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。

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2月5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卖出看涨期权参考行权价格前期卖出看涨期权离场如有期货多PTA期权563826482419065TA305期价震荡5900及以上单可买入看跌期权对冲参考行权价-362342-644-01552006000波动率中性格5400及以下观望前期卖出看涨期权离场新仓观望塑料期权827914631697093L2305期价震荡-277-257-15500579008700波动率中性观望前期卖出看涨期权离场新仓观望PP期权796314711657110PP2305期价震荡-235-173-08100075008300波动率中性卖出看跌期权参考行权价格前期卖出看涨期权离场如有期货多PVC期权622619922173060V2305期价震荡6100及以下单可买入看跌期权对冲参考行权价-702527-05300059006900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2月3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TA305CZC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1470-71797146502616751538146812446700015410-7579224700258191250115627632710-7858754750255711476254363160002580-81082854800255814120068441411953-1047765548502501160001950149350001846-9717304900249920526154717332820-94469149502475242139521338400065114-100364650002471295351224344496811-120455551002436421201776163430005675-147546814735200244761542417242060495292-636442244853002441855491237625202000891267-10223602287540024461165591212518392737829-981303523665500245915565323384376100022831104-1362241229256002412195400276125021147855-1466195231957002462251613687105134671543-1590156234358002483311614743514023072327-186712223505900252337961625940458952476-2000962380600028654775119614224415201243-21057524096100277954484713731417871103-2215582434620063759820172截至202323PTA期货2305合约收于5638元吨12911127-2203462485630072895628419461077-247335250464008145838065较上周5850元吨下跌362从T型报价来看行93655835-2500272535650090778503932413354-2807205255966001001729024权价6500看涨期权成交活跃行权价7400看涨期权28043207-31111552581670010966720204626917-2857125263868001193633015持仓集中度较高行权价5500看跌期权成交活跃1088696-28571026876900129059101560672104-22738527627000138855507行权价5000看跌期权持仓集中度较高标的价格在857485-17657281871001486552001212801052-21435528517200158554900215200-6000运行为主24311769-181845289973001685466031388495518111153074740017955034360期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose120600015060005600560009010052005200060480048000500304400440000040000004000PTA期价震荡期权持仓量PCR下降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-HVHV30VIX45600070124060856003550430520040025480030-42020-844001510-121040000-16波动率指数走弱目前处于偏低水平实际波动率上升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3530252015202323202322202321202313120231302023120主力期权整体隐波水平有所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00-59917896500050000121000-632168966000500007960040-669158967000500008700-7111489680005000013600-7581389690045800001088500740-8051290700063000026143530-859119271004580000212660-9251094572001918101222215892274002424-983100073001873135800018513714420-112090074001858195625022455386320-1300800750018142640541524376300670-12317265760018083734553122741060-132364257700179050529492712771720-1424563780017646722943643802001320-15354887900177391522822473231792-162542017038000177212052111187428221381-25963195143081001814161243237129710029447-25542741544820017962002085252403536183-295221851525830018272522145146312310204-309517851564840018283061977442380361187-323914415958500193238022588253200229-3487113160686001937445520413320618352-347791164687002102536229410108408424-351472167488002029600518332689314130-34485717048900207468317052411413881208-333345173490002424800205720121截至202323塑料期货2305合约收于8279元吨161556-30773617719100845513110673011608-27852851802920093651216067较上周8515元吨下跌277从T型报价来看行4021289-2203231840930010291124043258450-15911851876940011241047023权价9200看涨期权成交活跃行权价9000看涨期权35774-31315519279500127214442321281413041319759600131791100持仓集中度较高行权价7400看跌期权成交活跃93201250919539700141585100570-3636359800151479900900-5000299001613575300行权价7400看跌期权持仓集中度较高标的价格在620-400015100001711697007261503500045102001911634007900-8700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-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下降波动率价差有所扩大波动率微笑主力期权波动率微笑3025201510202323202322202321202313120231302023120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00-841156964000500007300-89314696500230000378180000-952136966000500007650-1019126967002105611000011140160060-108511705680019796533333849220-1166107256900193592600044412140070-1251976700018931251777853318120020-1349881571001894191533313651180-1451789572001820241000033994671000310-156570057300178733736826633551050-1682615574001783476491442685800660-181353575001753635000780887942-15944807600173684543224724746003460-2097390770016851075319012945114523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