1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies mainly focus on building option combinations based on different varieties' fundamentals and market trends to enhance returns and hedge risks [2][8]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest changes of various energy - chemical futures are presented, such as the latest price of crude oil futures SC2507 being 463, down 5 with a decline of 1.09%, trading volume of 155,000 lots, and open interest of 29,100 lots [3]. 3.2 Option Factor Analysis 3.2.1 Volume - Open Interest PCR - The volume and open - interest PCR of various energy - chemical options are provided, along with their changes. For example, the volume PCR of crude oil options is 0.80, an increase of 0.05; the open - interest PCR is 0.81, an increase of 0.06 [4]. 3.2.2 Pressure and Support Levels - The pressure and support levels of various energy - chemical options are analyzed from the perspective of the maximum open interest of call and put options. For instance, the pressure level of crude oil is 570, and the support level is 400 [5]. 3.2.3 Implied Volatility - The implied volatility data of various energy - chemical options are presented, including at - the - money implied volatility, volume - weighted implied volatility, and its changes. For example, the at - the - money implied volatility of crude oil is 28.845%, and the volume - weighted implied volatility is 31.90%, an increase of 0.18% [6]. 3.3 Strategy and Recommendations 3.3.1 Energy - Related Options - **Fundamentals and Market Analysis**: OPEC+ plans to increase supply, but actual exports have not significantly increased. US shale oil production has rebounded. Crude oil prices have shown a pattern of short - term recovery followed by a decline [7]. - **Option Factor Research**: Implied volatility is at a relatively high level, and the open - interest PCR is below 0.80, indicating a release of short - term bearish forces. The pressure level is 570, and the support level is 400 [7]. - **Option Strategies**: Construct a neutral short - call + short - put option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [7]. 3.3.2 Liquefied Petroleum Gas (LPG) Options - **Fundamentals and Market Analysis**: Saudi CP expectations for propane and butane in June and July are rising. LPG prices have been in a wide - range rectangular shock and are gradually weakening [9]. - **Option Factor Research**: Implied volatility fluctuates around the historical average, and the open - interest PCR is around 0.80, indicating a weak market. The pressure level is 4600, and the support level is 3900 [9]. - **Option Strategies**: Build a short - biased put + call option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [9]. 3.3.3 Methanol Options - **Fundamentals and Market Analysis**: Port inventories are decreasing, and enterprise inventories are increasing. Methanol prices have shown a pattern of recent increase followed by a decline [9]. - **Option Factor Research**: Implied volatility fluctuates around the historical average, and the open - interest PCR is above 1.00, indicating support below. The pressure level is 2950, and the support level is 2050 [9]. - **Option Strategies**: Construct a bull - spread strategy for call options, a neutral short - call + short - put option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [9]. 3.3.4 Ethylene Glycol Options - **Fundamentals and Market Analysis**: Port inventories are decreasing, and the market is in a de - stocking pattern. Ethylene glycol prices have shown a short - term bullish trend [10]. - **Option Factor Research**: Implied volatility is at a relatively high level, and the open - interest PCR is around 1.00, indicating a strong shock. The pressure level is 4700, and the support level is 4400 [10]. - **Option Strategies**: Construct a bull - spread strategy for call options, a short - volatility strategy, and a long - collar strategy for spot long - position hedging [10]. 3.3.5 Polypropylene (PP) Options - **Fundamentals and Market Analysis**: PP production enterprise inventories are decreasing, and trade inventories are increasing. PP prices have shown a pattern of recent increase followed by a decline [10]. - **Option Factor Research**: Implied volatility fluctuates above the historical average, and the open - interest PCR is below 1.00. The pressure level is 7500, and the support level is 6800 [10]. - **Option Strategies**: Construct a bull - spread strategy for call options and a long - collar strategy for spot long - position hedging [10]. 3.3.6 Rubber Options - **Fundamentals and Market Analysis**: Natural rubber inventories are slightly increasing. Rubber prices have shown a pattern of recent increase followed by a decline [11]. - **Option Factor Research**: Implied volatility fluctuates around the average, and the open - interest PCR is below 0.60. The pressure level is 21000, and the support level is 13500 [11]. - **Option Strategies**: Construct a bull - spread strategy for call options and a neutral short - call + short - put option combination strategy for volatility [11]. 3.3.7 PTA Options - **Fundamentals and Market Analysis**: PTA and polyester loads are increasing. PTA prices have shown a bullish trend and high - level shock [12]. - **Option Factor Research**: Implied volatility is at a relatively high level, and the open - interest PCR is above 1.00, indicating a strengthening market. The pressure level is 5000, and the support level is 3800 [12]. - **Option Strategies**: Construct a bull - spread strategy for call options and a long - biased short - call + short - put option combination strategy for volatility [12]. 3.3.8 Caustic Soda Options - **Fundamentals and Market Analysis**: Downstream alumina production cuts are expanding, and caustic soda inventories are increasing. Caustic soda prices have shown a short - term shock [13]. - **Option Factor Research**: Implied volatility is decreasing, and the open - interest PCR is below 0.60, indicating a weak market. The pressure level is 2600, and the support level is 2400 [13]. - **Option Strategies**: Construct a short - strangle option combination strategy for volatility and a covered - call strategy for spot long - position hedging [13]. 3.3.9 Soda Ash Options - **Fundamentals and Market Analysis**: Soda ash production and inventories are increasing, and glass production is low. Soda ash prices have shown a weak bearish trend [13]. - **Option Factor Research**: Implied volatility is at a relatively high level, and the open - interest PCR is below 0.50, indicating a weak shock. The pressure level is 1400, and the support level is 1220 [13]. - **Option Strategies**: Construct a bear - spread strategy for put options, a neutral short - call + short - put option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [13]. 3.3.10 Urea Options - **Fundamentals and Market Analysis**: Urea enterprise inventories are decreasing, and pre - orders are increasing. Urea prices have shown a pattern of increase followed by a shock [14]. - **Option Factor Research**: Implied volatility is at a relatively low level, and the open - interest PCR is above 1.00, indicating a strong bullish force. The pressure level is 1960, and the support level is 1700 [14]. - **Option Strategies**: Construct a bull - spread strategy for call options, a neutral short - call + short - put option combination strategy for volatility, and a long - collar strategy for spot long - position hedging [14].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy - chemical sector is 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 includes analysis of the underlying market, research on option factors, and option strategy recommendations [8]. - The overall strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 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 - chemical option underlying futures contracts, such as crude oil, liquefied petroleum gas (LPG), methanol, etc. For example, the latest price of crude oil SC2507 is 468, with a price increase of 3 and a price change rate of 0.69% [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of various option varieties are provided. The volume PCR and open interest PCR are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For example, the volume PCR of crude oil is 0.75 with a change of - 0.23, and the open interest PCR is 0.75 with a change of - 0.00 [4]. 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 pressure and support levels of option underlying are analyzed. For example, the pressure level of crude oil is 570 and the support level is 400 [5]. 3.4 Option Factors - Implied Volatility - The report shows the at - the - money implied volatility, weighted implied volatility, change in weighted implied volatility, annual average implied volatility, call implied volatility, put implied volatility, 20 - day historical volatility, and the difference between implied and historical volatility of various option varieties. For example, the at - the - money implied volatility of crude oil is 28.69%, and the weighted implied volatility is 31.72% with a change of - 1.34% [6]. 3.5 Strategy and Suggestions for Each Option Variety 3.5.1 Energy - related Options - **Crude Oil**: Fundamentally, OPEC+ plans to increase supply, but the actual increase is limited, and US shale oil production has recovered. The market has shown a pattern of short - term recovery followed by a decline. Option strategies include constructing a short neutral call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Liquefied Petroleum Gas (LPG)**: The expected Saudi CP prices are rising. The market is in a weak and bearish state. Strategies involve constructing a short bearish call + put option combination strategy and a long collar strategy for spot hedging [9]. 3.5.2 Alcohol - related Options - **Methanol**: Port inventory is decreasing, and the market has shown a pattern of recent increase followed by a decline. Strategies include a bull call spread strategy, a short neutral call + put option combination strategy, and a long collar strategy for spot hedging [9]. - **Ethylene Glycol**: Port inventory is decreasing, and the market is in a short - term bullish state. Strategies include a bull call spread strategy, a short volatility strategy, and a long collar strategy for spot hedging [10]. 3.5.3 Polyolefin - related Options - **Polypropylene**: PP production enterprise inventory is decreasing, and the market has shown a pattern of recent increase followed by a decline. Strategies include a bull call spread strategy and a long collar strategy for spot hedging [10]. 3.5.4 Rubber - related Options - **Rubber**: Natural rubber social inventory has a slight increase. The market has shown a pattern of recent increase followed by a decline. Strategies include a bull call spread strategy and a short neutral call + put option combination strategy [11]. 3.5.5 Polyester - related Options - **PTA**: PTA and polyester loads are rising. The market is in a bullish state with high - level fluctuations. Strategies include a bull call spread strategy and a short bullish call + put option combination strategy [12]. 3.5.6 Alkali - related Options - **Caustic Soda**: Downstream demand is weak, and inventory pressure is high. The market is in a short - term volatile state. Strategies include a short bearish strangle option combination strategy and a covered call strategy for spot hedging [13]. - **Soda Ash**: The start - up rate is decreasing, and inventory is rising. The market is in a weak bearish state. Strategies include a bear put spread strategy, a short neutral call + put option combination strategy, and a long collar strategy for spot hedging [13]. 3.5.7 Other Options - **Urea**: Enterprise inventory is decreasing, and the market has shown a pattern of recent increase followed by a shock. Strategies include a bull call spread strategy, a short neutral call + put option combination strategy, and a long collar strategy for spot hedging [14]. 3.6 Option Charts - For each option variety, there are price trend charts, volume and open interest charts, open interest PCR and trading volume PCR charts, implied volatility charts, historical volatility cone charts, and charts showing pressure and support levels, providing visual data for market analysis [16][37][57] etc.

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

能源化工期权 2025-05-15 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 | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万手) | | (万手) | | | 原油 | SC2507 | 478 | 0 ...