【基本面信息】
　　聚丙烯：周度库存方面，生产企业库存54.6万吨，环比累库1.12万吨，贸易商库存15.77万吨，环比累库0.71万吨，港口库存6.65万吨，环比去库0.03万吨。
　　甲醇：库存方面，港口库存总量报96.46万吨，环比+6.21万吨。企业库存环比+1.6万吨，报36.77万吨。传统需求MTBE开工小幅回落，其余均有所走高，总体需求环比改善。江浙MTO开工66.84%，环比+11.95%，整体甲醇制烯烃开工82.06%，环比+3.65%。
　　 PVC：PVC开工小幅回落，社库厂库均小幅去化，预售维持高位。后续检修来看，整体开工至9月仍难以大幅回升。
　　【期权分析及策略建议】
　　（1）橡胶期权
　　橡胶经过前三周以来的震荡下行空头下跌，本周以来逐渐反弹回升，涨幅0.38%报收于13055；橡胶期权隐含波动率报收于16.91%（-0.44%），持仓量PCR较低位置窄幅盘整报收于0.53。期权分析：标的行情，沪胶空头压力线下反弹回升的市场行情走势形态；期权角度，持仓量PCR维持在较低水平；波动上，橡胶期权隐含波动率中位数偏低。
　　策略建议：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，若市场行情急速大涨，则逐渐平仓离场，如RU2401期权，S_RU2401P13000@10，S_RU2401P12750@10和S_RU2401C13250@10，S_RU2401C13500@10。
　　（2）甲醇期权
　　甲醇低位反弹回升后延续近两个半月以来震荡上行温和上涨，本周以来多头力量增强加速上涨，涨幅0.53%报收于2474，甲醇期权隐含波动率报收于23.90%（+0.11%），持仓量PCR快速上升报收于2.12。期权分析：标的行情，甲醇表现为偏多头趋势方向上的突破上行的市场行情；期权角度，持仓量PCR窄幅盘整较高位置水平；波动上，甲醇期权隐含波动率窄幅波动历史偏中位数水平。策略建议：构建偏多头的看涨+看跌期权组合策略，获取时间价值收益和方向性收益，根据市场行情变化，动态地调整持仓Delta，使得持仓保持多头，若市场行情快速大涨或大跌，则逐渐平仓离场，如MA2310期权，S_MA2310C2475@10，S_MA2310C2475@10和S_MA2310C2475@10，S_MA2310C2500@10。
　　（3）PTA期权
　　PTA本周以来多头上行突破前一周震荡区间上限，延续前期上涨趋势，涨幅0.69%报收于6088，PTA期权隐含波动率报收于20.54%（+0.48%），持仓量PCR小幅上升维持较低位置水平报收于0.79。期权分析：标的行情，PTA表现为短期偏多头上涨的市场行情走势形态；期权角度，持仓量PCR逐渐上升维持较低位置；波动上，PTA期权隐含波动率窄幅波动历史中位数水平。策略建议：构建偏多头的卖方看涨+看跌期权组合策略，获取时间价值收益和时间价值收益，动态的调整持仓DELTA，使得持仓保持正数，若市场行情快速大跌或大涨，则逐渐平仓离场，如TA2310期权，S_TA2310P6100@10，S_TA2310P6100@10和S_TA2310C6100@10，S_TA2310C6200@10。
　　（4）塑料期权
　　塑料上周止跌反弹回升后连续报收大阳线突破上涨，涨幅0.66%报收于8407；期权隐含波动率报收于13.81%（-0.19%），持仓量PCR窄幅盘整报收于1.16。期权分析：标的行情，塑料沿着市场行情多头趋势方向加速上涨；期权角度，持仓量PCR偏中性位置；波动上，塑料期权隐含波动率历史中位数。策略建议：构建卖出偏多头的宽跨式期权组合策略，获取时间价值收益和方向性收益，若市场行情快速大涨或大跌，突破损益平衡点，则平仓离场，如L2401期权，S_L2401-P-8400@10，S_L2401-P-8400@10和S_L2401-C-8500@10，S_L2401-C-8600@10。
　　（5）聚丙烯期权
　　聚丙烯本周以来连续报收大阳线，突破维持近两周的宽幅区间上限，涨幅0.37%报收于7667；期权隐含波动率报收于14.25%（-0.14%），持仓量PC报收于1.32。期权分析：标的行情，塑料表现突破区间上限偏多头上行的行情走势形态；期权角度，持仓量PCR较低位置；波动上，期权隐含波动率历史偏中位数水平。策略建议：构建卖出偏多头的宽跨式期权组合策略，获取时间价值收益和方向性收益，若市场行情快速大涨或大跌，突破损益平衡点，则平仓离场，如PP2401期权，S_PP2401-P-7600@10，S_PP2401-P-7700@10和S_PP2401-C-7800@10，S_PP2401-C-7900@10。
　　（6）PVC期权
　　PVC前一周高位震荡逐渐下跌回落，上周超跌反弹上升后连续大幅上涨，形成短期多头上行的市场行情形态，涨幅1.65%报收于6350；PVC期权隐含波动率报收于18.16%（+0.69%），持仓量PCR窄幅波动报收于0.55。期权分析：标的行情，PVC短期弱势超跌反弹上升的市场行情走势；期权角度，持仓量PCR较低位置；波动上，PVC期权隐含波动率中位数水平。策略建议：构建卖出偏多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，若市场行情快速大涨或大跌，突破损益平衡点，则平仓离场，如V2401期权，S_V2401-P-6300@10，S_V2401-P-6400@10和S_V2401-C-6400@10，S_V2401-C-6500@10

研究报告全文：能源化工期权日报期权研究2023年8月23日星期三基本面信息卢品先聚丙烯周度库存方面生产企业库存546万吨环比累库112万吨贸易商库存1577万吨环比累库071万吨港口库存665万吨环比去库003万吨投研经理甲醇库存方面港口库存总量报9646万吨环比621万吨企业库存环比16万吨报3677万吨传统需0755-23375252求MTBE开工小幅回落其余均有所走高总体需求环比改善江浙MTO开工6684环比1195整体甲醇制烯烃lupxwkqhcn开工8206环比365从业资格号PVCPVC开工小幅回落社库厂库均小幅去化预售维持高位后续检修来看整体开工至9月仍难以大幅回升F3047321交易咨询号期权分析及策略建议Z00155411橡胶期权橡胶经过前三周以来的震荡下行空头下跌本周以来逐渐反弹回升涨幅038报收于13055橡胶期权隐含波动率报收于1691-044持仓量PCR较低位置窄幅盘整报收于053期权分析标的行情沪胶空头压力线下常俊萍反弹回升的市场行情走势形态期权角度持仓量PCR维持在较低水平波动上橡胶期权隐含波动率中位数偏低期权研究员策略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急速大涨则逐changjpwkqhcn渐平仓离场如RU2401期权SRU2401P1300010SRU2401P1275010和SRU2401C1325010SRU2401C1350010从业资格号2甲醇期权F03117406甲醇低位反弹回升后延续近两个半月以来震荡上行温和上涨本周以来多头力量增强加速上涨涨幅053报收于2474甲醇期权隐含波动率报收于2390011持仓量PCR快速上升报收于212期权分析标的行情甲醇表现为偏多头趋势方向上的突破上行的市场行情期权角度持仓量PCR窄幅盘整较高位置水平波动上甲醇期权隐含波动率窄幅波动历史偏中位数水平策略建议构建偏多头的看涨看跌期权组合策略获取时间价值收益和方向性收益根据市场行情变化动态地调整持仓Delta使得持仓保持多头若市场行情快速大涨或大跌则逐渐平仓离场如MA2310期权SMA2310C247510SMA2310C247510和SMA2310C247510SMA2310C2500103PTA期权PTA本周以来多头上行突破前一周震荡区间上限延续前期上涨趋势涨幅069报收于6088PTA期权隐含波动率报收于2054048持仓量PCR小幅上升维持较低位置水平报收于079期权分析标的行情PTA表现为短期偏多头上涨的市场行情走势形态期权角度持仓量PCR逐渐上升维持较低位置波动上PTA期权隐含波动率窄幅波动历史中位数水平策略建议构建偏多头的卖方看涨看跌期权组合策略获取时间价值收益和时间价值收益动态的调整持仓DELTA使得持仓保持正数若市场行情快速大跌或大涨则逐渐平仓离场如TA2310期权STA2310P610010STA2310P610010和STA2310C610010STA2310C6200104塑料期权塑料上周止跌反弹回升后连续报收大阳线突破上涨涨幅066报收于8407期权隐含波动率报收于1381-019持仓量PCR窄幅盘整报收于116期权分析标的行情塑料沿着市场行情多头趋势方向加速上涨期权角度持仓量PCR偏中性位置波动上塑料期权隐含波动率历史中位数策略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收益和方向性收益若市场行情快速大涨或大跌突破损益平衡点则平仓离场如L2401期权SL2401-P-840010SL2401-P-840010和SL2401-C-850010SL2401-C-8600105聚丙烯期权聚丙烯本周以来连续报收大阳线突破维持近两周的宽幅区间上限涨幅037报收于7667期权隐含波动率报收于1425-014持仓量PC报收于132期权分析标的行情塑料表现突破区间上限偏多头上行的行情走势形态期权角度持仓量PCR较低位置波动上期权隐含波动率历史偏中位数水平策略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收益和方向性收益若市场行情快速大涨或大跌突破损益平衡点则平仓离场如PP2401期权SPP2401-P-760010SPP2401-P-770010和SPP2401-C-780010SPP2401-C-7900106PVC期权PVC前一周高位震荡逐渐下跌回落上周超跌反弹上升后连续大幅上涨形成短期多头上行的市场行情形态涨幅165报收于6350PVC期权隐含波动率报收于1816069持仓量PCR窄幅波动报收于055期权分析标的行情PVC短期弱势超跌反弹上升的市场行情走势期权角度持仓量PCR较低位置波动上PVC期权隐含波动率中位数水平策略建议构建卖出偏多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快速大涨或大跌突破损益平衡点则平仓离场如V2401期权SV2401-P-630010SV2401-P-640010和SV2401-C-640010SV2401-C-650010市场行情期权品种标的合约收盘价涨跌涨跌幅成交量万成交额亿RURU240113055005000038170022120MAMA2310247400130005319734855PTATA2310608800420006926558026LPGPG23105095002800055131513325LL24018407005500066275811517PPPP24017667002800037364113906PVCV240163500010300165679221217数据来源wind资讯五矿期货期权事业部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RU240113000482004050013077480003722001242023-12-25MA23102425405048002418-4700-191-5650132023-09-05TA231060007600117005959-8600-142-12900132023-09-05PG2310495011180128804933-5640-113-16200152023-09-07L2401830023300251508282-6600-079-125501062023-12-07PP2401760021950257507562-5750-075-105001062023-12-07V2401620018250307006076-20150-321-274501062023-12-07数据来源wind资讯五矿期货期权事业部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MA20UPLOWRU2401185614231691-044203722621812MA2310232724422390011225423882120TA2310207120262054048204921571941PG2310286726142750138274930782420L2401138513761381-019139615721221PP2401151813431425-014147016471293V2401188316871816069188921601619数据来源wind资讯五矿期货期权事业部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RU240121811276059-0102940115589053-000MA23104927316406401878589166565212021TA231064953063047008250875197685079-000PG231060513518058-0252813526101093017L240167861509101062777279116015PP24019645810600011071114168132024V2401173212000690092801415382055-009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13000成交量万80收盘价701250060501200040301150020101100002023-04-142023-04-272023-08-092023-08-222023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-112023-04-192023-04-242023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-142023-08-17图2甲醇主力合约走势图2800成交量万375收盘价260024690030024002252200150200075180002023-02-222023-06-212023-08-172023-02-172023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-22图3PTA主力合约走势图6500480成交量万收盘价60600040060003205500240160500080450002023-02-272023-06-212023-08-012023-02-172023-02-222023-03-022023-03-072023-03-102023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-042023-08-092023-08-142023-08-172023-08-22标的价量关系图4LPG主力合约走势图600030成交量万收盘价5500508400252050001545001040005350002023-05-052023-06-162023-08-012023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-112023-04-142023-04-192023-04-242023-04-272023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-042023-08-092023-08-142023-08-172023-08-22图5塑料主力合约走势图900060成交量万收盘价5085008384004080003020750010700002023-02-222023-04-192023-06-162023-02-172023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-112023-04-142023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-22图6PP主力合约走势图900080成交量万收盘价708500605080007660004075003020700010650002023-02-222023-04-192023-06-162023-02-172023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-232023-03-282023-03-312023-04-062023-04-112023-04-142023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-22图8PVC主力合约走势图7200140收盘价收盘价12067001008062006057006284004020520002023-03-202023-05-232023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-232023-03-282023-03-312023-04-062023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-22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120006005001000040080003006000200100400002000-1000-200130001300098009800100001050011000115001200012500130001350014000145001500015500160009800100001050011000115001200012500135001400014500150001550016000OIPOICOICHANGEPOICHANGEC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17000160001500014000130001200011000100002023-03-022023-03-232023-02-172023-02-222023-02-272023-03-072023-03-102023-03-152023-03-202023-03-282023-03-312023-04-062023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-22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08013000OIPCR3012800070CLOSE28053021260006026124000501220024040120002203011800201160018020114001601011200000110002023-05-102023-02-172023-02-272023-03-072023-03-152023-03-232023-03-312023-04-112023-04-192023-04-272023-05-182023-05-262023-06-052023-06-132023-06-212023-07-032023-07-112023-07-192023-07-272023-08-042023-08-142023-08-222023-08-142023-03-012023-03-132023-03-232023-04-042023-04-172023-04-272023-05-122023-05-242023-06-052023-06-152023-06-292023-07-112023-07-212023-08-022023-02-17IMPVMA20UPLOW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350008000300006000250004000200002000150000100005000-20000-40002500195025001800185019001950200020502100215022002250230023502400245026002700180018501900200020502100215022002250230023502400245026002700OIPOICOICHANGEPOICHANGEC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320030002800260024002200200018002023-03-232023-05-152023-07-192023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-282023-03-312023-04-062023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-22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2402800OIPCR402700CLOSE3520026003016025002400251202469002300202200080210015040200010190000018002023-03-232023-05-262023-07-272023-02-172023-02-272023-03-072023-03-152023-03-312023-04-112023-04-192023-04-272023-05-102023-05-182023-06-052023-06-132023-06-212023-07-032023-07-112023-07-192023-08-042023-08-142023-08-222023-08-142023-03-012023-03-132023-03-232023-04-042023-04-172023-04-272023-05-122023-05-242023-06-052023-06-152023-06-292023-07-112023-07-212023-08-022023-02-17IMPVMA20UPLOWPTA期权持仓分布PTA期权持仓分布图PTA期权持仓变化图6000060004000500002000400000-200030000-400020000-6000-800010000-100000-12000600060006200460046004700480049005000520054005600580062006400660068004600470048004900500052005400560058006000640066006800OIPOICOICHANGEPOICHANGECPTA期权最大未平仓PTA认购认沽合约最大持仓量所在的行权价8000750070006500600055005000450040002023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320232023-------------------------------------------0508020202030303030303030304040404040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