截至2022/12/16，PTA期货2305合约收于5352元/吨，较上周(5028元/吨)上涨6.44%；从T型报价来看，行权价5700看涨期权成交活跃，行权价6000看涨期权持仓集中度较高，行权价4900看跌期权成交活跃，行权价4900看跌期权持仓集中度较高，标的价格在4800-5600运行为主。
　　
　　

研究报告全文：化工期权周报吴阿龙投资咨询资格Z0015899联系方式020-88818028本报告中所有观点仅供参考请务必阅读此报告倒数第二页的免责声明2022年12月18日本周主要观点标的收盘价30HVVIX持仓量PCR参考运行范围主要观点本周策略上周策略前期卖出看涨期权离场如有期货多期价逢高卖出看涨期权虚值2-4档PTA期权535224732436092TA305期价偏强单可卖出看涨期权对冲卖出虚值2-4644133-04304848005600波动率中性档如有期货多单可卖出看涨期权对冲如有期货多单可卖出看涨期权对冲塑料期权823515881745085L2305期价偏强卖出虚值2-4档卖出虚值2-4档173011-009-00877008700波动率中性如有期货多单可卖出看涨期权对冲如有期货多单可卖出看涨期权对冲PP期权793314661776122PP2305期价偏强卖出虚值2-4档卖出虚值2-4档186059-083-01275008300波动率中性持有卖出看涨期权参考行权价格卖出看涨期权参考行权价格6600及PVC期权639820832407061V2305期价震荡6600及以上以上206-02007200357006800波动率中性注30HV30天历史波动率波动率指数VIX由期权市场价格计算得出反映市场对未来短期波动率的预期持仓量PCRPut-Call-Ratio看跌期权持仓量和看涨期权持仓量的比值波动率价差VIX-HV波动率指数和1个月历史波动率的差值本报告数据统计截止时间至2022年12月16日1500数据来源Wind风险提示单腿卖出期权的投资策略潜在风险较大当市场行情不利时投资者需及时对冲或止损2目录01PTA期权02塑料期权03PP期权04PVC期权05棕榈油期权31PTA期权4T型报价T型报价期权持仓量分布看涨期权TA302CZC看跌期权持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量看涨期权持仓量看跌期权持仓量平值档位53451873710465030933-3333294892439540000862613196224700310045-25001866350061894314345744750309865-235323878419235000293224315654800304585-2273296587888251332644516548503018115-233326335631830000656158531224774900297315-250060232365325228143474430519344950282017-346213534307625000208822123802383194850002712205-397131621738220000275121534776297213851002655355-377228456604450915734613421721315200242151-4396283467423150007070146757879147520885300230480-4224251556364840834624978391202354002260125-3812542111981000014859478471170251198055002307188-32623569732105644457414348282014560023532625-284717324875000102106351712727125196657002771358-22342925374294304611667652043580041804905-1218911100252623272500032080590029875385-180458381276615938500015215060006805-10053229152839440001230061007435-131903525614979-500005235862008805-7902827截至20221216PTA期货2305合约收于5352元445130000525906300986-66348392752000052817640010885-5845030吨较上周5028元吨上涨644从T型报价来看22911000005303965001181-5978514190600005660012845-5275530行权价5700看涨期权成交活跃行权价6000看涨期1994100001670013785-532192336500000568001467-5725122权持仓集中度较高行权价4900看跌期权成交活跃18500000569001577-477421916500000570001678-4448028行权价4900看跌期权持仓集中度较高标的价格在12360000571001758-5286311126300005720018765-40678214800-5600运行为主12730000573001986-3404022129400005740020845-332372114400000575002163-4125129172000005760022865-2952937281000005770023665-3642334期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose150720020072006800680012064001506400090600060005600100560006052005200480005048000304400440000040000004000PTA期价震荡偏强期权持仓量PCR明显上升关注看跌期权持仓量变化从期权成交量来看看跌期权成交占比在中性水平关注市场情绪变化波动率波动率指数与期价历史波动率与波动率指数VIXunderlyingcloseVIX-HVHV30VIX6072007016556800601250640084550600044040355600030305200-425204800-82010154400-121040000-16波动率指数走弱目前处于中性水平实际波动率变化不大波动率价差有所收紧关注后市波动率变化波动率微笑主力期权波动率微笑353025201520221216202212152022121420221213202212122022129主力期权整体隐波水平有所下降波动率微笑左偏关注市场情绪变化2塑料期权9T型报价T型报价期权持仓量分布看涨期权L2305DCE看跌期权持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量看涨期权持仓量看跌期权持仓量平值档位00114172756500851125082194001181628566005-2308030350401221531670075-2105021001241434680011-185202000129133856900155-16220630028013412457000215-1569032013611537100295-144909825000133106372001986435-440660354101359767300196154-924624383001368927400194167-1184144277200001318117500191682-1458691722801247335760019361055-12083713215041011566077001934130-11862210413801035905780019261575-1201581579613-3655015146279001925190-1163441031009422-45544051500800019282275-1096169914150-6763795150281001879260-1348331245031081-631334155882001876305-1273147137201170-6112921601830020023785-620196912291-8722461594840019784285-7251278012956-14191995155585001972486-73433310523-10301785163286001996553-63513117829-1622142159587006395-32501168130-1215126516618800713-299029521-20169716138900790-2710310490-182383164990008695-252026截至20221216塑料期货2305合约收于8235元4547-188269166691009525-231027140-35568178092001038-20800吨较上周8095元吨上涨173从T型报价来看413341-517551777930011255-19200104106-136841173894001215-17800行权价9300看涨期权成交活跃行权价9300看涨期8744-102635176895001306-16600336348635335184696001399-15100权持仓集中度较高行权价7300看跌期权成交活跃410-5882497001493-14200200-7321998001588-13400410-90915990016845-12300行权价7300看跌期权持仓集中度较高标的价格在300-769121000017815-11400107631251051020019775-103007700-8700运行为主期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose1611000501100014105004510500401210000100003510950030950008900025900006850020850015048000800010027500057500007000007000塑料期价震荡偏强期权持仓量PCR有所下降关注后续看跌期权持仓量变化从期权成交量来看近期看跌期权成交占比上升关注市场情绪变化波动率波动率指数与期价历史波动率与波动率指数VIXunderlyingcloseVIX-HVHV30VIX4011000401510500353510100003030950025525900020850002015800015-57500101070005-10波动率指数走弱目前处于中性水平关注后市波动率变化实际波动率下降波动率价差偏低波动率微笑主力期权波动率微笑302520151020221216202212152022121420221213202212122022129主力期权整体隐波水平有所下降波动率微笑左偏关注市场情绪变化3PP期权14T型报价T型报价期权持仓量分布看涨期权PP2305DCE看跌期权持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量看涨期权持仓量看跌期权持仓量平值档位00110151064005-3333012001111412565008-27270267000011113166600115-2581085010812216700165-25000496006010311286800198028-6671122717009710376900194535-13587092237008594857000190343-1963118140050030082863571001871535-2302699186300587817200186669-224791209400600437037300184686-2321157189431117563851433740018581105-2079711483005111-42953551235750018921425-1667852126910020497150776001884173-164316536413513-664408137077001852204-175828025320018039-1163338132978001843243-170636728622184-210326158479001853290-1545371252100312248-1742831622800020673785-49052614240399-4232375161681001981418-85342229015213-10851891562820018824595-11722565073021-833165162083002009545-739286318100108-82213951645840017255655-14322032212140-510121169285007105-34015306816-14110517368600792-27013169399057885175887008705-279010截至20221216PP期货2305合约收于7933元吨13583-2077117498800955-25001413136-42057174789001042-22503较上周7788元吨上涨186从T型报价来看行61840414435551851900011315-203001291171923465186891001223-18100权价8600看涨期权成交活跃行权价9000看涨期权156202063381874920013155-16800111562745325190193001410-15001持仓集中度较高行权价7000看跌期权成交活跃8850300026190094001505-14100911378132852033950016015-12600行权价8000看跌期权持仓集中度较高标的价格在44119600245205796001699-11600230-25007597001797-10700230-20006980018955-099007500-8300运行为主350-250045990019945-09400270-222235100002094-08800期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose221100035110002010500301050018100001000025169500950014209000900012158500850010100880008000067500057500047000007000PP期价震荡偏强持仓量PCR回落看跌期权成交占比波动较大关注市场情绪变化波动率波动率指数与期价历史波动率与波动率指数VIXunderlyingcloseVIX-HVHV30VIX5011000462045105004116401000036123595003183090002642585002102080001615750011-41070006-8波动率指数弱势运行目前在中性水平关注后市波动率变化实际波动率下降波动率价差有所扩大波动率微笑主力期权波动率微笑2520151020221216202212152022121420221213202212122022129主力期权整体隐波水平有所下降波动率微笑左偏关注市场情绪变化4PVC期权19T型报价T型报价期权持仓量分布看涨期权V2305DCE看跌期权持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量00231146254950244285-3704177660看涨期权持仓量看跌期权持仓量平值档位7023914155000258314-12500182102481320551002397135-40007099160010263122852002378185-3934931750027511385300236025-39022293300028910505400233633-3889965041400423-89285355002320435-37869167401203158835600242566-25841119043412-7577205700233977-309424911231200730340729558002350995-27641062741389-103857059002369127-24403033241000537169-630535600023821585-2173398139810044-696474561002405196-186715842454724-937411620024962475-130151254800336139-2373922227630025092935-11604332861117531-297343224564002550348-926203309794786-2263032291650026444145-569165187600658588-0922682339660027754905-190502882091921702392400670026155285-629101792511222462085242468006573964023440010791236571865248469006765-384026403715931133167254270007715-084118200242591362146256771008265-339033931941560126257872009065-31502614486134282273009885-29906014353333104270874001073-2850211287243206865268275001160-26402350459572481760012485-254023204404752484770013385-24100121290797252942780014305-22500110198396152930790015235-21500115217990204852866800016105-24871124311381050300681001713-19500截至20221216PVC期货2305合约收于6398元1722817714485309782001809-18400538351160713653000830019055-1780064043512249784002003-16900吨较上周6269元吨上涨206从T型报价来看91212555632311785002101-16200862424667263081860021995-15400行权价7000看涨期权成交活跃行权价7000看涨期362033333263176870022985-14800532130000183051880023975-1440033000042496890024975-13600权持仓集中度较高行权价5500看跌期权成交活跃1881435000018322490002595-1330026000025249391002695-12800491057500135323192002795-12400行权价6000看跌期权持仓集中度较高标的价格在783173333125326993002895-119002803610000011328194002995-116005700-6800运行为主