能源化工期权 2026-01-08 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。 金融期权 2025-12-31 金融期权策略早报 | | 理 | | | | | --- | --- | --- | --- | --- | | 李立勤 李仁君 | 高级投研经 产业服务岗 | 从业资格号：F3074095 从业资格号： F03090207 | 交易咨询号：Z0017896 电话：0755-23375255 | 邮箱： lilq@wkqh.cn 邮箱： lirj@wkqh.cn | （2）金融期权波动性分析：金融期权隐含波动率下降至历史均值偏下水平。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的卖方策略，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 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | ...

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock market, including the Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks, shows a high-level oscillating upward trend [3]. - The implied volatility of financial options has declined to a level below the historical average [3]. - For ETF options, it is suitable to construct a bullish seller strategy and a bull spread combination strategy for call options. For index options, it is suitable to construct a bullish seller strategy, a bull spread combination strategy for call options, and an arbitrage strategy between synthetic long futures with options and short futures [3]. 3. Summary by Related Catalogs Financial Market Index Overview - The Shanghai Composite Index closed at 3,965.28, up 1.60 points or 0.04%, with a trading volume of 903.8 billion yuan [4]. - The Shenzhen Component Index closed at 13,537.10, down 66.80 points or 0.49%, with a trading volume of 1,235.5 billion yuan [4]. - The SSE 50 Index closed at 3,034.63, down 10.77 points or 0.35%, with a trading volume of 117.1 billion yuan [4]. - The CSI 300 Index closed at 4,639.37, down 17.87 points or 0.38%, with a trading volume of 482.6 billion yuan [4]. - The CSI 500 Index closed at 7,430.61, down 28.22 points or 0.38%, with a trading volume of 390.4 billion yuan [4]. - The CSI 1000 Index closed at 7,594.16, down 11.37 points or 0.15%, with a trading volume of 466.9 billion yuan [4]. ETF Market Overview - The SSE 50 ETF closed at 3.109, down 0.011 or 0.35%, with a trading volume of 4.8702 million shares and a turnover of 1.519 billion yuan [5]. - The SSE 300 ETF closed at 4.763, down 0.021 or 0.44%, with a trading volume of 8.5291 million shares and a turnover of 4.070 billion yuan [5]. - The SSE 500 ETF closed at 7.548, down 0.032 or 0.42%, with a trading volume of 3.3780 million shares and a turnover of 2.559 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.417, down 0.002 or 0.14%, with a trading volume of 25.7752 million shares and a turnover of 3.675 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.373, down 0.001 or 0.07%, with a trading volume of 6.8515 million shares and a turnover of 0.946 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.838, down 0.022 or 0.45%, with a trading volume of 2.2579 million shares and a turnover of 1.095 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.979, down 0.012 or 0.40%, with a trading volume of 1.0772 million shares and a turnover of 0.322 billion yuan [5]. - The Shenzhen 100 ETF closed at 3.470, down 0.015 or 0.43%, with a trading volume of 0.7215 million shares and a turnover of 0.251 billion yuan [5]. - The ChiNext ETF closed at 3.205, down 0.021 or 0.65%, with a trading volume of 9.5207 million shares and a turnover of 3.056 billion yuan [5]. Option Factor - Volume and Open Interest PCR - For the SSE 50 ETF option, the volume PCR was 0.96, up 0.08, and the open interest PCR was 0.94, down 0.04 [6]. - For the SSE 300 ETF option, the volume PCR was 0.89, up 0.22, and the open interest PCR was 0.92, down 0.04 [6]. - For the SSE 500 ETF option, the volume PCR was 0.83, down 0.01, and the open interest PCR was 1.05, down 0.03 [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the volume PCR was 0.56, up 0.02, and the open interest PCR was 0.79, down 0.02 [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the volume PCR was 0.75, up 0.26, and the open interest PCR was 0.88, down 0.02 [6]. - For the Shenzhen 300 ETF option, the volume PCR was 0.92, up 0.21, and the open interest PCR was 0.96, down 0.01 [6]. - For the Shenzhen 500 ETF option, the volume PCR was 1.04, up 0.25, and the open interest PCR was 1.07, up 0.03 [6]. - For the Shenzhen 100 ETF option, the volume PCR was 2.34, up 0.91, and the open interest PCR was 1.55, up 0.19 [6]. - For the ChiNext ETF option, the volume PCR was 0.86, up 0.05, and the open interest PCR was 1.07, down 0.05 [6]. - For the SSE 50 index option, the volume PCR was 0.52, up 0.08, and the open interest PCR was 0.69, unchanged [6]. - For the CSI 300 index option, the volume PCR was 0.54, up 0.03, and the open interest PCR was 0.71, unchanged [6]. - For the CSI 1000 index option, the volume PCR was 0.66, up 0.02, and the open interest PCR was 0.98, unchanged [6]. Option Factor - Pressure and Support Levels - For the SSE 50 ETF option, the pressure level was 3.20, and the support level was 3.00 [8]. - For the SSE 300 ETF option, the pressure level was 4.80, and the support level was 4.70 [8]. - For the SSE 500 ETF option, the pressure level was 7.50, and the support level was 7.25 [8]. - For the Huaxia Science and Technology Innovation 50 ETF option, the pressure level was 1.45, and the support level was 1.40 [8]. - For the E Fund Science and Technology Innovation 50 ETF option, the pressure level was 1.50, and the support level was 1.30 [8]. - For the Shenzhen 300 ETF option, the pressure level was 4.90, and the support level was 4.80 [8]. - For the Shenzhen 500 ETF option, the pressure level was 3.00, and the support level was 2.90 [8]. - For the Shenzhen 100 ETF option, the pressure level was 3.50, and the support level was 3.40 [8]. - For the ChiNext ETF option, the pressure level was 3.20, and the support level was 3.10 [8]. - For the SSE 50 index option, the pressure level was 3,100, and the support level was 3,000 [8]. - For the CSI 300 index option, the pressure level was 4,700, and the support level was 4,600 [8]. - For the CSI 1000 index option, the pressure level was 7,600, and the support level was 7,300 [8]. Option Factor - Implied Volatility - For the SSE 50 ETF option, the at-the-money implied volatility was 13.35%, the weighted implied volatility was 13.36%, down 0.27% [11]. - For the SSE 300 ETF option, the at-the-money implied volatility was 15.43%, the weighted implied volatility was 15.05%, down 0.12% [11]. - For the SSE 500 ETF option, the at-the-money implied volatility was 19.30%, the weighted implied volatility was 19.51%, up 0.15% [11]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 27.51%, the weighted implied volatility was 27.14%, up 0.88% [11]. - For the E Fund Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 27.37%, the weighted implied volatility was 28.03%, up 0.48% [11]. - For the Shenzhen 300 ETF option, the at-the-money implied volatility was 15.51%, the weighted implied volatility was 18.62%, up 1.73% [11]. - For the Shenzhen 500 ETF option, the at-the-money implied volatility was 19.41%, the weighted implied volatility was 19.95%, up 0.77% [11]. - For the Shenzhen 100 ETF option, the at-the-money implied volatility was 19.83%, the weighted implied volatility was 21.21%, down 0.11% [11]. - For the ChiNext ETF option, the at-the-money implied volatility was 26.80%, the weighted implied volatility was 26.69%, up 0.40% [11]. - For the SSE 50 index option, the at-the-money implied volatility was 13.69%, the weighted implied volatility was 14.20%, down 0.36% [11]. - For the CSI 300 index option, the at-the-money implied volatility was 15.88%, the weighted implied volatility was 15.57%, down 0.04% [11]. - For the CSI 1000 index option, the at-the-money implied volatility was 20.07%, the weighted implied volatility was 20.23%, up 0.57% [11]. Strategy and Recommendations - **Financial Stocks Sector (SSE 50 ETF)**: - The SSE 50 ETF showed a high-level oscillating and consolidating trend. - The implied volatility of the SSE 50 ETF option remained at a relatively low level. - The open interest PCR of the SSE 50 ETF option was around 1.00, indicating oscillation. - The pressure level was 3.20, and the support level was 3.00. - Strategies: Construct a neutral seller combination strategy; implement a covered call strategy by holding the SSE 50 ETF and selling call options [14]. - **Large-Cap Blue-Chip Stocks Sector (SSE 300 ETF)**: - The SSE 300 ETF showed a rebound after a decline. - The implied volatility of the SSE 300 ETF option remained at a relatively low level. - The open interest PCR of the SSE 300 ETF option was around 1.00, indicating a weak oscillation. - The pressure level was 4.80, and the support level was 4.70. - Strategies: Construct a short volatility strategy by selling call and put options; implement a covered call strategy by holding the SSE 300 ETF and selling call options [14]. - **Small and Medium-Cap Stocks Sector (SSE 500 ETF)**: - The SSE 500 ETF showed a rebound and then a decline. - The implied volatility of the SSE 500 ETF option remained below the historical average. - The open interest PCR of the SSE 500 ETF option was above 1.00, indicating an oscillating trend. - The pressure level was 7.50, and the support level was 7.00. - Strategies: Construct a short volatility strategy by selling call and put options; implement a covered call strategy by holding the SSE 500 ETF and selling call options [15]. - **Large and Medium-Sized Stocks Sector (Shenzhen 100 ETF)**: - The Shenzhen 100 ETF showed a bullish high-level oscillation and then a decline. - The implied volatility of the Shenzhen 100 ETF option fluctuated around the average level. - The open interest PCR of the Shenzhen 100 ETF option was above 1.00, indicating a bullish oscillating and declining trend. - The pressure level was 3.40, and the support level was 3.30. - Strategies: Construct a short volatility strategy by selling call and put options; implement a covered call strategy by holding the Shenzhen 100 ETF and selling call options [15]. - **ChiNext Sector (ChiNext ETF)**: - The ChiNext ETF showed a bullish high-level oscillation. - The implied volatility of the ChiNext ETF option remained at a relatively high level. - The open interest PCR of the ChiNext ETF option was above 1.00, indicating a strengthening trend. - The pressure level was 3.20, and the support level was 3.00. - Strategies: Construct a short volatility strategy; implement a covered call strategy by holding the ChiNext ETF and selling call options [16]. - **Small and Medium-Cap Stocks Sector (CSI 1000)**: - The CSI 1000 index showed a high-level decline and then an oscillation. - The implied volatility of the CSI 1000 index option fluctuated below the average level. - The open interest PCR of the CSI 1000 index option was around 0.90, indicating a weak oscillating trend. - The pressure level was 7,400, and the support level was 7,000. - Strategies: Construct a short volatility strategy by selling call and put options and dynamically adjust the position to keep the delta negative [16].

Report Summary 1. Report Industry Investment Rating No information 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. The report analyzes the underlying market, option factors, and offers option strategy recommendations for each option variety [9]. - The overall strategy is to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [3]. 3. Summary by Relevant Catalogs 3.1 Underlying Futures Market Overview - The report presents the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various energy and chemical option underlying futures contracts, including crude oil, liquefied petroleum gas (LPG), methanol, ethylene glycol, etc. For example, the latest price of crude oil (SC2602) is 433, with a decrease of 11 and a decline rate of -2.44% [4]. 3.2 Option Factors - Volume and Open Interest PCR - The report provides the trading volume, volume changes, open interest, open interest changes, trading volume PCR, volume PCR changes, open interest PCR, and open interest PCR changes of various energy and chemical options. The volume PCR and open interest PCR are mainly used to describe the strength of the option underlying market and the turning point of the underlying market respectively [5]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the report shows the pressure and support levels of various energy and chemical option underlying assets. For example, the pressure level of crude oil is 540 and the support level is 400 [6]. 3.4 Option Factors - Implied Volatility - The report lists the at - the - money implied volatility, weighted implied volatility, weighted implied volatility changes, annual average implied volatility, call implied volatility, put implied volatility, 20 - day historical volatility, and the difference between implied and historical volatility of various energy and chemical options. The weighted implied volatility uses volume - weighted average [7]. 3.5 Option Strategies and Suggestions - **Energy Options (Crude Oil and LPG)**: For crude oil, due to factors such as the delay of data release by the US Energy Department, the interception of Venezuelan VLCCs by the US military, and the decline in exports from Kazakhstan and the Middle East, the market shows a weak trend. Options strategies include constructing short - biased call + put option combination strategies and long collar strategies for spot hedging. For LPG, with limited supply growth and support from chemical demand, the market is also weak. Strategies involve constructing bear put spread strategies and short - biased call + put option combination strategies [8][10]. - **Alcohol Options (Methanol and Ethylene Glycol)**: Methanol has a high inventory expectation, and the market is weak. Strategies include constructing short - biased call + put option combination strategies and long collar strategies. Ethylene glycol has an inventory accumulation expectation, and the market is bearish. Strategies include constructing bear put spread strategies and short - volatility strategies [10][11]. - **Olefin Options (PVC)**: PVC's inventory has decreased, but the market is still under pressure. The strategy mainly focuses on spot long hedging by holding spot long + buying at - the - money put options + selling out - of - the - money call options [11]. - **Rubber Options**: Rubber's inventory is at a medium level, and the production of full - latex is squeezed. The market shows a warming trend. Strategies include constructing neutral - biased call + put option combination strategies [12]. - **Polyester Options (PTA)**: PTA's inventory is decreasing, and the market is short - term strong. Strategies include constructing bull call spread strategies and long - biased call + put option combination strategies [12]. - **Alkali Options (Caustic Soda and Soda Ash)**: Caustic soda's capacity utilization rate has increased, but the market is still weak. Strategies include constructing bear spread strategies and long collar strategies. Soda ash's inventory has decreased, and the market is in a low - level weak shock. Strategies include constructing bear spread strategies and short - volatility combination strategies [13]. - **Urea Options**: Urea's production has decreased, and the market is short - term weak. Strategies include constructing neutral - biased call + put option combination strategies and spot hedging strategies [14].

1. Report Industry Investment Rating - No information provided in the document. 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 [2]. - The implied volatility of financial options has declined to a level below the historical average [2]. - For ETF options, it is suitable to construct a partial long - side seller strategy and a bull spread combination strategy of call options; for stock index options, it is suitable to construct a partial long - side seller strategy, a bull spread combination strategy of call options, and an arbitrage strategy of synthetic long futures with options and short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,940.95, up 20.97 (0.53%), with a trading volume of 773.9 billion yuan, a decrease of 32.9 billion yuan, and a PE of 16.46 [3]. - The Shenzhen Component Index closed at 13,486.42, up 117.43 (0.88%), with a trading volume of 1106.3 billion yuan, an increase of 13.4 billion yuan, and a PE of 31.16 [3]. - The Shanghai 50 Index closed at 3,025.18, down 2.34 (- 0.08%), with a trading volume of 91.3 billion yuan, a decrease of 19.2 billion yuan, and a PE of 11.78 [3]. - The CSI 300 Index closed at 4,634.06, up 13.32 (0.29%), with a trading volume of 406.4 billion yuan, a decrease of 26.8 billion yuan, and a PE of 14.11 [3]. - The CSI 500 Index closed at 7,352.04, up 95.25 (1.31%), with a trading volume of 331.9 billion yuan, an increase of 3.4 billion yuan, and a PE of 33.37 [3]. - The CSI 1000 Index closed at 7,506.38, up 113.96 (1.54%), with a trading volume of 406.3 billion yuan, an increase of 9.1 billion yuan, and a PE of 45.83 [3]. 3.2 Option - Based ETF Market Overview - The Shanghai 50 ETF closed at 3.099, up 0.001 (0.03%), with a trading volume of 6.6204 million shares, an increase of 6.5481 million shares, and a trading value of 2.05 billion yuan, a decrease of 0.191 billion yuan [4]. - The Shanghai 300 ETF closed at 4.757, up 0.017 (0.36%), with a trading volume of 5.3343 million shares, an increase of 5.2535 million shares, and a trading value of 2.531 billion yuan, a decrease of 1.302 billion yuan [4]. - The Shanghai 500 ETF closed at 7.470, up 0.096 (1.30%), with a trading volume of 3.5037 million shares, an increase of 3.4852 million shares, and a trading value of 2.611 billion yuan, an increase of 1.246 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.423, up 0.013 (0.92%), with a trading volume of 20.6799 million shares, an increase of 20.4685 million shares, and a trading value of 2.927 billion yuan, a decrease of 0.059 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.378, up 0.013 (0.95%), with a trading volume of 6.2588 million shares, an increase of 6.1892 million shares, and a trading value of 0.858 billion yuan, a decrease of 0.095 billion yuan [4]. - The Shenzhen 300 ETF closed at 4.832, up 0.020 (0.42%), with a trading volume of 1.1571 million shares, an increase of 1.1332 million shares, and a trading value of 0.558 billion yuan, a decrease of 0.594 billion yuan [4]. - The Shenzhen 500 ETF closed at 2.950, up 0.043 (1.48%), with a trading volume of 1.1667 million shares, an increase of 1.1590 million shares, and a trading value of 0.343 billion yuan, an increase of 0.0118 billion yuan [4]. - The Shenzhen 100 ETF closed at 3.478, up 0.010 (0.29%), with a trading volume of 0.9761 million shares, an increase of 0.9682 million shares, and a trading value of 0.338 billion yuan, an increase of 0.0063 billion yuan [4]. - The ChiNext ETF closed at 3.212, up 0.027 (0.85%), with a trading volume of 7.8286 million shares, an increase of 7.7340 million shares, and a trading value of 2.505 billion yuan, a decrease of 0.51 billion yuan [4]. 3.3 Option Factors - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume was 788,200 contracts, a decrease of 92,600 contracts; the position was 1,281,300 contracts, a decrease of 22,700 contracts; the volume PCR was 0.76, a decrease of 0.16; the position PCR was 1.02, a decrease of 0.01 [5]. - For the Shanghai 300 ETF option, the trading volume was 894,700 contracts, a decrease of 121,200 contracts; the position was 1,311,300 contracts, an increase of 12,400 contracts; the volume PCR was 0.83, a decrease of 0.09; the position PCR was 1.10, unchanged [5]. - For the Shanghai 500 ETF option, the trading volume was 1,435,500 contracts, an increase of 258,900 contracts; the position was 1,196,300 contracts, a decrease of 7,800 contracts; the volume PCR was 0.94, a decrease of 0.31; the position PCR was 1.33, an increase of 0.12 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 1,185,800 contracts, a decrease of 92,800 contracts; the position was 2,395,700 contracts, an increase of 8,400 contracts; the volume PCR was 0.66, a decrease of 0.06; the position PCR was 0.94, an increase of 0.02 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 256,100 contracts, a decrease of 5,900 contracts; the position was 640,100 contracts, an increase of 300 contracts; the volume PCR was 0.68, a decrease of 0.19; the position PCR was 0.95, unchanged [5]. - For the Shenzhen 300 ETF option, the trading volume was 350,700 contracts, an increase of 96,200 contracts; the position was 336,100 contracts, a decrease of 6,600 contracts; the volume PCR was 0.94, an increase of 0.03; the position PCR was 1.04, an increase of 0.03 [5]. - For the Shenzhen 500 ETF option, the trading volume was 434,300 contracts, an increase of 134,400 contracts; the position was 418,100 contracts, an increase of 9,200 contracts; the volume PCR was 1.20, an increase of 0.12; the position PCR was 1.18, an increase of 0.14 [5]. - For the Shenzhen 100 ETF option, the trading volume was 43,400 contracts, a decrease of 44,900 contracts; the position was 123,200 contracts, a decrease of 1,100 contracts; the volume PCR was 1.03, a decrease of 0.36; the position PCR was 1.40, a decrease of 0.08 [5]. - For the ChiNext ETF option, the trading volume was 1,763,900 contracts, a decrease of 305,000 contracts; the position was 1,854,200 contracts, a decrease of 89,300 contracts; the volume PCR was 0.78, a decrease of 0.29; the position PCR was 1.50, an increase of 0.11 [5]. - For the Shanghai 50 index option, the trading volume was 22,500 contracts, an increase of 1,600 contracts; the position was 47,500 contracts, an increase of 2,300 contracts; the volume PCR was 0.49, a decrease of 0.24; the position PCR was 0.65, a decrease of 0.01 [5]. - For the CSI 300 index option, the trading volume was 94,600 contracts, an increase of 20,000 contracts; the position was 154,400 contracts, an increase of 7,500 contracts; the volume PCR was 0.55, a decrease of 0.09; the position PCR was 0.68, a decrease of 0.01 [5]. - For the CSI 1000 index option, the trading volume was 248,400 contracts, an increase of 91,200 contracts; the position was 251,600 contracts, an increase of 5,700 contracts; the volume PCR was 0.64, a decrease of 0.13; the position PCR was 0.99, an increase of 0.05 [5]. 3.4 Option Factors - Pressure Points and Support Points - For the Shanghai 50 ETF, the pressure point was 3.10, with an offset of - 0.10; the support point was 3.00, with an offset of 0; the maximum call position was 56,894, and the maximum put position was 52,007 [7]. - For the Shanghai 300 ETF, the pressure point was 4.80, with an offset of 0; the support point was 4.60, with an offset of 0; the maximum call position was 67,750, and the maximum put position was 71,553 [7]. - For the Shanghai 500 ETF, the pressure point was 7.50, with an offset of 0.25; the support point was 7.25, with an offset of 0; the maximum call position was 60,932, and the maximum put position was 89,703 [7]. - For the Huaxia Science and Technology Innovation 50 ETF, the pressure point was 1.40, with an offset of 0; the support point was 1.40, with an offset of 0; the maximum call position was 78,670, and the maximum put position was 82,504 [7]. - For the E Fund Science and Technology Innovation 50 ETF, the pressure point was 1.50, with an offset of 0; the support point was 1.25, with an offset of 0; the maximum call position was 21,257, and the maximum put position was 16,418 [7]. - For the Shenzhen 300 ETF, the pressure point was 4.90, with an offset of 0; the support point was 4.80, with an offset of 0; the maximum call position was 10,781, and the maximum put position was 8,352 [7]. - For the Shenzhen 500 ETF, the pressure point was 2.90, with an offset of 0; the support point was 2.90, with an offset of 0; the maximum call position was 9,793, and the maximum put position was 8,231 [7]. - For the Shenzhen 100 ETF, the pressure point was 3.60, with an offset of 0; the support point was 3.40, with an offset of 0.20; the maximum call position was 2,861, and the maximum put position was 2,702 [7]. - For the ChiNext ETF, the pressure point was 3.20, with an offset of 0; the support point was 3.10, with an offset of 0; the maximum call position was 77,483, and the maximum put position was 68,255 [7]. - For the Shanghai 50 index option, the pressure point was 3,050, with an offset of - 50; the support point was 3,000, with an offset of 0; the maximum call position was 2,552, and the maximum put position was 2,127 [7]. - For the CSI 300 index option, the pressure point was 4,600, with an offset of 0; the support point was 4,600, with an offset of 100; the maximum call position was 10,751, and the maximum put position was 5,706 [7]. - For the CSI 1000 index option, the pressure point was 7,500, with an offset of 0; the support point was 7,200, with an offset of 0; the maximum call position was 7,147, and the maximum put position was 7,722 [7]. 3.5 Option Factors - Implied Volatility - For the Shanghai 50 ETF option, the at - the - money implied volatility was 10.04%, the weighted implied volatility was 12.95%, an increase of 0.63%, the annual average was 15.99%, the call implied volatility was 13.15%, the put implied volatility was 12.67%, the 20 - day historical volatility was 12.03%, and the implied - historical volatility difference was 0.92% [10]. - For the Shanghai 300 ETF option, the at - the - money implied volatility was 30.99%, the weighted implied volatility was 14.69%, an increase of 0.82%, the annual average was 16.61%, the call implied volatility was 14.66%, the put implied volatility was 14.73%, the 20 - day historical volatility was 13.40%, and the implied - historical volatility difference was 1.29% [10]. - For the Shanghai 500 ETF option, the at - the - money implied volatility was 16.44%, the weighted implied volatility was 18.63%, an increase of 1.44%, the annual average was 20.38%, the call implied volatility was 18.37%, the put implied volatility was 18.93%, the 20 - day historical volatility was 17.09%, and the implied - historical volatility difference was 1.54% [10]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 47.69%, the weighted implied volatility was 25.38%, an increase of 0.70%, the annual average was 33.82%, the call implied volatility was 25.55%, the put implied volatility was 25.14%, the 20 - day historical volatility was 25.64%, and the implied - historical volatility difference was - 0.26% [10]. - For the E Fund Science and Technology Innovation 50 ETF option, the at

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The market showed a narrow - range oscillation this week, with a significant increase in the implied volatility of metal options. In the financial options market, the trading volume of 50ETF options increased compared to the previous week, and the put - call trading ratio decreased, while the put - call holding ratio increased. Different types of options had various changes in trading volume, holding volume, and implied volatility [1][2]. 3. Summary by Category Financial Options - **Trading Volume and Holding Volume**: 50ETF options had an average daily trading volume of 1.0623 million contracts this week, a 37.14% increase from the previous week. The put - call trading ratio was 0.83, lower than the historical average, and the put - call holding ratio last week was 1.01, higher than the historical average. Other options such as Huatai - Baorui 300ETF options, Southern China CSI 500ETF options, etc., also had corresponding average daily trading and holding volumes [1]. - **Implied Volatility**: As of the close on Friday, the implied volatility of CSI 300 index options was 15.10%, a 1.06% increase from a week ago; the implied volatility of 50ETF options was 12.61%, a 1.09% increase; the implied volatility of CSI 1000 index options was 17.41%, a 0.16% decrease [2]. Commodity Options - **Implied Volatility**: As of the close on Friday, the implied volatility of crude oil options was 15.41%, a 0.53% decrease from a week ago; the implied volatility of lithium carbonate options was 41.37%, an 8.43% increase; the implied volatility of rebar options was 21.57%, a 2.26% increase; the implied volatility of soda ash options was 23.53%, a 1.01% increase; the implied volatility of gold options was 21.57%, a 2.26% increase; the implied volatility of silver options was 43.74%, a 6.02% increase; the implied volatility of palm oil options was 16.79%, a 0.34% increase; the implied volatility of soybean oil options was 10.95%, a 0.71% decrease; the implied volatility of rapeseed oil options was 14.93%, a 1.86% increase; the implied volatility of rubber options was 16.20%, a 0.85% increase [2].

Group 1: Report Overview - The report is an early morning strategy report for energy and chemical options dated December 22, 2025 [2] - The report covers various types of energy and chemical options, including energy, polyolefins, polyesters, alkali chemicals, and others [3] - The recommended strategy is to construct an option portfolio strategy mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [3] Group 2: Underlying Futures Market Overview - The report provides the latest prices, price changes, trading volumes, and open interest of various underlying futures contracts, such as crude oil, liquefied petroleum gas (LPG), methanol, and ethylene glycol [4] Group 3: Option Factors Volume and Open Interest PCR - The report presents the volume and open interest PCR of different option varieties, which are used to describe the strength of the underlying option market and the turning point of the underlying market [5] Pressure and Support Levels - The pressure and support levels of option underlying are analyzed based on the strike prices with the largest open interest of call and put options [6] Implied Volatility - The report shows the implied volatility of different option varieties, including at-the-money implied volatility and weighted implied volatility, and provides the historical average and the difference between implied and historical volatility [7] Group 4: Strategy and Recommendations Energy Options (Crude Oil) - Fundamental analysis shows that the total US crude oil inventory decreased, while the strategic crude oil inventory increased slightly [8] - The crude oil market showed a weak trend, with large fluctuations and resistance at the upper level [8] - Option factor analysis indicates that the implied volatility of crude oil options is below the average, and the open interest PCR suggests a weak market [8] - Recommended strategies include constructing a bear spread strategy for put options, a short call + put option combination strategy, and a long collar strategy for spot hedging [8] Other Options (LPG, Methanol, etc.) - Similar analysis and strategy recommendations are provided for other option varieties, including fundamental analysis, market trend analysis, option factor research, and specific strategy suggestions [9][10][11][12][13][14] Group 5: Option Charts - The report includes various option charts for different varieties, such as price charts, volume and open interest charts, open interest distribution charts, PCR charts, implied volatility charts, and historical volatility cone charts [15][35][55][75][94][113][131][150][171][190][211][230][250][269][285][301][319]

Report Summary 1. Report Industry Investment Rating No information about the industry investment rating is provided in the document. 2. Core Viewpoints - 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 this way [3]. - The implied volatility of financial options has dropped to a level below the historical average [3]. - For ETF options, it is suitable to construct a partial long seller strategy and a call option bull spread combination strategy; for index options, in addition to the above two strategies, an arbitrage strategy of combining long synthetic futures with short futures can also be constructed [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,870.28, up 45.47 points or 1.19%, with a trading volume of 766.8 billion yuan and an increase of 33.5 billion yuan [4]. - The Shenzhen Component Index closed at 13,224.51, up 309.85 points or 2.40%, with a trading volume of 1,044.3 billion yuan and an increase of 53.4 billion yuan [4]. - The Shanghai 50 Index closed at 2,991.68, up 36.89 points or 1.25%, with a trading volume of 107.5 billion yuan and an increase of 4.1 billion yuan [4]. - The CSI 300 Index closed at 4,579.88, up 82.32 points or 1.83%, with a trading volume of 452.5 billion yuan and an increase of 62 billion yuan [4]. - The CSI 500 Index closed at 7,137.83, up 136.52 points or 1.95%, with a trading volume of 302.4 billion yuan and an increase of 17.4 billion yuan [4]. - The CSI 1000 Index closed at 7,288.74, up 107.12 points or 1.49%, with a trading volume of 366.3 billion yuan and an increase of 4.6 billion yuan [4]. 3.2 Option - Based ETF Market Overview - The Shanghai 50 ETF closed at 3.058, up 0.035 or 1.16%, with a trading volume of 8.8631 million shares and an increase of 8.7844 million shares, and a trading value of 2.696 billion yuan and an increase of 0.253 billion yuan [5]. - The Shanghai 300 ETF closed at 4.699, up 0.079 or 1.71%, with a trading volume of 10.8561 million shares and an increase of 10.7792 million shares, and a trading value of 5.079 billion yuan and an increase of 1.52 billion yuan [5]. - Other ETFs also have corresponding closing prices, price changes, trading volume, and trading value changes [5]. 3.3 Option Factor - Volume and Position PCR - Different option varieties have different volume, volume changes, position, position changes, volume PCR, and position PCR values [6]. For example, the volume PCR of the Shanghai 50 ETF option decreased by 0.45 to 0.88, and the position PCR increased by 0.11 to 0.98 [6]. 3.4 Option Factor - Pressure and Support Points - For different option varieties, the pressure points, support points, and their offsets are provided. For example, the pressure point of the Shanghai 50 ETF is 3.12 with an offset of - 0.08, and the support point is 3.02 with an offset of - 0.08 [8]. 3.5 Option Factor - Implied Volatility - Different option varieties have different at - the - money implied volatility, weighted implied volatility, and their changes. For example, the weighted implied volatility of the Shanghai 50 ETF option decreased by 0.41 to 13.64% [11]. 3.6 Strategy and Suggestions - The financial option sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and the ChiNext board, with specific sub - sectors and corresponding option varieties [13]. - For each sector, option strategies are provided based on the analysis of the underlying asset market, option factor research, and specific option strategies. For example, for the financial stock sector (Shanghai 50 ETF), a partial neutral seller combination strategy can be constructed, and a spot long covered call strategy can also be used [14].

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The agricultural product options market shows a mixed trend, with oilseeds and oils showing a weak and volatile pattern, agricultural by - products maintaining a volatile market, soft commodities like sugar slightly fluctuating, cotton showing a relatively strong consolidation, and grains such as corn and starch showing a narrow - range bullish consolidation [2]. - It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered call strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Multiple agricultural product futures contracts show different price movements, trading volumes, and open interest changes. For example, the latest price of soybean (A2603) is 4,059, down 41 with a decline of 1.00%, trading volume of 1.16 million lots (down 1.46 million lots), and open interest of 6.00 million lots (up 0.06 million lots) [3]. 3.2 Option Factors - PCR - The PCR indicators of various option varieties are presented. For instance, the trading volume PCR of soybean is 0.75 (down 0.17), and the open interest PCR is 0.99 (unchanged). These indicators are used to describe the strength of the option underlying market and the turning points of the underlying market [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different option varieties are given. For example, the pressure point of soybean (A2603) is 4,200 with an offset of 0, and the support point is 4,000 with an offset of 0 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility data of multiple option varieties are provided. For example, the at - the - money implied volatility of soybean is 10.31%, the weighted implied volatility is 11.04% (down 1.06%), and the historical average is 12.69% [6]. 3.5 Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean**: - Fundamental analysis shows that Brazilian soybean planting is nearly completed, with changes in import costs and crushing margins. The market shows a weak pattern with pressure above. - Option factor research indicates that the implied volatility is around the historical average, the open interest PCR suggests a sideways market, and the pressure and support levels are 4200 and 4000 respectively. - Strategies include constructing a neutral short call + put option combination, and a long collar strategy for spot hedging [7]. - **Palm oil**: - The domestic palm oil market price is down, with weak fundamentals. The market shows a pattern of upward rebound with pressure above. - Option factor research shows that the implied volatility is below the historical average, the open interest PCR suggests a sideways market, and the pressure and support levels are 9000 and 8200 respectively. - Strategies include a bearish spread strategy for directional trading, a short bearish call + put option combination for volatility trading, and a long collar strategy for spot hedging [9]. - **Peanut**: - The price of peanuts is at a low level, with slow sales in the producing areas. The market shows a pattern of short - term bullishness followed by a rapid decline. - Option factor research indicates that the implied volatility is at a relatively high level, the open interest PCR suggests pressure above, and the pressure and support levels are 9000 and 7700 respectively. - A long collar strategy is recommended for spot hedging [10]. 3.5.2 Agricultural By - products Options - **Pig**: - The supply of pigs has a limited increase, and the demand has increased. The market shows a weak bearish pattern with pressure above. - Option factor research shows that the implied volatility is at the historical average, the open interest PCR suggests a weak market, and the pressure and support levels are 13000 and 11000 respectively. - Strategies include a short bearish call + put option combination for volatility trading and a covered call strategy for spot [10]. - **Egg**: - The inventory of laying hens is at a certain level. The market shows a pattern of upward rebound, large - scale oscillation, and then a rapid decline with pressure above. - Option factor research indicates that the implied volatility is at a high level, the open interest PCR suggests a weak market, and the pressure and support levels are 3150 and 3100 respectively. - A short bearish call + put option combination is recommended for volatility trading [11]. - **Apple**: - The sales in some apple - producing areas are slow. The market shows a pattern of continuous warming up, rising, and high - level oscillation with pressure above. - Option factor research shows that the implied volatility is above the historical average, the open interest PCR suggests a bullish market with support below, and the pressure and support levels are 10600 and 8500 respectively. - Strategies include a short bullish call + put option combination for volatility trading and a long collar strategy for spot hedging [11]. - **Jujube**: - The jujube market price is stable, with increased sales in the off - season. The market shows a weak bearish pattern with pressure above. - Option factor research indicates that the implied volatility is above the historical average, the open interest PCR suggests a weak market, and the pressure and support levels are 9800 and 9000 respectively. - Strategies include a short bearish wide - straddle option combination for volatility trading and a covered call strategy for spot hedging [12]. 3.5.3 Soft Commodities Options - **Sugar**: - The ICE sugar futures are in a low - level oscillation. The market shows a weak bearish pattern with pressure above. - Option factor research shows that the implied volatility is at a low level, the open interest PCR suggests a weak market, and the pressure and support levels are 5500 and 5400 respectively. - Strategies include a short bearish call + put option combination for volatility trading and a long collar strategy for spot hedging [12]. - **Cotton**: - The cotton production is expected to increase, with some hedging pressure on the market. The market shows a pattern of short - term bullishness followed by a decline. - Option factor research indicates that the implied volatility is at a low level, the open interest PCR suggests a weak market, and the pressure and support levels are 14000 and 13400 respectively. - Strategies include a short neutral call + put option combination for volatility trading and a long collar strategy for spot [13]. 3.5.4 Grains Options - **Corn**: - The grain sales progress in the main producing areas is stable, but the demand is not optimistic. The market shows a pattern of rebound with support below. - Option factor research shows that the implied volatility is at a low level, the open interest PCR suggests a strengthening market, and the pressure and support levels are 2140 and 2000 respectively. - A short neutral call + put option combination is recommended for volatility trading [13]. - **Starch**: - The starch market shows a certain pattern. The option factor research indicates that the implied volatility is at a certain level, and the pressure and support levels are analyzed. Specific strategies are not detailed in a unique way compared to the general framework [13]. 3.6 Option Charts - Multiple option charts for different agricultural products are presented, including price trend charts, trading volume and open interest charts, PCR charts, implied volatility charts, historical volatility cone charts, and pressure and support level charts, which visually show the market conditions of various agricultural product options [15][34][54] etc.

| 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 2025-12-17 农产品期权策略早报 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （ ...