【基本面信息】
　　 ·橡胶：截至2022年12月16日，上期所天然橡胶库存174822（2946）吨，仓单146900（10920）吨。20号胶库存35120（806）吨，仓单31339（0）吨。
　　 ·PVC：从PVC来看，上游企业受液氯倒贴扩大影响，亏损面增大，企业下调开工率。与此同时社会库存继续走低，供应面改善。近期出口数量有所增加。
　　 ·甲醇：上游开工75.14%，环比+0.56%。库存方面，港口库存总量报64.41万吨，环比+7.99万吨，企业库存环比2万吨，报51.68万吨，高位去化。
　　 【行情概要与期权分析】
　　·标的行情：沪胶维持一周多以来的多头趋势方向上高位宽幅矩形区间盘整震荡，周跌幅0.34%报收于13100；甲醇超跌反弹回暖上升后连续报收大阳线，偏多头市场行情，而后区间盘整，周涨幅3.40%报收于2591；PTA超跌反弹“V”型反转连续六天报收阳线，突破上涨，短期市场行情多头情绪较浓，周涨幅7.14%报收于5384；塑料一个半月以来沿着20天均线多头方向震荡上行，周涨幅2.64%报收于8223，聚丙烯形成短期趋势方向上震荡上行突破上涨，周涨幅2.71%报收于7925；PVC延续近一个月以来的偏多头上行温和上涨趋势，周涨幅2.81%报收于6301。
　　·日均成交量：上周能源化工类橡胶期权日均成交量小幅下降增加，而PTA期权日均成交量则大幅度增加，其他能源化工类期权不同程度减少。橡胶期权日均成交量增加0.44万张至2.72万张；甲醇期权日均成交量减少6.99万张至19.89万张；PTA期权日均成交量大幅度增加8.56万张至42.27万张；塑料期权期权日均成交量减少0.96万张至0.30万张，聚丙烯期权日均成交量减少0.32万张至0.59万张；PVC期权日均成交量减少3.21万张至1.04万张。
　　日均持仓量：上周能源化工类期权日均持仓量橡胶期权小幅度增加，PTA期权日均持仓量大幅增加以外，而其他能源化工期权日均持仓量均大幅减少下降。其中橡胶期权日均持仓量增加0.18万张至6.55万张，甲醇期权日均持仓量减少2.19万张至14.16万张，PTA期权日均持仓量增加1.47万张至26.61万张；塑料期权日均持仓量减少1.27万张至0.58万张，聚丙烯期权日均持仓量减少1.26万张至0.86万张，PVC期权日均持仓量减少4.82万张至2.31万张。
　　持仓量PCR：一般认为期权的持仓量PCR为1.00时是多头和空头的分界线，期权持仓量PCR站在期权卖方的角度看标的行情的走势。上周橡胶期权持仓量PCR小幅盘整报收于0.47，甲醇期权持仓量PCR小幅上升报收于0.65，PTA期权持仓量PCR直线上升报收于1.28，塑料期权持仓量PCR逐渐下降报收于0.83，聚丙烯期权持仓量PCR快速下跌报收于1.25，PVC期权持仓量PCR维持较低水平报收于0.59。
　　 ·隐含波动率：上周能源化工类期权隐含波动率普遍小幅下降，其中PTA期权的隐含波动率下降幅度较多。截止收盘，橡胶期权隐含波动率窄幅波动报收于20.50%，甲醇期权隐含波动率持续下降报收于20.95%，PTA期权隐含波动率报收于24.61%，塑料期权隐含波动率小幅下降报收于18.69%，聚丙烯期权隐含波动率报收于18.25%，PVC期权隐含波动率报收于25.31%。
　　【结论与操作建议】
　　（1）橡胶期权
　　沪胶延续偏多头趋势方向上的高位宽幅矩形区间盘整震荡；橡胶期权隐含波动率窄幅波动，持仓量PCR维持在较低水平。操作建议，构建卖出看涨+看跌期权偏多头组合策略，获取方向性收益和时间价值收益，若市场行情快速大涨或大跌，则逐渐平仓离场，如RU2301期权，S_RU2301C13250@10，S_RU2301C13500@10和S_RU2301P12750@10，S_RU2301P13000@10。
　　（2）甲醇期权
　　甲醇短期市场行情偏多头趋势，连续报收大阳线后高位盘整震荡；甲醇期权隐含波动率持续下降，持仓量PCR仍维持在较低水平。操作建议，构建卖出偏多头的宽跨式期权组合策略，获取时间价值和方向性收益，若市场行情快速大涨或大跌，则逐渐平仓离场，如MA2302期权，S_MA2302C2650@10，S_MA2302C2600@10和S_TMA2302P2550@10，S_MA2302P2600@10。
　　（3）PTA期权
　　PTA超跌反弹“V”型反转，市场行情表现较强的短期多头信号；PTA期权隐含波动率小幅波动，持仓量PCR维持在较低水平。操作建议，构建卖出看涨+看跌期权偏多头组合策略，获取时间价值和方向性收益，若市场行情快速大涨或大跌，则逐渐平仓离场，如TA2302期权，S_TA2302C54000@10，S_TA2302C5500@10和S_TA2302P5300@10，S_TA2302P5400@10。
　　（4）PVC期权
　　PVC延续近一个月以来的偏多头上行温和上涨，均线呈现多头排列；PVC期权隐含波动率小幅下降，持仓量PCR维持在较低水平。操作建议，构建卖出看涨+看跌期权多头组合策略，获取时间价值和方向性收益，若市场行情快速大涨至低行权价，则平仓离场，如V2305期权，S_V2305-C-6500@10，S_V2305-C-6400@10和S_V2305-P-6300@10，S_V2305-P-6200@10。
　　（5）塑料期权
　　塑料维持近一个月以来的震荡上行温和上涨，5天均线，20天均线和60天均线呈多头排列；塑料期权隐含波动率小幅下降，持仓量PCR

研究报告全文：能源化工期权周报期权研究2022年12月19日星期一基本面信息橡胶截至2022年12月16日上期所天然橡胶库存1748222946吨仓单14690010920吨20号胶库存35120806吨仓单313390吨PVC从PVC来看上游企业受液氯倒贴扩大影响亏损面增大企业下调开工率与此同时社会库存继续走低供应面改善近期出口数量有所增加甲醇上游开工7514环比056库存方面港口库存总量报6441万吨环比799万吨企业库存环比-卢品先2万吨报5168万吨高位去化行情概要与期权分析投研经理标的行情沪胶维持一周多以来的多头趋势方向上高位宽幅矩形区间盘整震荡周跌幅034报收于13100甲0755-23375252醇超跌反弹回暖上升后连续报收大阳线偏多头市场行情而后区间盘整周涨幅340报收于2591PTA超跌反弹lupxwkqhcnV型反转连续六天报收阳线突破上涨短期市场行情多头情绪较浓周涨幅714报收于5384塑料一个半月以来沿着20天均线多头方向震荡上行周涨幅264报收于8223聚丙烯形成短期趋势方向上震荡上行突破上涨周从业资格号涨幅271报收于7925PVC延续近一个月以来的偏多头上行温和上涨趋势周涨幅281报收于6301F3047321日均成交量上周能源化工类橡胶期权日均成交量小幅下降增加而PTA期权日均成交量则大幅度增加其他能交易咨询号源化工类期权不同程度减少橡胶期权日均成交量增加044万张至272万张甲醇期权日均成交量减少699万张至Z00155411989万张PTA期权日均成交量大幅度增加856万张至4227万张塑料期权期权日均成交量减少096万张至030万张聚丙烯期权日均成交量减少032万张至059万张PVC期权日均成交量减少321万张至104万张上周能源化工类期权日均持仓量橡胶期权小幅度增加PTA期权日均持仓量大幅增加以外而其他能源化工期权日均持仓量均大幅减少下降其中橡胶期权日均持仓量增加018万张至655万张甲醇期权日均持仓量减少219万张至1416万张PTA期权日均持仓量增加147万张至2661万张塑料期权日均持仓量减少127万张至058万张聚丙烯期权日均持仓量减少126万张至086万张PVC期权日均持仓量减少482万张至231万张一般认为期权的持仓量PCR为100时是多头和空头的分界线期权持仓量PCR站在期权卖方的角度看标的行情的走势上周橡胶期权持仓量PCR小幅盘整报收于047甲醇期权持仓量PCR小幅上升报收于065PTA期权持仓量PCR直线上升报收于128塑料期权持仓量PCR逐渐下降报收于083聚丙烯期权持仓量PCR快速下跌报收于125PVC期权持仓量PCR维持较低水平报收于059隐含波动率上周能源化工类期权隐含波动率普遍小幅下降其中PTA期权的隐含波动率下降幅度较多截止收盘橡胶期权隐含波动率窄幅波动报收于2050甲醇期权隐含波动率持续下降报收于2095PTA期权隐含波动率报收于2461塑料期权隐含波动率小幅下降报收于1869聚丙烯期权隐含波动率报收于1825PVC期权隐含波动率报收于2531结论与操作建议1橡胶期权沪胶延续偏多头趋势方向上的高位宽幅矩形区间盘整震荡橡胶期权隐含波动率窄幅波动持仓量PCR维持在较低水平操作建议构建卖出看涨看跌期权偏多头组合策略获取方向性收益和时间价值收益若市场行情快速大涨或大跌则逐渐平仓离场如RU2301期权SRU2301C1325010SRU2301C1350010和SRU2301P1275010SRU2301P13000102甲醇期权甲醇短期市场行情偏多头趋势连续报收大阳线后高位盘整震荡甲醇期权隐含波动率持续下降持仓量PCR仍维持在较低水平操作建议构建卖出偏多头的宽跨式期权组合策略获取时间价值和方向性收益若市场行情快速大涨或大跌则逐渐平仓离场如MA2302期权SMA2302C265010SMA2302C260010和STMA2302P255010SMA2302P2600103PTA期权PTA超跌反弹V型反转市场行情表现较强的短期多头信号PTA期权隐含波动率小幅波动持仓量PCR维持在较低水平操作建议构建卖出看涨看跌期权偏多头组合策略获取时间价值和方向性收益若市场行情快速大涨或大跌则逐渐平仓离场如TA2302期权STA2302C5400010STA2302C550010和STA2302P530010STA2302P5400104PVC期权PVC延续近一个月以来的偏多头上行温和上涨均线呈现多头排列PVC期权隐含波动率小幅下降持仓量PCR维持在较低水平操作建议构建卖出看涨看跌期权多头组合策略获取时间价值和方向性收益若市场行情快速大涨至低行权价则平仓离场如V2305期权SV2305-C-650010SV2305-C-640010和SV2305-P-630010SV2305-P-6200105塑料期权塑料维持近一个月以来的震荡上行温和上涨5天均线20天均线和60天均线呈多头排列塑料期权隐含波动率小幅下降持仓量PCR持续下降仍维持在080以上操作建议构建卖出偏多头的宽跨式期权组合策略获取时间价值收益和方向性收益若市场行情快速大涨或大跌则平仓离场如L2305期权SL2305-C-830010SL2305-C-840010和SL2305-P-830010SL2305-P-820010一周市场行情回顾期权品种标的合约收盘价涨跌涨跌幅周日均成交量万增减上周日均持仓量万增减RURU230113100-15000-034276-2090570-403MAMA23022591880034010461134800026PTATA230253843200071416716485100-229LPGPG23024369-11000-251394270433228LL23058223128002642266153333362024PPPP23057925137002712602172631651598PVCV23056301320028110345682458751794期权总成交与持仓上周日均总成交量万张上周日均总持仓量万张期权品种CallPut合计变化PCRCallPut合计变化PCRRU1762696192724543690554286822599654671787053MA11033988589198928-699110808483956804141644-21935067PTA2282181974724256918561608716559510053626613114706061LPG13288971523003-732907311870801819889-4123068L148215613043-9651105313227125844-12714087PP277131315902-3200113381047598569-12634125PVC6819359110410-3213405314451863623087-48173060主力期货合成期权期权标的合约平值期权权利金C权利金P合成价格涨跌涨跌幅升贴水剩余天数到期日RU230113000231008600131454500034450062022-12-26MA23022600405059002582-950-037-950132023-01-05TA2302540091001250053667650145-1800132023-01-05PG2302435015020120204380-5800-1311100162023-01-10L2305820033400305008229-2100-025600762023-04-12PP2305790032600290007936-30000-3641100762023-04-12V2305630039200293506399-1850-0299750762023-04-12注平值是以主力月合约call与put权利金相减最小为基准平值合成期权升贴水平值call权利金-pu权利金-标的价格主力期权合约隐含波动率期权标的合约IMP-CIMP-PIMP-T变化MA20UPLOWRU2301207420012050084216723252009MA2302204421542095036258228532312TA2302211027942461225266629472385PG2302293229842951050290630452767L2305182219091869-044183419481721PP2305184518121825-072180519391671V2305265023402531-047260628132399主力期权合约持仓量PCR期权标的合约量-Call量-Put量-PCR变化持仓-Call持仓-Put持仓-PCR变化RU2301189179091048-0052564511943047001MA23028732076671088-0045753737652065002TA230230617832215210501096092122835128058PG2302128817478058-032119557792065-000L23051668197111800132232684083003PP23053102494615905938684824125-004V230561863866062018152728946059002数据来源wind资讯五矿期货期权事业部标的价量关系图1橡胶主力合约走势图1400070成交量万收盘价601350013090005013000401250030120002011500101100002022-06-202022-09-262022-10-242022-06-152022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-16图2甲醇主力合约走势图3200300成交量万收盘价3000250280020025670026001502400100220050200002022-08-092022-09-072022-12-162022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-13图3PTA主力合约走势图7500350成交量万收盘价30070002506500200600015053520010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