【基本面信息】
　　橡胶：截至2023年9月15日，上期所天然橡胶库存234194（4818）吨，仓单208320（15530）吨。20号胶库存68343（-605）吨，仓单67537（-201）吨。
　　甲醇：库存方面，港口库存总量报113.21万吨，环比+9.36万吨。企业库存环比-0.58万吨，报39.89万吨。传统需求二甲醚开工回落，其余开工有所走高，总体需求继续回升。江浙MTO开工78.48%，环比持平，整体甲醇制烯烃开工84.73%，环比+2.33%。
　　PVC：PVC开工小幅回升，社库小幅去库，厂库累库，主要是交付前期出口订单，部分库存转移至在途，预售环比走弱。后续检修来看，开工预计至9月下旬继续回升。出口成交回落，海外接单减量。
　　聚丙烯：库存方面，生产企业库存49.15万吨，环比累库0.9万吨，贸易商库存18.22万吨，环比累库1.22万吨，港口库存6.36万吨，环比去库0.09万吨。下游平均开工率53.19%，环比上涨5.05%。
　　【期权分析及策略建议】
　　（1）橡胶期权
　　橡胶经过前期持续多头突破上涨，而后维持两周多以来高位大幅震荡，本周以来连续三天报收阴线，形成高位震荡短期转弱的市场行情走势形态，跌幅0.63%报收于14155；期权隐含波动率报收于23.44%（+0.29%），持仓量PCR偏低位置窄幅盘整报收于0.66。
　　期权分析：标的行情，沪胶偏多头市场大幅区间震荡逐渐下降回落的市场行情格局；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上。
　　策略建议：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_RU2401P13750@10，S_RU2401P14000@10和S_RU2401C14250@10，S_RU2401C14500@10。
　　（2）甲醇期权
　　甲醇止跌反弹回暖上升后，经过前期两个半月以来的多头上涨后，而后维持近两周以来高位盘整震荡，本周以来突破上涨多头上行后快速下跌，形成高位大幅震荡的市场行情，跌幅0.54%报收于2586，期权隐含波动率报收于32.20%（+0.55%），持仓量PCR小幅波动报收于0.92。
　　期权分析：标的行情，甲醇表现为沿着中期趋势方向突破上涨后快速下跌的市场行情走势形态；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：构建看涨期权牛市价差组合策略，获取时间价值收益和方向性收益，若市场行情快速大跌至低行权价，则逐渐平仓离场，如MA2311期权，B_MA2311C2500@10，B_MA2311C2550@10和S_MA211C2650@10，S_MA2311C2700@10。
　　（3）PTA期权
　　PTA上周以来加速上涨突破上涨延续多头上行，而后维持一周多高位盘整震荡，跌幅0.31%报收于6334，期权隐含波动率报收于29.80%（+1.13%），持仓量PCR持续下降报收于0.83。
　　期权分析：标的行情，PTA表现为多头突破区间上限大幅上涨延续多头上升高位盘整的走势形态；期权角度，持仓量PCR逐渐上升维持较高位置；波动上，PTA期权隐含波动率窄幅波动历史中位数水平偏低。
　　策略建议：构建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TA2311期权，B_TA2311C6300@10，B_TA2311C6200@10和S_TA2311C670@10，S_TA2311C6600@10。
　　（4）塑料期权
　　塑料延续近三周以来高位宽幅区间大震荡的行情形态，而后突破区间上限后快速回落，延续前期的宽幅震荡区间大幅波动，跌幅0.93%报收于8376；期权隐含波动率报收于16.52%（+0.70%），持仓量PCR小幅盘整报收于1.11。
　　期权分析：标的行情，塑料市场行情整体表现为偏多头方向上高位震荡后突破上涨后快速下降的市场行情格局；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较低位置。
　　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-8200@10，S_L2401-P-8300@10和S_L2401-C8400@10，S_L2401-C-8500@10。
　　（5）PVC期权
　　PVC前一周连续报收阳线多头突破上涨，上周以来逐渐转偏弱下降回落，延续一周多以来的弱势下行，而后止跌反弹快速上涨，形成中期多头趋势方向上的短期大幅度震荡的市场行情形态，跌幅0.83%报收于6418；期权隐含波动率报收于24.00%（+1.18%），持仓量PCR小幅盘整报收于0.52。
　　期权分析：标的行情，PVC短期多头趋势方向突破上行后高位宽幅区间震荡逐渐转为弱势，而后逐渐反弹回升的市场行情走势；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：构建卖出偏中性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-6400@10，S_V2401-P-6300@10和S_V2401-C6600@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9月21日星期四基本面信息卢品先橡胶截至2023年9月15日上期所天然橡胶库存2341944818吨仓单20832015530吨20号胶库存68343-605吨仓单67537-201吨投研经理甲醇库存方面港口库存总量报11321万吨环比936万吨企业库存环比-058万吨报3989万吨传统0755-23375252需求二甲醚开工回落其余开工有所走高总体需求继续回升江浙MTO开工7848环比持平整体甲醇制烯烃开lupxwkqhcn工8473环比233从业资格号PVCPVC开工小幅回升社库小幅去库厂库累库主要是交付前期出口订单部分库存转移至在途预售环比走弱后续检修来看开工预计至9月下旬继续回升出口成交回落海外接单减量F3047321聚丙烯库存方面生产企业库存4915万吨环比累库09万吨贸易商库存1822万吨环比累库122万交易咨询号吨港口库存636万吨环比去库009万吨下游平均开工率5319环比上涨505Z0015541期权分析及策略建议1橡胶期权常俊萍橡胶经过前期持续多头突破上涨而后维持两周多以来高位大幅震荡本周以来连续三天报收阴线形成高位期权研究员震荡短期转弱的市场行情走势形态跌幅063报收于14155期权隐含波动率报收于2344029持仓量PCRchangjpwkqhcn偏低位置窄幅盘整报收于066期权分析标的行情沪胶偏多头市场大幅区间震荡逐渐下降回落的市场行情格局期权角度持仓量PCR维持从业资格号在较低水平波动上橡胶期权隐含波动率中位数偏上F03117406策略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SRU2401P1375010SRU2401P1400010和SRU2401C1425010SRU2401C14500102甲醇期权甲醇止跌反弹回暖上升后经过前期两个半月以来的多头上涨后而后维持近两周以来高位盘整震荡本周以来突破上涨多头上行后快速下跌形成高位大幅震荡的市场行情跌幅054报收于2586期权隐含波动率报收于3220055持仓量PCR小幅波动报收于092期权分析标的行情甲醇表现为沿着中期趋势方向突破上涨后快速下跌的市场行情走势形态期权角度持仓量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看涨期权牛市价差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跌至低行权价则逐渐平仓离场如MA2311期权BMA2311C250010BMA2311C255010和SMA211C265010SMA2311C2700103PTA期权PTA上周以来加速上涨突破上涨延续多头上行而后维持一周多高位盘整震荡跌幅031报收于6334期权隐含波动率报收于2980113持仓量PCR持续下降报收于083期权分析标的行情PTA表现为多头突破区间上限大幅上涨延续多头上升高位盘整的走势形态期权角度持仓量PCR逐渐上升维持较高位置波动上PTA期权隐含波动率窄幅波动历史中位数水平偏低策略建议构建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TA2311期权BTA2311C630010BTA2311C620010和STA2311C67010STA2311C6600104塑料期权塑料延续近三周以来高位宽幅区间大震荡的行情形态而后突破区间上限后快速回落延续前期的宽幅震荡区间大幅波动跌幅093报收于8376期权隐含波动率报收于1652070持仓量PCR小幅盘整报收于111期权分析标的行情塑料市场行情整体表现为偏多头方向上高位震荡后突破上涨后快速下降的市场行情格局期权角度持仓量PCR偏中性位置波动上塑料期权隐含波动率历史中位数较低位置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-820010SL2401-P-830010和SL2401-C-840010SL2401-C-8500105PVC期权PVC前一周连续报收阳线多头突破上涨上周以来逐渐转偏弱下降回落延续一周多以来的弱势下行而后止跌反弹快速上涨形成中期多头趋势方向上的短期大幅度震荡的市场行情形态跌幅083报收于6418期权隐含波动率报收于2400118持仓量PCR小幅盘整报收于052期权分析标的行情PVC短期多头趋势方向突破上行后高位宽幅区间震荡逐渐转为弱势而后逐渐反弹回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中性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-640010SV2401-P-630010和SV2401-C-660010SV2401-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RURU24011415500-9000-063334647677MAMA2311258600-1400-05423156018PTATA2311633400-2000-03128138934LPGPG2311565800-2200-039156217742LL2401837600-7900-093468719815PPPP2401796500-5900-074413216578PVCV2401641800-5400-0831301842130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RU240114250634006380014246-900-0069100962023-12-25MA23112600535066002588-4450-169150212023-10-11TA2311630014300118506325-2950-046-950212023-10-11PG2311565014800176605621-6380-112-3660232023-10-13L2401840023350244008390-12800-1501350782023-12-07PP2401800022550250507975-10000-1241000782023-12-07V2401640026700246006421-7000-108300782023-12-07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MA20UPLOWRU2401243221242344029212924221835MA2311337330713220055270029962404TA2311311527772980113241726552180PG2311349035793541035297332452701L2401166716321652070146715491385PP2401171816671695031153516401429V2401254921212400118207822531902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RU240180392453031-0012781318291066-000MA231149324701095020135128124221092-001TA231170874308061-002214791179200083-004PG231140983534086-0291035919415187002L24019536720700051123812430111004PP24017747500970281943123603121002V240124031259052-0035796730191052001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15000成交量万120142100014500收盘价100140001350080130006012500401200011500201100002023-05-182023-05-312023-09-072023-09-202023-03-202023-03-232023-03-282023-03-312023-04-062023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-232023-05-262023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-122023-09-15图2甲醇主力合约走势图2700成交量万2591003752600收盘价250030024002252300220015021002000751900180002023-03-232023-07-242023-09-152023-03-202023-03-282023-03-312023-04-062023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-072023-09-122023-09-20图3PTA主力合约走势图6500629400480成交量万收盘价40060003205500240160500080450002023-03-282023-07-242023-08-302023-03-202023-03-232023-03-312023-04-062023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-222023-08-252023-09-042023-09-072023-09-122023-09-152023-09-20标的价量关系图4LPG主力合约走势图571100600035成交量万收盘价305500255000204500151040005350002023-06-052023-07-192023-08-302023-03-202023-03-232023-03-282023-03-312023-04-062023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-222023-08-252023-09-042023-09-072023-09-122023-09-152023-09-20图5塑料主力合约走势图850060成交量万收盘价83008384005040810030790020770010750002023-03-232023-05-232023-07-192023-03-202023-03-282023-03-312023-04-062023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-072023-09-122023-09-152023-09-20图6PP主力合约走势图820080成交量万收盘价79720080007078006050760040740030720020700010680002023-03-232023-05-232023-07-192023-03-202023-03-282023-03-312023-04-062023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-072023-09-122023-09-152023-09-20图8PVC主力合约走势图68001806600收盘价收盘价1601406400120620010064200060008060580040560020540002023-04-192023-06-212023-03-202023-03-232023-03-282023-03-312023-04-062023-04-112023-04-142023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-072023-09-122023-09-152023-09-20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90001508000100700050600005000-504000-1003000-1502000-2001000-2500-30010750107501125011750122501275013250137501425014750152501575016250107501125011750122501275013250137501425014750152501575016250OIPOICOICHANGEPOICHANGEC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17000160001500014000130001200011000100002023-03-312023-04-242023-03-202023-03-232023-03-282023-04-062023-04-112023-04-142023-04-192023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-072023-09-122023-09-152023-09-20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080142100015000OIPCR30CLOSE065761450007028140002606013500240501300022125002004018120000301611500020110002023-06-082023-03-202023-03-282023-04-062023-04-142023-04-242023-05-052023-05-152023-05-232023-05-312023-06-162023-06-282023-07-062023-07-142023-07-242023-08-012023-08-092023-08-172023-08-252023-09-042023-09-122023-09-202023-09-122023-03-302023-04-122023-04-242023-05-092023-05-192023-05-312023-06-122023-06-262023-07-062023-07-182023-07-282023-08-092023-08-212023-08-312023-03-20IMPVMA20UPLOW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25000400030002000020001000150000-100010000-2000-30005000-4000-50000-60002100245018501900195020002050215022002250230023502400250026002700280029003000310018501900195020002050210021502200225023002350240024502500260027002800290030003100OIPOICOICHANGEPOICHANGEC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320030002800260024002200200018002023-04-242023-06-132023-08-172023-03-202023-03-232023-03-282023-03-312023-04-062023-04-112023-04-142023-04-192023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-222023-08-252023-08-302023-09-042023-09-072023-09-122023-09-152023-09-20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2402700OIPCR402600200CLOSE352500301602591002400230025120220020080210015200004010190000018002023-04-242023-06-282023-08-252023-03-202023-03-282023-04-062023-04-142023-05-052023-05-152023-05-232023-05-312023-06-082023-06-162023-07-062023-07-142023-07-242023-08-012023-08-092023-08-172023-09-042023-09-122023-09-202023-09-122023-03-302023-04-122023-04-242023-05-092023-05-192023-05-312023-06-122023-06-262023-07-062023-07-182023-07-282023-08-092023-08-212023-08-312023-03-20IMPVMA20UPLOWPTA期权持仓分布PTA期权持仓分布图PTA期权持仓变化图600004000500003000200040000100030000020000-100010000-20000-3000610061004650465047504850495051005300550057005900630065006700690046504750485049505100530055005700590061006300650067006900OIPOICOICHANGEPOICHANGECPTA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-------------------------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