截至2022/12/30，PTA期货2305合约收于5540元/吨，较上周(5406元/吨)上涨2.48%；从T型报价来看，行权价5600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5400看跌期权成交活跃，行权价5300看跌期权持仓集中度较高，标的价格在5000-5700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2023年1月2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5600及PTA期权554019862414092TA305期价有压力5600及以上以上248-163142-00550005700波动率中性如有期货多单可卖出看涨期权对冲观望塑料期权815917061773093L2305期价震荡卖出虚值2-4档244107-087-02077008500波动率中性如有期货多单可卖出看涨期权对冲观望PP期权782516431758114PP2305期价震荡卖出虚值2-4档272077-024-00375008200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626318682271073V2305期价有压力6600及以上6600及以上120-278-02600257006700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30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5746066839546500500011735018000910179798470005000046761580191748475046260500070319416000246020569848004339050004043912460221648485040530500013419140003396497613490037690500010211858120005100262548495034850500017277310597374452050003203050001868128421000013927119354215100263805-5000195180258000360698413093245200207205-833313195142635154343919482301378530018712-7647439001677260006963955621101321200540016117-725568561119914000162116886310205413205500164533-49233969299151516574480-28617152356001951975-26974140170620001154437880-9095173857002404185-164820566981038311502000151943580030122815-1134573261058474888000052152590044903915-600667242163364510000526326000502-271017247790000530946100602-22703527353000056200702-196033截至20221230PTA期货2305合约收于5540元120200000563007645-63131554840000056400910-0665948吨较上周5406元吨上涨248从T型报价来看2718000005650010115-044142521900000566001108-072648行权价5600看涨期权成交活跃行权价6000看涨期19900000567001202-11502836500000568001302-106033权持仓集中度较高行权价5400看跌期权成交活跃18500000569001402-09902316700000570001502-092025行权价5300看跌期权持仓集中度较高标的价格在12300000571001602-08701312600000572001702-0820245000-5700运行为主12800000573001802-07702012500000574001902-07302514400000575002002-06903217200000576002102-06603728300000577002202-063034期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose12064001506400600060000905600100560006052005200480005048000304400440000040000004000PTA期价偏强期权持仓量PCR高位震荡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明显回落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-HVHV30VIX60640070165560125060008504556004404035520003030-448002520-82044001015-121040000-16波动率指数弱势运行目前处于中性偏低水平实际波动率下降波动率价差有所扩大关注后市波动率变化波动率微笑主力期权波动率微笑3530252015202212302022122920221228202212272022122620221223主力期权整体隐波水平有所上升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00-013157856500713333258100-0131480660015521000610640040-0141382567007500009600-012128656800115000013635000-0171191569001650000151530-0181098570002125295255372253310-015100871002086365123166280300460-016920720020484522720848810-018834573002012555-513259751125000-0207537400197668-111143038300-015675575001963855-1320103194200670-025601576001931104-1647119167610-0195325770019201285-1710482261501563-6074411013780019521635-14173733617714634436152979001891189-180028212100180299563895163480001902230-166777186172315563231575810018922725-16414316625665707280162482001912325-148123104501724842823151606830019273815-135987918511440119451623840050804001530264219160159161885005770350119187163462136166386006500230922443945141125167987007270210213724922298951670880080750250226452542374169389008910220395710714356017059000977021030截至20221230塑料期货2305合约收于8159元1163-6524391001000-597335392000365920011555017023吨较上周7965元吨上涨244从T型报价来看24520172295930012480160037037524442894001341501500行权价9000看涨期权成交活跃行权价9000看涨期27951934292359500143650140032000001359600153301600权持仓集中度较高行权价7300看跌期权成交活跃510000105970016300150029000089800172750120070000069900182601100行权价7300看跌期权持仓集中度较高标的价格在490000451000019250100011011140006102002122009007700-8500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回落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明显下降目前在中性水平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上升波动率价差有所收紧波动率微笑主力期权波动率微笑3025201510202212302022122920221228202212272022122620221223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00034133664006-7690580004112395650021191447371346190000039114466002117195344887765004310505670021122652619281328006004795956800200329-333185260700468716900192534-18074532917007004578557000188843-23217014596003005070471001866555-255059728612005662657200189376-2165150307500740054553573001848925-25403921957231171539148674001862120-228316179400771211794695152175001853149-2260622341174711454041537760018281805-2319148788300276193114534551558770018402225-2124944992351137592835151778001847269-1982653142003173236532365153179001861322-18174837226612610512051603800018963835-15992117291003321154231601555810022104945-572127902281045141331587820019815225-12481550122015211171145164883006685-0670359216110180798170184007485-06001262822052105805172185008315-060054541000103858516708600918-049031020156015484851704870010065-045010截至20221230PP期货2305合约收于7825元吨182103077425176488001097-045014181314510371816890011895-04203较上周7618元吨上涨272从T型报价来看行3672735902651779900012835-0390012712533323182791001379-03600权价8700看涨期权成交活跃行权价8700看涨期权156000011920014755-034001261352911593001573-03201持仓集中度较高行权价7000看跌期权成交活跃924769211594001671-03000493466677595001770-02800行权价7600看跌期权持仓集中度较高标的价格在3300003596001869-027002400002597001969-025005430400007598002067-024007500-8200运行为主560000199002167-0230062204500055100002267-02200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波动率指数维持震荡目前在中性水平关注后市波动率变化实际波动率上升波动率价差有所收紧波动率微笑主力期权波动率微笑25201510202212302022122920221228202212272022122620221223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00-02712955495024218-1111438868看涨期权持仓量看跌期权持仓量平值档位70-028124755000242810-90918524910-039115251002419145-121258197160010-047105952002407205-1458023600-0569685300234426-223925354100-07987955400230234-2609844611400400-09479455500228946-252021631208120-11871355600226360-25935361325390-14763657002284815-2201550120012001302235587214558002257103-2197445527231200-23749451951590022841345-18484015271000640344-079441208460002264166-18022991429210102-0653852131610023182115-136725341062331229834552258620023372585-1162267748800931359-1042855218163002374313-9283667741469574-20324152186640024023715-78221148510556370242095224365002479441-5168501045600612229057177226066002336487-846655711387238508155232867002569584-31510026640525711021362394680026376635-21412724001069233113311323956900750-086011444731694185699245470008325-0660252004062862574855249671009175-054034101723091722515720010055-040021761922475452452730010955-02706014230267645246474001187-021021050933684392509750012805-016035610688938262776001375-0110272208571325265677001471-003001864710000282688780015675-0030014541272725274079001665000001546172117651852686800017635006013234113077158100186200500截至20221230PVC期货2305合约收于6263元1780-3000358200196150080065610371431658300206100702740-200028400215900002吨较上周6189元吨上涨120从T型报价来看990-25001585002259009021100-333318600235900800行权价7000看涨期权成交活跃行权价7000看涨期84980000987002459008008111150000888002559008007733140000758900265900800权持仓集中度较高行权价5500看跌期权成交活跃1925013000079000275900700361211000069100285900700660000059200295900700行权价6000看跌期权持仓集中度较高标的价格在1000000059300305900700664111400007594003159006005700-6700运行为主