【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。
　　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。
　　PVC：PVC生产企业净预售增加明显；供应端开工负荷逐步提升；原料电石价格整体变动幅度不大；下游需求进入季节性淡季；现货市场低价部分成交改善，高价抵触。
　　【期权分析及操作建议】
　　（1）橡胶期权
　　橡胶前一周高位回落后连续报收大阴线跌破21天均线，而下有55天均线支撑，上周以来形成低位矩形区间盘整震荡，涨幅0.63%报收于12705；期权隐含波动率下降0.54%报收于22.36%，持仓量PCR持续大幅上升报收于0.72。操作建议，沪胶延延近一周多以来的弱势区间盘整；橡胶期权隐含波动率窄幅波动，持仓量PCR维持在较低水平。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_RU2305P12750@10。
　　（2）甲醇期权
　　甲醇MA302维持一个多月以来的55天均线以来大幅波动，上周回落逐渐下行，止跌与55天均线反弹回升，涨幅0.76%报收于2508，期权隐含波动率下降0.28%报收于21.30%，持仓量PCR报收于0.67。操作建议，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。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_TMA2302P2500@10，S_MA2302P2475@10。
　　（3）PTA期权
　　PTA（TA302）前周以来低位反弹“V”型反转回暖上升连续报收阳线，先后企稳21天均线和55天均线支撑，形成短期趋势偏多头行情，涨幅0.29%报收于5458，期权隐含波动率下降0.78%报收于21.37%，持仓量PCR大幅下降报收于1.14。操作建议，PTA超跌反弹“V”型反转而后形成近三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。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_TA2302P5300@10，S_TA2302P5400@10。
　　（4）塑料期权
　　塑料（L2305）延续一个半月以来的震荡上行温和上涨趋势，突破10月以来高点，上周高位回落大幅下跌后，止跌与60天均线反弹回升，涨幅0.21%报收于8003；期权隐含波动率下降0.50%报收于18.60%，持仓量PCR小幅上升报收于1.16。操作上建议，塑料延续近一周以来的震荡下行逐渐回落，市场行情低位弱势偏空；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。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，S_L2305-C-8000@10，S_L2305-C-8100@10和S_L2305-P-7900@10，S_L2305-P-8000@10。
　　（5）聚丙烯期权
　　聚丙烯上周连续大幅下跌后，跌破近两周震荡区间下限，涨幅0.12%报收于7657；期权隐含波动率下降0.84%报收于17.80%，持仓量PC小幅上升报收于1.26。操作上建议，聚丙烯震荡回落后连续报收阴线，形成上方有压力的弱势偏空头趋势，期权隐含波动率小幅度下降，持仓量PCR小幅波动，构建卖出看涨+看跌期权偏空头组合策略，获取
　　时间价值和方向性收益，若市场行情快速大涨或大跌，则平仓离场，如PP2305，S_PP2305-C-7800@10，S_PP2305-C7700@10和_PP2305-P-7600@10，S_PP2305-P-7500@10。
　　（6）PVC期权
　　PVC维持一周多以来多头趋势方向上宽幅矩形区间震荡，涨幅1.69%报收于6300；期权隐含波动率持续下降0.94%报收于23.41%，持仓量PCR报收于0.72。操作上建议，PVC上周以来高位回落震荡下行，而后逐渐反弹回暖上升，延续前期的偏多头上涨行情；PVC期权隐含波动率小幅下降，持仓量PCR维持在较低水平。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-C6400@10，S_V2305-C-6300@10和S_V2305-P-6200@10，S_V2305-P-6300@10。
　　

研究报告全文：能源化工期权日报期权研究2022年12月27日星期二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面传统需求整体出现走弱卢品先PVCPVC生产企业净预售增加明显供应端开工负荷逐步提升原料电石价格整体变动幅度不大下游需求进入季节性淡季现货市场低价部分成交改善高价抵触投研经理0755-23375252期权分析及操作建议lupxwkjyqhcom1橡胶期权橡胶前一周高位回落后连续报收大阴线跌破21天均线而下有55天均线支撑上周以来形成低位矩形区间盘整从业资格号震荡涨幅063报收于12705期权隐含波动率下降054报收于2236持仓量PCR持续大幅上升报收于072操F3047321作建议沪胶延延近一周多以来的弱势区间盘整橡胶期权隐含波动率窄幅波动持仓量PCR维持在较低水平构建交易咨询号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Z0015541场如RU2305期权SRU2305C1275010SRU2305C1300010和SRU2305P1250010SRU2305P12750102甲醇期权甲醇MA302维持一个多月以来的55天均线以来大幅波动上周回落逐渐下行止跌与55天均线反弹回升涨幅076报收于2508期权隐含波动率下降028报收于2130持仓量PCR报收于067操作建议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STMA2302P250010SMA2302P2475103PTA期权PTATA302前周以来低位反弹V型反转回暖上升连续报收阳线先后企稳21天均线和55天均线支撑形成短期趋势偏多头行情涨幅029报收于5458期权隐含波动率下降078报收于2137持仓量PCR大幅下降报收于114操作建议PTA超跌反弹V型反转而后形成近三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STA2302P530010STA2302P5400104塑料期权塑料L2305延续一个半月以来的震荡上行温和上涨趋势突破10月以来高点上周高位回落大幅下跌后止跌与60天均线反弹回升涨幅021报收于8003期权隐含波动率下降050报收于1860持仓量PCR小幅上升报收于116操作上建议塑料延续近一周以来的震荡下行逐渐回落市场行情低位弱势偏空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-790010SL2305-P-8000105聚丙烯期权聚丙烯上周连续大幅下跌后跌破近两周震荡区间下限涨幅012报收于7657期权隐含波动率下降084报收于1780持仓量PC小幅上升报收于126操作上建议聚丙烯震荡回落后连续报收阴线形成上方有压力的弱势偏空头趋势期权隐含波动率小幅度下降持仓量PCR小幅波动构建卖出看涨看跌期权偏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或大跌则平仓离场如PP2305SPP2305-C-780010SPP2305-C-770010和PP2305-P-760010SPP2305-P-7500106PVC期权PVC维持一周多以来多头趋势方向上宽幅矩形区间震荡涨幅169报收于6300期权隐含波动率持续下降094报收于2341持仓量PCR报收于072操作上建议PVC上周以来高位回落震荡下行而后逐渐反弹回暖上升延续前期的偏多头上涨行情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-640010SV2305-C-630010和SV2305-P-620010SV2305-P-630010市场行情期权品种标的合约收盘价涨跌涨跌幅成交量万成交额亿RURU230512705008000063198024999MAMA230225080019000769732421PTATA2302545800160002917584783LPGPG230243680061001429448136LL23058003001700021262110466PPPP2305765700900012362313856PVCV2305630000105001691109234360数据来源wind资讯五矿期货期权事业部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RU2305127505400059100126998000063-6001192023-04-24MA230225003600335025031500060-550102023-01-05TA2302550043501110054332150040-2550102023-01-05PG230243507500968043283340078-3980142023-01-09L2305800031200292008020515006517001052023-04-10PP2305770027400294507680505006622501052023-04-10V23056300297503140062848000129-16501052023-04-10数据来源wind资讯五矿期货期权事业部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MA20UPLOWRU2305240718922236-054211622481985MA2302211821402130-028235025822118TA2302194422752137-078246026362283PG2302273126962713-082286630022731L2305182318841860-050183119351727PP2305180717571780-084178919101667V2305244422672341-094254127182363数据来源wind资讯五矿期货期权事业部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RU230544052197050-0151761612613072000MA23026659289116134-0136663644314067-007TA2302170436236518139000105673120979114-015PG230212068124501030351734810030058-000L230513662127156-07938864516116002PP23051680209312502648136066126007V2305467065051390451693512129072003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15000成交量万7014500收盘价60140005013500401300012645003012500120002011500101100002022-08-172022-08-302022-12-132022-12-262022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-222022-08-252022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-162022-12-21图2甲醇主力合约走势图2900成交量万3002800收盘价2700225260024980015025002400752300220002022-06-282022-10-272022-12-212022-06-232022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-26图3PTA主力合约走势图8000320成交量7500万70002406500600054320016055005000804500400002022-07-012022-10-272022-12-052022-06-232022-06-282022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-26标的价量关系图4LPG主力合约走势图700025成交量万收盘价65002060001555001050005450002022-09-022022-10-242022-12-052022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-26图5塑料主力合约走势图1000080成交量万收盘价9500706090005085004080003080150020750010700002022-06-282022-08-222022-10-242022-06-232022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26图6PP主力合约走势图1000090成交量万收盘价809500709000605085004080007687003020750010700002022-06-282022-08-222022-10-242022-06-232022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26图8PVC主力合约走势图1809300收盘价收盘价16014083001201007300806063004020530062850002022-07-222022-09-212022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26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45002504000200350015030001002500502000015001000-50500-1000-1501175011750132501475099009900102501075011250122501275013750142501525015750162501675099001025010750112501175012250127501325013750142501475015250157501625016750OIPOICOICHANGEPOICHANGEC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1800017000160001500014000130001200011000100002022-07-062022-07-272022-06-232022-06-282022-07-012022-07-112022-07-142022-07-192022-07-222022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26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06016000OIPCR34055CLOSE155001500032050145003004514000280401264500135002603513000241250003022120002002511500020110002022-09-072022-06-232022-07-012022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-08-302022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262022-12-162022-07-052022-07-152022-07-272022-08-082022-08-182022-08-302022-09-092022-09-222022-10-112022-10-212022-11-022022-11-142022-11-242022-12-062022-06-23IMPVMA20UPLOW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1400015001200010005001000008000-5006000-10004000-15002000-20000-250033002350330022002250230023502400245025002600270028002900300031003200340035003600370022002250230024002450250026002700280029003000310032003400350036003700OIPOICOICHANGEPOICHANGEC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4000360032002800240020002022-07-272022-09-132022-11-222022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26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2002900OIPCR60CLOSE16028005027004012026003008025002004010249800240000023002022-07-272022-09-262022-11-302022-06-232022-07-012022-07-112022-07-192022-08-042022-08-122022-08-222022-08-302022-09-072022-09-162022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-12-082022-12-162022-12-262022-12-162022-07-052022-07-152022-07-272022-08-082022-08-182022-08-302022-09-092022-09-222022-10-112022-10-212022-11-022022-11-142022-11-242022-12-062022-06-23IMPVMA20UPLOWPTA期权持仓分布PTA期权持仓分布图PTA期权持仓变化图2000050001800001600014000-50001200010000-100008000-1500060004000-2000020000-250005000500068004600460047004800490052005400560058006000620064006600700072007400760078004600470048004900500052005400560058006000620064006600680070007200740076007800OIPOICOICHANGEPOICHANGECPTA期权最大未平仓PTA认购认沽合约最大持仓量所在的行权价8000750070006500600055005000450040002022202220222022202220222022202220222022202220222022202220222022202220222022202220222022202220222022202220222022202220222022202220222022202220222022202220222022202220222022-------------------------------------------091206060707070707070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