能源化工期权 2025-11-03 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 content 2. Core Viewpoints of the Report - The energy and chemical sector is mainly divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Strategies focus on constructing option portfolios mainly as sellers and spot hedging or covered strategies to enhance returns [3][9] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Various energy and chemical futures contracts show different price movements, trading volumes, and open interest changes. For example, the latest price of crude oil (SC2512) is 465, down 4 with a decline of 0.75%, and its trading volume is 10.93 million lots with a decrease of 5.34 million lots [4] 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators of different option varieties reflect the strength of the option underlying market and the turning point of the underlying market. For instance, the open interest PCR of crude oil options is 0.82, an increase of 0.08 [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 pressure and support levels of different option underlying are identified. For example, the pressure level of crude oil is 500 and the support level is 450 [6] 3.4 Option Factors - Implied Volatility - The implied volatility of different option varieties shows different levels and changes. For example, the weighted implied volatility of crude oil options is 32.00%, an increase of 0.33% [7] 3.5 Option Strategies and Recommendations 3.5.1 Energy Options - Crude Oil - Fundamental analysis shows that US refinery demand has stabilized and rebounded, and OPEC exports have increased. The option implied volatility has declined to near the average, and the open interest PCR indicates a weak market. Strategies include constructing a short - neutral call + put option combination strategy and a long collar strategy for spot hedging [8] 3.5.2 Energy Options - Liquefied Petroleum Gas (LPG) - The US market faces pressure from high production and inventory, and the Middle East exports are relatively stable. The option implied volatility has dropped significantly to below the average, and the open interest PCR indicates a weak market. Similar strategies to crude oil are recommended [10] 3.5.3 Alcohol Options - Methanol - Port and enterprise inventories show certain trends. The option implied volatility fluctuates around the historical average, and the open interest PCR indicates a weak and oscillating market. Strategies involve constructing a short - bearish call + put option combination strategy and a long collar strategy for spot hedging [10] 3.5.4 Alcohol Options - Ethylene Glycol - The load and inventory of ethylene glycol show specific changes. The option implied volatility fluctuates below the average, and the open interest PCR indicates strong bearish power. Strategies include constructing a bearish spread combination strategy of put options and a short - volatility strategy [11] 3.5.5 Polyolefin Options - Polypropylene - The inventory of polypropylene and polyethylene shows different trends. The option implied volatility has declined to near the average, and the open interest PCR indicates a weak market. A long collar strategy for spot hedging is recommended [11] 3.5.6 Rubber Options - The rubber market has a certain trading atmosphere, and the option implied volatility has decreased to below the average after a sharp increase. The open interest PCR is below 0.60. A short - bearish call + put option combination strategy is recommended [12] 3.5.7 Polyester Options - PTA - The PTA load and maintenance situation show specific characteristics. The option implied volatility fluctuates at a relatively high level, and the open interest PCR indicates an oscillating market. A short - bearish call + put option combination strategy is recommended [12] 3.5.8 Alkali Options - Caustic Soda - The caustic soda market has certain supply and demand characteristics. The option implied volatility is at a high level, and the open interest PCR indicates a weak and oscillating market. A bearish spread combination strategy and a long collar strategy for spot hedging are recommended [13] 3.5.9 Alkali Options - Soda Ash - The inventory of soda ash shows specific changes. The option implied volatility is at a relatively high historical level, and the open interest PCR indicates strong bearish pressure. A short - volatility combination strategy and a long collar strategy for spot hedging are recommended [13] 3.5.10 Urea Options - The enterprise and port inventories of urea show specific trends. The option implied volatility fluctuates around the historical average, and the open interest PCR indicates strong bearish pressure. A short - neutral call + put option combination strategy and a spot hedging strategy are recommended [14]

能源化工期权 2025-10-24 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 | | --- | --- | --- | --- | --- | --- | --- | -- ...

据了解，郑商所2024—2025年度"商储无忧"项目已顺利结束。在多方相互协作和联动监管下，46个"商 储无忧"项目合规运行，涉及储备企业44家，相关储备企业通过套期保值等方式有效规避了市场风险， 项目取得了积极成效。2025年年初，国家发展改革委印发的《关于做好2025年春耕及全年化肥保供稳价 工作的通知》提出，郑商所要为承储企业落实储备任务提供套期保值等专业服务。这为郑商所进一步优 化完善"商储无忧"项目提供了更加坚实的政策支持。 作为事关国计民生的重要农资，尿素具有较高的特殊性，其市场稳定直接关系国家粮食安全。自2019年 尿素期货上市以来，郑商所持续探索尿素期货服务产业企业、服务国家战略的有效途径，并于2021年年 初创新推出尿素"商储无忧"项目。多年来，"商储无忧"项目规模持续扩大，成效愈加显著，已成为期货 市场服务国家大宗商品储备的标杆案例。 10月21日，郑商所发布"关于开展2025—2026年度'商储无忧'工作的通知"，启动新年度"商储无忧"项目 备案工作。 据期货日报记者了解，为了更好地助力保障化肥供应充足、价格基本稳定，提升产业企业储备化肥的积 极性，郑商所支持期货公司为承担国家及省级化肥 ...

尿素，一粒看似普通的白色颗粒，却是"粮食的粮食"，牵动着14亿人的饭碗。 2019年8月9日，尿素期货在郑州商品交易所挂牌上市；四年后的2023年10月20日，尿素期权接踵而至， 中国农资行业正式拥有"期货+期权"双保险。 期货和期权的落地只是起点。这期间，郑商所持续探索尿素期货服务产业、对接国家战略的"最后一公 里"。 2021年初，郑商所"商储无忧"项目应运而生。这一创新模式支持承担国家化肥商业储备任务的承储企业 利用尿素期货开展风险管理，对承储企业参与套期保值过程中产生的相关费用进行支持，帮助承储企业 以市场化手段化解储备商品贬值的风险，提升储备积极性。 一头连着仓库，一头牵着田间，"商储无忧"让尿素承储企业有了稳价的金融工具，也让农户在春耕时期 不必再担心尿素"一天一个价"。 五年过去，郑商所"商储无忧"项目把495万吨尿素、52家龙头企业、23个省份一并纳入期货"避风港"， 助力农民用得起肥、种得好粮，也为"大国粮仓"更添一份从容的底气。 尿素期货稳经营，服务产业高质量发展 作为全球领先的尿素生产国与消费国，我国尿素需求横跨农业与工业两大领域：既要保障农业直接施 用，又要满足复合肥、人造板、三聚氰胺 ...

Group 1: Implied Volatility Index and Its Calculation - The implied volatility index of financial options reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the IV of the two strike - prices above and below the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [2] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [2] Group 2: Implied Volatility and Historical Volatility Difference Graph - The document presents graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as soybeans, corn, sugar, cotton, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. The volatility spread is calculated as the IV index minus the historical volatility [4] - The implied volatility quantile rankings are provided for different options, such as 50ETF with a quantile of 0.79, 300 - stock index with 0.80, iron ore with 0.37, PVC with 0.46, etc [5][7]

Key Points of the Report Core Concepts - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - point - up and - down options at the at - the - money strike price of the main contract month, reflecting the implied volatility change trend of the main contract [2]. - The difference between the implied volatility index and historical volatility shows the relative level of implied volatility to historical volatility. A larger difference means the implied volatility is relatively higher, and a smaller difference means it is relatively lower [2]. - The implied volatility quantile represents the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low. The volatility spread is the implied volatility index minus the historical volatility [4]. Implied Volatility and Historical Volatility Data - The report presents the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) of various options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as soybean meal, corn, sugar, cotton, etc. [3] Implied Volatility Quantile and Volatility Spread Quantile Ranking - The report shows the ranking of implied volatility quantiles and historical volatility quantiles of different varieties, such as 300 Index, PVC, PTA, corn, etc. [4][5]

Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The commodity option implied volatility index is obtained by weighting the IV of the two - strike options around the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [3] Group 2: Implied Volatility and Historical Volatility Graphs - The document presents graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as silver, soybean meal, corn, etc [4] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - Implied volatility quantile represents the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. Volatility spread is the difference between the implied volatility index and historical volatility [5] - The document provides the implied volatility quantile rankings for different options, such as PVC with a quantile of 0.92, PTA with 0.39, etc [6]

Industry Investment Ratings - No industry investment ratings are provided in the report. Core Views - The A-share market showed a pattern of rising and then falling this week, with small and medium-cap stocks outperforming large-cap stocks. Different index futures and options contracts had various performance indicators, and corresponding investment strategies were proposed for option trading [2]. - Aluminum prices are expected to remain high in the short term, with attention paid to the support at the 20,000 level [2]. - The coking coal and coke markets are expected to face pressure in the short term, with support levels of 900 - 1000 for coking coal and around 1500 for coke [3]. - The urea price of the UR2509 contract is expected to test the support at 1680 - 1700 yuan/ton, and subsequent attention should be paid to macro - impacts and autumn fertilizer performance [3]. - Steel prices are expected to continue to fluctuate weakly in the short term [3]. - For eggs, short - term operation is to short on rebounds next week, and the spot price is not expected to decline significantly due to Mid - Autumn Festival stocking [3]. - The live pig market is expected to remain range - bound next week [4]. Summary by Variety Options - This week, the A - share market rose and then fell, with daily trading volume approaching 2 trillion. Small and medium - cap stocks were stronger than large - cap stocks. Different index futures and options contracts had changes in indicators such as basis, volume, open interest, and implied volatility. Trend investors can focus on strength - weakness arbitrage opportunities, and volatility investors can sell wide straddles to short volatility [2]. Aluminum - In July, the manufacturing PMI declined, and the exchange introduced risk - control measures, cooling domestic market sentiment. The US tariff policy has uncertainties. On the fundamental side, there is a strong expectation of inventory accumulation. Aluminum prices are expected to remain high in the short term, and attention should be paid to the support at the 20,000 level [2]. Coking Coal and Coke - This week, the daily output and inventory of raw coal and clean coal decreased. Some areas had reduced production due to over - production inspections. The online transaction of coking coal had more auctions, and the fifth round of coke price increase was not implemented. The market is expected to face pressure in the short term, with support levels of 900 - 1000 for coking coal and around 1500 for coke [3]. Urea - The domestic urea market price was stable over the weekend. In August, there will be both plant overhauls and restarts, and the daily output is expected to fluctuate around 19 - 200,000 tons. The upstream inventory increased, and the port inventory decreased. The UR2509 contract is expected to test the support at 1680 - 1700 yuan/ton [3]. Steel (Rebar and Hot - Rolled Coil) - The production of five major steel products increased while demand decreased. Rebar had a decline in both production and demand, and inventory increased. Hot - rolled coil had an increase in both production and demand, and inventory continued to increase slightly. Due to the cooling of macro - sentiment and weak overseas non - farm data, steel prices decreased by 10 - 30 yuan/ton over the weekend and are expected to fluctuate weakly in the short term [3]. Eggs - Last week, the national egg spot price declined steadily and then stabilized over the weekend. There were differences in the spot market, with inventory pressure from cold - storage eggs. The futures had a large premium over the spot, and there was a lot of industrial delivery in July. Next week, the strategy is to short on rebounds [3]. Live Pigs - Last week, the live pig spot price first declined and then rose, with an overall stable trend. The spot market had high supply and weak consumption. The futures were relatively strong due to the repair of the discount structure and expectations of future consumption improvement. After this round of decline, the basis was repaired, and the market is expected to remain range - bound next week [4].

Core Viewpoint - The article emphasizes the role of futures in supporting high-quality development within the agricultural sector, particularly through the innovative models adopted by enterprises in the futures market to stabilize operations and enhance supply chain security [1]. Group 1: Company Insights - Yuntu Holdings, a leading compound fertilizer company, has established a comprehensive risk management system that integrates futures trading into its procurement, production, and sales processes, allowing it to stabilize costs and ensure supply during price fluctuations [2][3]. - Sichuan Agricultural Fertilizer has seen its urea trading volume increase from 1.2 million tons in 2021 to approximately 2.45 million tons in 2024, demonstrating its proactive approach to risk management through futures [3][4]. - Huailong Group has actively participated in the urea futures market since its launch in 2019, recognizing the importance of futures tools for managing price volatility and enhancing operational efficiency [4][5]. Group 2: Risk Management Strategies - Yuntu Holdings employs a risk management matrix that includes buying hedges to lock in costs, production guidance based on futures prices, and selling hedges to mitigate inventory devaluation risks [3]. - Sichuan Agricultural Fertilizer has innovated its business model by utilizing urea options and implementing strategies such as selling options to enhance sales profits and control procurement costs [4]. - Huailong Group has utilized futures to create virtual inventories, effectively managing procurement costs during periods of price fluctuations [5]. Group 3: Industry Collaboration - The article highlights the increasing adoption of basis trading models among enterprises, which not only stabilizes their operations but also supports upstream and downstream partners in managing costs and securing supply [6][7]. - Sichuan Agricultural Fertilizer has successfully assisted downstream clients in locking in raw material costs through basis pricing, resulting in significant cost savings [6][7]. - The collaboration among enterprises in the futures market has led to the establishment of a new ecosystem that integrates futures trading with operational strategies, enhancing overall industry resilience [8][10]. Group 4: Future Directions - The Zhengzhou Commodity Exchange continues to support the development of production and finance bases, aiming to enhance the understanding and utilization of futures among industry players [8][9]. - Yuntu Holdings plans to further promote the application of urea futures and assist clients in designing risk management strategies, fostering long-term cooperative ecosystems [8][10]. - Sichuan Agricultural Fertilizer aims to improve service quality by collecting feedback from upstream and downstream enterprises, enhancing the customization of risk management solutions [10].