【基本面信息】
　　橡胶：截至2023年2月24日，上期所天然橡胶库存197977(-201)吨，仓单186970（1390）吨。20号胶库存35875（2117）吨，仓单27106（454）吨。
　　 PVC：PVC制品企业开工逐步提升，线缆企业以及中大型管材企业开工有所提升。国内PVC型材企业来看，整体开工负荷仍然不高，北方部分企业因后续订单不足，在生产年前订单后后期有降负预期。
　　甲醇：供应端国内开工同比中性偏低，春检逐步展开，伊朗装置延续停车，预计3月进口仍相对有限。利润方面，随着煤炭走低与现货偏强，甲醇生产企业利润出现明显修复。需求端MTO利润仍偏低，港口开工下行，整体表现偏弱，传统需求开工继续回升，需求边际走好。库存方面，本周港口与内地同步去库，整体库存水平中性偏低。

研究报告全文：能源化工期权周报期权研究2023年2月27日星期一基本面信息橡胶截至2023年2月24日上期所天然橡胶库存197977-201吨仓单1869701390吨20号胶库存358752117吨仓单27106454吨PVCPVC制品企业开工逐步提升线缆企业以及中大型管材企业开工有所提升国内PVC型材企业来看整体开工负荷仍然不高北方部分企业因后续订单不足在生产年前订单后后期有降负预期甲醇供应端国内开工同比中性偏低春检逐步展开伊朗装置延续停车预计3月进口仍相对有限利润方卢品先面随着煤炭走低与现货偏强甲醇生产企业利润出现明显修复需求端MTO利润仍偏低港口开工下行整体表现偏弱传统需求开工继续回升需求边际走好库存方面本周港口与内地同步去库整体库存水平中性偏低投研经理行情概要与期权分析0755-23375252标的行情沪胶高位回落后维持近一个多月以来的空头压力线下弱势盘整震荡周跌幅144报收于12525甲lupxwkqhcn醇上周超跌反弹快速上涨回升先后站上21天均线和55天均线形成短期偏多头市场行情周涨幅382报收于2718PTA上周超跌反弹回升后围绕20天均线上下波动上方有前期高点压力55天均线趋势方向仍向上周涨幅从业资格号318报收于5608塑料上周先扬后抑形成高位区间震荡行情走势周涨幅141报收于8278聚丙烯空头压力线F3047321下区间盘整震荡周涨幅073报收于7881PVC2305前一周低位反弹回暖连续报收阳线偏多头上行上周以来交易咨询号延续上升趋势而涨幅收窄形成高位盘整行情走势周涨幅274报收于6459Z0015541日均成交量上周能源化工类甲醇期权和PTA期权日均成交量大幅度增加其他能源化工类期权日均成交量则小幅度增加橡胶期权日均成交量增加033万张至234万张甲醇期权日均成交量增加1360万张至3350万张PTA期权日均成交量增加1495万张至5796万张塑料期权期权日均成交量增加046万张至267万张聚丙烯期权日均成交量增加105万张至253万张PVC期权日均成交量增加125万张至502万张日均持仓量上周能源化工类期权日均持仓量甲醇期权和PTA期权大幅增加以外而其他能源化工期权日均持仓量不同程度均有所增加其中橡胶期权日均持仓量增加079万张至823万张甲醇期权日均持仓量增加443万张至2510万张PTA期权日均持仓量增加668万张至5542万张塑料期权日均持仓量增加032万张至278万张聚丙烯期权日均持仓量增加041万张至345万张PVC期权日均持仓量增加005万张至970万张持仓量PCR一般认为期权的持仓量PCR为100时是多头和空头的分界线期权持仓量PCR站在期权卖方的角度看标的行情的走势上周橡胶期权持仓量PCR窄幅波动收于051甲醇期权持仓量PCR快速上升报收于072PTA期权持仓量PCR持续上升报收于067塑料期权持仓量PCR小幅波动报收于077聚丙烯期权持仓量PCR小幅下跌报收于081PVC期权持仓量PCR维持较低水平报收于050隐含波动率上周能源化工类期权隐含波动率普遍小幅下降回落截止收盘橡胶期权隐含波动率窄幅波动报收于2087甲醇期权隐含波动率持续下降报收于1880PTA期权隐含波动率窄幅波动报收于2076塑料期权隐含波动率小幅下降报收于1549聚丙烯期权隐含波动率报收于1490PVC期权隐含波动率报收于1891结论与操作建议1橡胶期权沪胶高位回落后维持一个月以来的弱势偏空头宽幅矩形区间盘整橡胶期权隐含波动率窄幅波动持仓量PCR维持在较低水平操作建议构建卖出看涨看跌期权偏空头组合策略获取方向性收益和时间价值收益若市场行情急速大涨则逐渐平仓离场如RU2305期权SRU2305P1250010SRU2305P1225010和SRU2305C1275010SRU2305C13000102甲醇期权甲醇上周超跌反弹快速上涨回升先后站上21天均线和55天均线形成短期偏多头市场行情甲醇期权隐含波动率窄幅波动持仓量PCR快速上升操作建议构建卖出偏多头的看涨看跌期权组合策略获取时间价值和方向性收益若市场行情快速大跌则逐渐平仓离场如MA305期权SMA305P265010SMA305P260010和STMA305C275010SMA305C2700103PTA期权PTA上周超跌反弹回升后围绕20天均线上下波动上方有前期高点压力中期趋势方向仍向上PTA期权隐含波动率小幅波动持仓量PCR维持较低水平操作建议构建卖出看涨看跌期权偏中性组合策略获取时间价值若市场行情快速大涨或大跌则逐渐平仓离场如TA305期权STA305P550010STA305P560010和STA305C560010STA305C5700104PVC期权PVC前一周低位反弹回暖连续报收阳线偏多头上行上周以来延续上升趋势而涨幅收窄形成高位盘整行情走势PVC期权隐含波动率小幅波动持仓量PCR维持在较低水平操作建议构建卖出偏多头的宽跨式期权组合策略获取时间价值和方向性收益若市场行情快速大跌则平仓离场如V2305期权SV2305-P-630010SV2305-P-640010和SV2305-C-650010SV2305-C-6600105塑料期权塑料上周先扬后抑形成高位区间震荡行情走势塑料期权隐含波动率小幅波动持仓量PCR维持较低水平操作建议构建卖出偏空头的宽跨式期权组合策略获取时间价值收益和方向性收益若市场行情快速大涨则平仓离场如L2305期权SL2305-P-820010SL2305-P-810010和SL2305-C-840010SL2305-C-830010一周市场行情回顾期权品种标的合约收盘价涨跌涨跌幅周日均成交量万增减上周日均持仓量万增减RURU23051252535000402562-1442343038MAMA230427181170038210642563460-1388PTATA23045608170003182064-0884529-1807LPGPG23044904-13900-272873550765209LL2305827858001413025-0173911086PPPP23057881110007340171914250-058PVCV23056459121002748021-16387123-1901期权总成交与持仓上周日均总成交量万张上周日均总持仓量万张期权品种CallPut合计变化PCRCallPut合计变化PCRRU1737160732344432700355687932376892567871057MA20584012915733499713603306314852510247725100244298069PTA33320924643157964014952207434616720807255423966791060LPG207001672537426109380811932110759300808623056L15348114002674846250741548712271277583189079PP143671096925336105070761915015354345044139080PVC31526186285015412463059645543247397026450050主力期货合成期权期权标的合约平值期权权利金C权利金P合成价格涨跌涨跌幅升贴水剩余天数到期日RU230512500410002840012626170001310100402023-04-24MA23042700365021002716800030-25052023-03-03TA230456008900415056486100109395052023-03-03PG2304490010580742049322440050276072023-03-07L2305830017900152008327-150-0024900302023-04-10PP2305790015900143007916-16600-2053500302023-04-10V230565001560014600651042500665100302023-04-10注平值是以主力月合约call与put权利金相减最小为基准平值合成期权升贴水平值call权利金-pu权利金-标的价格主力期权合约隐含波动率期权标的合约IMP-CIMP-PIMP-T变化MA20UPLOWRU2305222016412087-070216922402098MA2304193718031880-145209922381961TA2304215119702076019227324412105PG2304288827502825-060283730462629L2305163514511549-006167017501591PP2305155414241490-053163116991563V2305195217791891-110216623032029主力期权合约持仓量PCR期权标的合约量-Call量-Put量-PCR变化持仓-Call持仓-Put持仓-PCR变化RU23051207536010300055082926085051-001MA2304122026903940740166632048063072-007TA2304251835176551070002160257108125067-007PG23042228218511083016234009911042-005L230520112177670880131631112514077001PP230515501151850980252082716894081007V23052990916180054-0176468732417050001数据来源wind资讯五矿期货期权事业部标的价量关系图1橡胶主力合约走势图1400060成交量万收盘价1350050130001259000401250030120002011500101100002022-08-192022-12-022022-12-232022-08-162022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-072022-12-122022-12-152022-12-202022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-24图2甲醇主力合约走势图3000300成交量万收盘价290025028002671002700200260015025001002400230050220002022-10-182022-11-162023-02-242022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01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