【基本面信息】
　　橡胶：9月顺丁橡胶实际消费量为11.4万吨，环比略下滑，但较去年同期增长17.5%；前9个月累计消费量为94.7万吨，高于去年同期的86万吨。6月份以来，顺丁橡胶的月消费量维持在10万吨以上，好于去年同期。10月5日当周全钢胎开工率为49.9%，半钢胎开工率为69.31%，开工率环比下滑。
　　甲醇：库存方面，港口库存总量报110.29万吨，环比-4.27万吨。企业库存环比+9.3万吨，报43.41万吨。企业订单待发18.41万吨，环比减少13.96万吨。
　　PVC：节中，PVC开工持续回升，目前年内高位，社库及厂库大幅累库。后续检修来看，开工预计维持偏高。海外偏弱，带动FOB天津报价770美元/吨，与节前持平。成本端，电石开工维持高位，电石供应增量带动电石价格回落，边际成本下移。
　　塑料：周度库存方面，生产企业库存40.7万吨，环比去库0.14万吨，贸易商库存报4.68万吨，环比去库0.05万吨。下游平均开工率49.24%，环比上涨1.18%。
　　【期权分析及策略建议】
　　（1）橡胶期权
　　橡胶节前一周高位盘整震荡后逐渐转为弱势回落连续报收阴线，而后超跌反弹回暖上升，节后延续向上回升，形成上方有压力的短期反弹趋势的市场行情走势形态，涨幅0.43%报收于14165；期权隐含波动率报收于20.08%（-1.57%），持仓量PCR偏低位置窄幅盘整报收于0.62。
　　期权分析：标的行情，沪胶空头压力线下短期反弹的市场行情格局；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或大跌，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
　　甲醇前期高位回落后连续报收大阴线形成倒"V"型走势，而后维持一周以来的低位窄幅区间盘整，跌幅0.28%报收于2456，期权隐含波动率报收于23.10%（-2.29%），持仓量PCR小幅盘整报收于1.09。
　　期权分析：标的行情，甲醇表现为中期趋势向上短期弱势盘整震荡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MA2312期权，S_MA2312P2475@10，S_MA2312P2450@10和S_MA212C2550@10，S_MA2312C2500@10。
　　（3）PTA期权
　　PTA高位回落后延续两周以来的空头下跌趋势，节后加速下跌破位下行，形成短期弱势偏空头的市场行情走势形态，跌幅1.24%报收于5884，期权隐含波动率报收于21.82%（-1.70%），持仓量PCR窄幅波动报收于0.72。
　　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期权隐含波动率逐渐下降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TA2312期权，S_TA2312P5800@10，S_TA2312P5700@10和S_TA2312C5900@10，S_TA2312C5800@10。
　　（4）塑料期权
　　塑料冲高回落后连续大幅下跌，跌破近一个月以来低点，形成上方有压力的空头趋势走势形态，跌幅0.83%报收于8015；期权隐含波动率报收于14.56%（-0.37%），持仓量PCR小幅盘整报收于1.10。
　　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：构建看跌期权熊市价差组合策略，获取方向性收益，若市场行情快速大涨至高行权价，则平仓离场，如L2401期权，B_L2401-P-8200@10，B_L2401-P-8300@10和S_L2401-P-8000@10，S_L2401-P-7900@10。
　　（5）PVC期权
　　PVC节前连续空头下跌大幅下挫，节后延续大幅下跌趋势，形成短期空头市场行情走势形态，跌幅0.89%报收于5915；期权隐含波动率报收于21.46%（-0.66%），持仓量PCR小幅盘整报收于0.50。
　　期权分析：标的行情，PVC沿着空头趋势方向加速下跌的市场行情走势；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：构建看跌期权熊市价差组合策略，获取方向性收益，若市场行情快速大涨至高行权价，则平仓离场，如V2401期权，B_V2401-P-6200@10，B_V2401-P-6300@10和S_V2401-P-5800@10，S_V2401-P-5900@10。
　　

研究报告全文：能源化工期权日报期权研究2023年10月11日星期三基本面信息卢品先橡胶9月顺丁橡胶实际消费量为114万吨环比略下滑但较去年同期增长175前9个月累计消费量为947万吨高于去年同期的86万吨6月份以来顺丁橡胶的月消费量维持在10万吨以上好于去年同期10月5日当周投研经理全钢胎开工率为499半钢胎开工率为6931开工率环比下滑0755-23375252甲醇库存方面港口库存总量报11029万吨环比-427万吨企业库存环比93万吨报4341万吨企业lupxwkqhcn订单待发1841万吨环比减少1396万吨从业资格号PVC节中PVC开工持续回升目前年内高位社库及厂库大幅累库后续检修来看开工预计维持偏高海外偏弱带动FOB天津报价770美元吨与节前持平成本端电石开工维持高位电石供应增量带动电石价格回F3047321落边际成本下移交易咨询号塑料周度库存方面生产企业库存407万吨环比去库014万吨贸易商库存报468万吨环比去库005Z0015541万吨下游平均开工率4924环比上涨118期权分析及策略建议常俊萍1橡胶期权期权研究员橡胶节前一周高位盘整震荡后逐渐转为弱势回落连续报收阴线而后超跌反弹回暖上升节后延续向上回升changjpwkqhcn形成上方有压力的短期反弹趋势的市场行情走势形态涨幅043报收于14165期权隐含波动率报收于2008-157持仓量PCR偏低位置窄幅盘整报收于062从业资格号期权分析标的行情沪胶空头压力线下短期反弹的市场行情格局期权角度持仓量PCR维持在较低水平波F03117406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或大跌则逐渐平仓离场如RU2401期权SRU2401P1375010SRU2401P1400010和SRU2401C1425010SRU2401C14500102甲醇期权甲醇前期高位回落后连续报收大阴线形成倒V型走势而后维持一周以来的低位窄幅区间盘整跌幅028报收于2456期权隐含波动率报收于2310-229持仓量PCR小幅盘整报收于109期权分析标的行情甲醇表现为中期趋势向上短期弱势盘整震荡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MA2312期权SMA2312P247510SMA2312P245010和SMA212C255010SMA2312C2500103PTA期权PTA高位回落后延续两周以来的空头下跌趋势节后加速下跌破位下行形成短期弱势偏空头的市场行情走势形态跌幅124报收于5884期权隐含波动率报收于2182-170持仓量PCR窄幅波动报收于072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期权隐含波动率逐渐下降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TA2312期权STA2312P580010STA2312P570010和STA2312C590010STA2312C5800104塑料期权塑料冲高回落后连续大幅下跌跌破近一个月以来低点形成上方有压力的空头趋势走势形态跌幅083报收于8015期权隐含波动率报收于1456-037持仓量PCR小幅盘整报收于110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看跌期权熊市价差组合策略获取方向性收益若市场行情快速大涨至高行权价则平仓离场如L2401期权BL2401-P-820010BL2401-P-830010和SL2401-P-800010SL2401-P-7900105PVC期权PVC节前连续空头下跌大幅下挫节后延续大幅下跌趋势形成短期空头市场行情走势形态跌幅089报收于5915期权隐含波动率报收于2146-066持仓量PCR小幅盘整报收于050期权分析标的行情PVC沿着空头趋势方向加速下跌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看跌期权熊市价差组合策略获取方向性收益若市场行情快速大涨至高行权价则平仓离场如V2401期权BV2401-P-620010BV2401-P-630010和SV2401-P-580010SV2401-P-590010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RURU240114165006000043342148259MAMA2312245600-700-0286641636PTATA2312588400-7400-12424387263LPGPG2311521600-11900-223237125295LL2401801500-6700-083295311934PPPP2401745600-5900-079409915402PVCV2401591500-5300-089890726582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RU240114250371006680013953-9700-069-21200762023-12-25MA23122450520062002440-4400-177-1600242023-11-03TA2312590013950121505918-6000-1003400242023-11-03PG231152001094023805286-11540-214696032023-10-13L2401800019350163508030-9350-1151500582023-12-07PP2401750015050192007459-11950-158250582023-12-07V2401590018300169505914-9750-162-150582023-12-07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MA20UPLOWRU2401213817622008-157228823842192MA2312226923462310-229294132902592TA2312228220822182-170259228872297PG2311289529302913-621340639822830L2401150813901456-037152816001457PP2401141414521427-085159816811515V2401231217982146-066225023702129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RU240161241887031-0483014718557062005MA23122392360990081737818973109004TA231287012121390673993528766072-028PG2311140626271870883109423145074-031L24012473051230391386115278110-011PP24014066941710502110722011104-013V2401100811121100377106835336050-001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1396000100140001350080130006012500401200011500201100002023-07-212023-03-302023-04-042023-04-102023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-262023-07-312023-08-032023-08-082023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-10图2甲醇主力合约走势图2700成交量万3752600收盘价250024240030024002252300220015021002000751900180002023-04-042023-06-202023-08-162023-03-302023-04-102023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-082023-08-112023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-10图3PTA主力合约走势图6500400成交量万收盘价58840032060002405500160500080450002023-04-262023-07-212023-03-302023-04-042023-04-102023-04-132023-04-182023-04-212023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-262023-07-312023-08-032023-08-082023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-10标的价量关系图4LPG主力合约走势图600035531100成交量万收盘价305500255000204500151040005350002023-04-132023-07-262023-03-302023-04-042023-04-102023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-312023-08-032023-08-082023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-10图5塑料主力合约走势图850060成交量万收盘价83005040810080250030790020770010750002023-04-212023-07-262023-08-292023-03-302023-04-042023-04-102023-04-132023-04-182023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-312023-08-032023-08-082023-08-112023-08-162023-08-212023-08-242023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-10图6PP主力合约走势图820080成交量万收盘价80007078006050760074600040740030720020700010680002023-04-212023-07-262023-08-292023-03-302023-04-042023-04-102023-04-132023-04-182023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-312023-08-032023-08-082023-08-112023-08-162023-08-212023-08-242023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-10图8PVC主力合约走势图68001806600收盘价收盘价1601406400120620010060008060580040560059090020540002023-06-022023-06-072023-09-012023-03-302023-04-042023-04-102023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-082023-08-112023-08-162023-08-212023-08-242023-08-292023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-10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90001200800010007000800600060050004004000200300002000-2001000-4000-6001475014750107501075011250117501225012750132501375014250147501525015750162501075011250117501225012750132501375014250152501575016250OIPOICOICHANGEPOICHANGEC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17000160001500014000130001200011000100002023-04-042023-06-022023-07-312023-09-222023-03-302023-04-102023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-08-032023-08-082023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-272023-10-10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08015000OIPCR139600030CLOSE145000700615628140002606013500240501300022125002004018120000301611500020110002023-06-302023-08-032023-03-302023-04-102023-04-182023-04-262023-05-092023-05-172023-05-252023-06-022023-06-122023-06-202023-07-102023-07-182023-07-262023-08-112023-08-212023-08-292023-09-062023-09-142023-09-222023-10-102023-08-212023-09-122023-04-122023-04-242023-05-092023-05-192023-05-312023-06-122023-06-262023-07-062023-07-182023-07-282023-08-092023-08-312023-09-222023-03-30IMPVMA20UPLOW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40001200350010003000800250060020004001500200100050000-2002000230022002900185019001950205021002150220022502350240024502500260027002800290030003100185019001950200020502100215022502300235024002450250026002700280030003100OIPOICOICHANGEPOICHANGEC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320030002800260024002200200018002023-05-092023-06-272023-08-112023-09-272023-03-302023-04-042023-04-102023-04-132023-04-182023-04-212023-04-262023-05-042023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-082023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-10-10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2402700OIPCR402600200CLOSE352500301602400230025120242400220020080210015200004010190000018002023-04-182023-03-302023-04-102023-04-262023-05-092023-05-172023-05-252023-06-022023-06-122023-06-202023-06-302023-07-102023-07-182023-07-262023-08-032023-08-112023-08-212023-08-292023-09-062023-09-142023-09-222023-10-102023-08-212023-09-122023-04-122023-04-242023-05-092023-05-192023-05-312023-06-122023-06-262023-07-062023-07-182023-07-282023-08-092023-08-312023-09-222023-03-30IMPVMA20UPLOWPTA期权持仓分布PTA期权持仓分布图PTA期权持仓变化图1000035009000300080002500700060002000500015004000100030005002000100000-500650065006700690046504650475048504950510053005500570059006100630065006700690046504750485049505100530055005700590061006300OIPOICOICHANGEPOICHANGECPTA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-------------------------------------------040507080304040404040505050505050606060606060607070707070708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