【基本面信息】
　　橡胶：截至2023年3月17日，上期所天然橡胶库存196585（-2155）吨，仓单188380（-170）吨。20号胶库存41217（100）吨，仓单32447（-102）吨。上期所加青岛库存102.69(-0.06)万吨。
　　PVC：上周数据显示PVC整体开工负荷率79.04%，环比下降0.04个百分点；其中电石法PVC开工负荷率77.37%，环比提升0.14个百分点；乙烯法PVC开工负荷率84.78%，环比下降0.56个百分点。
　　甲醇：库存方面，港口库存总量报67.85万吨，环比-1.11万吨。企业库存环比-2.39万吨，报37.47万吨。传统需求方面，除氯化物开工回升外，其余均出现明显回落，总体回落明显。江浙MTO开68.30%，环比+1.73%，整体甲醇制烯烃开工79.35%，环比-0.61%。
　　

研究报告全文：能源化工期权周报期权研究2023年3月20日星期一基本面信息橡胶截至2023年3月17日上期所天然橡胶库存196585-2155吨仓单188380-170吨20号胶库存41217100吨仓单32447-102吨上期所加青岛库存10269-006万吨PVC上周数据显示PVC整体开工负荷率7904环比下降004个百分点其中电石法PVC开工负荷率7737环比提升014个百分点乙烯法PVC开工负荷率8478环比下降056个百分点甲醇库存方面港口库存总量报6785万吨环比-111万吨企业库存环比-239万吨报3747万吨传统卢品先需求方面除氯化物开工回升外其余均出现明显回落总体回落明显江浙MTO开6830环比173整体甲醇制烯烃开工7935环比-061投研经理行情概要与期权分析0755-23375252标的行情沪胶连续两周报收大阴线大幅下跌跌幅均超过3形成较强的空头下跌趋势周跌幅347报收于lupxwkqhcn11720甲醇延续近两周以来的弱势偏空头震荡下行周跌幅264报收于2523PTA先跌后涨V型反转延续前期盘整震荡区间周跌幅125报收于5746塑料前一周冲高回落后逐渐下行上周以来加速下跌空头力量较从业资格号强周跌幅229报收于8033聚丙烯空头压力线下区间盘整震荡周跌幅245报收于7555PVC2305维持一周F3047321以来的区间盘整震荡后上周以来快速下跌跌破震荡区间下限而后低位弱势盘整周跌幅244报收于6132交易咨询号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而LPG期权日均成交量则大幅减少Z0015541其他能源化工类期权日均成交量则小幅变化橡胶期权日均成交量增加088万张至448万张甲醇期权日均成交量增加424万张至2696万张PTA期权日均成交量增加11714万张至6900万张塑料期权期权日均成交量减少034万张至322万张聚丙烯期权日均成交量增加019万张至304万张PVC期权日均成交量减少049万张至607万张日均持仓量上周能源化工类期权日均持仓量甲醇期权PTA期权大幅度增加上升以外而其他能源化工期权日均持仓量小幅变化增减不一其中橡胶期权日均持仓量增加097万张至1160万张甲醇期权日均持仓量增加385万张至2936万张PTA期权日均持仓量增加695万张至5561万张塑料期权日均持仓量增加046万张至387万张聚丙烯期权日均持仓量增加014万张至461万张PVC期权日均持仓量增加081万张至1240万张持仓量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046甲醇期权持仓量PCR持续下降报收于048PTA期权持仓量PCR窄幅盘整震荡报收于068塑料期权持仓量PCR小幅波动报收于071聚丙烯期权持仓量PCR小幅上升报收于071PVC期权持仓量PCR维持较低水平报收于047隐含波动率上周能源化工类期权隐含波动率涨跌互现升降不一截止收盘橡胶期权隐含波动率有所上升报收于2363甲醇期权隐含波动率快速上升后逐渐下降报收于2352PTA期权隐含波动率直线上涨动报收于2659塑料期权隐含波动率快速上升报收于1820聚丙烯期权隐含波动率大幅拉升报收于1743PVC期权隐含波动率报收于2146结论与操作建议1橡胶期权沪胶连续两周报收大阴线大幅下跌跌幅均超过3形成较强的空头下跌趋势橡胶期权隐含波动率有所上升持仓量PCR维持在较低水平操作建议构建看跌期权熊市价差组合策略获取方向性收益若市场行情急速反弹大涨则逐渐平仓离场如RU2305期权BRU2305P1200010BRU2305P1225010和SRU2305P1125010SRU2305P11000102甲醇期权甲醇延续近两周以来的弱势偏空头震荡下行形成上方有压力的弱势偏空头趋势甲醇期权隐含波动率先升后降快速上升后直线下降回落持仓量PCR维持至较低水平操作建议构建卖出偏空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涨则逐渐平仓离场如MA305期权SMA305P247510SMA305P250010和STMA305C255010SMA305C2500103PTA期权PTA先跌后涨连续大幅下跌后快速反弹回升延续前期震荡区间PTA期权隐含波动率快速上升持仓量PCR窄幅波动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和方向性收益若市场行情快速大跌则逐渐平仓离场如TA305期权STA305P570010STA305P560010和STA305C580010STA305C5900104PVC期权PVC维持一周以来的区间盘整震荡后上周以来快速下跌跌破震荡区间下限而后低位弱势盘整市场行情偏弱势PVC期权隐含波动率快速上升持仓量PCR维持在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-600010SV2305-P-610010和SV2305-C-610010SV2305-C-6200105塑料期权塑料前一周冲高回落后逐渐下行上周以来加速下跌空头力量较强塑料期权隐含波动率直线拉升持仓量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-800010SL2305-P-790010和SL2305-C-800010SL2305-C-810010一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RURU230511720-27000-34727887982289053MAMA23052523-1800-26414943-57312995-1190PTATA230557461200-125286181024013335-1951LPGPG23054383-44900-961501307755328LL23058033-15100-2292982-0233620-708PPPP23057555-15200-24538994355274914PVCV23056132-16700-24483097486403-371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PCRRU285551627044825884605777612384291160419737050MA1383231312822696044243309518332111028829361038538060PTA32962636033168995717145410932113723499355613069465073LPG105161094621462-1287210410311820218513-5791080L132901888132171-33381422270315974386774574070PP12857175873044418761372743418667461001402068PVC306882998060668-486209881379426311240118085052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RU2305117502500028200117186100052-200252023-04-24MA230525005250445025084050164-1500132023-04-06TA230557001220011550570718400333-3950132023-04-06PG2305440011740140604377-3260-074-620152023-04-10L23058000143001145080297250091-450152023-04-10PP230576009550140507555-9000-118000152023-04-10V23056100141508200616025500422750152023-04-10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MA20UPLOWRU2305256719122363-098213322382029MA2305240223022352-210200221721832TA2305238729022659-091217424011947PG2305320630603144007264329462340L2305171518981820-173155216861418PP2305160618481743-156150116311371V2305212021632146-196189920601739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RU23052229210102045-0196016427951046-002MA2305102631102097099-00115803076373048003TA2305338318377607112-000281729191133068012PG23051535411463075011159538104051-013L23051416718837133-0382274216175071005PP23051589720625130-0172751019443071-002V230523238357151540477811336820047-001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1350050130004012500301200011675002011500101100002022-09-282022-12-232022-09-062022-09-092022-09-152022-09-202022-09-232022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17图2甲醇主力合约走势图3000300成交量万收盘价290025028002700200260025070015025001002400230050220002022-09-202022-11-242023-01-312022-09-062022-09-092022-09-152022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17图3PTA主力合约走势图6000400成交量万收盘价5710005800350300560025054002005200150100500050480002022-10-312023-01-312023-02-032022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17标的价量关系图5LPG主力合约走势图580018成交量万收盘价56001654001452001250001048008460064400442004513002400002022-09-202023-01-032023-02-082022-09-062022-09-092022-09-152022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17图6塑料主力合约走势图900075成交量万收盘价60850045800030803000750015700002022-10-312022-11-292023-02-132023-03-142022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-17图7PP主力合约走势图840090成交量万收盘价8200807080006078005076004030740020720075600010700002022-11-032022-11-082023-03-172022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-14图8PVC主力合约走势图6800180收盘价收盘价6600160640014062001206000100580080616300560060540040520020500002022-09-062022-11-162023-01-192022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17橡胶期权持仓分布橡胶期权持仓分布图橡胶期权持仓变化图120001200010000100008000800060006000400040002000200000-200013500135001550010000100001050011000115001200012500130001400014500150001550016000100001050011000115001200012500130001350014000145001500016000OIPOICOICHANGEPOICHANGEC橡胶期权最大未平仓橡胶认购认沽合约最大持仓量所在的行权价1800017000160001500014000130001200011000100002023-01-192023-02-032023-02-132022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-312023-02-082023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17橡胶期权到期日收盘价C最大持仓P最大持仓橡胶期权持仓量PCR橡胶期权隐含波动率08014000OIPCR3028070CLOSE135002606013000240464622050125002011675001804012000160301150014020110002022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172023-03-092022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032023-02-152023-02-272022-09-06IMPVMA20UPLOW甲醇期权持仓分布甲醇期权持仓分布图甲醇期权持仓变化图2500025002000200001500150001000500100000-5005000-10000-1500320021502200225023002350240024502500260027002800290030003100320021502200225023002350240024502500260027002800290030003100OIPOICOICHANGEPOICHANGEC甲醇期权最大未平仓甲醇认购认沽合约最大持仓量所在的行权价32003000280026002400220020002022-10-132022-11-212022-12-282023-02-132022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-17甲醇期权到期日收盘价C最大持仓P最大持仓甲醇期权持仓量PCR甲醇期权隐含波动率1802900OIPCR55150CLOSE28004512025070027003509026002506025000300483324001500023002022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172023-03-092022-09-192022-09-292022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