【基本面信息】
　　橡胶：截至2023年9月22日，上期所天然橡胶库存236252（2058）吨，仓单215330（7010）吨，20号胶库存71164（2821）吨，仓单66125 （ -1412）吨。
　　甲醇：库存方面，港口库存总量报114.56万吨，环比+1.35万吨。企业库存环比-3.63万吨，报36.26万吨。传统需求甲醛开工回升，其余开工小幅回落，总体需求变化不大。江浙MTO开工89.61%，环比+11.13%，整体甲醇制烯烃开工87.39%，环比+3.14%。
　　 PVC：PVC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。
　　塑料：度库存方面，生产企业库存40.84万吨，环比去库4.45万吨，贸易商库存报4.73万吨，环比累库0.08万吨。下游平均开工率48.06%，环比上涨1.07%。
　　【期权分析及策略建议】
　　（1）橡胶期权
　　橡胶前一周高位盘整震荡后逐渐转为弱势回落，上周以来连续报收阴线逐渐转弱势，本周延续空头下行趋势，形成上方有压力的短期空头趋势的市场行情走势形态，跌幅0.75%报收于13875；期权隐含波动率报收于23.94%（-0.08%），持仓量PCR偏低位置窄幅盘整报收于0.59。
　　期权分析：标的行情，沪胶偏大幅区间震荡逐渐下降回落转为弱势的市场行情格局；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_RU2401P13750@10，S_RU2401P13500@10和S_RU2401C14250@10，S_RU2401C14000@10。
　　（2）甲醇期权
　　甲醇上周冲高回落后连续报收大阴线，跌破一周多以来的低点，近两周以来形成倒"V"型走势，市场行情短期弱势形态，跌幅0.32%报收于2455，期权隐含波动率报收于34.64%（-0.79%），持仓量PCR小幅盘整报收于0.75。
　　期权分析：标的行情，甲醇表现为中期趋势向上短期转为弱势偏空头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持续上升历史较高位置水平。
　　策略建议：构建偏空头的卖出看涨+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，动态的调整持仓delta，使得持仓delta保持负数，若市场行情急速大涨或大跌，突破损益平衡点，则逐渐平仓离场，如MA2311期权，S_MA2311P2425@10，S_MA2311P2450@10和S_MA211C2450@10，S_MA2311C2500@10。
　　（3）PTA期权
　　PTA上周以来冲高回落连续报收阴线，本周延续空头下行趋势，形成中期趋势线方向向上短期弱势偏空头的市场行情走势形态，跌幅0.48%报收于6156，期权隐含波动率报收于29.54%（-0.71%），持仓量PCR窄幅波动报收于0.78。
　　期权分析：标的行情，PTA表现为短期弱势偏空头的走势形态；期权角度，持仓量PCR逐渐上升维持较高位置；波动上，PTA期权隐含波动率持续上升至历史中位数偏高水平。
　　策略建议：构建卖出看涨+看跌偏空头的期权组合策略，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，则逐渐平仓离场，如TA2311期权，S_TA2311P6100@10，S_TA2311P6000@10和S_TA2311C6300@10，S_TA2311C6200@10。
　　（4）塑料期权
　　塑料上周冲高回落后连续大幅下跌，跌破近一个月以来地点，市场行情空头情绪较浓，形成上方有压力的空头趋势走势形态，跌幅0.18%报收于8231；期权隐含波动率报收于15.24%（-1.11%），持仓量PCR小幅下降报收于1.24。
　　期权分析：标的行情，塑料跌破震荡区间下限短期弱势偏空头的市场行情格局；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水平。
　　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，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-8100@10和S_L2401-C-8200@10，S_L2401-C-8300@10。
　　（5）PVC期权
　　PVC前一周以来逐渐转偏弱下降回落，上周以来加速下跌跌破近两周以来的低点，本周以来加速下跌，形成近期弱势行情走势形态，跌幅1.30%报收于6131；期权隐含波动率报收于23.22%（-1.47%），持仓量PCR小幅盘整报收于0.55。
　　期权分析：标的行情，PVC沿着空头趋势方向震荡下行空头向下的市场行情走势；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-6100@10，S_V2401-P-6000@10和S_V2401-C6100@10，S_V2401-C-6200@10。
　　

研究报告全文：能源化工期权日报期权研究2023年9月27日星期三基本面信息卢品先橡胶截至2023年9月22日上期所天然橡胶库存2362522058吨仓单2153307010吨20号胶库存711642821吨仓单66125-1412吨投研经理甲醇库存方面港口库存总量报11456万吨环比135万吨企业库存环比-363万吨报3626万吨传统0755-23375252需求甲醛开工回升其余开工小幅回落总体需求变化不大江浙MTO开工8961环比1113整体甲醇制烯烃lupxwkqhcn开工8739环比314从业资格号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F3047321塑料度库存方面生产企业库存4084万吨环比去库445万吨贸易商库存报473万吨环比累库008交易咨询号万吨下游平均开工率4806环比上涨107Z0015541期权分析及策略建议1橡胶期权常俊萍橡胶前一周高位盘整震荡后逐渐转为弱势回落上周以来连续报收阴线逐渐转弱势本周延续空头下行趋势期权研究员形成上方有压力的短期空头趋势的市场行情走势形态跌幅075报收于13875期权隐含波动率报收于2394-changjpwkqhcn008持仓量PCR偏低位置窄幅盘整报收于059期权分析标的行情沪胶偏大幅区间震荡逐渐下降回落转为弱势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SRU2401P1375010SRU2401P1350010和SRU2401C1425010SRU2401C14000102甲醇期权甲醇上周冲高回落后连续报收大阴线跌破一周多以来的低点近两周以来形成倒V型走势市场行情短期弱势形态跌幅032报收于2455期权隐含波动率报收于3464-079持仓量PCR小幅盘整报收于075期权分析标的行情甲醇表现为中期趋势向上短期转为弱势偏空头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持续上升历史较高位置水平策略建议构建偏空头的卖出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的调整持仓delta使得持仓delta保持负数若市场行情急速大涨或大跌突破损益平衡点则逐渐平仓离场如MA2311期权SMA2311P242510SMA2311P245010和SMA211C245010SMA2311C2500103PTA期权PTA上周以来冲高回落连续报收阴线本周延续空头下行趋势形成中期趋势线方向向上短期弱势偏空头的市场行情走势形态跌幅048报收于6156期权隐含波动率报收于2954-071持仓量PCR窄幅波动报收于078期权分析标的行情PTA表现为短期弱势偏空头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期权隐含波动率持续上升至历史中位数偏高水平策略建议构建卖出看涨看跌偏空头的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逐渐平仓离场如TA2311期权STA2311P610010STA2311P600010和STA2311C630010STA2311C6200104塑料期权塑料上周冲高回落后连续大幅下跌跌破近一个月以来地点市场行情空头情绪较浓形成上方有压力的空头趋势走势形态跌幅018报收于8231期权隐含波动率报收于1524-111持仓量PCR小幅下降报收于124期权分析标的行情塑料跌破震荡区间下限短期弱势偏空头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水平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-810010和SL2401-C-820010SL2401-C-8300105PVC期权PVC前一周以来逐渐转偏弱下降回落上周以来加速下跌跌破近两周以来的低点本周以来加速下跌形成近期弱势行情走势形态跌幅130报收于6131期权隐含波动率报收于2322-147持仓量PCR小幅盘整报收于055期权分析标的行情PVC沿着空头趋势方向震荡下行空头向下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-610010SV2401-P-600010和SV2401-C-610010SV2401-C-620010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RURU24011387500-10500-075334946821MAMA2311245500-800-03217874402PTATA2311615600-3000-04820766420LPGPG2311541600-11400-206293432448LL2401823100-1500-018330213617PPPP2401773400-3500-045351613658PVCV2401613100-8100-130999031033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RU240114000549007010013848-26300-186-2700902023-12-25MA23112450435046502447-2750-111-800152023-10-11TA231162007150120506151-9150-147-500152023-10-11PG2311540015400142005412-23580-418-400172023-10-13L2401820021850186008233-3500-042150722023-12-07PP2401770022400191007733-6600-085-100722023-12-07V2401610025800185006173-6500-1044200722023-12-07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MA20UPLOWRU2401250521752394-008226724712063MA2311371331743464-079291632912540TA2311306227912954-071256528722258PG2311410942214182122321636842747L2401157714721524-111151716041430PP2401162616101618-092158916881489V2401248020762322-147219323702016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RU2401746726610360002977317606059-003MA231138065021132042171407128237075000TA231137343782101033214624167869078002PG2311244257042340671290820814161-031L24016226471040001264015633124-008PP2401384547143-0261962024048123-006V2401192115610810186248234426055-002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15000成交量万12014500收盘价1383500100140001350080130006012500401200011500201100002023-05-242023-06-062023-09-132023-09-262023-03-242023-03-292023-04-032023-04-072023-04-122023-04-172023-04-202023-04-252023-04-282023-05-082023-05-112023-05-162023-05-192023-05-292023-06-012023-06-092023-06-142023-06-192023-06-262023-06-292023-07-042023-07-072023-07-122023-07-172023-07-202023-07-252023-07-282023-08-022023-08-072023-08-102023-08-152023-08-182023-08-232023-08-282023-08-312023-09-052023-09-082023-09-182023-09-21图2甲醇主力合约走势图2700成交量万3752600收盘价245700250030024002252300220015021002000751900180002023-03-292023-07-282023-09-212023-03-242023-04-032023-04-072023-04-122023-04-172023-04-202023-04-252023-04-282023-05-082023-05-112023-05-162023-05-192023-05-242023-05-292023-06-012023-06-062023-06-092023-06-142023-06-192023-06-262023-06-292023-07-042023-07-072023-07-122023-07-172023-07-202023-07-252023-08-022023-08-072023-08-102023-08-152023-08-182023-08-232023-08-282023-08-312023-09-052023-09-082023-09-132023-09-182023-09-26图3PTA主力合约走势图6500400成交量万收盘价61140032060002405500160500080450002023-04-032023-07-282023-09-052023-03-242023-03-292023-04-072023-04-122023-04-172023-04-202023-04-252023-04-282023-05-082023-05-112023-05-162023-05-192023-05-242023-05-292023-06-012023-06-062023-06-092023-06-142023-06-192023-06-262023-06-292023-07-042023-07-072023-07-122023-07-172023-07-202023-07-252023-08-022023-08-072023-08-102023-08-152023-08-182023-08-232023-08-282023-08-312023-09-082023-09-132023-09-182023-09-212023-09-26标的价量关系图4LPG主力合约走势图600035541500成交量万收盘价305500255000204500151040005350002023-06-092023-07-252023-09-052023-03-242023-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