截至2023/3/3，PTA期货2305合约收于5762元/吨，较上周(5638元/吨)上涨2.20%；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5500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5400-6000运行为主。
　　

研究报告全文：化工期权周报作者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3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如有期货多单可卖出看涨期权对冲如有期货多单可卖出看涨期权对冲PTA期权576219152012066TA305期价震荡卖出虚值2-4档卖出虚值2-4档220-064-13400554006000波动率中性如有期货多单可卖出看涨期权对冲如有期货多单可卖出看涨期权对冲塑料期权83679391393068L2305期价震荡卖出虚值2-4档卖出虚值2-4档038-090-083-00980008700波动率偏低如有期货多单可卖出看涨期权对冲如有期货多单可卖出看涨期权对冲PP期权78797921351072PP2305期价震荡卖出虚值2-4档卖出虚值2-4档-049-115-089-01076008300波动率偏低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643511241793048V2305期价有支撑6100及以下6100及以下-126-582-009-00361006900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3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825121108946502871100010311318225000105023410504700274310001201654260024110004750261710003673573227025995054800261915000945647820000187026890054850248915-2500197525891890284851490024532-20004804430826717468363299495023202-3333330943281500051112624774523465000238035-12501115422505758189568828565100218945-3571940177466511510535932679520021238-3043163651262810000737448607472100553002044135-3250140659011102757659838115305400198323-3333126129407331498058629816595500196440-2857156629192500044954007304220516525600197167-242990237816639848913161631769570019771045-2083563840578212160181771151822580020261565-1609218028220761318691-126785186759002115222-122575912492174135166-091545195160002149293-10813001417932211063-533355198861002264376-840102089958898056-40024206062001569435-126518183截至202333PTA期货2305合约收于5762元吨708611921-294165214063002044540-84056070701599145511522236400660-351056较上周5638元吨上涨220从T型报价来看行3255231904133385232665007565-3010426326163202000624006600854-268024权价6000看涨期权成交活跃行权价6500看涨期权3202881528574524946700952-2460202999101850003253768001051-223015持仓集中度较高行权价5500看跌期权成交活跃15823156667252657690011505-204015831310951500025283970001250-188010行权价5000看跌期权持仓集中度较高标的价格在1658273100001269471001350-175012952449100001285372001450-1630215400-6000运行为主2323295100001300973001550-1520306547446192000015331074001661-078492期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose1206500150650009060006000100060550055000500305000500000045000004500PTA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-HVHV30VIX45650045124040860003535304302555000252015-420500010-81551045000-12波动率指数走弱目前处于中性偏低水平实际波动率下降波动率价差偏低关注后市波动率变化波动率微笑主力期权波动率微笑252015202333202332202331202322820232272023224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00-2581848650005000093900-2731748660005000079250040-289164867000500008700-3071548680005000012600-32714486900050000115660-351134870000500001632000750-378124871000500001851080-40911487200050000302740-4471048730018341520000276291500740-4919487400179325400004843830-54684857500162525150004411024670-61375076001568433335225831060-6986537700151765833109369510001090-7985597800145010-130428466931410-929468579001409165-17503025115314761-14053708000137527-20592947112650014628-165229381001374455-15743076114072570-1667232511128200137072-1220202647739608-21301701151830013701085-88240261510571102-22461261240840013881575-48312039101196966-2700865125985001469223509010430120382269-297659129586001467290122129254976572-27834151357870015753743892419317742984-22372951422880019854861033121499952118-16672014638900566575001243267281500015154290006606880139截至202333塑料期货2305合约收于8367元吨71818191111101574910075656320677981193500075164392008545575067较上周8335元吨上涨038从T型报价来看行7825551200055170093009535524044920662166674175294001052468046权价8800看涨期权成交活跃行权价9000看涨期权3733211000062012950011524440212190000059600125240700持仓集中度较高行权价8100看跌期权成交活跃145000005970013523760010900000598001452349001230000059900155232600行权价8100看跌期权持仓集中度较高标的价格在9300000510000165230600765000005102001852272008000-8700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PCRPCRoiunderlyingclosePCRvolunderlyingclose16950050950045149000409000123510850030850025088000208000061575001075000405027000007000塑料期价震荡期权持仓量PCR有所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变化不大目前在中性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-HVHV30VIX359500351530900030102525850052020800001515750010-51070005-10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25201510202333202332202331202322820232272023224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00-219147264000500008100-2351372650005000099250000-253127266000500007650-2741172670005000014460-29910726800050000293200020-328972690005000037870-365872700005000040320-4107725710016163200002851028150080-46767472001561566676721353310-5415775730014767515381434595980-63848457400140812-769217610821458-6184027500137921-125014871742100010320-535327130376001367365-10981456158642479-9242455124277001327575-128810911292485272-1338178123778001348935-6971397148450017671288-2292116116679001367141-309254126118951242-216083512648000140920205066110512421332-26395312708100141326950943161521014471978-26603451312820016703655687571623141113-25422213518300177445256721295616501231-1714145140484005395537022419181577-500951454850063448801122470111018186515148600731443079444875766675160187008295395040截至202333PP期货2305合约收于7879元吨5364151000031619880092835101450615630000216638900102833207较上周7918元吨下跌049从T型报价来看行151823330000217959000112830100241140000259100122827600权价8200看涨期权成交活跃行权价8700看涨期权18700000592001328255002740000059300142823701持仓集中度较高行权价7400看跌期权成交活跃1070000059400152822100760000059500162820700行权价7500看跌期权持仓集中度较高标的价格在95000005960017281950053000005970018281840011100000598001928174007600-8300运行为主100000005990020281650047734200001510000212815800期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose2290003590002030188500850025161420800080001215101008750075000605047000007000PP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-HVHV30VIX309000301025625850020220800015-215750010-61070005-10波动率指数走弱目前在偏低水平关注后市波动率变化实际波动率持续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201510202333202332202331202322820232272023224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00028145549500500001138看涨期权持仓量看跌期权持仓量平值档位8002914055000050000336100311305510005000050760001003312055200050000368100361105530025791520000585715004010055400236015200001081316510044905550021431520000394153650001100508055560020692566675192270280050707570018963-1429102515019500416105580018165-33331455194021423885355900170175-4828193225124000509233284416000166914-47175161467830146449361135661001628245-4556185235241598254184277137962001626435-38731251255830003178789-1932035139963001633725-31921344228530302901-4231471470640016761155-24261676203752933659-4091055155965001729171-1799351205137331958-13275164266001847242-11841931124200029602457396525171467001940319-86086378560728341538375179968001915395-8358967734991339350027188369002189493-492186283190305695708320519907000605-090024710002919195913846155208371007005-0710126183413292285711521607200798-0560591730179835000922557300897-0440430100447960000723407400995-05502348182610000055242275001095-03603334141900005255776001195-0330235216900005272577001295-031001761710000055293178001395-0290017800000579001495-027005986129400002580001595-02501332700000581001695-02400截至202333PVC期货2305合约收于6435元吨36500000582001795-02200701110000183001895-0210219100000584001995-02002较上周6517元吨下跌126从T型报价来看行227300000585002095-019023641010000186002195-01800权价7000看涨期权成交活跃行权价7000看涨期权991010000187002295-0170010400000588002395-0170011900000589002495-01600持仓集中度较高行权价6000看跌期权成交活跃23400000590002595-0150014300000591002695-0150014100000592002795-01400行权价6000看跌期权持仓集中度较高标的价格在20200000593002895-0140020091310000194002995-013016100-6900运行为主