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]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the past week, the trading volume of commodity options increased slightly, mainly due to the increment brought by the rising volatility of the agricultural products sector. Meanwhile, the trading volume of the non - ferrous and new energy sectors decreased along with the decline of implied volatility. The implied volatility of non - ferrous sector options is at a relatively low level recently, and buying options for price reversal trading can be considered [5]. - The options of contracts such as soybean meal, corn, starch, iron ore, liquefied gas, polypropylene, PVC, plastic, palm oil, soybean No.1, soybean No.2, soybean oil, styrene, ethylene glycol, eggs, live pigs, and log 509 are about to expire. Attention should be paid to the end - of - month risks when changing contracts [5]. 3. Summary According to the Table of Contents 3.1 Market Overview - The trading volume of commodity options increased slightly last week, mainly due to the increment from the agricultural products sector. The trading volume of non - ferrous and new energy sectors decreased, and their implied volatility also declined. The implied volatility of non - ferrous sector options is at a recent low [5]. - The options of certain contracts are about to expire, and attention should be paid to the end - of - month risks [5]. 3.2 Market Data 3.2.1 Market Overview - The trading volume of the overall market this week was 8,808,344.8, with a week - on - week increase of 0.17%. The open interest was 8,996,228, with a week - on - week decrease of 0.27%. Among them, the trading volume of the agricultural products sector increased by 2.45%, that of the energy and chemical sector increased by 0.17%, that of the black sector increased by 0.4%, and that of the precious metals sector increased by 1.26%. The trading volume of the non - ferrous and new energy sectors decreased by 1.82%. The open interest of the agricultural products sector decreased by 0.1%, that of the energy and chemical sector decreased by 0.55%, that of the black sector decreased by 0.19%, and that of the non - ferrous and new energy sectors increased by 0.41% [6]. 3.2.2 - 3.2.55 Various Option Market Data - For each type of option (such as corn, soybean meal, etc.), detailed data on trading volume, open interest, volume PCR, open interest PCR, at - the - money volatility, HV - 10 days, HV - 20 days, and Skew are provided, including data for this week, last week, and their changes [12 - 44]. 3.3 Chart Analysis No relevant content provided.

Report Title - The report is titled "Commodity Option Data Daily Report" [3] Report Industry Investment Rating - No industry investment rating is provided in the report Core Viewpoints - The report presents historical volatility, daily fluctuations, and other data of various commodities, and recommends option trading strategies based on the relative levels of commodity volatility [2][4][9] Summary by Relevant Catalogs Commodity Volatility Data - **Historical Volatility and Daily Fluctuations**: Data on historical volatility (HV20, HV40, HV60, HV120) and daily price fluctuations of multiple commodities such as Shanghai Aluminum, Shanghai Copper, and Shanghai Zinc are provided For example, Shanghai Aluminum's main price is 20790 with a 0.63% daily increase, and its HV20 is 7.71% [4] Implied Volatility Data - **主力平值IV and Its Quantile**: Implied volatility data, including the main at - the - money implied volatility (IV) and its quantile, are given for various commodities For instance, the main at - the - money IV of butadiene rubber is 74% with a quantile of 49% [5] Strategy Recommendations - **Selling Strangle for Lithium Carbonate**: Due to the relatively high volatility of lithium carbonate, it is recommended to sell a strangle combination (sell LC2509C80000 + sell LC2509P75000) on July 24, 2025, and use dynamic futures hedging, then close the position when volatility decreases [9] - **Buying Strangle for Iron Ore, Soybean Oil, and Rapeseed Oil**: Given the relatively low volatility of iron ore, soybean oil, and rapeseed oil, it is recommended to buy strangle combinations for these commodities on June 3, 2025, use dynamic futures hedging, and close the position when volatility increases For example, for iron ore, buy I2509C690 + buy I2509P700 [9]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints -受宏观影响煤炭偏强，能化走势趋于一致，但交割临近品种基本面有强弱差异 [4] -甲醇09合约8月港口到港多，华东华南库存基本定满，港口09前压力大；内地因宝丰持续外采维持偏强，但传统下游采购积极性低 [4] -甲醇短期见底需看到港口倒流或内地停止外采 [4] -海外本月伊朗发运快，8月发运34万附近，本月预期80 - 90万，港口累库预期偏强 [4] -09基本面偏弱，关注下游抵抗行为、后续到货压力、港口 - 内地价差及港口提货情况 [4] -本周预计港口甲醇库存累库 [5] 3. Summaries by Related Catalogs 3.1 Price Range Forecast | Product | Price Range Forecast (Monthly) | Current Volatility (20 - day Rolling) | Current Volatility Historical Percentile (3 years) | | --- | --- | --- | --- | | Methanol | 2200 - 2400 | 20.01% | 51.2% | | Polypropylene | 6800 - 7400 | 10.56% | 42.2% | | Plastic | 6800 - 7400 | 15.24% | 78.5% | [3] 3.2 Methanol Hedging Strategy Inventory Management - **Scenario**: High finished - product inventory, worried about methanol price decline - **Strategy**: - To prevent inventory losses, short methanol futures (MA2509) to lock in profits, with a hedging ratio of 25% and an entry interval of 2250 - 2350 [3] - Buy put options (MA2509P2250) to prevent sharp price drops, with a hedging ratio of 50% - Sell call options (MA2509C2350) to reduce capital costs, with an entry interval of 45 - 60 [3] Procurement Management - **Scenario**: Low regular procurement inventory, want to purchase according to orders - **Strategy**: - To prevent rising procurement costs, buy methanol futures (MA2509) to lock in procurement costs, with a hedging ratio of 50% and an entry interval of 2200 - 2350 [3] - Sell put options (MA2509P2300) to collect premiums and reduce procurement costs, with a hedging ratio of 75% and an entry interval of 20 - 25 [3]

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]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The energy and chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [9]. - For each sub - sector, specific options strategies and suggestions are provided based on fundamental and market analysis of different underlying assets [9]. - The overall strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [3]. 3. Summary by Related Catalogs 3.1 Underlying Futures Market Overview - Various energy and chemical option underlying futures are presented, including details such as the latest price, change, change rate, trading volume, and open interest. For example, crude oil (SC2508) has a latest price of 532, a change of 18, and a change rate of 3.50% [4]. 3.2 Option Factors - Volume and Open Interest PCR - PCR indicators (volume PCR and open - interest PCR) are analyzed for different option varieties. These indicators are used to describe the strength of the option underlying market and potential turning points. For instance, the open - interest PCR of crude oil is 1.61 with a change of 0.39 [5]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels for different option underlying assets are determined from the strike prices of the maximum open interest of call and put options. For example, the pressure level of crude oil is 560 and the support level is 450 [6]. 3.4 Option Factors - Implied Volatility - Implied volatility data (including at - the - money implied volatility, weighted implied volatility, etc.) are provided for each option variety. For example, the at - the - money implied volatility of crude oil is 41.58% [7]. 3.5 Strategy and Suggestions - **Crude Oil Options** - Fundamental analysis shows that US employment data is weak and geopolitical conflicts have increased the geopolitical premium of oil prices. The market has a short - term bullish upward trend. - Option factors indicate high implied volatility, strong long - term bullish power, with a pressure level of 560 and a support level of 450. - Strategies include constructing a bullish call spread for directional gains, a neutral short call + put option combination for time - value gains, and a long collar strategy for spot hedging [8]. - **Liquefied Petroleum Gas (LPG) Options** - Fundamental factors such as rising crude oil prices and increased summer oil consumption have affected the LPG market. The market shows an oversold rebound. - Option factors suggest that implied volatility fluctuates around the historical average, and the short - term bearish power is weakening, with a pressure level of 5200 and a support level of 4000. - Strategies include a neutral short call + put option combination and a long collar strategy for spot hedging [10]. - **Methanol Options** - Port inventory has increased, and the market shows a weak bearish oversold rebound. - Option factors indicate that implied volatility fluctuates around the historical average, and the bearish power above is weakening, with a pressure level of 2500 and a support level of 1975. - Strategies include a bullish call spread, a short call + put option combination with a long - biased delta, and a long collar strategy for spot hedging [10]. - **Ethylene Glycol Options** - Port inventory is expected to increase, and the market shows a short - term bullish rise followed by a decline. - Option factors suggest high implied volatility, a range - bound and relatively strong market, with a pressure level of 4500 and a support level of 4300. - Strategies include a short - volatility strategy and a long collar strategy for spot hedging [11]. - **Polyolefin Options (Polypropylene, etc.)** - Polypropylene downstream开工率 is low, and inventory levels vary. The market shows a rebound in a bearish trend. - Option factors indicate that implied volatility is above the historical average, and the open - interest PCR is below 1.00, with a pressure level of 7500 and a support level of 6800. - Strategies include a long collar strategy for spot hedging [11]. - **Rubber Options** - Overseas production is not at a high level, and tire inventory is high. The market shows a bearish downward rebound. - Option factors suggest that implied volatility fluctuates around the average, and the open - interest PCR is below 0.60, with a pressure level of 21000 and a support level of 13000. - Strategies include a bearish put spread, a short call + put option combination with a short - biased delta [12]. - **Polyester Options (PTA, etc.)** - PTA inventory shows a short - term slowdown in destocking. The market shows a high - level shock and decline. - Option factors indicate high implied volatility, a strengthening market, with a pressure level of 5000 and a support level of 3800. - Strategies include a neutral short call + put option combination [13]. - **Caustic Soda Options** - Production has decreased, and inventory has increased. The market shows a bearish downward trend. - Option factors suggest that implied volatility is below the average, and the open - interest PCR is below 0.60, with a pressure level of 2520 and a support level of 2080. - Strategies include a bearish put spread, a short wide - straddle option combination, and a covered spot hedging strategy [14]. - **Soda Ash Options** - The spot market is weak, and the market shows a bearish low - level consolidation. - Option factors indicate that implied volatility is below the historical average, and the open - interest PCR is below 0.50, with a pressure level of 1300 and a support level of 1100. - Strategies include a bearish put spread, a short call + put option combination with a short - biased delta, and a long collar strategy for spot hedging [14]. - **Urea Options** - Inventory has increased, and prices have declined. The market shows an inverted "V" shape. - Option factors suggest that implied volatility is below the average, and the open - interest PCR is above 1.00, with a pressure level of 1900 and a support level of 1700. - Strategies include a bearish put spread, a short call + put option combination with a short - biased delta, and a long collar strategy for spot hedging [15].

Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day. The commodity option implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility: a larger difference indicates that the implied volatility is relatively higher than the historical volatility, while a smaller difference means the opposite [3] Group 2: Implied Volatility and Historical Volatility Graphs - There are graphs showing the trends of implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 50ETF, 1000 - stock index, 500ETF, ES, Shanghai Gold, corn, soybean meal, sugar, cotton, rubber, PTA, methanol, iron ore, crude oil, aluminum, zinc, urea, palm oil, rapeseed meal, Shanghai copper, PVC, and rebar [4][6][7][8][9][10][11][12][13][14][15] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent 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 [17] - The implied volatility quantile rankings are as follows: PTA (0.78), natural rubber (0.70), etc. [18] - The historical volatility quantile rankings are as follows: PTA (0.94), 50ETF (0.87), etc. [19]

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints of the Report - The report analyzes the fundamentals, market trends, and volatility of various energy and chemical options, and provides corresponding strategy recommendations [3] 3. Summary by Relevant Catalogs 3.1 Energy and Chemical Option Classification - Energy and chemical options are mainly divided into five categories: basic chemicals, energy, polyester chemicals, polyolefin chemicals, and other chemicals [3] 3.2 Basic Chemicals Sector - **Methanol Options**: The price is under pressure and shows a weak and bearish trend. Implied volatility is above the historical average. A bearish combination strategy of call + put options is recommended [3] - **Rubber Options/Synthetic Rubber Options**: The market shows a weak consolidation and oscillation pattern under bearish pressure. Implied volatility is at a relatively high historical level. A bearish volatility - selling strategy is recommended [3] - **Styrene Options**: Affected by the Sino - US tariff war, downstream demand is weak. The market shows a large - fluctuation and weak trend. Implied volatility remains at a relatively high historical level. A volatility - selling option combination strategy is recommended [4] 3.3 Oil and Gas Sector - **Crude Oil Options**: OPEC+ increases supply, but exports do not increase significantly. The market shows a large - fluctuation pattern under bearish pressure. Implied volatility remains at a relatively high level. A volatility - selling strategy is recommended [4] - **Liquefied Gas Options**: The price has a short - term weak rebound under pressure. Implied volatility is above the historical average. A bearish call + put option combination strategy is recommended, and the position delta should be adjusted dynamically [4] 3.4 Polyester Chemicals Sector - **PX Options/PTA Options**: PTA load is decreasing, and inventory is decreasing year - on - year. The market shows a mild bullish trend under bearish pressure. Implied volatility remains at a relatively high level. A volatility - selling strategy is recommended [5] - **Ethylene Glycol Options**: Port inventory is increasing, and downstream inventory days are rising. The market shows a large - oscillation and short - term weak bearish trend. Implied volatility has risen rapidly to a relatively high historical level. A volatility - selling strategy is recommended [5] - **Short - Fiber Options**: Polyester load is high, but short - fiber load is slightly decreasing. The market shows a rebound pattern under bearish pressure. Implied volatility remains at a relatively high average level. A volatility - selling call + put option combination strategy is recommended [5] 3.5 Polyolefin Chemicals Sector - **Polypropylene Options**: Inventory shows different trends among producers, traders, and ports. The market shows a large - oscillation and weak pattern. Implied volatility is at a relatively high historical level. A bearish call + put option combination strategy is recommended, and the position delta should be adjusted dynamically [6] - **Polyethylene Options**: Producer and trader inventories are increasing. The market shows a weak consolidation pattern under pressure. Implied volatility has risen rapidly to a relatively high level. A bearish directional strategy is recommended [6] - **PVC Options**: Factory and social inventories are decreasing year - on - year. The market shows a weak bearish downward trend. Implied volatility remains at a relatively low level. A bearish directional strategy is recommended [6] 3.6 Data Summary - **Option Underlying Market Data**: Includes closing prices, price changes, trading volumes, and open interest of various option underlying assets [8] - **Option Volume, Open Interest, and Turnover Data**: Volume, open interest, and turnover data of various options, as well as their changes [9] - **Option Volume, Open Interest, and Turnover PCR Data**: PCR data and their changes of various options [10] - **Option Maximum Open Interest at Strike Prices**: Maximum open interest at strike prices, pressure points, and support points of various options [11] - **Option Implied Volatility Data**: Implied volatility, its changes, annual average, call and put implied volatilities, and historical volatility of various options [13]

Report Date and Title - The report is titled "Energy and Chemical Options Daily Report 2025 - 05 - 08" and is an options strategy morning report for energy and chemical products [2] Core Viewpoint - The report analyzes the fundamentals, market trends, and volatility of various energy and chemical options, and provides corresponding option trading strategies and suggestions for different types of energy and chemical options [3] Industry Classification and Options Included - Energy and chemical options are mainly divided into five categories: basic chemicals (methanol, rubber, synthetic rubber, styrene options), energy (crude oil, liquefied gas options), polyester chemicals (paraxylene, PTA, ethylene glycol, short - fiber options), polyolefin chemicals (polypropylene, PVC, polyethylene options), and other chemicals (caustic soda, soda ash, urea options) [3] Summary by Industry Group Basic Chemicals Sector - **Methanol Options**: The price in Shandong on May 6 showed different levels in different regions. The market has been in a weak and bearish trend since the high in March. The implied volatility is above the historical average. A combination strategy of long - put and short - call options is recommended to obtain time - value and directional returns, such as S_MA2506P2225, etc. [3] - **Rubber/Synthetic Rubber Options**: The price of high - cis butadiene rubber in Shandong and other regions decreased. The market is in a weak consolidation and rebound pattern under bearish pressure. The implied volatility is at a relatively high historical level. A bearish volatility - selling strategy is recommended to obtain directional and time - value returns, such as S_RU2509P14250, etc. [3] - **Styrene Options**: In April, downstream demand was affected by the China - US tariff war, with high inventories. The market has been in a weak and volatile pattern since the high in late February. The implied volatility remains at a relatively high historical level. A volatility - selling option combination strategy is recommended to obtain time - value and directional returns, such as S_EB2506P6700, etc. [4] Oil and Gas Sector - **Crude Oil Options**: OPEC+ increased supply in June, but exports did not increase significantly, and the US maintained production cuts. The market has shown large fluctuations under bearish pressure. The implied volatility is at a relatively high level. A volatility - selling strategy is recommended to obtain time - value returns, such as S_SC2506P450 [4] - **Liquefied Gas Options**: The benchmark price increased slightly compared to the beginning of last month. The market has shown a short - term weak rebound pattern with pressure. The implied volatility is above the historical average. A strategy of selling a bearish combination of call and put options is recommended, adjusting the position delta according to market changes, and closing the position if the market fluctuates sharply, such as S_PG2506P4350 [4] Polyester Chemicals Sector - **PX/PTA Options**: The PTA load decreased in April and is expected to decline further in May. The inventory showed a mixed situation. The market has been in a mild bullish pattern under bearish pressure. The implied volatility is at a relatively high level. A volatility - selling strategy is recommended to obtain time - value returns, such as S_TA2506P4450 [5] - **Ethylene Glycol Options**: As of April 28, port and downstream inventories changed. The domestic supply - demand balance is expected to strengthen in May. The market has shown a large - scale volatile pattern under short - term bearish pressure. The implied volatility has risen rapidly to a relatively high historical level. A volatility - selling strategy is recommended to obtain time - value returns, such as S_EG2506P4100 [5] - **Short - Fiber Options**: The polyester load showed different trends in different products. The market has shown a rebound pattern under bearish pressure since late February. The implied volatility is at a relatively high average level. A volatility - selling strategy of selling call and put options is recommended to obtain time - value returns, such as S_PF2506P6000 [5] Polyolefin Chemicals Sector - **Polypropylene Options**: The inventory of PP production enterprises, traders, and ports showed different changes. The market has shown a weak and volatile pattern with pressure. The implied volatility is at a relatively high historical level. A strategy of selling a bearish combination of call and put options is recommended, adjusting the position delta according to market changes, and closing the position if the market fluctuates sharply, such as S_PP2506P7100 [6] - **Polyethylene Options**: The inventory of PE production enterprises and traders changed. The market has shown a weak consolidation pattern with pressure. The implied volatility has risen rapidly to a relatively high level. A bearish directional strategy is recommended to obtain directional returns, such as B_L2506P7200 [6] - **PVC Options**: The factory and social inventories decreased in April. The market has shown a volatile and rebound pattern with pressure. The implied volatility is at a relatively low level. A bearish directional strategy is recommended to obtain directional returns, such as B_V2506P4900 [6] Data Tables - **Option Underlying Market Data**: It includes the closing price, change, trading volume, and open interest of various option underlying assets [8] - **Option Volume, Open Interest, and Turnover Data**: It shows the volume, open interest, and turnover of different options, as well as their changes [9] - **Option Volume, Open Interest, and Turnover PCR Data**: It presents the PCR values and their changes of different options [10] - **Option Maximum Open Interest at Strike Prices**: It shows the pressure points, support points, and maximum open interest of call and put options for different underlying assets [11] - **Option Implied Volatility Data**: It includes the implied volatility, its change, annual average, and other related data of different options [13]