研究报告全文：能源化工期权策略周报期权研究2023年9月25日星期一基本面信息PVCPVC开工提升前期检修装置复产10月部分检修推迟至11月预计后期开工将维持高位厂库库存小幅累库上周出口成交持续偏弱下游开工提升成本端电石开工大幅回升带动电石价格下跌PVC成本下行甲醇港口库存总量报11456万吨环比135万吨企业库存环比-363万吨报3626万吨国内供应仍在回升进口仍在高位虽需求同步好转但港口仍面临较大累库压力行情概要与期权分析卢品先标的行情沪胶维持近两周以来高位宽幅区间大幅震荡上周跌破震荡区间下限后快速反弹上升周跌幅180报收于14195甲醇上周先涨后跌突破近期高点后快速下跌回落延续前两周的震荡区间周跌幅141报收于投研经理2516PTA多头趋势方向上高位回落连续报收阴线短期偏空头周跌幅243报收于6256塑料上升受阻回落连续0755-23375252报收大阴线跌破前两周震荡区下限周跌幅183报收于8263聚丙烯先涨后跌中期趋势方向向上短期弱势偏空lupxwkqhcn头周跌幅134报收于7863PVC经过近两周以来的弱势震荡后上周快速下跌跌破震荡区间下限周跌幅294报收于6263从业资格号日均成交量上周能源化工类期权日均成交量除了PTA期权有所减少以外其他能源化工类期权日均成交量不同F3047321程度增加其中甲醇增加幅度较大橡胶期权减少053万手报收于528万手甲醇期权增加982万手报收于5461万交易咨询号手PTA期权减少317万手至5879万手塑料期权增加069万手至263万手聚丙烯期权增加038万手至207万Z0015541手PVC期权增加071万手至537万手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上升其中PTA期权增加幅度较大橡胶期权增加063万手至854万手甲醇期权增加111万手至4057万手PTA期权大幅增加1015万手至5897万手塑料期权增加049手至260万手聚丙烯期权增加048万手至442万手PVC期权增加111万手至914万手常俊萍持仓量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期权研究员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064甲醇期权持仓量PCR小幅上升报收于088PTA期权持仓量PCR技术下降报收于077塑料期权持仓量PCR窄幅盘整报收于137聚丙烯期权持仓量PCR窄changjpwkqhcn幅盘整报收于119PVC期权持仓量PCR维持较低位置报收于054从业资格号隐含波动率上周能源化工类期权隐含波动率橡胶期权持续上升至历史中位数偏高水平甲醇期权和PTA期权隐F03117406含波动率连续两周大幅上涨至历史较高位置水平其他能源化工类期权隐含波动率普遍有所上升截止上周五收盘橡胶期权隐含波动率窄幅波动报收于2413甲醇期权隐含波动率报收于3531PTA期权隐含波动率报收于3035塑料期权隐含波动率窄幅波动报收于1643聚丙烯期权隐含波动率报收于1693PVC期权隐含波动率报收于2459结论与操作建议1橡胶期权沪胶整体表现为高位震荡短期弱势偏空中期趋势线方向向上的市场行情走势形态橡胶期权隐含波动率小幅回升维持至历史高位至水平持仓量PCR维持在较低水平操作建议构建卖出偏中性的宽跨式期权组合策略获取时间价值收益若市场行情快速大跌或大涨突破损益平衡点则逐渐平仓离场如RU2401期权SRU2401P1400010SRU2401P1375010和SRU2401C1425010SRU2401C14500102甲醇期权甲醇先扬后抑维持多头趋势方向上的高位区间盘整震荡的市场行情走势形态甲醇期权隐含波动率快速上升至历史较高位置水平持仓量PCR逐渐下降至090附近操作建议构建卖出看涨看跌期权中性组合策略获取时间价值收益动态的调整持仓delta使得持仓保持中性若市场行情快速大跌或大涨突破损益平衡点则逐渐平仓离场如MA2311期权SMA2311P247510SMA2311P250010和SMA2311C255010SMA2311C2600103PTA期权PTA前一周突破前期高点后快速下跌回落区间震荡上周以来延续弱势偏空头的市场行情走势形态PTA期权隐含波动率维持在历史偏高位置水平持仓量PCR大幅下降操作建议构建偏空头的卖出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大涨或大跌突破损益平衡点逐渐平仓离场如TA2311期权STA2311P620010STA2311P610010和STA2311C630010STA2311C6400104塑料期权塑料先涨后跌连续报收大阴线跌破前两周多以来宽幅震荡区间下限市场行情整体表现为弱势偏空头塑料期权隐含波动率小幅上升持仓量PCR维持偏高水平维持操作建议构建偏空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使得持仓保持负数若市场行情快速大涨或大跌快速突破损益平衡点则逐渐平仓离场如L2401期权SL2401P810010SL2401P820010和SL2401C8200SL2401C83005PVC期权PVC高位回落逐渐下行上周以来加速下跌跌破前期两周以来的震荡区间下限形成短期偏空头的市场行情走势形态PVC期权隐含波动率窄幅波动较低水平持仓量PCR维持偏高水平维持操作建议构建偏空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使得持仓保持负数若市场行情快速大涨或大跌则逐渐平仓离场如V2401期权SV2401P610010SV2401P620010和SV2401C6300SV2401C6300一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RURU240114195-26000-1803689-33971893-041MAMA23112516-3600-1412196-2983818-1343PTATA23116256-15600-2432457-5066548-773LPGPG231156636300113151210531029555LL24018263-15400-18345218324393188PPPP24017863-10700-1344823-1355228190PVCV24016263-19000-2941354017383171336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PCRRU397131528053033578275854063048MA283526265461982093199820594057111103PTA336025195879-3170752977292058971015098LPG242311552099129111197308089177L144118263069082119141260049118PP108099207038091203239442048118PVC317219537071069595319914111054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RU240114250660006440014266234001677100602023-12-25MA23112500735040502533-1850-073170072023-10-11TA23116300111001280062833500056270072023-10-11PG231156501838014700568715780285238092023-10-13L240183002205022100830020000243650482023-12-07PP24017900224002350078891000012600482023-12-07V24016300262002545063085500094450482023-12-07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MA20UPLOWRU2401248721972413066219724591935MA2311377733173531221280031532448TA2311315728413035124249227742209PG2311388441194008377308534492720L2401166016231643-032149615891404PP2401175516391693-018156216721453V2401261022832459010213923281950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RU2401203070034-008285182064001MA23112087240811502415861399088003TA231129941891063-01623831829077-006PG2311263294112-037117232199026L2401111101091-019116159137-004PP2401065075116018195231119-002V2401356306086-007620337054-002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15000120成交量万收盘价142650014500100140008013500130006012500401200020115001100002023-04-132023-07-102023-03-222023-03-272023-03-302023-04-042023-04-102023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-082023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-22图2甲醇主力合约走势图2700400成交量万收盘价2542002600350250030024002502300200220015021002000100190050180002023-04-042023-06-072023-08-082023-03-222023-03-272023-03-302023-04-102023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-22图3PTA主力合约走势图6600350成交量万收盘价6254006400300620025060005800200560015054001005200500050480002023-05-122023-08-082023-08-112023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-22标的价量关系图5LPG主力合约走势图610035成交量万收盘价305600255689005100204600151041005360002023-04-042023-07-182023-08-162023-03-222023-03-272023-03-302023-04-102023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-212023-07-262023-07-312023-08-032023-08-082023-08-112023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-22图6塑料主力合约走势图860060成交量万收盘价84004582008295008000307800157600740002023-05-122023-06-122023-08-212023-09-192023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-082023-08-112023-08-162023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-22图7PP主力合约走势图820090成交量万收盘价8000807078006076005078890074004030720020700010680002023-05-172023-05-222023-09-222023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-082023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-19图8PVC主力合约走势图6800180收盘价收盘价66001601406400120620010080600063030060580040560020540002023-03-222023-05-302023-08-032023-03-272023-03-302023-04-042023-04-102023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-082023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-22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90009000800080007000700060006000500050004000400030003000200020001000100000107501075011250117501225012750132501375014250147501525015750162501175011750107501075011250122501275013250137501425014750152501575016250OIPOICOICHANGEPOICHANGEC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160001500014000130001200011000100002023-05-042023-07-182023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-182023-04-212023-04-262023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-212023-07-262023-07-312023-08-032023-08-082023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-22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080142650015000OIPCR30063961450028070CLOSE14000260602413500220501300020125001804012000160301411500020110002023-04-262023-03-222023-03-302023-04-102023-04-182023-05-092023-05-172023-05-252023-06-022023-06-122023-06-202023-06-302023-07-102023-07-182023-07-262023-08-032023-08-112023-08-212023-08-292023-09-062023-09-142023-09-222023-07-262023-08-042023-03-222023-03-312023-04-122023-04-212023-05-052023-05-162023-05-252023-06-052023-06-142023-06-272023-07-062023-07-172023-08-152023-08-242023-09-042023-09-132023-09-22IMPVMA20UPLOW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25000500040002000030001500020001000100000-10005000-20000-3000285021751825187519251975202520752125217522252275232523752425247525502650275029503050315018251875192519752025207521252225227523252375242524752550265027502850295030503150OIPOICOICHANGEPOICHANGEC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320030002800260024002200200018002023-06-152023-08-112023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-082023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-22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240300040OIPCR254200210CLOSE2800351802600150301202400250902200200882306020001503000018002023-04-262023-03-222023-03-302023-04-102023-04-182023-05-092023-05-172023-05-252023-06-022023-06-122023-06-202023-06-302023-07-102023-07-182023-07-262023-08-032023-08-112023-08-212023-08-292023-09-062023-09-142023-09-222023-07-262023-08-042023-03-222023-03-312023-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