【基本面信息】
　　橡胶：截至2023年10月13日，上期所天然橡胶库存243750(4002)吨，仓单219390(-440)吨。20号胶库存72778(707)吨，仓单71064(3428)吨。9月29日-10月5日山东地区轮胎企业全钢胎开工负荷为49.55%，10月6日-10月12日山东地区轮胎企业全钢胎开工负荷为63.90%，较上周走高14.35个百分点。
　　甲醇：库存方面，港口库存总量报88.1万吨，环比-6.64万吨。企业库存环比-1.08万吨，报42.33万吨。企业订单待发26.31万吨，环比增7.89万吨。传统需求二甲醚开工小幅回落，其余开工均有所走高，需求继续走高。
　　聚丙烯：周度库存方面，生产企业库存64.68万吨，环比去库2.07万吨，贸易商库存16.40万吨，环比去库1.25万吨，港口库存6.38万吨，环比去库0.59万吨。
　　塑料：上游开工85.06%，环比上涨0.33%。周度库存方面，生产企业库存55.82万吨，环比累库5.20万吨，贸易商库存报5.43万吨，环比去库0.13万吨。下游平均开工率47.84%，环比下降0.59%。
　　【期权分析及策略建议】
　　（1）橡胶期权
　　橡胶上周以来超跌反弹回暖上升“V"型反转，突破一个月以来高点，本周以来高位小幅盘整有所下降仍未改变短期多头向上趋势，形成短期偏强势高位震荡的市场行情走势形态，跌幅0.92%报收于14580；期权隐含波动率报收于22.01%（-0.11%），持仓量PCR偏低位置窄幅盘整报收于0.68。
　　期权分析：标的行情，沪胶"V"型反转超跌回暖上升突破上涨后高位震荡的市场行情格局；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：构建看涨期权牛市价差组合策略，获取方向性收益，若市场行情急速大跌至低行权价，则逐渐平仓离场，如RU2401期权，B_RU2401C14500@10，B_RU2401C14250@10和S_RU2401C14750@10，S_RU2401C15000@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，维持一周多以来的低位窄幅区间盘整，而后大幅下跌，跌破震荡区间下限，延续短期偏弱势行情走势形态，涨幅0.71%报收于2428，期权隐含波动率报收于21.59%（-0.59%），持仓量PCR持续下降报收于0.67。
　　期权分析：标的行情，甲醇表现为短期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小幅波动历史偏中位水平。
　　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保持空头，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_MA2312P2400@10，S_MA2312P2425@10和S_MA212C2450@10，S_MA2312C2425@10。
　　（3）PTA期权
　　 PTA高位回落后延续三周以来的空头下跌趋势，近两个月以来形成倒“V”型走势，本周以来低位弱势盘整后加速下跌，短期弱势偏空头的市场行情走势形态，涨幅0.79%报收于5758，期权隐含波动率报收于19.09%（-0.39%），持仓量PCR窄幅波动报收于0.61。
　　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，则逐渐平仓离场，如TA2312期权，B_TA2312P5900@10，B_TA2312P6000@10和S_TA2312P5700@10，S_TA2312P5600@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，而后低位弱势区间盘整，本周延续空头下跌趋势，形成上方有压力的空头下跌走势形态，涨幅0.43%报收于7963；期权隐含波动率报收于13.62%（-0.76%），持仓量PCR小幅盘整报收于0.96。
　　期权分析：标的行情，塑料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-8100@10和S_L2401-P-7800@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，而后维持低位小幅区间弱势震荡，形成短期偏空头市场行情走势形态，涨幅1.00%报收于5963；期权隐含波动率报收于19.01%（-0.18%），持仓量PCR小幅盘整报收于0.30。
　　期权分析：标的行情，PVC沿着空头趋势方向加速下跌后区间盘整的市场行情走势；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20日星期五基本面信息卢品先橡胶截至2023年10月13日上期所天然橡胶库存2437504002吨仓单219390-440吨20号胶库存72778707吨仓单710643428吨9月29日-10月5日山东地区轮胎企业全钢胎开工负荷为495510月6日-10月12日山投研经理东地区轮胎企业全钢胎开工负荷为6390较上周走高1435个百分点0755-23375252甲醇库存方面港口库存总量报881万吨环比-664万吨企业库存环比-108万吨报4233万吨企业订lupxwkqhcn单待发2631万吨环比增789万吨传统需求二甲醚开工小幅回落其余开工均有所走高需求继续走高从业资格号聚丙烯周度库存方面生产企业库存6468万吨环比去库207万吨贸易商库存1640万吨环比去库125万吨港口库存638万吨环比去库059万吨F3047321塑料上游开工8506环比上涨033周度库存方面生产企业库存5582万吨环比累库520万吨贸交易咨询号易商库存报543万吨环比去库013万吨下游平均开工率4784环比下降059Z0015541期权分析及策略建议1橡胶期权常俊萍橡胶上周以来超跌反弹回暖上升V型反转突破一个月以来高点本周以来高位小幅盘整有所下降仍未改变期权研究员短期多头向上趋势形成短期偏强势高位震荡的市场行情走势形态跌幅092报收于14580期权隐含波动率报收changjpwkqhcn于2201-011持仓量PCR偏低位置窄幅盘整报收于068期权分析标的行情沪胶V型反转超跌回暖上升突破上涨后高位震荡的市场行情格局期权角度持仓量从业资格号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F03117406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急速大跌至低行权价则逐渐平仓离场如RU2401期权BRU2401C1450010BRU2401C1425010和SRU2401C1475010SRU2401C15000102甲醇期权甲醇前期高位回落后连续报收大阴线形成倒V型走势维持一周多以来的低位窄幅区间盘整而后大幅下跌跌破震荡区间下限延续短期偏弱势行情走势形态涨幅071报收于2428期权隐含波动率报收于2159-059持仓量PCR持续下降报收于067期权分析标的行情甲醇表现为短期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小幅波动历史偏中位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保持空头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SMA2312P240010SMA2312P242510和SMA212C245010SMA2312C2425103PTA期权PTA高位回落后延续三周以来的空头下跌趋势近两个月以来形成倒V型走势本周以来低位弱势盘整后加速下跌短期弱势偏空头的市场行情走势形态涨幅079报收于5758期权隐含波动率报收于1909-039持仓量PCR窄幅波动报收于061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逐渐平仓离场如TA2312期权BTA2312P590010BTA2312P600010和STA2312P570010STA2312P5600104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而后低位弱势区间盘整本周延续空头下跌趋势形成上方有压力的空头下跌走势形态涨幅043报收于7963期权隐含波动率报收于1362-076持仓量PCR小幅盘整报收于096期权分析标的行情塑料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-810010和SL2401-P-780010SL2401-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而后维持低位小幅区间弱势震荡形成短期偏空头市场行情走势形态涨幅100报收于5963期权隐含波动率报收于1901-018持仓量PCR小幅盘整报收于030期权分析标的行情PVC沿着空头趋势方向加速下跌后区间盘整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RURU24011458000-13500-092537079026MAMA2312242800170007115443721PTATA2312575800-4600-07920175852LPGPG2312504700-3500-0698028157LL24017963003400043325312898PPPP24017450003100042378414039PVCV24015963005900100903126664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RU240114500596004740014622-5400-0371200672023-12-25MA231224254500420024283700155200152023-11-03TA23125800925087005806-2000-034350152023-11-03PG23125100130401474050832520050-200192023-11-07L2401790016650129507937500006-200492023-12-07PP24017400160501250074361300018150492023-12-07V24015900168501280059415900100250492023-12-07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MA20UPLOWRU2401226320252201-011226823682167MA2312214621752159-059273732632210TA2312195918381909-039247328962050PG2312320028403074-015248926572322L2401138313421362-076171819631472PP2401138013111341-072226425911936V2401200516861901-018226526071923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RU2401114352263020-0073168921597068-000MA231242173245077-0757770251736067-001TA23123828331608701115508395063061-002PG231220611134055-002189209963053-004L2401293464158-0191763516867096002PP2401263407155-0033150021971070-001V24011009833083-03915670547425030-003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146100015000成交量万12014500收盘价100140001350080130006012500401200011500201100002023-08-012023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-042023-08-092023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-072023-09-122023-09-152023-09-202023-09-252023-09-282023-10-112023-10-162023-10-19图2甲醇主力合约走势图2700成交量万3752600收盘价250024170030024002252300220015021002000751900180002023-04-142023-07-032023-08-252023-04-112023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-222023-08-302023-09-042023-09-072023-09-122023-09-152023-09-202023-09-252023-09-282023-10-112023-10-162023-10-19图3PTA主力合约走势图6500320成交量万收盘价60005778002405500160500080450002023-05-102023-08-012023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-042023-08-092023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-072023-09-122023-09-152023-09-202023-09-252023-09-282023-10-112023-10-162023-10-19标的价量关系图4LPG主力合约走势图600035成交量万收盘价305500515500255000204500151040005350002023-04-242023-08-042023-04-112023-04-142023-04-192023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-092023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-072023-09-122023-09-152023-09-202023-09-252023-09-282023-10-112023-10-162023-10-19图5塑料主力合约走势图850060成交量万收盘价83005040810030790079390020770010750002023-05-052023-08-042023-09-072023-04-112023-04-142023-04-192023-04-242023-04-272023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-092023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-122023-09-152023-09-202023-09-252023-09-282023-10-112023-10-162023-10-19图6PP主力合约走势图820080成交量万收盘价80007078006050760074340040740030720020700010680002023-05-052023-08-042023-09-072023-04-112023-04-142023-04-192023-04-242023-04-272023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-092023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-122023-09-152023-09-202023-09-252023-09-282023-10-112023-10-162023-10-19图8PVC主力合约走势图68001806600收盘价收盘价1601406400120620010060008060580040560059380020540002023-06-132023-06-162023-09-122023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-072023-09-152023-09-202023-09-252023-09-282023-10-112023-10-162023-10-19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9000300800025070002006000150100500050400003000-502000-1001000-1500-2001125011250107501075011250117501225012750132501375014250147501525015750162501075011750122501275013250137501425014750152501575016250OIPOICOICHANGEPOICHANGEC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17000160001500014000130001200011000100002023-04-142023-06-132023-08-092023-10-112023-04-112023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-182023-05-232023-05-262023-05-312023-06-052023-06-082023-06-162023-06-212023-06-282023-07-032023-07-062023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-142023-08-172023-08-222023-08-252023-08-302023-09-042023-09-072023-09-122023-09-152023-09-202023-09-252023-09-282023-10-162023-10-19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14610000801500030OIPCR06815CLOSE1450007028140002606013500240501300022125002004018120000301611500020110002023-07-112023-08-142023-04-112023-04-192023-04-272023-05-102023-05-182023-05-262023-06-052023-06-132023-06-212023-07-032023-07-192023-07-272023-08-042023-08-222023-08-302023-09-072023-09-152023-09-252023-10-112023-10-192023-08-302023-09-212023-04-212023-05-082023-05-182023-05-302023-06-092023-06-212023-07-052023-07-172023-07-272023-08-082023-08-182023-09-112023-10-112023-04-11IMPVMA20UPLOW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18000150016000100014000500120001000008000-5006000-100040002000-15000-20001950245020002500185019002000205021002150220022502300235024002500260027002800290030003100185019001950205021002150220022502300235024002450260027002800290030003100OIPOICOICHANGEPOICHANGEC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320030002800260024002200200018002023-05-182023-07-062023-08-222023-10-162023-04-112023-04-142023-04-192023-04-242023-04-272023-05-052023-05-102023-05-152023-05-232023-05-262023-05-312023-06-052023-06-082023-06-132023-06-162023-06-212023-06-282023-07-032023-07-112023-07-142023-07-192023-07-242023-07-272023-08-012023-08-042023-08-092023-08-142023-08-172023-08-252023-08-302023-09-042023-09-072023-09-122023-09-152023-09-202023-09-252023-09-282023-10-112023-10-19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2402700OIPCR402600200CLOSE352500301602400230025120241700220020080210015200004010190000018002023-04-272023-04-112023-04-192023-05-102023-05-182023-05-262023-06-052023-06-132023-06-212023-07-032023-07-112023-07-192023-07-272023-08-042023-08-142023-08-222023-08-302023-09-072023-09-152023-09-252023-10-112023-10-192023-08-302023-09-212023-04-212023-05-082023-05-182023-05-302023-06-092023-06-212023-07-052023-07-172023-07-272023-08-082023-08-182023-09-112023-10-112023-04-11IMPVMA20UPLOWPTA期权持仓分布PTA期权持仓分布图PTA期权持仓变化图250003000200020000100015000010000-10005000-20000-3000610061004650465047504850495051005300550057005900610063006500670069004650475048504950510053005500570059006300650067006900OIPOICOICHANGEPOICHANGECPTA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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