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。

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25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卖出看涨期权参考行权价格5600及前期卖出看涨期权离场如有期货多PTA期权540621492272097TA305期价有压力以上单可卖出看涨期权对冲卖出虚值2-4101-324-16400549005700波动率中性档观望如有期货多单可卖出看涨期权对冲塑料期权79651600186114L2305期价震荡卖出虚值2-4档-32801211502876008500波动率中性观望如有期货多单可卖出看涨期权对冲PP期权761815661782117PP2305期价震荡卖出虚值2-4档-397100006-00574008200波动率中性持有卖出看涨期权参考行权价格持有卖出看涨期权参考行权价格PVC期权618921462297071V2305期价偏弱6600及以上6600及以上-327063-11001057006700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23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5342-224784465031580500018861861040000860-3197285470032131000296506617710-349678547503000100086746953500028110-3756285480027891-3333664669882460-40657954850272515-25003833396830000382415-9015054900270925-166717949365965721-1107450495025533-333310856341625000129090-100541155000249445-250028656166702000011411866-137631355100238610-130428982837546541848-1389235522295200227721-23339575168231500081643189-2435144517955300212740127275078607870515782-30298418635400198373580254884032100001400438001-391040518315500209413451747559617561383234776-4603171837560021932111788152638250001199829164-480065187457002320298514591805450875811494-5000251948580028313981291693191053253582-80000518705900324349651033378174169944997-3333123836000565530122922121182-500005249561006725370032253718000005279462007725321024截至20221223PTA期货2305合约收于5406元107313600005308463008665218394942518600005336664009661903428吨较上周5352元吨上涨101从T型报价来看22000000565001064515712251990000056600120955361845行权价5500看涨期权成交活跃行权价6000看涨期199000005670012645132182736500000568001364119624权持仓集中度较高行权价5200看跌期权成交活跃1850000056900147216602116700000570001572155028行权价4900看跌期权持仓集中度较高标的价格在12300000571001672146013126000005720017721370244900-5700运行为主128000005730018721300201250000057400197212301914400000575002072117031172000005760021721120332810000057700230352471134期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose1506800200680064006400120150600060000905600560010006052005200480048000500304400440000040000004000PTA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偏高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-HVHV30VIX606800701655640060125084560005044056004035052003030-425480020-82044001015-121040000-16波动率指数走弱目前处于中性偏低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3530252015202212232022122220221221202212202022121920221216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00-861154456500216813544000158500-90814465660021031630000209740040-958135067002125232833316000-10141254568002136315231589011035000-10691161690021003918889901065226-17081000700020524714103871692725-14599517100202558511667602013004620-120790072001996729726297944710-13418105730019889058469187437225000-141573174001961110718860433500-14936555750019431346145236200200280-15735847600193616355571283209410-166151777001937198550959613315012953-224142751803780019672434954172343109112-30293395161579001936282424211115510015194-30532971667800019233285380326322315774-3351248164981001929383353491116249491-343721216768200196344734239910550197141-33991835171983001682462519203360131126-37391491698840016795305186832880192115-378712551721850016676015177138629797-4018102171786002162749529453064170112-3881875175787007611690021335458-382473517818800842158202141178-375661518028900926148903181780-36425151825900010121390026截至20221223塑料期货2305合约收于7965元118164-34854318469100110051310027420-29913759200120013152124吨较上周8235元吨下跌328从T型报价来看2292-244232593001283511610019528-260925594001377109600行权价9000看涨期权成交活跃行权价8800看涨期19330-1818225950014721034003200-32561459600156897700权持仓集中度较高行权价7200看跌期权成交活跃510-3529119700166592900200-37048598001762588000410-3810659900186183900行权价7200看跌期权持仓集中度较高标的价格在400-37505100001960799001011533336102002159728007600-8500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塑料期价震荡期权持仓量PCR有所上升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在较高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-HVHV30VIX4011000401510500353510100003030950025525900020850002015800015-57500101070005-10波动率指数维持震荡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有所扩大波动率微笑主力期权波动率微笑3025201510202212232022122220221221202212202022121920221216主力期权整体隐波水平变化不大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00-11381312640019851552444455800-1204121665001767125923102670000-12751122660019853020000325050-1348103067001942375150004913160060-143194068001922485125589023170-152185369001901621066721323070-161376957000189480951271937050030-170269071001857987658852275129-2795540150272001844122567812512224001512-23705121822730017871455344581953920-23704555187174001760176466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