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15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前期卖出看涨期权离场如有期货多持有卖出看涨期权参考行权价格PTA期权558019522321072TA305期价震荡单可买入看跌期权对冲参考行权价5600及以上47713118701250006000波动率中性格5400及以下前期卖出看涨期权离场新仓观望卖出看涨期权参考行权价格8200及塑料期权826817921731081L2305期价震荡以上295-001-056-03578008600波动率中性前期卖出看涨期权离场新仓观望卖出看涨期权参考行权价格7900及PP期权789716961738105PP2305期价震荡以上263005047-01275008200波动率中性前期卖出看涨期权离场如有期货多持有卖出看涨期权参考行权价格PVC期权646918352169061V2305期价震荡单可买入看跌期权对冲参考行权价6600及以上128-244-075-00460006900波动率中性格6400及以下注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13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540106783046503095110000334534912000210114278054700270605-50002664229344012217305475027661-3333484231945121037284800274315-2500252527871000067014396324850257315-500078254925101015675834900259025-44449864265080002112152452554950254635-461511174306021514835215535000246745-526325195100886000526488453046352001510024039-5263186847267393687563636919745200233517-534214047496532742707713428119755300227931-5194203056971400057429815953120820975400223654-49302031551987833285151213714521245500228593-43814507222420007765271601526396215156002291143-39921295760418113655188106052180570023762095-346351336097433603823636372225580025212885-2972721398039163141927500225229159004335-142401416511393593500013523596000528-1237015294920272433338242561006245-1091043276155838000045246962007225-969011截至2023113PTA期货2305合约收于5580元吨30186287400002525146300821-87801330241286300002269264009205-795016较上周5326元吨上涨477从T型报价来看行1418522000015283265001020-72705838100000566001120-667022权价6000看涨期权成交活跃行权价5800看涨期权10800000567001220-61501917700000568001320-571016持仓集中度较高行权价5000看跌期权成交活跃10200000569001420-53301311581200001570001520-500019行权价5000看跌期权持仓集中度较高标的价格在7500000571001620-4710138400000572001720-4440165000-6000运行为主11500000573001820-42101916300000574001920-40001619000000575002020-38101618800000576002120-36402246200000577002220-348023期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose12064001506400600060000905600100560006052005200480005048000304400440000040000004000PTA期价震荡偏强期权持仓量PCR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有所下降目前在偏低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-HVHV30VIX5564007085060006044550405600035405200-43030254800-820204400-1215101040000-16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302520152023113202311220231112023110202319202316主力期权整体隐波水平有所上升波动率微笑偏中性关注市场情绪变化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0064117276500251500024108900683162766001-333309770040723152767002-3333097007731428680035-30000136008261330690055-31250151600751596120070002064141667158294540953113757100202518000191327500660103010447200198423-11547753111011029527300193929-205568645700119286357400191738-2475102348440000128477757500189149-2794636523670138369557600187063-296132838130010691499617577001852805-303041438917270187855651387780018401025-3003521252155942182494151879001816127-30604543562001831201971416146580001813159-293334336622317823353645155881001815197-277117813710040035724903111587820018252415-258123320652848726752631611830018602955-23059413934854127992195162484001914358-200932127041652729891825164285001979427-17331410922223935961551688860020004935-1636611183784063934127517038700591-11460216396134041102517058800668-107502266813460984172689007485-10140318383285455665517189000800-13042054截至2023113塑料期货2305合约收于8268元1522062865717809100919-8960381362596415435176692001000-9212447吨较上周8031元吨上涨295从T型报价来看3331827561361798930010995-7990034831806528180194001193-75200行权价9000看涨期权成交活跃行权价9000看涨期380132113042451855950012875-7140030704706125960013835-67400权持仓集中度较高行权价7400看跌期权成交活跃710583395970014805-639005705556798001578-6070090066675990016765-57900行权价7400看跌期权持仓集中度较高标的价格在4907500351000017755-551001433200003102001973-501007800-8600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下降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30252015102023113202311220231112023110202319202316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00902145164002-42860730096913525650035-36360769000010381254566006-33330765011141157567009-35710206800601202106256800199117-1707438640201300969569001938215-283360659370070140987857000189928-34129275156002015227917100188638-34481043474150165770772001846485-37823275685003811143960873001847655-3641237349119912446575141274001820835-372228434940010936259150051469750018021065-3661267671119672478423144176001835141-32546914933004241972797366152277001803172-3281591546200177320131551591780018202155-30265045842003292163283263159979001851267-2735439750669987336421651604800018643215-254913780610056255133841761607810018993845-2318933610604781398114751652820019344525-2124955893294724286120167083002070539-17391537134335347739751692840021426195-1560101166171119637383517548500720-12140615823002721568177786008045-113501174632229833595184687008915-1067010截至2023113PP期货2305合约收于7897元吨318381104444618388800981-10040142431671235338187089001073-94503较上周7695元吨上涨263从T型报价来看行49221715600321910900011665-890001634218889261932910012615-83900权价8700看涨期权成交活跃行权价8600看涨期权138069231192001358-7930011807778893001455-75301持仓集中度较高行权价7100看跌期权成交活跃87057145594001553-714004806000495001652-67700行权价7900看跌期权持仓集中度较高标的价格在420100003960017515-6340033010000297001849-61400740200001598001949-585007500-8200运行为主58010000199002049-5580012016900005100002149-53300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-HVHV30VIX50110004684510500414010000364359500313090002602585002120800016-4157500111070006-8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2015102023113202311220231112023110202319202316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0026814964950254535133333511038看涨期权持仓量看跌期权持仓量平值档位8027714465500025524580007826310294134755100249165000984408000103181250520024328142928814310345115453002409115455559579203771059554002362155-60617218687000411877101055500232321-1429200114041204478775600230129-17141619162635049179055700225638-2165595137660001300536707558002257525-21057887922490581628559002253705-203463058050004761587495606000224192-20006971473146341486475181461002277123-16336975565074937294195196362002252153-170776978840008476247933605200463002252191-16041197639177813516883032002640023012405-130211507581435210394526052069650022832875-1314515115030001023780982218208766002321347-11253059116331868110118152107670023584115-976417342222998013431522142680024034815-8461902512000119765616131262168690024475555-7491411727016452618291035218970006535-3760881000500656237486222371007335-361056802291929097122527200817-3430486431115372159228673009035-3270430302311432848230674009925-3120212584056078412358750010835-2960319130538530231476001176-285021572312000332513770012705-268002045911364235245178001366-257001753315882222543790014625-2470019392312166719258980001560-2350132315125556162619810016585-22100截至2023113PVC期货2305合约收于6469元218445000018279682001757-21400639020003830018565-2030298066672584001956-18602吨较上周6387元吨上涨128从T型报价来看24612770000885002054-186022842231600008586002154-17800行权价7000看涨期权成交活跃行权价7000看涨期6700000587002254-170007600000588002354-1630010200000589002454-15600权持仓集中度较高行权价5500看跌期权成交活跃19131200006590002554-150001021800004591002654-1450013800000592002754-14000行权价5600看跌期权持仓集中度较高标的价格在1512890000593002854-1350012642471000005594002954-130006000-6900运行为主