截至2023/2/17，PTA期货2305合约收于5438元/吨，较上周(5460元/吨)下跌0.40%；从T型报价来看，行权价6000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19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逐步止盈持有卖出看涨期权参考行权价格PTA期权543823422211051TA305期价震荡5900及以上-040-242-20000652006000波动率中性观望观望塑料期权822010431532085L2305期价震荡096-248-062-00179008600波动率中性观望观望PP期权787010281511085PP2305期价震荡046-237-064-01475008300波动率中性持有卖出看跌期权参考行权价格持有卖出看跌期权参考行权价格PVC期权633817002026047V2305期价震荡6100及以下6100及以下147079-039-00160006900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17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1240-1258275465023395250021221372790001250-1397785470022796909145940142710-1487305475022918521435077299580002510-1666825480022461051053783037821940-1786355485022231353856120210970001900-191589549002225185885475252560002800-207544549502196225227433227226550-2245015000219229357623175195000745203-1083383189251002168455225322746544000877224-13193061916520021677037046037043819226-127024752066530021821045583081495730001182529-1700185520195400220814872515282589200034822548-159014552129550022111995668878257747824888-17871082154560022832658166173147100051602205-193979218357002398341947368109280124469-2083572213580023404115688191946066212898-2190412252590023944956451186291584111048-2368292284600025955895718853039012581-25932023066100639000153229904931-2821142342620073951090180截至2023217PTA期货2305合约收于5438元吨33266093-379392340630083409707163586642-3333724266400931092061较上周5460元吨下跌040从T型报价来看行3152614144-266755251065001028508803951702079-416735250766001127081024权价6000看涨期权成交活跃行权价6500看涨期权2265579-4444252549670012260780203424599-50002262668001325072015持仓集中度较高行权价5000看跌期权成交活跃17601456-50001526786900142450670157197447-20002292070001524506607行权价5000看跌期权持仓集中度较高标的价格在2384688-500012825710016240590121077000023201720017240580215200-6000运行为主24584090001532267300182405502751232392633332347174001760-8051120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走弱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-HVHV30VIX45600070124060560083550430520040025480030-4202044001510-81040000-12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30252015202321720232162023215202321420232132023210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001481719650005000012190015716196600050000791200401671519670005000087001791419680005000013600193131969000500009710007102091219700005000018576022811195710017952566677201108024610205720016913000393118006402739237300164145-25006934686403058275740016037-33338706738303387347500157211-352923441215600670379643576001554175-3519103937810604215577700151726-37351373102612220649484153278001514405-336158555240015220658405153279001499595-312126373219843592331151680001518885-2563341905237660402541411810015361255-2107210837200856396-249196140582001522167-1932187679677381-5431481407830015952275-1333109381393613-7111111427840015072765-15052227701012517-50385147685001542348-119030317664521305675155186001692437-7228249615409319485156087005335-34401441184110812123716078800618-32109889814522391285165889007065-295012423512938387121516979000798-2740119截至2023217塑料期货2305合约收于8220元445921750017517659100892-25706752422761076913518089200988-237047吨较上周8142元吨上涨096从T型报价来看57368017500111869930010855-2160215753632400085190894001184-203023行权价9000看涨期权成交活跃行权价9000看涨期36103333295001283-1910212260000196001381-17800权持仓集中度较高行权价7500看跌期权成交活跃11300000597001481-166008700000598001581-156009000000599001681-14700行权价7500看跌期权持仓集中度较高标的价格在82000005100001781-1380074716300002102001981-125007900-8600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下降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3025201510202321720232162023215202321420232132023210主力期权整体隐波水平变化不大波动率微笑偏中性关注市场情绪变化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0046614616400110000118700502136165001100009999160000543126166000500007650593116167000500001441400606471061680018032566672643520713962690016923-142992465120070780864700016645-2308788413208707687100161075-347875771910008096767457200158012-4000172369331010825847300153418-43751805732800981618225255161174001517285-424221145751542311805435150275001499435-404110711287600120301886356148276001516675-35108041384346901551275513827700152899-30532927724002495089412035129978001505135-289549810307643137771525131879001562189-23018611142008126931090117138480001589248-1974798657452581895911461810015223045-1997166970968577192765147282001548379-1725417301372165536005115518300487-998013416963884314365157384005715-90703701475168569702816328500690-4179106211910271047621516888600708-13021279309569315385165174087008475-687040截至2023217PP期货2305合约收于7870元吨41910962125012517848800944-6300143640400035154489001042-58307较上周7834元吨上涨046从T型报价来看行1348144433338190290001141-539002764610000055190891001241-48300权价8300看涨期权成交活跃行权价8700看涨期权17711500008215892001339-4630028000000593001439-43201持仓集中度较高行权价7400看跌期权成交活跃1072600003594001539-405005600000595001639-38100行权价7600看跌期权持仓集中度较高标的价格在8500000596001739-360005300000597001839-341009600000598001939-324007500-8300运行为主9820200001599002039-309004041322000015100002139-29500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走弱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201510202321720232162023215202321420232132023210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0008713934950152000041224看涨期权持仓量看跌期权持仓量平值档位800901343500005000032110097124351000500005116000101061143520005-50000514101111043553002267350001226725012394555400219745125025916325001318485550020846-200010792535500011014175355600199285-37041151238128014666155700193213-4091164923291001-27554958001894205-40581213171422810-184639359001874325-3750177125064000493119-222396517266000185950-33331393227237055-56531716846100188377-266776818261862228-9142485168462001901112-2140540221730003318809-102719651758630019491585-1569278146940531311-8431575186564001998214-112015811463645952-113211751868650019932725-96210012732461779-746931958660021703545-39328130020002421686-73869198267002187428-339475254772139809255207268002358518-0961006942293292897425213169005955-18902351824059372545345222070006835-173027610002239124636842622577100775-1520126183871568002123327200869-136059134714351000017240473009645-1230430901881363613244274001062-11202298815420000105250475001160-10203385104250010576001259-094023308650007577001359-088001731130000778001457-0820019900000579001557-076005051729800004580001657-0720133394400002581001757-06800截至2023217PVC期货2305合约收于6338元57100000582001857-064007124400002583001957-0610219200000584002057-05802吨较上周6246元吨上涨147从T型报价来看21100000585002157-0550233600000586002257-05300行权价7000看涨期权成交活跃行权价7000看涨期7700000587002357-051009600000588002457-049009900000589002557-04700权持仓集中度较高行权价5700看跌期权成交活跃23800000590002657-0450013300000591002757-0430013100000592002857-04200行权价5700看跌期权持仓集中度较高标的价格在18900000593002957-0400017972630000294003057-039016000-6900运行为主