volatility, and a long collar strategy for spot long - position hedging [9]. - **Peanut Options**: The peanut market is in a high - level consolidation. The option strategy includes a long collar strategy for spot long - position hedging [10]. - **Live Pig Options**: The average weight of live pigs at slaughter has increased. The option strategy includes constructing a short - bearish call + put option combination strategy for volatility, and a covered call strategy for spot long - position hedging [10]. - **Egg Options**: The domestic egg price has shown a slight increase, with sufficient supply and no significant improvement in demand. The option strategy includes constructing a short - neutral call + put option combination strategy for volatility [11]. - **Apple Options**: The new - season late - Fuji apple storage work is coming to an end. The option strategy includes constructing a short - bullish call + put option combination strategy for volatility, and a long collar strategy for spot long - position hedging [11]. - **Jujube Options**: The new - season jujube harvest in Xinjiang is almost over, with a strong expectation of production reduction. The option strategy includes constructing a short - bearish strangle option combination strategy for volatility, and a covered call strategy for spot long - position hedging [12]. - **Sugar Options**: The number of sugar mills in Guangxi that have started crushing has decreased. The option strategy includes constructing a short - bearish call + put option combination strategy for volatility, and a long collar strategy for spot long - position hedging [12]. - **Cotton Options**: The spinning mill's operating rate has remained flat, and the commercial cotton inventory has increased. The option strategy includes constructing a short - bullish call + put option combination strategy for volatility, and a covered call strategy for spot long - position hedging [13]. - **Corn Options**: The corn inventory at northern ports has accumulated. The option strategy includes constructing a short - bullish call + put option combination strategy for volatility [13].

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The agricultural product options market shows different trends: oilseeds and oils are weakly oscillating, oils and by - products maintain an oscillating market, soft commodity sugar has a slight oscillation, cotton is strongly consolidating, and grains such as corn and starch are narrowly consolidating with a bullish bias. The strategy is to construct an option portfolio strategy mainly composed of sellers, as well as a spot hedging or covered strategy to enhance returns [2] 3. Summary According to Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product futures have different price changes, trading volumes, and open - interest changes. For example, the latest price of soybean No.1 (A2601) is 4,121, down 6 with a decline of 0.15%, trading volume of 8.92 million lots, and open interest of 18.78 million lots [3] 3.2 Option Factors - Quantity and Open - Interest PCR - The quantity and open - interest PCR of various agricultural product options are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market. For instance, the open - interest PCR of soybean No.1 option is 0.92, down 0.05 [4] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of various agricultural product options are analyzed from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure point of soybean No.1 is 4200 and the support point is 4000 [5] 3.4 Option Factors - Implied Volatility - The implied volatility data of various agricultural product options are presented, including at - the - money implied volatility, weighted implied volatility, and its changes, etc. For example, the at - the - money implied volatility of soybean No.1 is 9.995%, and the weighted implied volatility is 11.87%, down 0.05 [6] 3.5 Option Strategies and Recommendations for Different Products 3.5.1 Oilseeds and Oils Options - **Soybean No.1**: The fundamental situation shows that China's soybean purchases have advanced, and the domestic soybean and soybean meal inventories are at a high level. The market trend is a rebound after a decline. Option strategies include constructing a neutral call + put option selling combination strategy and a long collar strategy for spot hedging [7] - **Soybean meal**: The oil mill's operating rate is about 61.41%. The market shows a weak rebound after a decline. Option strategies involve constructing a bearish call + put option selling combination strategy and a long collar strategy for spot hedging [9] - **Palm oil**: Malaysian palm oil production has increased, and exports have decreased. The market is in a weak bearish trend. Option strategies include constructing a bearish put option spread strategy, a bearish call + put option selling combination strategy, and a long collar strategy for spot hedging [9] - **Peanut**: The peanut market is in a high - level consolidation stage. The market shows a short - term bullish trend. The option strategy is to construct a long collar strategy for spot hedging [10] 3.5.2 By - product Options - **Live pig**: The average weight of live pig slaughter has increased. The market is in a weak bearish trend. Option strategies include constructing a bearish call + put option selling combination strategy and a covered call strategy for spot hedging [10] - **Egg**: The domestic egg price has a slight increase, and the supply is sufficient. The market shows a volatile rebound. Option strategies involve constructing a neutral call + put option selling combination strategy [11] - **Apple**: The new - season apple storage is coming to an end, and the storage volume is less than last year. The market is in a high - level oscillation. Option strategies include constructing a bullish call + put option selling combination strategy and a long collar strategy for spot hedging [11] - **Jujube**: The new - season jujube has a strong expected production cut, and the inventory pressure is large. The market is in a weak bearish trend. Option strategies include constructing a bearish wide - straddle option selling combination strategy and a covered call strategy for spot hedging [12] 3.5.3 Soft Commodity Options - **Sugar**: The number of sugar mills in Guangxi that have started production has decreased. The market is in a weak bearish trend. Option strategies involve constructing a bearish call + put option selling combination strategy and a long collar strategy for spot hedging [12] - **Cotton**: The spinning mill's operating rate is stable, and the cotton commercial inventory has increased. The market shows a short - term bullish trend. Option strategies include constructing a bullish call + put option selling combination strategy and a covered call strategy for spot hedging [13] 3.5.4 Grain Options - **Corn**: The corn inventory in northern ports is accumulating, and the trading volume is light. The market shows a weak rebound. Option strategies involve constructing a bullish call + put option selling combination strategy [13]

Group 1: Report Overview - The report is an energy and chemical options strategy morning report, covering energy (crude oil, LPG), polyolefins (PP, PVC, plastic, styrene), polyesters (PX, PTA, short - fiber, bottle - chip), alkali chemicals (caustic soda, soda ash), and other energy - chemical products like rubber [2][3] - The recommended strategy is to construct an option portfolio strategy mainly based on sellers and spot hedging or covered strategies to enhance returns [3] Group 2: Underlying Futures Market Overview - The latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various underlying futures contracts are presented. For example, the latest price of crude oil SC2601 is 450, with a price change of - 3 and a change rate of - 0.75% [4] Group 3: Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of different option varieties are provided, along with their changes. For instance, the volume PCR of crude oil is 0.47 with a change of - 0.09, and the open interest PCR is 0.69 with a change of - 0.05 [5] Group 4: Option Factor - Pressure and Support Levels - The pressure points, support points, and their offsets, as well as the maximum open interests of call and put options, are given for each option variety. For example, the pressure point of crude oil is 540 and the support point is 430 [6] Group 5: Option Factor - Implied Volatility - The implied volatility data of different option varieties are presented, including at - the - money implied volatility, weighted implied volatility and its change, 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 is 26.915, and the weighted implied volatility is 29.07 with a change of 1.12 [7] Group 6: Strategy and Recommendations for Different Option Varieties Energy - related Options (Crude Oil) - Fundamental analysis: US refinery demand has stabilized and recovered. Shale oil production has slightly declined. OPEC's short - term supply is flat, and Russian exports are not blocked. Kuwait's refinery has resumed earlier than expected, weakening the support for low - sulfur fuel oil [8] - Market analysis: Crude oil prices showed a short - term weak and volatile trend in August, continued to be weak and bearish in September before gradually rebounding, fell sharply in October before rebounding, and showed a complex trend of shock, rebound, and then sharp decline in November [8] - Option factor research: The implied volatility of crude oil options fluctuates above the average level. The open interest PCR is below 0.80, indicating a weak market. The pressure point is 540 and the support point is 430 [8] - Strategy recommendations: Directional strategy - construct a bear spread portfolio of put options; Volatility strategy - construct a short - biased call + put option combination strategy; Spot long - hedging strategy - construct a long collar strategy [8] Energy - related Options (LPG) - Fundamental analysis: US propane inventory is starting to decline but remains at a high level. Crude oil prices are affected by supply surplus and geopolitical issues [10] - Market analysis: LPG prices showed a trend of rising and then falling in September, rebounding in October, and continued to rise in November, showing a pattern of rebound and consolidation after an oversold situation [10] - Option factor research: The implied volatility of LPG options has dropped significantly to near the lower - than - average level. The open interest PCR is around 0.80, indicating a weak market. The pressure point is 4500 and the support point is 4150 [10] - Strategy recommendations: Directional strategy - none; Volatility strategy - construct a long - biased call + put option combination strategy; Spot long - hedging strategy - construct a long collar strategy [10] Alcohol - related Options (Methanol) - Fundamental analysis: Port inventory has decreased, and enterprise inventory is at a relatively low level compared to the same period last year [10] - Market analysis: Methanol prices have been weak since August, showed a rebound after a low - level consolidation in September, and continued to be weak in October and November [10] - Option factor research: The implied volatility of methanol options fluctuates around the historical average level. The open interest PCR is below 0.60, indicating a weak and volatile market. The pressure point is 2300 and the support point is 2000 [10] - Strategy recommendations: Directional strategy - construct a bear spread portfolio of put options; Volatility strategy - construct a short - biased call + put option combination strategy; Spot long - hedging strategy - construct a long collar strategy [10] Other Options (Ethylene Glycol, Polypropylene, Rubber, PTA, Caustic Soda, Soda Ash, Urea) - Similar analysis frameworks are used for these options, including fundamental analysis, market trend analysis, option factor research, and corresponding strategy recommendations [11][12][13][14] Group 7: Charts - There are various charts for different option varieties, such as price trend charts, volume and open interest charts, open interest - PCR charts, implied volatility charts, historical volatility cone charts, and pressure and support point charts [15][16][17]

金属期权 2025-12-02 金属期权策略早报 表2：期权因子—量仓PCR | 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 | | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | ...

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The energy and chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each sector, options strategies and suggestions are provided for selected varieties. Each option variety's strategy report is compiled based on underlying market analysis, option factor research, and option strategy suggestions [9] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of various energy and chemical futures contracts are presented, including crude oil, liquefied petroleum gas (LPG), methanol, ethylene glycol, etc. [4] 3.2 Option Factors - Volume and Open Interest PCR - Volume and open interest PCR data for different option varieties are provided, along with their changes. These factors are used to describe the strength of the underlying option market and the turning points of the market [5] 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels, as well as the maximum open interests of call and put options, are presented for each option variety, which are determined from the strike prices of the maximum open interests of call and put options [6] 3.4 Option Factors - Implied Volatility - Implied volatility data, including at-the-money implied volatility, weighted implied volatility, and its changes, are provided for each option variety. The weighted implied volatility is calculated using trading volume-weighted average [7] 3.5 Option Strategies and Suggestions 3.5.1 Energy Options - Crude Oil - **Underlying Market Analysis**: The demand from US refineries has stabilized and rebounded. Shale oil production has slightly declined during the recent oil price drop. OPEC's short-term supply remains flat. The market has shown a complex price trend from August to November [8] - **Option Factor Research**: The implied volatility of crude oil options fluctuates above the average level. The open interest PCR is below 0.80, indicating a weak market. The pressure level is 540, and the support level is 430 [8] - **Option Strategy Suggestions**: Directional strategy - Construct a bear spread portfolio of put options; Volatility strategy - Construct a short position combination of call and put options; Spot hedging strategy - Construct a long collar strategy [8] 3.5.2 Energy Options - LPG - **Underlying Market Analysis**: US propane inventory is starting to decline but remains at a historical high. The cost of crude oil is affected by supply surplus and geopolitical issues. LPG has shown a market trend of oversold rebound and consolidation from September to November [10] - **Option Factor Research**: The implied volatility of LPG options has significantly declined to near the lower average level. The open interest PCR is around 0.80, indicating a weak market. The pressure level is 4500, and the support level is 4200 [10] - **Option Strategy Suggestions**: Directional strategy - None; Volatility strategy - Construct a long position combination of call and put options; Spot hedging strategy - Construct a long collar strategy [10] 3.5.3 Alcohols Options - Methanol - **Underlying Market Analysis**: Port inventory has decreased, and enterprise inventory is at a relatively low level. Methanol has shown a market trend of oversold rebound from August to November [10] - **Option Factor Research**: The implied volatility of methanol options fluctuates around the historical average level. The open interest PCR is below 0.60, indicating a weak and volatile market. The pressure level is 2300, and the support level is 2000 [10] - **Option Strategy Suggestions**: Directional strategy - Construct a bear spread portfolio of put options; Volatility strategy - Construct a short position combination of call and put options; Spot hedging strategy - Construct a long collar strategy [10] 3.5.4 Alcohols Options - Ethylene Glycol - **Underlying Market Analysis**: Port inventory is expected to increase at a slower rate, and the supply - demand balance has improved. Ethylene glycol has shown a weak market trend from August to November [11] - **Option Factor Research**: The implied volatility of ethylene glycol options fluctuates below the average level. The open interest PCR is below 0.70, indicating strong short - selling power. The pressure level is 4500, and the support level is 3800 [11] - **Option Strategy Suggestions**: Directional strategy - Construct a bear spread portfolio of put options; Volatility strategy - Construct a short - volatility strategy; Spot hedging strategy - Hold a long position in the spot + buy a put option + sell an out - of - the - money call option [11] 3.5.5 Polyolefins Options - Polypropylene - **Underlying Market Analysis**: PE and PP production enterprise and trader inventories have decreased. Polypropylene has shown a weak market trend from August to November [11] - **Option Factor Research**: The implied volatility of polypropylene options has declined to near the average level. The open interest PCR is around 0.70, indicating a weak market. The pressure level is 7000, and the support level is 6300 [11] - **Option Strategy Suggestions**: Directional strategy - Construct a bear spread portfolio of put options; Volatility strategy - None; Spot hedging strategy - Hold a long position in the spot + buy an at - the - money put option + sell an out - of - the - money call option [11] 3.5.6 Rubber Options - Rubber - **Underlying Market Analysis**: Rubber inventory is expected to decrease significantly in mid - January. Rubber has shown a weak and volatile market trend from August to November [12] - **Option Factor Research**: The implied volatility of rubber options has decreased to near the lower average level after a rapid increase. The open interest PCR is below 0.60. The pressure level has significantly decreased to 16000, and the support level is 15000 [12] - **Option Strategy Suggestions**: Directional strategy - None; Volatility strategy - Construct a neutral combination of call and put options; Spot hedging strategy - None [12] 3.5.7 Polyesters Options - PTA - **Underlying Market Analysis**: PTA inventory has decreased, and it is expected to enter a de - stocking phase. PTA has shown a market trend of rebound from August to November [12] - **Option Factor Research**: The implied volatility of PTA options fluctuates above the average level. The open interest PCR is around 0.70, indicating a volatile market. The pressure level is 4700, and the support level is 4300 [12] - **Option Strategy Suggestions**: Directional strategy - None; Volatility strategy - Construct a neutral combination of call and put options; Spot hedging strategy - None [12] 3.5.8 Alkaline Chemicals Options - Caustic Soda - **Underlying Market Analysis**: Supply is sufficient, and the downstream alumina market is in a stalemate. Caustic soda has shown a weak and bearish market trend from August to November [13] - **Option Factor Research**: The implied volatility of caustic soda options fluctuates at a relatively high level. The open interest PCR is below 0.60, indicating a weak market. The pressure level is 3000, and the support level is 2200 [13] - **Option Strategy Suggestions**: Directional strategy - Construct a bear spread portfolio; Volatility strategy - None; Spot hedging strategy - Hold a long position in the spot + buy a put option + sell an out - of - the - money call option [13] 3.5.9 Alkaline Chemicals Options - Soda Ash - **Underlying Market Analysis**: Soda ash inventory has decreased. Soda ash has shown a low - level and volatile market trend from August to November [13] - **Option Factor Research**: The implied volatility of soda ash options fluctuates at a relatively high historical level. The open interest PCR is below 0.60, indicating strong short - selling pressure. The pressure level is 1860, and the support level is 1100 [13] - **Option Strategy Suggestions**: Directional strategy - Construct a bear spread portfolio; Volatility strategy - Construct a short - volatility combination; Spot hedging strategy - Construct a long collar strategy [13] 3.5.10 Other Energy and Chemicals Options - Urea - **Underlying Market Analysis**: Enterprise inventory has decreased, and port inventory is expected to increase. Urea has shown a market trend of low - level consolidation and rebound from August to November [14] - **Option Factor Research**: The implied volatility of urea options fluctuates slightly around the historical average level. The open interest PCR is below 0.60, indicating strong short - selling pressure. The pressure level is 1800, and the support level is 1600 [14] - **Option Strategy Suggestions**: Directional strategy - None; Volatility strategy - Construct a long - biased combination of call and put options; Spot hedging strategy - Hold a long position in the spot + buy an at - the - money put option + sell an out - of - the - money call option [14]

农产品期权 2025-12-01 农产品期权策略早报 | 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 | | 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， 棉花弱势盘整，谷物类玉米和淀粉弱势窄幅盘整。 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （ ...