截至2023/2/10，PTA期货2305合约收于5460元/吨，较上周(5638元/吨)下跌3.16%；从T型报价来看，行权价6500看涨期权成交活跃，行权价6500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5200-6000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2月12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5900及PTA期权546025842411045TA305期价震荡5900及以上以上-316-064-008-02052006000波动率中性观望观望塑料期权814212911594085L2305期价震荡-165-172-103-00879008600波动率中性观望观望PP期权783412641575099PP2305期价震荡-162-207-082-01175008300波动率中性持有卖出看跌期权参考行权价格卖出看跌期权参考行权价格6100及PVC期权624616212065048V2305期价震荡6100及以下以下032-371-108-01260006900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2月10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1390-1412857546502487910000699813421100001540-1469810470024741159167177817032710-15377625475023991373333296192390002526-20336804800242117584219723388280001944-2222626548502412228333563515261900-17596255490023922774199599365070002820-1839581549502385335763262701770600065210-2809480137150002395427500122496342500072857-26294275222251002379615708349403335690446-29053532223520023838856698560237554000747731-3175287223653002390123618456053134300011631012-321023823535400238116455453823227434071997-34321895237355002421217517551662860200033502499-38251445234156002501281494730823404100027282129-39201142396570024673425418278297359176344-41288752421580025034163752553675031173290-423167524635900258149753446320504931810111-44515052480600027205865322444753428174624-453938525206100151062619697053226863516-49092825296200730520350180截至2023210PTA期货2305合约收于5460元吨37027562-511621256463008005152627336077345-515216260864009161684063较上周5638元吨下跌316从T型报价来看行3839523664-4314145274765001011152803951226992-50001027316600110751406024权价6500看涨期权成交活跃行权价6500看涨期权42532778-5161752761670012045129402034273228-5200628206800130251199015持仓集中度较高行权价5000看跌期权成交活跃17192223-47375289369001401111501578644322-400045299670001500104207行权价5000看跌期权持仓集中度较高标的价格在31083676-4167353031710015999750121219453-4000331047200169859160215200-6000运行为主23511344-37502531627300179886403046293753300033366740018988180368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波动率指数较前期有所回落目前处于中性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302520152023210202329202328202327202326202323主力期权整体隐波水平有所下降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00-346164665001100002120000-3681546660005000079120040-392144667000500008700-4201346680005000013600-4521246690010000971000720-48911465700041000041567622-9671000710035000019610820-1089900720017387515384973588006420-124780073001700114763165400640-7137627400166416-5882270439830-7886727500162723-11544327850600670-88058557600161134-11699163151060-98450477001589485-11827374871420-110242878001585695-97445154140016088-207832412067900157596-813576604263238-16332871482800015911325-433453771230371-1972228147781001571172-39110651001200800718-228917851482820016232285088218520539517-215114615578300165729032096332331317-2542110154984001691358468432420717600-252286158785001766436565964260421485-255765516108600186752281952196447528-2256515165687001846598566853144847950-191940169488006875684098678910-178130171589007775643012418911566-76924176690008706100119截至2023210塑料期货2305合约收于8142元39615740001851799910096455700674971214153815185192001061536047吨较上周8279元吨下跌165从T型报价来看5231213333312189593001200879242138580358339594001300833323行权价9000看涨期权成交活跃行权价9000看涨期360650006950013564430212810-600019600145440400权持仓集中度较高行权价7500看跌期权成交活跃1130-6667059700155438100771025000359800165437000900000059900175434800行权价7500看跌期权持仓集中度较高标的价格在82104000025100001854329007358300002102002054296007900-8600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变化不大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波动率指数走弱目前处于中性偏低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30252015102023210202329202328202327202326202323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00-402143264001520000158700-4311332650005000078180000-464123266000500007650-50311326700188635250004144160060-54910336800186155120003045620-59893556900179675666726425140070-65783957000181713625049329120020-72274557100169115153843555880-80165457200164721523830225651000310-8995677300161131-46227166251040-100248574001595455-521388649800126147-1174406138775001572645-65273297110746-139533314097600156591-52114571170600369146-15112725146577001544123-502316707221252-17942151469780015631675-147393833400633444-2043167514857900159722216010410467961715-2199129515118000159528021970875200753298-24429751524810016563525475436880843597-23477515648200207346951578227617361102-24495551582830017475106032451573439953-22224216188400606581105598931141-153833167385006945751010114942197-109124516998600808100128524391023789205177687008795648033截至2023210PP期货2305合约收于7834元吨376596153815179488009755603014382644411812184689001072555603较上周7963元吨下跌162从T型报价来看行131051381821019099000117152100238455114297519339100127048700权价8600看涨期权成交活跃行权价8700看涨期权184122500079200136844300280226667559300146841101持仓集中度较高行权价7300看跌期权成交活跃1110000059400156839800560000059500166837300行权价7600看跌期权持仓集中度较高标的价格在7500000596001768351004300000597001868332007400000598001968314007500-8300运行为主6800000599002068299003509830000210000216828500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有所下降看跌期权成交占比在中性水平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偏低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2015102023210202329202328202327202326202323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00-24412794950261225400001611171看涨期权持仓量看跌期权持仓量平值档位80-2541229500026343525000135710-271113051002526451250010515400010-296103155200239555571447856010-3219355300230775153845445350-3508405400220910-909185116883500405-1441665555002149145-194432561853111-48765456002082205-267939602096291-118953057002029295-289239873340300010522-981469109858002004435-2750943163727485-8104085170659001993635-2440115713462500628371-80034518616000200992-196526012058464434-1250273180161002013127-16171655202119691233-146521851843620020861765-94913822355200033291388-12321815197063002109229-691537153338062485-14551411982640017272495-1793538156429252599-142311152034650022603655-0811871343150023131673-11948852093660024074485216228131419201214-65471521676700267254558333164638982455-08757222668006215428081110002194841941465229969007084040235190216662258139238770007975371027650021958673556305242171008895337012616825145000242459720098353090591262760772719525157300107952910430700226113331625737400117652710228394491700013526417500127525303438342000010526667600137352350236313500092735770014732190017611500009287478001571195002026250003526097900167119500504323091000005529098000177118401332300000522828100187117400截至2023210PVC期货2305合约收于6246元6163750000329028200197116500712256400002529458300207115702187101400002530538400217115002吨较上周6226元吨上涨032从T型报价来看21422400002585002271143023370000058600237113700行权价7000看涨期权成交活跃行权价7000看涨期77000005870024711310096000005880025711260010393000028900267112100权持仓集中度较高行权价5700看跌期权成交活跃238000005900027711170013380000591002871113001310000059200297110900行权价5700看跌期权持仓集中度较高标的价格在1893300002930030711050016584910000194003171102016000-6900运行为主