【基本面信息】
　　橡胶：截至2023年3月25日，上期所天然橡胶库存197058（473）吨，仓单188040（-340）吨。20号胶库存42918（1701）吨，仓单33355（908）吨。交易所+青岛库存104.57(1.87)万吨。
　　PVC：上周PVC整体开工负荷率77.14%，环比下降1.9个百分点；其中电石法PVC开工负荷率74.76%，环比下降2.61个百分点；乙烯法PVC开工负荷率85.3%，环比增加0.52个百分点。
　　甲醇：库存方面，港口库存总量报71.67万吨，环比+3.82万吨。企业库存环比-1.08万吨，报36.4万吨。传统需求方面，甲醛开工回升，二甲醚开工维持，其余有所下行，总体维稳。江浙MTO开68.30%，环比+1.73%，整体甲醇制烯烃开工80.51%，环比+1.46%。
　　

研究报告全文：能源化工期权周报期权研究2023年3月27日星期一基本面信息橡胶截至2023年3月25日上期所天然橡胶库存197058473吨仓单188040-340吨20号胶库存429181701吨仓单33355908吨交易所青岛库存10457187万吨PVC上周PVC整体开工负荷率7714环比下降19个百分点其中电石法PVC开工负荷率7476环比下降261个百分点乙烯法PVC开工负荷率853环比增加052个百分点甲醇库存方面港口库存总量报7167万吨环比382万吨企业库存环比-108万吨报364万吨传统需卢品先求方面甲醛开工回升二甲醚开工维持其余有所下行总体维稳江浙MTO开6830环比173整体甲醇制烯烃开工8051环比146投研经理行情概要与期权分析0755-23375252标的行情沪胶经过前两周以来持续大幅下跌后上周维持低位弱势震荡周涨幅056报收于11740甲醇延lupxwkqhcn续近两周以来的弱势偏空头震荡下行周涨幅016报收于2476PTA先跌后涨V型反转延续前期盘整震荡区间周涨幅820报收于6094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周涨幅030从业资格号报收于8032聚丙烯空头压力线下区间盘整震荡周跌幅008报收于7522PVC2305维持一周以来的区间盘整F3047321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0654报收于6145交易咨询号日均成交量上周能源化工类PTA期权日均成交量大幅度增加而甲醇期权日均成交量则大幅减少其他能源化Z0015541工类期权日均成交量则小幅变化橡胶期权日均成交量减少094万张至354万张甲醇期权日均成交量减少566万张至2130万张PTA期权日均成交量增加1133万张至8033万张塑料期权期权日均成交量减少017万张至305万张聚丙烯期权日均成交量减少032万张至272万张PVC期权日均成交量增加044万张至650万张日均持仓量上周能源化工类期权日均持仓量普遍有所增加而甲醇期权和PTA期权增加幅度较大其中橡胶期权日均持仓量增加024万张至1184万张甲醇期权日均持仓量增加312万张至3248万张PTA期权日均持仓量增加941万张至6503万张塑料期权日均持仓量增加044万张至431万张聚丙烯期权日均持仓量增加074万张至535万张PVC期权日均持仓量增加056万张至1296万张持仓量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维持较低水平窄幅波动收于043甲醇期权持仓量PCR快速上升报收于060PTA期权持仓量PCR急速上涨报收于103塑料期权持仓量PCR小幅波动报收于070聚丙烯期权持仓量PCR小幅上升报收于077PVC期权持仓量PCR维持较低水平报收于049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2580甲醇期权隐含波动率小幅波动报收于2472PTA期权隐含波动率直线上涨动报收于3486塑料期权隐含波动率小幅上升报收于1989聚丙烯期权隐含波动率持续拉升报收于1918PVC期权隐含波动率报收于2302结论与操作建议1橡胶期权沪胶经过前两周以来持续大幅下跌后上周维持低位弱势震荡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卖出偏空头的宽跨式期权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反弹大涨则逐渐平仓离场如RU2305期权SRU2305P1125010SRU2305P1150010和SRU2305C1175010SRU2305C12000102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小幅波动持仓量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SMA305P247510SMA305P245010和STMA305C255010SMA305C2500103PTA期权PTA前一周止跌反弹回暖上升后上周以来延续短期多头上涨趋势突破上行市场行情多头情绪较浓PTA期权隐含波动率快速拉升直线上涨持仓量PCR窄幅波动快速上涨至100以上操作建议构建卖看涨期权牛市价差组合策略获取方向性收益若市场行情快速大跌至低行权价则逐渐平仓离场如TA305期权BTA305C570010BTA305C580010和STA305C620010STA305C6300104PVC期权PVC维持一周以来的低位宽幅矩形区间盘整震荡后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塑料期权塑料经过前一周持续大幅下跌后上周以来跌幅收窄低位区间盘整震荡塑料期权隐含波动率窄幅波动持仓量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-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RURU23051174065000562009-5102044-520MAMA23052476-310001612394-252812833-966PTATA2305609438400820331361175116152414LPGPG230544597600304775530864365LL230580322000302620-5203298-425PPPP23057522-3800-0083463-6894817-224PVCV23056145-1800-0658265-6816462090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PCRRU26244916935413-941203580597378401184382397047MA107424105577213000-5660409820065312419732485031241062PTA44769735559680329311333607932090032937065027094140103LPG14638913923777231506219984110893107312560055L122711821230483-16881482502118101431224445072PP107781645627235-32101533043223057534907389076PVC282673678365050438313084964446691296345623053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RU23051175025000247001175346000391300202023-04-24MA23052475580027002506-1300-052300082023-04-06TA230561001220015650606621600369-285082023-04-06PG23054450140007380451699002245720102023-04-10L23058000141508150806059000742800102023-04-10PP230575001300071007559-5100-0673700102023-04-10V2305610010400830061218800146-2400102023-04-10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MA20UPLOWRU2305273819722580044223524352035MA2305257023832472034213123921869TA2305333137003486524243129261935PG2305322030753165-024276331812345L2305179421021989094163118351426PP2305178219901918055158718111363V2305223623522301-111195621821731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RU23052238057920260005941125264043-000MA230511835612988011003015168190810060003TA2305487332355028073-019278388286478103009PG23052044212595062-0081940610446054-001L230519333330491710172598518309070-001PP230512222230181880763099023740077-001V23053021539156130-0358408740948049-002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1350050130004012500301200011720002011500101100002022-10-122022-12-302022-09-142022-09-192022-09-222022-09-272022-09-302022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-24图2甲醇主力合约走势图3000300成交量万收盘价290025028002700200260025050015025001002400230050220002022-09-272022-12-012023-02-072022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-24图3PTA主力合约走势图6200607000450成交量万收盘价60004003505800300560025054002001505200100500050480002022-11-072023-02-072023-02-102022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-24标的价量关系图5LPG主力合约走势图580018成交量万收盘价56001654001452001250001048008460064400442004504002400002022-09-272023-01-102023-02-152022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-24图6塑料主力合约走势图900075成交量万收盘价60850045800030805600750015700002022-11-072022-12-062023-02-202023-03-212022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-24图7PP主力合约走势图840090成交量万收盘价8200807080006078005076004030740020720075580010700002022-11-102022-11-152023-03-242022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21图8PVC主力合约走势图6800180收盘价收盘价6600160640014062001206000100580080613000560060540040520020500002022-09-142022-11-232023-02-022022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-24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1200060001000050004000800030006000200040001000200000-100013500135001250010000100001050011000115001200012500130001400014500150001550016000100001050011000115001200013000135001400014500150001550016000OIPOICOICHANGEPOICHANGEC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1800017000160001500014000130001200011000100002023-02-022023-02-102023-02-202022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-072023-02-152023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-24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08014000OIPCR3028070CLOSE135002606013000242205004252125002011720001804012000160301150014020110002022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-282023-03-082023-03-162023-03-242023-03-162022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312023-02-102023-02-222023-03-062022-09-14IMPVMA20UPLOW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250003000200020000100015000010000-1000-20005000-30000-4000320021502200225023002350240024502500260027002800290030003100320021502200225023002350240024502500260027002800290030003100OIPOICOICHANGEPOICHANGEC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32003000280026002400220020002022-10-202022-11-282023-01-052023-02-202022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-212023-03-24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1802900OIPCR55150CLOSE28004512025050027003509026002506025000598703024001500023002022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-282023-03-082023-03-162023-03-242023-03-162022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-30202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2023-01-122023-01-312023-02-102023-02-222023-03-062022-09-14IMPVMA20UPLOWPVC期权持仓分布PVC期权持仓分布图PVC期权持仓变化图200001000180001600050014000120000100008000-50060004000-10002000-1500500050005300560059006200650068007100740077008000830086008900920004850485048508000500050005300560059006200650068007100740077008300860089009200OIPOICOICHANGEPOICHANGECPVC期权最大未平仓PVC认购认沽合约最大持仓量所在的行权价7500700065006000550050002022-11-022023-01-052023-03-212022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-24聚氯乙烯期权到期日收盘价C最大持仓P最大持仓PVC期权持仓量PCRPVC期权隐含波动率080OIPCR700035075CLOSE680007030660006561300025060640005562002005060001504558000401020222022202220222022202220222022202220222022202220222023202320232023202320232023202320230355600----------------------1109091010111111121212120101020202020303030305400092022202320222022202220222022202220222022202220222023202320232023202320232023----------------------10142230172502182806142230101802102028081624-------------------10010909101011111112121201020202030303-------------------31091423112009182908192818031423061524IMPVMA20UPLOW策略应用和分析橡胶日行情K线图橡胶期权交易策略和到期损益图沪胶经过前两周以来持续大幅下跌后上周维持低位弱势震荡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卖出偏空头的宽跨式期权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反弹大涨则逐渐平仓离场如RU2305期权SRU2305P1125010SRU2305P1150010和SRU2305C1175010SRU2305C1200010到期损益图如下策略应用和分析甲醇日行情K线图甲醇期权交易策略和到期损益图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小幅波动持仓量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SMA305P247510SMA305P245010和STMA305C255010SMA305C250010到期损益图如下策略应用和分析PTA日行情K线图PTA期权交易策略和到期损益图PTA前一周止跌反弹回暖上升后上周以来延续短期多头上涨趋势突破上行市场行情多头情绪较浓PTA期权隐含波动率快速拉升直线上涨持仓量PCR窄幅波动快速上涨至100以上操作建议构建卖看涨期权牛市价差组合策略获取方向性收益若市场行情快速大跌至低行权价则逐渐平仓离场如TA305期权BTA305C570010BTA305C580010和STA305C620010STA305C630010策略到期损益图如下策略应用和分析PVC日行情K线图PVC期权交易策略和到期损益图PVC维持一周以来的低位宽幅矩形区间盘整震荡后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-620010策略到期损益图如下策略应用和分析聚丙烯日行情K线图聚丙烯期权交易策略和到期损益图聚丙烯前一周弱势盘整震荡后逐渐下行上而后维持一周多以来空头压力线下区间震荡聚丙烯期权隐含波动率小幅盘整持仓量PCR持续下降维持至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若市场行情快速大涨至低行权价则平仓离场如PP2305期权SPP2305-P-740010SPP2305-P-750010和SPP2305-C-750010SPP2305-C-760010策略到期损益图如下策略应用和分析塑料日行情K线图塑料期权交易策略和到期损益图塑料经过前一周持续大幅下跌后上周以来跌幅收窄低位区间盘整震荡塑料期权隐含波动率窄幅波动持仓量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-800010SL2305-P-790010和SL2305-C-800010SL2305-C-810010策略到期损益图如下免责声明五矿期货有限公司是经中国证监会批准设立的期货经营机构已具备有商品期货经纪金融期货经纪资产管理期货交易咨询等业务资格本刊所有信息均建立在可靠的资料来源基础上我们力求能为您提供精确的数据客观的分析和全面的观点但我们必须声明对所有信息可能导致的任何损失概不负责本报告并不提供量身定制的交易建议报告的撰写并未虑及读者的具体财务状况及目标五矿期货研究团队建议交易者应独立评估特定的交易和战略并鼓励交易者征求专业财务顾问的意见具体的交易或战略是否恰当取决于交易者自身的状况和目标文中所提及的任何观点都仅供参考不构成买卖建议版权声明本报告版权为五矿期货有限公司所有本刊所含文字数据和图表未经五矿期货有限公司书面许可任何人不得以电子机械影印录音或其它任何形式复制传播或存储于任何检索系统不经许可复制本刊任何内容皆属违反版权法行为可能将受到法律起诉并承担与之相关的所有损失赔偿和法律费用五矿期货分支机构深圳总部业务一部深圳市南山区滨海大道3165号五矿金融大厦13-16层电话400-888-5398电话0755-83252740业务二部业务三部电话0755-88917165电话0755-83752356业务四部业务五部电话010-68331868-183电话028-85053476深圳营业部北京分公司深圳市福田区福华三路1006号诺德大厦30D1北京市海淀区首体南路6号新世纪世行饭店写字楼1253室电话0755-83752310电话010-68332068上海分公司成都分公司上海市浦东新区向城路288号国华人寿金融大厦902903成都高新区天府大道北段1288号1幢3单元12层12041205电话021-58784529电话028-86131072青岛分公司北京营业部山东省青岛市东海西路35号太平洋中心1写字楼409北京市丰台区广安路9号院6号楼408409电话0532-85780820电话010-64185322广州营业部湛江营业部广东省广州市天河区珠江西路17号广晟国际大厦24楼2407广东省湛江市开发区乐山东路35号银隆广场12层A1210室电话020-29117582电话0759-2856220天津营业部西安营业部天津市滨海高新区华苑产业区梅苑路5号金座广场2101-陕西省西安市新城区纬什街新科路1号楼一层2102电话029-87572985电话022-23778878宁波中山西路营业部重庆营业部浙江省宁波市海曙区布政巷16号12楼1205室重庆市江北区江北城西大街25号11-1电话0574-87330527电话023-67078086郑州营业部南通营业部郑州市未来路69号未来大厦16层1612号江苏省南通市青年东路81号南通大饭店B楼财富中心2003室电话0371-65619030电话0513-81026105杭州民心路营业部台州爱华路营业部浙江省杭州市江干区万银大厦1408室浙江省台州市椒江区爱华新台州大厦8-A电话0571-81969926电话0576-89811511济南营业部昆明营业部山东省济南市历下区山大路201号天业科技商务大厦401云南省昆明市盘龙区北京路612号银海国际公寓D座3201室427室电话0871-63338532电话0531-83192255大连营业部唐山营业部辽宁省大连市沙河口区会展路大连国际金融中心A座大连期河北省唐山市路北区军鑫里凤城国贸1楼21层2104号货大厦2001号电话0315-5936395电话0411-84800452武汉营业部湖北省武汉市江岸区三阳路8号天悦星辰A栋26楼2602室电话0755-23375007