能源化工期权 2025-10-10 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。 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 | | --- | --- | --- | --- | --- | --- | --- | -- ...

AI播客：换个方式听新闻 下载mp3 音频由扣子空间生成 尽管市场基准指数的隐含波动率今年大部分时间要么持平、要么下降，但从股票到黄金等各类资产的期权风险溢价却在上升。 这种看似违背直觉的现象，很大程度上是因为实际市场波动过于平淡。这一情况推高了风险溢价——即交易员预期的市场波动幅度与实际波动幅度之间 的差值。 各类资产隐含波动率均有所减弱 不同市场的窄幅波动与风险溢价上升，可归因于不同因素：降息预期主导黄金走势，供需前景限制原油波动，而美联储政策不确定性、企业盈利及散户 资金流向则影响股市表现。 股市方面，9月期权交易量创下纪录，随着投资者开始为年底行情增加对冲操作，对市场波动的预期有所升温。但如果实际波动始终受限，交易员愿意为 期权支付的溢价也会存在上限。 "在标普500指数隐含相关性低、离散度高的背景下，个股波动率与指数波动率的差距已扩大，"彭博情报（Bloomberg Intelligence）首席全球衍生品策略 师坦维尔·桑杜（Tanvir Sandhu）在上周的报告中写道。 波动受限的典型案例或许是原油。过去几个月，油价一直被困在窄幅区间内。一方面，市场预期原油供应过剩；另一方面，俄罗斯炼油厂及出 ...

能源化工期权 2025-09-30 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 | | --- | --- | --- | --- | --- | --- | --- | -- ...

能化假期策略前瞻简述 假期潜在驱动事件与可能影响： 1.10 月 3 日公布 9 月非农的两种情况。 一种在此前两次非农大幅爆冷后继续走弱，此时市场无非延续此 前的降息预期（对原油影响不大）。 另一种情况按历史统计与季节性来看，上个月公布的 8 月新增非 农初值有较大概率在 10 月出现上修，如对前值出现较大上修与 9 月 非农能企稳的情况，可能会对目前较乐观的降息预期进行纠偏降温， 除了对金融属性较强的金银铜有较大影响外，对风险资产的原油也会 有偏空驱动，但除非风险资产集体大跌，否则尚不足以使 WTI 破 60 美元支撑。 2.10 月 5 日的 OPEC+会议。目前预计 OPEC 计划 10 月增产 13.7 万桶/日，未来可能部分或全部恢复 165 万桶/日的产量。关注 10 月 OPEC 会议延续增产或出现超预期增产后能否作为事件驱动推动原油 下 60 美元支撑，如出现破位，假期内外盘原油或出现较大跌幅。 期货策略： 期货策略逻辑较简单，8 月以来我们晚报中跟踪的空单策略除了 原油外基本都盈利空间都下移较多，已经产生较大获利，假期策略只 要主动止盈半仓或更多留部分仓位过节即可，多数能化的弱势基本面 并 ...

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints of the Report - The energy and chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies suggest constructing option portfolios mainly from sellers and using spot hedging or covered strategies to enhance returns [3][9] 3. Summaries by Related Catalogs 3.1 Futures Market Overview - This section presents the latest prices, price changes, trading volumes, and open interest of various energy and chemical futures contracts, including crude oil, LPG, methanol, etc [4] 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators of volume and open interest for different option varieties are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market [5] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different option varieties are analyzed from the perspective of the strike prices with the largest open interest of call and put options [6] 3.4 Option Factors - Implied Volatility - The implied volatility data of different option varieties are presented, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility [7] 3.5 Strategy and Recommendations 3.5.1 Energy - related Options - **Crude Oil**: OPEC plans to increase production, and Russia plans to cut production. The market shows a bearish recovery. Option strategies include constructing a short - biased call + put option combination, and a long collar strategy for spot hedging [8] - **LPG**: PDH device maintenance affects supply. The market shows an oversold rebound. Option strategies include constructing a neutral - biased call + put option combination and a long collar strategy for spot hedging [10] 3.5.2 Alcohol - related Options - **Methanol**: Port and enterprise inventories are at high levels. The market is bearish. Option strategies include a bear spread of put options, a short - biased call + put option combination, and a long collar strategy for spot hedging [10] - **Ethylene Glycol**: Port inventory is expected to increase. The market is bearish. Option strategies include a bear spread of put options, a short - volatility strategy, and a long + put + short call option strategy for spot hedging [11] 3.5.3 Polyolefin - related Options - **Polypropylene**: Inventory pressure varies between PE and PP. The market is bearish. Option strategies include a long + put + short call option strategy for spot hedging [12] 3.5.4 Rubber - related Options - **Rubber**: Affected by the peak rubber - tapping season, the market is bearish. Option strategies include a neutral - biased call + put option combination [13] 3.5.5 Polyester - related Options - **PTA**: Inventory is rising, but downstream demand is high. The market is bearish. Option strategies include a short - biased call + put option combination [13] 3.5.6 Alkali - related Options - **Caustic Soda**: Factory inventory is increasing. The market is bearish. Option strategies include a long collar strategy for spot hedging [14] - **Soda Ash**: Factory inventory is decreasing. The market shows low - level fluctuations. Option strategies include a short - volatility combination and a long collar strategy for spot hedging [14] 3.5.7 Urea - related Options - **Urea**: Enterprise inventory is increasing, and domestic demand is weak. The market is bearish. Option strategies include a short - biased call + put option combination and a long + put + short call option strategy for spot hedging [15] 3.6 Option Charts - Charts for various option varieties, such as crude oil, LPG, methanol, etc., are provided, including price trends, trading volume and open interest, PCR indicators, implied volatility, and historical volatility cones [16][34][53]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The energy - 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 Related Catalogs 3.1 Futures Market Overview - The report provides the latest prices, price changes, percentage changes, trading volumes, volume changes, open interest, and open interest changes of various energy - chemical option underlying futures contracts, including crude oil, liquefied petroleum gas, methanol, etc [4] 3.2 Option Factors 3.2.1 Volume - to - Open - Interest PCR - The volume - to - open - interest PCR indicators (volume PCR and open interest PCR) of various energy - chemical options are presented, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively [5] 3.2.2 Pressure and Support Levels - The pressure and support levels of various energy - chemical option underlying contracts are given, which are determined by the strike prices with the largest open interest of call and put options [6] 3.2.3 Implied Volatility - The implied volatility indicators of various energy - chemical options are provided, including at - the - money implied volatility, weighted implied volatility, changes in weighted implied volatility, annual average implied volatility, call implied volatility, put implied volatility, historical 20 - day volatility, and the difference between implied and historical volatility [7] 3.3 Strategies and Suggestions 3.3.1 Energy - Type Options - **Crude Oil**: Fundamentally, OPEC may discuss early release of production cuts, and Russia has production cut plans. The market has been in a weak - to - range - bound state. Option strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [8] - **Liquefied Petroleum Gas**: The PDH device maintenance situation is stable, and the market has shown an oversold - rebound pattern. Strategies involve constructing a neutral - biased call + put option combination strategy and a long collar strategy for spot hedging [10] 3.3.2 Alcohol - Type Options - **Methanol**: Port and enterprise inventories are at certain levels, and the market is weak. Strategies include constructing a bear spread combination strategy for put options, a short - biased call + put option combination strategy, and a long collar strategy for spot hedging [10] - **Ethylene Glycol**: Port inventory is expected to be in a low - level shock and then a build - up cycle. The market is weak. Strategies involve constructing a bear spread combination strategy for put options, a short - volatility strategy, and a long collar strategy for spot hedging [11] 3.3.3 Polyolefin - Type Options - **Polypropylene**: PE and PP inventories have different trends, and the market is weak. Strategies include a long collar strategy for spot hedging [12] 3.3.4 Rubber - Type Options - **Rubber**: Affected by the Southeast Asian rubber - tapping season, the market is in a weak - consolidation state. Strategies include constructing a neutral - biased call + put option combination strategy [13] 3.3.5 Polyester - Type Options - **PTA**: Social inventory has a slight increase, and the market is weak. Strategies include constructing a short - biased call + put option combination strategy [14] 3.3.6 Alkali - Type Options - **Caustic Soda**: Factory inventories are increasing, and the market is in a downward - shock state. Strategies include a long collar strategy for spot hedging [15] - **Soda Ash**: Factory inventories are decreasing, and the market is in a low - level shock state. Strategies include constructing a short - volatility combination strategy and a long collar strategy for spot hedging [15] 3.3.7 Other Options - **Urea**: Enterprise inventory is high, and the market is in a low - level weak state. Strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [16] 3.4 Option Charts - The report provides price charts, volume - and - open - interest charts, volume - to - open - interest PCR charts, implied volatility charts, historical volatility cone charts, and pressure - and - support - level charts for various energy - chemical options such as crude oil, liquefied petroleum gas, methanol, etc [17][36][53]

能源化工期权 2025-09-19 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 - Not provided in the document 2. Core Viewpoints of the Report - The energy and chemical industry includes energy, alcohols, polyolefins, rubber, polyesters, alkalis, and other segments. The report provides option strategies and suggestions for selected varieties in each segment, including fundamental analysis, option factor research, and option strategy recommendations [9]. - It is recommended 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 Futures Market Overview - The report presents 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, including crude oil, liquefied petroleum gas (LPG), methanol, ethylene glycol, etc. [4]. 3.2 Option Factors - Quantity and Position PCR - The quantity and position PCR indicators of various energy and chemical options are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market [5]. 3.3 Option Factors - Pressure and Support Levels - The pressure points, support points, and their offsets, as well as the maximum positions of call and put options, are presented for each option variety, which are used to analyze the pressure and support levels of the option underlying [6]. 3.4 Option Factors - Implied Volatility - The implied volatility indicators of various energy and chemical options are provided, including at-the-money implied volatility, weighted implied volatility, and its changes, as well as the difference between implied volatility and historical volatility [7]. 3.5 Strategies and Suggestions 3.5.1 Energy Options - **Crude Oil**: Based on European ARA weekly data, gasoline and diesel inventories increased, while fuel oil and naphtha inventories decreased. The market showed a bearish trend with pressure above. It is recommended to construct a short - biased call + put option combination strategy, and a long collar strategy for spot hedging [8]. - **LPG**: Factory and port inventories increased. The market showed an oversold rebound with pressure above. It is recommended to construct a neutral - biased call + put option combination strategy, and a long collar strategy for spot hedging [10]. 3.5.2 Alcohol Options - **Methanol**: The port inventory remained high, but most of the negative factors were priced in. The market showed a weak trend with pressure above. It is recommended to construct a bearish spread strategy with put options, a short - biased call + put option combination strategy, and a long collar strategy for spot hedging [10]. - **Ethylene Glycol**: Terminal loads remained flat, and port inventory increased. The market showed a weak bearish trend. It is recommended to construct a bearish spread strategy with put options, a short volatility strategy, and a long collar strategy for spot hedging [11]. 3.5.3 Polyolefin Options - **Polypropylene**: Production enterprise inventory decreased, while trader and port inventories increased. The market showed a weak bearish trend. It is recommended to use a long collar strategy for spot hedging [11]. 3.5.4 Rubber Options - **Natural Rubber**: Social inventory decreased. The market showed a weak consolidation trend. It is recommended to construct a neutral - biased call + put option combination strategy [12]. 3.5.5 Polyester Options - **PTA**: Downstream load increased, and social inventory decreased. The market showed a weak bearish trend. It is recommended to construct a short - biased call + put option combination strategy [13]. 3.5.6 Alkali Options - **Caustic Soda**: Factory inventory decreased. The market showed a downward trend with pressure above. It is recommended to use a long collar strategy for spot hedging [14]. - **Soda Ash**: Factory and delivery warehouse inventories changed, and the market showed a low - level upward trend. It is recommended to construct a short volatility combination strategy and a long collar strategy for spot hedging [14]. 3.5.7 Urea Options - Enterprise inventory increased slightly, and the market showed a weak trend with low - level fluctuations. It is recommended to construct a short - biased call + put option combination strategy and a long collar strategy for spot hedging [15]. 3.6 Option Charts - The report provides price trend charts, trading volume and open interest charts, position - PCR and turnover - PCR charts, implied volatility charts, and historical volatility cone charts for various energy and chemical options, including crude oil, LPG, methanol, etc. [16][37][58]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The trading volume of the commodity options market remained at a low level this week, with daily average trading volume and open interest showing a decline. Investors are advised to focus on potential market opportunities in actively traded varieties [1][7]. - This week, the underlying futures of commodity options showed mixed performance, with the chemical sector mostly declining and the non - ferrous sector mostly rising. There were 33 varieties with weekly losses. Attention should be paid to the trading opportunities and risks in different sectors [2][16]. - Most commodity options' implied volatility declined this week. For varieties with high implied volatility, investors should be wary of unilateral risks and consider short - selling volatility; for those with low implied volatility, buying options has a higher cost - performance ratio [2][16]. - The PCR indicators of different varieties reflect different market sentiments. For varieties with high PCR, there is a strong bearish sentiment, while for those with low PCR, there is a concentrated bullish sentiment [2][16]. 3. Summary According to Relevant Catalogs 3.1 Commodity Options Market Activity - This week (from September 8th to September 12th, 2025), the daily average trading volume of the commodity options market was 6.53 million lots, and the daily average open interest was 9.21 million lots, with a week - on - week change of - 5.20% and - 1.17% respectively [1][7]. - Actively traded varieties in terms of daily average trading volume this week included glass (940,000 lots), soda ash (540,000 lots), and silver (430,000 lots). Varieties with significant trading volume growth were lead (+143%), apple (+140%), and crude oil (+111%); those with significant trading volume decline were lithium carbonate (-71%), polysilicon (-70%), and industrial silicon (-59%) [1][7]. - Varieties with high daily average open interest this week were soybean meal (880,000 lots), glass (790,000 lots), and soda ash (770,000 lots). Varieties with rapid week - on - week growth in daily average open interest were apple (+46%), lead (+36%), and alumina (+36%) [1][7]. 3.2 Commodity Options Main Data Review 3.2.1 Underlying Price Movements - This week, the underlying futures of commodity options showed mixed performance, with the chemical sector mostly declining and the non - ferrous sector mostly rising. There were 33 varieties with weekly losses. Varieties with high weekly gains included gold (+2.35%), silver (+2.31%), and aluminum (+2.05%); those with high weekly losses included polysilicon (-5.51%), synthetic rubber (-5.20%), and lithium carbonate (-4.17%) [2][16]. 3.2.2 Market Volatility - Most commodity options' implied volatility declined this week, and 35 varieties' current implied volatility was below the 50th percentile of the past year's history. Varieties with implied volatility at a high level in the past year included polysilicon, industrial silicon, lithium carbonate, and eggs; those at a low level included lead, zinc, p - xylene, urea, and oilseeds [2][16]. 3.2.3 Options Market Sentiment - The trading volume PCR of varieties such as bottle chips and plastics was at a historical high, indicating a strong short - term bearish sentiment. The trading volume PCR of non - ferrous metals, live pigs, and glass was at a historical low, indicating a concentrated short - term bullish sentiment. The open interest PCR of polysilicon and lead was at a historical high, while that of rebar, non - ferrous metals, live pigs, and styrene was at a historical low [2][16]. 3.3 Key Data Overview of Main Varieties This chapter mainly presents key data of main varieties, including trading volume, volatility, and options market sentiment indicators. More detailed data can be found on the Dongzheng Fanwei official website (https://www.finoview.com.cn/) [20].

Group 1 - The "Vibrant China Research Tour" event highlighted the Shanghai Futures Exchange (SHFE) as it showcased new futures and options products, including printing paper futures and options, fuel oil, asphalt, and pulp options, indicating the expanding influence of "Shanghai pricing" [1] - SHFE has listed a total of 25 futures and 18 options products, with five futures and oil options directly open to foreign investors, allowing qualified foreign investors to participate in trading for 32 futures and options products [6] - The SHFE has established a comprehensive and effective trading operation, self-regulation, and risk control system, supporting a safe and efficient market operation, and has launched various brand projects to enhance market services [7] Group 2 - The number of overseas clients at SHFE has been steadily increasing, with growing participation and enhanced international recognition, as evidenced by the listing of Shanghai rubber futures on the Osaka Exchange [7] - In 2024, SHFE achieved a trading volume of 2.401 billion contracts and a transaction value of 233.95 trillion yuan, maintaining the highest trading amount among domestic exchanges for five consecutive years [7]