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 | SC2602 | 432 | -6 | -1.46 | 5.20 | -1.41 | 2.96 | -0.08 | | 液化气 | PG2602 | 4,132 | 40 | 0.98 | 8.66 | 1.37 | 5.94 | -0.32 | | 甲醇 | MA2602 | 2,207 | 21 | 0.96 | 13.53 | 3.48 | 4.46 | -0.95 | | 乙二醇 | EG2602 | 3,649 | -57 ...

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - The implied volatility has risen, and the market has seen a significant increase [1] Summary by Relevant Catalogs Option Market Data - Financial Options - 50ETF options had an average daily trading volume of 771,000 contracts this week, a -0.47% decrease from the previous week. The put - call trading ratio was 0.88, higher than the historical average, and the put - call holding ratio last week was 1.01, also higher than the historical average [1] - Huatai - Baorui 300ETF options had an average daily trading volume of 952,900 contracts and an average daily open interest of 1,334,700 contracts [1] - Southern China CSI 500ETF options had an average daily trading volume of 1,366,300 contracts and an average daily open interest of 1,283,900 contracts [1] - Huaxia SSE STAR 50ETF options had an average daily trading volume of 1,210,800 contracts and an average daily open interest of 2,298,000 contracts [1] - Shenzhen 100ETF options had an average daily trading volume of 61,100 contracts and an average daily open interest of 117,100 contracts [1] - GEM ETF options had an average daily trading volume of 1,774,600 contracts and an average daily open interest of 1,807,500 contracts [1] - CSI 300 index options had an average daily trading volume of 91,900 lots and an average daily open interest of 197,700 lots [1] - CSI 1000 index options had an average daily trading volume of 226,500 lots and an average daily open interest of 332,900 lots [1] Option Market Data - Volatility - As of the close on Friday, the implied volatility of CSI 300 index options was 15.33%, a 0.23% increase from a week ago; the implied volatility of 50ETF options was 12.47%, a 0.14% decrease from a week ago; the implied volatility of CSI 1000 index options was 18.88%, a 1.47% increase from a week ago [2] - In commodity options, the implied volatility of crude oil options was 15.53%, a 0.12% increase from a week ago; the implied volatility of lithium carbonate options was 52.67%, an 11.30% increase from a week ago; the implied volatility of rebar options was 25.43%, a 3.86% increase from a week ago; the implied volatility of soda ash options was 24.79%, a 1.26% increase from a week ago; the implied volatility of gold options was 25.43%, a 3.86% increase from a week ago; the implied volatility of silver options was 57.34%, a 13.60% increase from a week ago; the implied volatility of palm oil options was 16.62%, a -0.17% decrease from a week ago; the implied volatility of soybean oil options was 10.43%, a -0.52% decrease from a week ago; the implied volatility of rapeseed oil options was 15.26%, a 0.33% increase from a week ago; the implied volatility of rubber options was 18.83%, a 2.62% increase from a week ago [2]

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].

"期权工具正从'专业小众'走向'产业大众'，这既得益于市场生态的日益完善，也离不开交易所与期货公 司的协同培育。"东吴期货财富管理总部总经理赵静在谈及全国期货实盘大赛"郑商所期权专项奖"参与 情况时表示。作为连续5年获评行业A类A级，并屡获郑商所"优秀会员"称号的机构，东吴期货在期权市 场培育与产业服务领域积累了丰富经验。 东吴期货注册于上海，是由东吴证券控股的国资背景的期货公司，注册资本达10.318亿元，已形成以经 纪业务为主体，资管与风险管理子公司为两翼的发展格局。公司在全国设有29家分支机构，并依托旗下 风险管理子公司——上海东吴玖盈投资管理有限公司（下称东吴玖盈），构建起覆盖广泛的服务网络， 致力于成为长三角地区领先的衍生品综合服务商。在郑商所的期权品种中，公司坚持农产品与非农产品 并重，近3年来公司的PTA、纯碱、锰硅、对二甲苯等期权品种交易活跃度持续领先市场。 为提升市场认知与参与水平，东吴期货坚持开展线上线下培训会，并积极融入"郑商所杯"全国大学生金 融模拟交易大赛等多样化活动，帮助交易者和产业企业深入理解期货与期权的基础知识、相关法规及交 易规则，提升其交易能力与风险管理水平。 产业服务的精 ...

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].

随着国内上市期权品种持续丰富、专业投资者与产业企业参与热情不断提升，期权市场在发展质量与交 易规模上实现双突破，为产业企业精细化管理风险提供了有力支撑。作为国内期货市场的标杆赛事，第 十九届全国期货（期权）实盘交易大赛增设"郑商所期权专项奖"，进一步促进期权市场发展。 期货日报记者发现，纯碱期权是今年的明星品种。数据显示，此次大赛中，纯碱期权成交量为1369.43 万手，成交额达37.41亿元，市场参与热情较高。 对此，东证润和资本管理有限公司场外衍生品业务部团队负责人赵万隆表示，纯碱期权交易量的显著增 长，标志着其已深度融入玻璃产业风险管理体系。这既受益于行业供需格局重构的影响，也得益于市场 产能结构调整进程的加快。 "近年来，纯碱行业面临价格波动加剧与高库存并存的压力，企业对风险管理的需求日益精细化，推动 纯碱期权交易规模显著提升。"赵万隆表示，期权工具不仅丰富了企业的套保手段，可独立运用于风险 管理，还能与期货工具结合构建混合策略，或嵌入现货贸易形成含权贸易模式，推动交易结构创新。 据了解，当前纯碱期权参与者以上游生产企业、贸易商和下游玻璃企业为主，产业企业参与度近年来显 著提升。究其原因，赵万隆认为， ...

Core Insights - The rapid development of the domestic options market has led to significant achievements for Zhonghui Futures, particularly in the 2025 live trading competition, showcasing the company's deep engagement in the options sector [1] Group 1: Market Participation and Growth - The number of industrial enterprises participating in Zhengzhou Commodity Exchange options trading increased by 59% year-on-year, indicating a shift in market participant awareness [1] - Zhonghui Futures reported a 79% year-on-year increase in trading volume from industrial clients in Zhengzhou Commodity Exchange options, with notable activity in glass, soda ash, and PTA products [1] Group 2: Policy Support and Service Innovation - The "Stabilizing Enterprises and Protecting Agriculture" project by Zhengzhou Commodity Exchange has acted as a catalyst, enhancing participation enthusiasm among small and medium-sized enterprises [2] - Zhonghui Futures has established a specialized workspace in Lujiazui, integrating real-time market data with industry research, and has created a "Learn-Practice-Evaluate" closed-loop system to help enterprises transition from reluctance to effective usage of options [2] Group 3: Strategic Empowerment and Professional Development - Zhonghui Futures has developed a series of option investment strategy framework courses, breaking down trading models into actionable guidelines, and provides daily quantitative reports that highlight key risk indicators for client decision-making [3] - The company has attracted numerous listed companies to its online services, positioning its options studio as a "second office" for industrial clients, and is guiding qualified enterprises to replicate off-market option revenue structures [3] Group 4: Future Outlook and Industry Ecosystem - The development of the Zhengzhou Commodity Exchange options market is fostering a new industry ecosystem, with on-market options providing pricing benchmarks for off-market derivatives, creating an integrated structure of basic, innovative, and application layers [3] - Zhonghui Futures aims to promote the "Insurance + Futures" model to channel financial resources into agriculture, exploring the integration of options into supply chain finance to help small farmers secure planting profits [3] Group 5: Market Cultivation and Competitive Edge - True market cultivation involves fostering independent thinking rather than merely transmitting knowledge, which has allowed Zhonghui Futures to stand out in a competitive market [4] - The company is leveraging its professional capabilities to enhance risk management for the real economy, contributing to a new chapter in financial services for the实体经济 [4]

Report Industry Investment Rating - Not provided in the report Core Viewpoints - The implied volatility of precious metals has increased, and the financial and commodity markets have shown narrow - range fluctuations [1] Summary by Related Catalogs Financial Options - **Trading Volume and Open Interest**: The average daily trading volume of 50ETF options was 596,400 contracts, a - 20.44% decline from the previous week. The put - call trading ratio was 0.83, lower than the historical average. The put - call open interest ratio was 1.07, higher than the historical average. Other ETF and index options also had corresponding trading volumes and open interests, such as the average daily trading volume of Huatai - Baorui 300ETF options being 754,000 contracts and the average daily open interest being 1,263,900 contracts [1] - **Implied Volatility**: As of the end of this Friday's trading, the implied volatility of CSI 300 index options was 13.36%, a 0.53% decline from a week ago; the implied volatility of 50ETF options was 10.97%, a 0.87% decline from a week ago; the implied volatility of CSI 1000 index options was 17.02%, a 0.73% decline from a week ago [2] Commodity Options - **Implied Volatility**: As of the end of this Friday's trading, the implied volatility of crude oil options was 16.91%, a - 0.18% decline from a week ago; the implied volatility of lithium carbonate options was 34.69%, a - 2.74% decline from a week ago; the implied volatility of rebar options was 20.43%, a 2.25% increase from a week ago; the implied volatility of silver options was 39.72%, an 8.53% increase from a week ago [2]

Group 1: Report Overview - The report is an energy and chemical options strategy morning report, covering energy (crude oil, LPG), polyolefins (PP, PVC, plastic, styrene), polyesters (PX, PTA, short - fiber, bottle - chip), alkali chemicals (caustic soda, soda ash), and other energy - chemical products like rubber [2][3] - The recommended strategy is to construct an option portfolio strategy mainly based on sellers and spot hedging or covered strategies to enhance returns [3] Group 2: Underlying Futures Market Overview - The latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various underlying futures contracts are presented. For example, the latest price of crude oil SC2601 is 450, with a price change of - 3 and a change rate of - 0.75% [4] Group 3: Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of different option varieties are provided, along with their changes. For instance, the volume PCR of crude oil is 0.47 with a change of - 0.09, and the open interest PCR is 0.69 with a change of - 0.05 [5] Group 4: Option Factor - Pressure and Support Levels - The pressure points, support points, and their offsets, as well as the maximum open interests of call and put options, are given for each option variety. For example, the pressure point of crude oil is 540 and the support point is 430 [6] Group 5: Option Factor - Implied Volatility - The implied volatility data of different option varieties are presented, including at - the - money implied volatility, weighted implied volatility and its change, annual average implied volatility, call and put implied volatility, historical volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of crude oil is 26.915, and the weighted implied volatility is 29.07 with a change of 1.12 [7] Group 6: Strategy and Recommendations for Different Option Varieties Energy - related Options (Crude Oil) - Fundamental analysis: US refinery demand has stabilized and recovered. Shale oil production has slightly declined. OPEC's short - term supply is flat, and Russian exports are not blocked. Kuwait's refinery has resumed earlier than expected, weakening the support for low - sulfur fuel oil [8] - Market analysis: Crude oil prices showed a short - term weak and volatile trend in August, continued to be weak and bearish in September before gradually rebounding, fell sharply in October before rebounding, and showed a complex trend of shock, rebound, and then sharp decline in November [8] - Option factor research: The implied volatility of crude oil options fluctuates above the average level. The open interest PCR is below 0.80, indicating a weak market. The pressure point is 540 and the support point is 430 [8] - Strategy recommendations: Directional strategy - construct a bear spread portfolio of put options; Volatility strategy - construct a short - biased call + put option combination strategy; Spot long - hedging strategy - construct a long collar strategy [8] Energy - related Options (LPG) - Fundamental analysis: US propane inventory is starting to decline but remains at a high level. Crude oil prices are affected by supply surplus and geopolitical issues [10] - Market analysis: LPG prices showed a trend of rising and then falling in September, rebounding in October, and continued to rise in November, showing a pattern of rebound and consolidation after an oversold situation [10] - Option factor research: The implied volatility of LPG options has dropped significantly to near the lower - than - average level. The open interest PCR is around 0.80, indicating a weak market. The pressure point is 4500 and the support point is 4150 [10] - Strategy recommendations: Directional strategy - none; Volatility strategy - construct a long - biased call + put option combination strategy; Spot long - hedging strategy - construct a long collar strategy [10] Alcohol - related Options (Methanol) - Fundamental analysis: Port inventory has decreased, and enterprise inventory is at a relatively low level compared to the same period last year [10] - Market analysis: Methanol prices have been weak since August, showed a rebound after a low - level consolidation in September, and continued to be weak in October and November [10] - Option factor research: The implied volatility of methanol options fluctuates around the historical average level. The open interest PCR is below 0.60, indicating a weak and volatile market. The pressure point is 2300 and the support point is 2000 [10] - Strategy recommendations: Directional strategy - construct a bear spread portfolio of put options; Volatility strategy - construct a short - biased call + put option combination strategy; Spot long - hedging strategy - construct a long collar strategy [10] Other Options (Ethylene Glycol, Polypropylene, Rubber, PTA, Caustic Soda, Soda Ash, Urea) - Similar analysis frameworks are used for these options, including fundamental analysis, market trend analysis, option factor research, and corresponding strategy recommendations [11][12][13][14] Group 7: Charts - There are various charts for different option varieties, such as price trend charts, volume and open interest charts, open interest - PCR charts, implied volatility charts, historical volatility cone charts, and pressure and support point charts [15][16][17]

Report Summary - The report focuses on the option market from November 24 to November 28, 2025, covering financial and commodity options, with a decline in implied volatility and an overall rise in the financial and commodity markets [1]. Financial Options Trading Volume and Open Interest - 50ETF options had an average daily trading volume of 749,700 contracts, a -7.02% decrease from the previous week. The put - call trading volume ratio was 1.02, lower than the previous week but higher than the historical average. The put - call open interest ratio was 0.99, higher than the previous week and the historical average [1]. - Other ETF and index options also had corresponding average daily trading volumes and open interests, such as Huatai - Ba瑞 300ETF options with an average daily trading volume of 1,045,400 contracts and an average daily open interest of 1,325,000 contracts [1]. Implied Volatility - As of the end of Friday, the implied volatility of CSI 300 index options was 13.89%, a 2.10% decrease from a week ago; 50ETF options was 11.84%, a 2.43% decrease; and CSI 1000 index options was 17.75%, a 2.11% decrease [2]. Commodity Options Implied Volatility - As of the end of Friday, the implied volatility of most commodity options decreased, such as crude oil options (17.09%, -0.86% decrease), lithium carbonate options (37.43%, -6.50% decrease), etc. However, the implied volatility of palm oil, rapeseed oil, and rubber options increased [2].