截至2023/1/6，PTA期货2305合约收于5326元/吨，较上周(5540元/吨)下跌3.86%；从T型报价来看，行权价5800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5000看跌期权成交活跃，行权价5000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8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持有卖出看涨期权参考行权价格PTA期权532618222134060TA305期价偏弱5600及以上5600及以上-386-165-280-03350005700波动率中性卖出看涨期权参考行权价格8200及如有期货多单可卖出看涨期权对冲塑料期权803117931787117L2305期价偏空以上卖出虚值2-4档-15708701402477008400波动率中性卖出看涨期权参考行权价格7900及如有期货多单可卖出看涨期权对冲PP期权769516911691117PP2305期价偏空以上卖出虚值2-4档-166048-06700475008000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638720792244065V2305期价有压力6600及以上6600及以上198212-027-00858006700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2023年1月6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TA303CZC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540-79664154650251435-1250687248358000200-841593547002495500092622336460-90854554750243665-7141314522227000470-97749854800238285-1053200773552860-104845254850237212-400131882325600012913-95741649002318155-88290793271147258-85438018944950230021-455641512945000148122-92933719515000225227-5261691857604000377428-1186256519945100218345-526162994679281544-1533185198652002162745000109082800300031077625-19051275200053002156116526464003252558213101-2361825199754002099168244276439572000715714048-29375052001550021882395551673738658111216-34073020275600231632156812822211000417010985-392917205057002174400444227139453015822-428610211058002547500582201480330212893-52385210859003553620596310159687714637-4615352240600071479401521803891-555622291610081256980454619722-6667123046200912629011截至202316PTA期货2305合约收于5326元吨2333507-5000125126300101257501328241281-33331271564001112525016较上周5540元吨下跌386从T型报价来看行14270-5000056500121248406437200000566001312446022权价5800看涨期权成交活跃行权价6000看涨期权930000056700141241301915900000568001512385016持仓集中度较高行权价5000看跌期权成交活跃1020000056900161236001361420210000170001712338019行权价5000看跌期权持仓集中度较高标的价格在750000057100181231901384000005720019123020165000-5700运行为主1150000057300201228601916300000574002112272016190000005750022122600161880000057600231224802246200000577002415250123期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose12064001506400600060000905600100560006052005200480005048000304400440000040000004000PTA期价震荡期权持仓量PCR回落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有所上升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-HVHV30VIX60640070165560125060008504556004404035520003030-448002520-82044001015-121040000-16波动率指数弱势运行目前处于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302520152023162023152023142023132022123020221229主力期权整体隐波水平下降波动率微笑轻度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00-013151556500558333169113300-0211416566004-200009750040-0231319670065-187509700-02912225680010-1304012745000-03511275690015-11760151520-04310347000271020130337400340-05394357100197836588162378350470-06485557200195646500012238410-084770573001901565-887171269730000-101689574001884725-110466247200-129612575001855905-1381737427250670-155540760018221115-1617488328753413548877001851145-123934732220014320-393403578001799172-15482273381501382-248354790017922105-1460202308119129-5782935158180001815259-1205444399100143151-546251162481002016342-172140105302246-37921551674820020283995-17211511950220345-585177167283002081468-04314098233201-57514751694840021295395028461450354348-77511916918500217961507420109190284-8069717058600682-0730107247199-64380173087007625-059021459619-652645174188008465-04102346897-5455217568900933-032035991522-34542177390001000-239131截至202316塑料期货2305合约收于8031元吨208115-580325177191001113-018036180127926295184392001206-008023较上周8159元吨下跌157从T型报价来看行2311116672451871930013005-0040038352188195188294001396-00400权价9000看涨期权成交活跃行权价9000看涨期权3280-125010595001493003003100-16677596001590500300持仓集中度较高行权价7300看跌期权成交活跃700-2143559700168900600290-200049800178800800800-1429399001887501100行权价7300看跌期权持仓集中度较高标的价格在490-20002100001985000001144233335102002185009007700-8400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明显回落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30252015102023162023152023142023132022123020221229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00-13812875640045-100005800-1531190650010531251065100000-166109466001200007650-17710005670018000012390060-2009085680018612718930633780070-221819569001814345-80034538870-24673470001787455-116578254870030-26865257100177861-1223415358153-8095457200173877-1585166411600542-654486131873001714985-1688703355009070-4424325149974001754133-1163372509146-3593761574750017141625-13566734240011418-915303148876001694200-1342157878300408342-9382561534770017532555-859105517208104-7592191599780017383055-8534833720035863-63518451642790017443645-7376635840593-9231475163180001778433-5569673610042830-71712316708100199453206630284029541-15429051613820020456101163053724322-872785168683006915154037722227-44165172484007751570126357138-09353175185008611470545965324142517708600950144039861444781345179587001041136010截至202316PP期货2305合约收于7695元吨1850-122421517108800113413401419811297324186989001228512803较上周7825元吨下跌166从T型报价来看行34757357119188290001324512200153542861591001421511700权价8700看涨期权成交活跃行权价8700看涨期权1430-133365920015195113001260-1818459300161810601持仓集中度较高行权价7000看跌期权成交活跃900-250039400171751060049101333379500181710000行权价7600看跌期权持仓集中度较高标的价格在330-2500159600191509500340-333319700201509000640-50000598002115086007500-8000运行为主4600000599002215082006200000510000231507800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-HVHV30VIX501100046164510500411240100003683595003130900026425850021020800016-4157500111070006-8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2015102023162023152023142023132022123020221229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0064013544950235535-53334111145看涨期权持仓量看跌期权持仓量平值档位80661130555000243155-38892632381070412085510023547-5000475332250010748111355200232510-512230372007991020553002309145-50855156780085293054002266195-530139464341117239055500224427-52213244125912096275856002234375-5000510166120003611611713557002288555-4365784129613010198265017395800225171-43654525502713482145577518805900226895-402555954361262220775001873600022621215-38177401264150022336323784425200061002256153-36255985376104972463382203162002278193-33104278119345362438324203063002311240-2993560809190588229092842123640033414214862487001000119582030622412145650024083545-2385331108293941731922025216066002454419-215471921519437363617252202670026175025-172241296203827583913144222068002532559-182758272124360049111262295690032627165-628451425006310852358821082343700035498215-313188393553633089235171003600900-36925655048748286452259720036069755-4641482401858551642424730038581080-30117430186535185412265740011275-65502109326388103952389750012205-615031351190633052372760013145-580021562896002452381770014105-54600231191210521242678001507-5160019502143852150790016045-489001780477218181752569800017025-465013248202750015260581001801-44300截至202316PVC期货2305合约收于6387元吨25598316671252626820019005-421006782315750013583002000-394028138533339584002098-38502较上周6263元吨上涨198从T型报价来看行12030750008585002198-3680210020130000786002298-35300权价7000看涨期权成交活跃行权价7000看涨期权8520110000687002398-33800902090000588002498-32500883090000589002598-31300持仓集中度较高行权价5500看跌期权成交活跃18800000590002698-302006731110000691002798-291009620600003592002898-28200行权价5600看跌期权持仓集中度较高标的价格在1302050000393002998-2730094326090000594003098-264005800-6700运行为主