【基本面信息】
　　·橡胶：截至2022年12月23日，上期所天然橡胶库存180613（5791）吨，157740（10840）吨。20号胶34101（-1019）吨，仓单28809（-2530）吨。
　　·PVC：PVC供应受疫情放松管控有所提升，以及生产及运输将有所恢复，预期短期基本面有压力。
　　·甲醇：上游开工75.91%，环比+0.98%。库存方面，港口库存总量报64.48万吨，环比+0.07万吨，企业库存环比0.55万吨，报51.13万吨，高位去化。利润方面，煤炭价格企稳回升，甲醇现货表现偏弱，利润重新走低。需求方面，传统需求整体出现走弱。江浙MTO开工40.76%，环比+0.18%，仍旧处于低位。
　　【行情概要与期权分析】
　　·标的行情：沪胶维持近两周以来的弱势偏空头逐渐下行，周跌幅4.12%报收于12555；甲醇反弹上升受阻回落，形成上方有压力的弱势偏空头趋势，周跌幅3.91%报收于2482；PTA超跌反弹“V”型反转连续两周以来的多头上涨突破上行，短期市场行情多头情绪较浓，周涨幅1.01%报收于5494；塑料一个半月以来沿着20天均线多头方向震荡上行，上周以来涨幅收窄转为弱势，周跌幅3.18%报收于7963，聚丙烯区间盘整震荡一周后，快速回落大幅下跌，周跌幅3.67%报收于7633；PVC上周以来高位回落震荡下行，周跌幅3.37%报收于6132。
　　·日均成交量：上周能源化工类橡胶期权日均成交量塑料期权和LPG期权日均成交量小幅增加，其他能源化工类期权不同程度减少。橡胶期权日均成交量减少0.68万张至2.35万张；甲醇期权日均成交量减少0.19万张至19.71万张；PTA期权日均成交量减少1.58万张至40.99万张；塑料期权期权日均成交量增加0.42万张至0.72万张，聚丙烯期权日均成交量减少0.03万张至0.56万张；PVC期权日均成交量减少0.09万张至0.96万张。
　　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减少，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不同程度均有所增加。其中橡胶期权日均持仓量减少0.04万张至6.51万张，甲醇期权日均持仓量增加1.68万张至15.85万张，PTA期权日均持仓量增加9.38万张至35.99万张；塑料期权日均持仓量增加0.22万张至0.81万张，聚丙烯期权日均持仓量增加0.21万张至1.07万张，PVC期权日均持仓量增加0.55万张至2.86万张。
　　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大幅上升收于0.71，甲醇期权持仓量PCR小幅上升报收于0.74，PTA期权持仓量PCR直线上升后快速下降报收于1.30，塑料期权持仓量PCR快速上升报收于1.14，聚丙烯期权持仓量PCR小幅下跌报收于1.19，PVC期权持仓量PCR维持较低水平报收于0.69。
　　·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22.90%，甲醇期权隐含波动率持续下降报收于21.58%，PTA期权隐含波动率报收于22.14%，塑料期权隐含波动率小幅上升报收于19.10%，聚丙烯期权隐含波动率报收于18.64%，PVC期权隐含波动率报收于24.35%。
　　【结论与操作建议】
　　（1）橡胶期权
　　沪胶延延续近两周以来震荡下行弱势偏空头；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+看跌期权偏空头组合策略，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RU2305期权，S_RU2305C12750@10，S_RU2305C13000@10和S_RU2305P12500@10，S_RU2305P12250@10。
　　（2）甲醇期权
　　甲醇维持近一周以来的震荡下行，上方有压力的弱势偏空头市场行情格局；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，构建卖出偏空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_MA2302C2550@10，S_MA2302C2500@10和S_TMA2302P2450@10，S_MA2302P2475@10。
　　（3）PTA期权
　　PTA超跌反弹“V”型反转而后形成近两周以来的偏多头上涨趋势；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_TA2302C5600@10，S_TA2302C5500@10和S_TA2302P5500@10，S_TA2302P5400@10。
　　（4）PVC期权
　　PVC上周以来高位回落震荡下行，逐渐形成上方有压力的短期偏空头行情；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+看跌期权空头组合策略，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-6200@10，S_V2305-C-6300@10和S_V2305-P6100@10，S_V2305-P-6000@10。
　　（5）塑料期权
　　塑料延续近一周以来的震荡下行逐渐回落，市场行情逐渐转向弱势；塑料期权隐含波动

研究报告全文：能源化工期权周报期权研究2022年12月26日星期一基本面信息橡胶截至2022年12月23日上期所天然橡胶库存1806135791吨15774010840吨20号胶34101-1019吨仓单28809-2530吨PVCPVC供应受疫情放松管控有所提升以及生产及运输将有所恢复预期短期基本面有压力甲醇上游开工7591环比098库存方面港口库存总量报6448万吨环比007万吨企业库存环比-055万吨报5113万吨高位去化利润方面煤炭价格企稳回升甲醇现货表现偏弱利润重新走低需求方卢品先面传统需求整体出现走弱江浙MTO开工4076环比018仍旧处于低位行情概要与期权分析投研经理标的行情沪胶维持近两周以来的弱势偏空头逐渐下行周跌幅412报收于12555甲醇反弹上升受阻回落0755-23375252形成上方有压力的弱势偏空头趋势周跌幅391报收于2482PTA超跌反弹V型反转连续两周以来的多头上涨突lupxwkqhcn破上行短期市场行情多头情绪较浓周涨幅101报收于5494塑料一个半月以来沿着20天均线多头方向震荡上行上周以来涨幅收窄转为弱势周跌幅318报收于7963聚丙烯区间盘整震荡一周后快速回落大幅下跌周跌从业资格号幅367报收于7633PVC上周以来高位回落震荡下行周跌幅337报收于6132F3047321日均成交量上周能源化工类橡胶期权日均成交量塑料期权和LPG期权日均成交量小幅增加其他能源化工类期交易咨询号权不同程度减少橡胶期权日均成交量减少068万张至235万张甲醇期权日均成交量减少019万张至1971万张Z0015541PTA期权日均成交量减少158万张至4099万张塑料期权期权日均成交量增加042万张至072万张聚丙烯期权日均成交量减少003万张至056万张PVC期权日均成交量减少009万张至096万张上周能源化工类期权日均持仓量橡胶期权小幅度减少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不同程度均有所增加其中橡胶期权日均持仓量减少004万张至651万张甲醇期权日均持仓量增加168万张至1585万张PTA期权日均持仓量增加938万张至3599万张塑料期权日均持仓量增加022万张至081万张聚丙烯期权日均持仓量增加021万张至107万张PVC期权日均持仓量增加055万张至286万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大幅上升收于071甲醇期权持仓量PCR小幅上升报收于074PTA期权持仓量PCR直线上升后快速下降报收于130塑料期权持仓量PCR快速上升报收于114聚丙烯期权持仓量PCR小幅下跌报收于119PVC期权持仓量PCR维持较低水平报收于069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2290甲醇期权隐含波动率持续下降报收于2158PTA期权隐含波动率报收于2214塑料期权隐含波动率小幅上升报收于1910聚丙烯期权隐含波动率报收于1864PVC期权隐含波动率报收于2435结论与操作建议1橡胶期权沪胶延延续近两周以来震荡下行弱势偏空头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空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RU2305期权SRU2305C1275010SRU2305C1300010和SRU2305P1250010SRU2305P12250102甲醇期权甲醇维持近一周以来的震荡下行上方有压力的弱势偏空头市场行情格局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空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SMA2302C255010SMA2302C250010和STMA2302P245010SMA2302P2475103PTA期权PTA超跌反弹V型反转而后形成近两周以来的偏多头上涨趋势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STA2302C560010STA2302C550010和STA2302P550010STA2302P5400104PVC期权PVC上周以来高位回落震荡下行逐渐形成上方有压力的短期偏空头行情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空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-620010SV2305-C-630010和SV2305-P-610010SV2305-P-6000105塑料期权塑料延续近一周以来的震荡下行逐渐回落市场行情逐渐转向弱势塑料期权隐含波动率小幅下降持仓量PCR快速上升至较高水平操作建议构建卖出偏空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-800010SL2305-C-810010和SL2305-P-780010SL2305-P-790010一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RURU230512555-53500-41224883401849078MAMA23022482-10200-3911030-0444559-148PTATA230254941220010117170734548-496LPGPG23024278-10400-223696454698337LL23057963-27200-3183107194634661607PPPP23057633-30000-3674404298140152024PVCV23056132-26600-3371067951076094868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PCRRU15281818823469-3776054420712300765077-390055MA90664106401197065-1863117888836958715847016826078PTA189318220581409899-1579211718393317598535991893787096LPG15494113812687538720731610410361264656577064L21755065724041962333809428280912247112PP263329345567-33511148245851106762106121PVC542441319555-8550761702811603286305543068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RU230512500622005030012619-11000-0866400792023-04-24MA23022475430030502488-2300-09255082023-01-05TA230255004050134505406-3250-060-880082023-01-05PG2302430090809600429523600551680112023-01-10L2305800029700328507969-17100-210550712023-04-12PP2305760030600277007629-46300-572-400712023-04-12V2305610035450242506212-2100-0348000712023-04-12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MA20UPLOWRU2305231422522290266212322631982MA2302220521272158-012238726412134TA2302198823782214-050249826832313PG2302278028182796-015288030132747L2305187319261910067183119351727PP2305191518121864065179319151670V2305253623292435-013257127632378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RU2305450429360650271715412230071-001MA2302814011195231470236671249191074-007TA2302144848200366138-006107446139618130-014PG23021811112408069-004163769545058-003L23053111728923406538184365114-004PP230535703523099-00647085610119-001V2305394337240940131605011017069001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135006050130001257500401250030120002011500101100002022-06-272022-10-102022-10-312022-06-222022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23图2甲醇主力合约走势图3200300成交量万收盘价3000250280020026002495001502400100220050200002022-08-162022-09-152022-12-232022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-20图3PTA主力合约走势图7000350成交量万收盘价30065002502006000150540600550010050500002022-07-052022-06-222022-06-272022-06-302022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23标的价量关系图5LPG主力合约走势图650025成交量万收盘价60002055001550001045005400004299002022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23图6塑料主力合约走势图1000075成交量万收盘价9500609000458500308000157500796500700002022-07-212022-09-232022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23图7PP主力合约走势图870090成交量万收盘价808500708300605081004079003020770010750007618002022-09-062022-09-282022-10-262022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-092022-09-152022-09-202022-09-232022-10-102022-10-132022-10-182022-10-212022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23图8PVC主力合约走势图8000180收盘价收盘价160750014012070001008065006060004020550061890002022-08-162022-11-112022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23橡胶期权持仓分布橡胶期权持仓分布图橡胶期权持仓变化图50005000450040004000300035003000200025001000200001500-10001000500-20000-3000120001200013500150001250010000100001050011000115001250013000140001450015500160001650010000105001100011500120001300013500140001450015000155001600016500OIPOICOICHANGEPOICHANGEC橡胶期权最大未平仓橡胶认购认沽合约最大持仓量所在的行权价1800017000160001500014000130001200011000100002022-11-032022-11-112022-11-212022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-162022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23橡胶期权到期日收盘价C最大持仓P最大持仓橡胶期权持仓量PCR橡胶期权隐含波动率06013500OIPCR34055CLOSE3212575001300005004409300451250028040260351200024220301150020025020110002022-06-222022-06-302022-07-082022-07-182022-07-262022-08-032022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232022-12-152022-07-042022-07-142022-07-262022-08-052022-08-172022-08-292022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-06-22IMPVMA20UPLOW甲醇期权持仓分布甲醇期权持仓分布图甲醇期权持仓变化图140005000120004000300010000200080001000600004000-10002000-20000-3000230024502200225023502400250026002700280029003000310032003300340035003600220022502300235024002450250026002700280029003000310032003300340035003600OIPOICOICHANGEPOICHANGEC甲醇期权最大未平仓甲醇认购认沽合约最大持仓量所在的行权价32003000280026002400220020002022-07-212022-08-292022-10-132022-11-212022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-23甲醇期权到期日收盘价C最大持仓P最大持仓甲醇期权持仓量PCR甲醇期权隐含波动率1802900OIPCR552495002800150CLOSE2700451202600250035090240025060073742300220003015210000020002022-06-222022-06-302022-07-082022-07-182022-07-262022-08-032022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232022-12-152022-07-042022-07-142022-07-262022-08-052022-08-172022-08-292022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112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