【基本面信息】
　　·橡胶：国产胶方面持货方出货积极性较好，买盘氛围一般，接货价格较低，实单成交一般，部分套利盘平仓出货，下游保持刚需低价接货。进口胶市场交投氛围较冷清。
　　 ·PVC：库存方面，华东及华南地区社会库存消化速度放缓，略降至23.70万吨，依旧大幅高于去年同期水平87.95%，物流运输情况缓解后，市场到货将增加。
　　 ·甲醇：基本面来看，2023年国内甲醇产能投放增速不高，全年只有接近250万吨新产能，增速较2022年明显下降，预计在2.4%。
　　

研究报告全文：能源化工期权周报期权研究2023年1月3日星期二基本面信息橡胶国产胶方面持货方出货积极性较好买盘氛围一般接货价格较低实单成交一般部分套利盘平仓出货下游保持刚需低价接货进口胶市场交投氛围较冷清PVC库存方面华东及华南地区社会库存消化速度放缓略降至2370万吨依旧大幅高于去年同期水平8795物流运输情况缓解后市场到货将增加甲醇基本面来看2023年国内甲醇产能投放增速不高全年只有接近250万吨新产能增速较2022年明显卢品先下降预计在24行情概要与期权分析投研经理标的行情沪胶经过前期两周以来的弱势偏空头逐渐下行上周以来宽幅矩形区间盘整周涨幅040报收于0755-2337525212695甲醇上周以来止跌反弹回升大幅上涨突破上行周涨幅560报收于2641PTA超跌反弹V型反转连续两lupxwkqhcn周以来的多头上涨突破上行上周以来温和上涨周涨幅184报收于5528塑料围绕20天均线大幅波动周涨幅144报收于8159聚丙烯冲高回落后连续大幅下跌而后形成低位宽幅矩形区间大幅波动周涨幅153报收于从业资格号7825PVC维持近一周以来偏多头方向上的区间盘整周跌幅084报收于6263F3047321日均成交量上周能源化工类橡胶期权日均成交量橡胶期权大幅度减少聚丙烯期权日均成交量小幅减少其交易咨询号他能源化工类期权不同程度增加橡胶期权日均成交量减少138万张至097万张甲醇期权日均成交量增加263万Z0015541张至2233万张PTA期权日均成交量增加022万张至4121万张塑料期权期权日均成交量增加025万张至097万张聚丙烯期权日均成交量减少000万张至055万张PVC期权日均成交量增加007万张至103万张上周能源化工类期权日均持仓量橡胶期权大幅度减少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251万张至400万张甲醇期权日均持仓量增加202万张至1787万张PTA期权日均持仓量增加112万张至3711万张塑料期权日均持仓量增加023万张至104万张聚丙烯期权日均持仓量增加020万张至127万张PVC期权日均持仓量增加036万张至323万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窄幅波动收于069甲醇期权持仓量PCR急速上升报收于144PTA期权持仓量PCR直线上升后快速下降报收于119塑料期权持仓量PCR快速下降报收于093聚丙烯期权持仓量PCR小幅下跌报收于115PVC期权持仓量PCR维持较低水平报收于071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2176甲醇期权隐含波动率持续下降报收于2285PTA期权隐含波动率报收于1858塑料期权隐含波动率小幅上升报收于1903聚丙烯期权隐含波动率报收于1830PVC期权隐含波动率报收于2379结论与操作建议1橡胶期权沪胶延续一周以来的空头趋势压力线下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SRU2305P1250010SRU2305P12750102甲醇期权甲醇止跌反弹回暖上升连续报收大阳线突破上行形成短期偏多头市场行情格局甲醇期权隐含波动率持续下降持仓量PCR急速上升至较高水平操作建议构建卖出偏多头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MA2303期权SMA2303C265010SMA2303C270010和STMA2303P255010SMA2303P2600103PTA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上周以来涨幅收窄PTA期权隐含波动率大幅下降持仓量PCR较高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TA2303期权STA2303C570010STA2303C560010和STA2303P550010STA2303P5400104PVC期权PVC延续近一周以来的偏多头方向上的区间盘整震荡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-640010SV2305-C-630010和SV2305-P-620010SV2305-P-6100105塑料期权塑料围绕20天均线大幅波动上方有前期高点压力下方有55天均线支撑塑料期权隐含波动率小幅下降持仓量PCR大幅下降报收于100以下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-820010SL2305-C-830010和SL2305-P-800010SL2305-P-810010一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RURU230512695120000401977-6801926180MAMA23020-24810056012041582760-2040PTATA23020-54120018418491782459-2642LPGPG23024238-6100-080935540824391LL230581591940014427945273388052PPPP2305782520700153368810873869704PVCV2305626374000849710-6356404529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PCRRU616335229685-13785057242321578440016-25061065MA11722610611422334026275091917018698817868920219095PTA209780202315412095219709619326717787537114111223092LPG18391135723196350880742210611775338817416053L420755229729249013151685253104212330102PP272427825506-6110257306940126701994121PVC46135640102536981221886813382322503620071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RU23051275053000563001271717000132200742023-04-24MA230200000000-255000-10000000-11900-01-00TA230200000000-550000-10000000-11900-01-00PG23024250628073004240-1620-03818052023-01-09L230582002800032500815512350154-400642023-04-10PP2305780028350269007815-15300-192-1050642023-04-10V2305630028550313006273850014950642023-04-10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MA20UPLOWRU2305238318562176-036210622012012MA2302211225162285214225724502065TA2302181419111858-087233625702101PG2302326027463097128290330372770L2305183819721903004184719481746PP2305181718471830-025180619241688V2305251622752379-057252126982343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RU2305377724380650122031313962069-001MA2302157583118371075-0344513565067144041TA2302210750174955083-021106933126920119-007PG23022328910845047-0322641412392047-002L230540043785095-02456215218093-015PP230542433033071-02157296566115-011V2305616281071320161918413663071003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135006050130001269500401250030120002011500101100002022-07-042022-10-172022-11-072022-06-292022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-30图2甲醇主力合约走势图3200300成交量万收盘价3000250280026530020026001502400100220050200002022-08-232022-09-222022-12-302022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-27图3PTA主力合约走势图6600350成交量万收盘价640030062002506000200580055400015056005400100520050500002022-07-122022-06-2920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