【基本面信息】
　　橡胶：截至2023年10月20日，上期所天然橡胶库存246145（2395）吨，仓单225180（5790）吨。20号胶库存76104（3326）吨，仓单73383（2319）吨。山东地区轮胎企业全钢胎开工负荷为64.82%，较上周走高0.92个百分点，较去年同期走高13.03个百分点。国内轮胎企业半钢胎开工负荷为72.93%，较上周小幅提升0.14个百分点，较去年同期走高7.87个百分点。
　　甲醇：库存方面，港口库存总量报87.4万吨，环比-0.7万吨。企业库存环比-0.72万吨，报41.62万吨。企业订单待发26.39万吨，环比增0.08万吨。传统需求甲醛、醋酸、氯化物开工回落，二甲醚、MTBE开工走高，总体需求有所回落。江浙MTO开工100.36%，环比小幅上涨，整体甲醇制烯烃开工94.5%，环比+1.41%。
　　PVC：PVC开工继续回落，周降4.16%至74.19%本周PVC生产企业产能利用率环比减少4.16%在74.19%，同比增加0.73%；其中电石法在73.37%，环比减少3.51%，同比增加0.74%，乙烯法在76.67%环比减少6.12%，同比增加0.30%。
　　【期权分析及策略建议】
　　（1）橡胶期权
　　橡胶前一周超跌反弹回暖上升“V"型反转，突破一个月以来高点，上周以来高位小幅盘整逐渐下降，形成短期偏强势中期趋势向上的市场行情走势形态，涨幅0.21%报收于14500；期权隐含波动率报收于21.16%（-0.18%），持仓量PCR偏低位置窄幅盘整报收于0.63。
　　期权分析：标的行情，沪胶主要表现为短期弱势偏空中期趋势向上的市场行情格局；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：构建偏中性的卖出看涨+看跌期权组合策略，获取时间价值，动态地调整持仓delta，使得持仓保持中性，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RU2401期权，S_RU2401P14000@10，S_RU2401P14250@10和S_RU2401C14750@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，形成上方有压力的短期弱势偏空震荡下行，跌幅0.45%报收于2412，期权隐含波动率报收于22.13%（-0.06%），持仓量PCR持续下降报收于0.62。
　　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窄幅盘整较低位置水平；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_MA2312P2375@10和S_MA2312C2450@10，S_MA2312C2425@10。
　　（3）PTA期权
　　PTA高位回落后延续一个多月以来的空头下跌趋势，近两个月以来形成倒“V”型走势，短期延续弱势偏空头的市场行情走势形态，跌幅1.89%报收于5726，期权隐含波动率报收于19.52%（+0.02%），持仓量PCR持续下降至较低位置报收于0.49。
　　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快速下降至偏低水平；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_TA2312P5800@10和S_TA2312P5700@10，S_TA2312P5600@10。
　　（4）塑料期权
　　塑料高位回落后连续三周以来大幅下跌，跌破近一个月以来低点，而后低位弱势区间盘整，本周延续空头小幅盘整，形成上方有压力的空头下跌走势形态，涨幅0.55%报收于7989；期权隐含波动率报收于14.53%（+0.33%），持仓量PCR小幅盘整报收于0.93。
　　期权分析：标的行情，塑料短期弱势偏空头窄幅盘整的市场行情格局；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高位回落后连续两周以来的空头下跌，上周以来低位区间盘整震荡，本周有所反弹回升，形成短期小幅反弹上方有空头压力的市场行情走势形态，涨幅0.38%报收于6008；期权隐含波动率报收于18.88%（-0.58%），持仓量PCR小幅盘整报收于0.27。
　　期权分析：标的行情，PVC空头压力线下宽幅区间盘整震荡的市场行情走势；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：构建偏中性的卖出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V2401期权，S_V2401-P-5900@10，S_V2401-P-6000@10和S_V2401-C-6000@10，S_V2401-C-6100@10。
　　

研究报告全文：能源化工期权日报期权研究2023年10月24日星期二基本面信息卢品先橡胶截至2023年10月20日上期所天然橡胶库存2461452395吨仓单2251805790吨20号胶库存761043326吨仓单733832319吨山东地区轮胎企业全钢胎开工负荷为6482较上周走高092个百分投研经理点较去年同期走高1303个百分点国内轮胎企业半钢胎开工负荷为7293较上周小幅提升014个百分点较去0755-23375252年同期走高787个百分点lupxwkqhcn甲醇库存方面港口库存总量报874万吨环比-07万吨企业库存环比-072万吨报4162万吨企业订从业资格号单待发2639万吨环比增008万吨传统需求甲醛醋酸氯化物开工回落二甲醚MTBE开工走高总体需求有所回落江浙MTO开工10036环比小幅上涨整体甲醇制烯烃开工945环比141F3047321PVCPVC开工继续回落周降416至7419本周PVC生产企业产能利用率环比减少416在7419同比增加交易咨询号073其中电石法在7337环比减少351同比增加074乙烯法在7667环比减少612同比增加030Z0015541期权分析及策略建议1橡胶期权常俊萍橡胶前一周超跌反弹回暖上升V型反转突破一个月以来高点上周以来高位小幅盘整逐渐下降形成短期期权研究员偏强势中期趋势向上的市场行情走势形态涨幅021报收于14500期权隐含波动率报收于2116-018持changjpwkqhcn仓量PCR偏低位置窄幅盘整报收于063期权分析标的行情沪胶主要表现为短期弱势偏空中期趋势向上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策略建议构建偏中性的卖出看涨看跌期权组合策略获取时间价值动态地调整持仓delta使得持仓保持中性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RU2401期权SRU2401P1400010SRU2401P1425010和SRU2401C1475010SRU2401C14500102甲醇期权甲醇前期高位回落后连续报收大阴线形成倒V型走势形成上方有压力的短期弱势偏空震荡下行跌幅045报收于2412期权隐含波动率报收于2213-006持仓量PCR持续下降报收于062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窄幅盘整较低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SMA2312P240010SMA2312P237510和SMA2312C245010SMA2312C2425103PTA期权PTA高位回落后延续一个多月以来的空头下跌趋势近两个月以来形成倒V型走势短期延续弱势偏空头的市场行情走势形态跌幅189报收于5726期权隐含波动率报收于1952002持仓量PCR持续下降至较低位置报收于049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快速下降至偏低水平波动上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BTA2312P590010BTA2312P580010和STA2312P570010STA2312P5600104塑料期权塑料高位回落后连续三周以来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小幅盘整形成上方有压力的空头下跌走势形态涨幅055报收于7989期权隐含波动率报收于1453033持仓量PCR小幅盘整报收于093期权分析标的行情塑料短期弱势偏空头窄幅盘整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高位回落后连续两周以来的空头下跌上周以来低位区间盘整震荡本周有所反弹回升形成短期小幅反弹上方有空头压力的市场行情走势形态涨幅038报收于6008期权隐含波动率报收于1888-058持仓量PCR小幅盘整报收于027期权分析标的行情PVC空头压力线下宽幅区间盘整震荡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偏中性的卖出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V2401期权SV2401-P-590010SV2401-P-600010和SV2401-C-600010SV2401-C-610010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RURU240114500003000021368453313MAMA2312241200-1100-04518254423PTATA2312572600-11000-18922906553LPGPG23125175008100159162716576LL24017989004400055294611705PPPP24017461003000040406215096PVCV240160080023000381129733811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RU24011450050000506001449454000371400632023-12-25MA23122425370044002418-2250-092100112023-11-03TA23125700860075505711-8150-141250112023-11-03PG23125150123801400051344960098-220152023-11-07L24018000146001710079752050026-1400452023-12-07PP2401740016350119007445750010150452023-12-07V24016000159001470060122550043000452023-12-07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MA20UPLOWRU2401218219802116-018225723662148MA2312220522212213-006266332062120TA2312202518691952002240028441957PG2312317129753092001246526522277L2401140714881453033168019491412PP2401135613341345-046222025861853V2401196017311888-058220925751844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RU240170162167031-0023244720346063-004MA2312382542041100509014055659062-011TA23123791473312504218461690223049-010PG2312366522900620142556515500061012L24011932691390331849917293093-003PP24012112691270183142421299068-001V24012126131306200416201243434027-001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成交量万144800012014500收盘价100140001350080130006012500401200011500201100002023-08-032023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-082023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-102023-10-132023-10-182023-10-23图2甲醇主力合约走势图2700成交量万3752600收盘价250024040030024002252300220015021002000751900180002023-04-182023-07-052023-08-292023-04-132023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-082023-08-112023-08-162023-08-212023-08-242023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-102023-10-132023-10-182023-10-23图3PTA主力合约走势图6500320成交量万收盘价60005694002405500160500080450002023-05-122023-08-032023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-082023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-102023-10-132023-10-182023-10-23标的价量关系图4LPG主力合约走势图600035成交量万收盘价523600305500255000204500151040005350002023-04-262023-08-082023-04-132023-04-182023-04-212023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-102023-10-132023-10-182023-10-23图5塑料主力合约走势图850060成交量万收盘价83005040810030790079890020770010750002023-05-092023-08-082023-09-112023-04-132023-04-182023-04-212023-04-262023-05-042023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-142023-09-192023-09-222023-09-272023-10-102023-10-132023-10-182023-10-23图6PP主力合约走势图820080成交量万收盘价80007078006050760074430040740030720020700010680002023-05-092023-08-082023-09-112023-04-132023-04-182023-04-212023-04-262023-05-042023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-142023-09-192023-09-222023-09-272023-10-102023-10-132023-10-182023-10-23图8PVC主力合约走势图68001806600收盘价收盘价1601406400120620010060008060580060120040560020540002023-06-152023-06-202023-09-142023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-082023-08-112023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-192023-09-222023-09-272023-10-102023-10-132023-10-182023-10-23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900060080004007000200600005000-2004000-4003000-6002000-8001000-10000-12001425014250107501075011250117501225012750132501375014250147501525015750162501075011250117501225012750132501375014750152501575016250OIPOICOICHANGEPOICHANGEC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17000160001500014000130001200011000100002023-04-182023-06-152023-08-112023-10-132023-04-132023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-222023-05-252023-05-302023-06-022023-06-072023-06-122023-06-202023-06-272023-06-302023-07-052023-07-102023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-082023-08-162023-08-212023-08-242023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-102023-10-182023-10-23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144800008015000OIPCR30CLOSE145000700627128140002606013500240501300022125002004018120000301611500020110002023-07-132023-08-162023-04-132023-04-212023-05-042023-05-122023-05-222023-05-302023-06-072023-06-152023-06-272023-07-052023-07-212023-07-312023-08-082023-08-242023-09-012023-09-112023-09-192023-09-272023-10-132023-10-232023-09-012023-09-252023-04-252023-05-102023-05-222023-06-012023-06-132023-06-272023-07-072023-07-192023-07-312023-08-102023-08-222023-09-132023-10-132023-04-13IMPVMA20UPLOW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180009000160008000700014000600012000500010000400080003000600020001000400002000-10000-20001950245020002500185019002000205021002150220022502300235024002500260027002800290030003100185019001950205021002150220022502300235024002450260027002800290030003100OIPOICOICHANGEPOICHANGEC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320030002800260024002200200018002023-05-222023-07-102023-08-242023-10-182023-04-132023-04-182023-04-212023-04-262023-05-042023-05-092023-05-122023-05-172023-05-252023-05-302023-06-022023-06-072023-06-122023-06-152023-06-202023-06-272023-06-302023-07-052023-07-132023-07-182023-07-212023-07-262023-07-312023-08-032023-08-082023-08-112023-08-162023-08-212023-08-292023-09-012023-09-062023-09-112023-09-142023-09-192023-09-222023-09-272023-10-102023-10-132023-10-23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2402700OIPCR402600200CLOSE352500301602400230025120240400220020080210015200004010190000018002023-05-042023-04-132023-04-212023-05-122023-05-222023-05-302023-06-072023-06-152023-06-272023-07-052023-07-132023-07-212023-07-312023-08-082023-08-162023-08-242023-09-012023-09-112023-09-192023-09-272023-10-132023-10-232023-09-012023-09-252023-04-252023-05-102023-05-222023-06-012023-06-132023-06-272023-07-072023-07-192023-07-312023-08-102023-08-222023-09-132023-10-132023-04-13IMPVMA20UPLOWPTA期权持仓分布PTA期权持仓分布图PTA期权持仓变化图30000600050002500040003000200002000150001000010000-1000-20005000-30000-4000630063004750475048504950510053005500570059006100630065006700690071004750485049505100530055005700590061006500670069007100OIPOICOICHANGEPOICHANGECPTA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8000750070006500600055005000450040002023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320232023202320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