能源化工期权 2025-11-25 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。 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 - No industry investment rating information is provided in the report. 2. Core Viewpoints of the Report - The agricultural product options market presents a complex situation with different sectors showing diverse trends. Oilseeds and oils are in a weak - oscillatory state, while some agricultural by - products, soft commodities, and grains also have their own unique market patterns. The report suggests constructing option portfolio strategies mainly on the short - selling side, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary According to Relevant Catalogs 3.1 Futures Market Overview - Multiple agricultural product 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 A2511 (soybean No. 1) is 3,930, with a price change of - 4 and a percentage change of - 0.10% [3]. 3.2 Option Factors - Quantity and Open Interest PCR - The PCR indicators (volume PCR and open - interest PCR) of various agricultural product options are analyzed. These indicators are used to describe the strength of the option underlying market and the turning point of the underlying market. For instance, the volume PCR of soybean No. 1 is 0.43, with a change of - 0.18, and the open - interest PCR is 0.40, with a change of - 0.01 [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the maximum open - interest strike prices of call and put options, the pressure and support levels of the option underlying are determined. For example, the pressure level of soybean No. 1 is 4,500, and the support level is 3,900 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of various agricultural product options is analyzed, including at - the - money implied volatility, weighted implied volatility, its change, annual average, call implied volatility, put implied volatility, historical volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of soybean No. 1 is 10.735, and the weighted implied volatility is 13.51, with a change of 0.86 [6]. 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No. 1 and No. 2**: The fundamentals of US soybeans have a neutral - bearish impact. The soybean No. 1 market is in a weak - oscillatory state. Option strategies include constructing a short - neutral call + put option combination strategy and a long - collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The fundamentals of soybean meal show changes in daily pick - up volume, basis, and inventory. The market is in a weak state. Strategies include a bear - spread strategy for put options, a short - bearish call + put option combination strategy, and a long - collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The fundamentals of palm oil involve inventory changes. The palm oil market is in a high - level and large - amplitude oscillatory state. Strategies include a short - bullish call + put option combination strategy and a long - collar strategy for spot hedging [10]. - **Peanuts**: The fundamentals of peanuts are affected by factors such as weather and market supply. The market is in a weak - oscillatory state. Strategies include a bear - spread strategy for put options and a long - collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - **Pigs**: The supply pressure of pigs is high, and the market is in a weak state. Strategies include a short - bearish call + put option combination strategy and a covered call strategy for spot [11]. - **Eggs**: The egg market is in a weak - bearish state. Strategies include a bear - spread strategy for put options, a short - bearish call + put option combination strategy [12]. - **Apples**: The apple market is in a state of recovery and upward movement. Strategies include a short - bullish call + put option combination strategy [12]. - **Jujubes**: The jujube market has large - amplitude oscillations. Strategies include a short - bearish strangle option combination strategy and a covered call strategy for spot hedging [13]. 3.5.3 Soft Commodity Options - **Sugar**: The sugar market is in a weak - bearish state. Strategies include a short - bearish call + put option combination strategy and a long - collar strategy for spot hedging [13]. - **Cotton**: The cotton market is in a short - term weak state. Strategies include a short - bullish call + put option combination strategy and a covered call strategy for spot [14]. 3.5.4 Grain Options - **Corn and Starch**: The corn market is in a weak - bearish state after a rebound. Strategies include a short - bearish call + put option combination strategy [14].