报告核心观点 - 构建卖方为主的期权组合策略以及现货套保或备兑策略增强收益 [3] 标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅（%） | 成交量（万手） | 量变化 | 持仓量（万手） | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 原油 | SC2512 | 439 | 3 | 0.64 | 9.73 | 0.43 | 4.47 | 0.06 | | 液化气 | PG2512 | 4,098 | -8 | -0.19 | 6.39 | 1.55 | 9.23 | 0.49 | | 甲醇 | MA2512 | 2,255 | 7 | 0.31 | 4.39 | 1.53 | 3.84 | 0.07 | | 乙二醇 | EG2601 | 3,994 | -9 | -0.22 | 16.86 | 1.00 | 33.37 | 0.23 | | 聚丙烯 | PP2512 | 6,566 | 13 | 0.20 | 0.80 | 0.08 | 3.49 | 0.13 | | 聚氯乙烯 | V2512 | 4,652 | -3 | -0.06 | 0.68 | 0.05 | 3.94 | 0.08 | | 塑料 | L2512 | 6,872 | 7 | 0.10 | 0.92 | 0.06 | 2.64 | 0.00 | | 苯乙烯 | EB2512 | 6,471.00 | 1.00 | 0.02 | 22.10 | 4.77 | 31.02 | 3.58 | | 橡胶 | RU2601 | 15,110 | 110 | 0.73 | 35.05 | 13.53 | 15.27 | 0.44 | | 合成橡胶 | BR2512 | 11,020 | 65 | 0.59 | 12.37 | 2.17 | 7.28 | -0.20 | | 对二甲苯 | PX2512 | 6,350 | 22 | 0.35 | 4.04 | 0.74 | 3.25 | 0.08 | | 精对苯二甲酸 | TA2512 | 4,410 | 26 | 0.59 | 15.67 | 6.99 | 4.91 | 0.25 | | 短纤 | PF2512 | 6,090 | 32 | 0.53 | 19.99 | 3.58 | 20.29 | 0.19 | | 瓶片 | PR2512 | 5,588.00 | 32.00 | 0.58 | 2.46 | -0.38 | 2.13 | -0.13 | | 烧碱 | SH2601 | 2,386 | 5 | 0.21 | 22.37 | -7.52 | 12.16 | -0.07 | | 纯碱 | SA2601 | 1,216 | 9 | 0.75 | 99.22 | -20.77 | 139.14 | 2.19 | | 尿素 | UR2601 | 1,609 | 2 | 0.12 | 15.89 | -0.08 | 31.22 | -1.00 | [4] 期权因子 - 量仓PCR | 期权品种 | 成交量 | 量变化 | 持仓量 | 仓变化 | 成交量PCR | 量PCR变化 | 持仓量PCR | 仓PCR变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 原油 | 34,356 | 1,490 | 39,031 | 2,722 | 0.65 | 0.05 | 0.54 | -0.02 | | 液化气 | 146,898 | 57,994 | 67,113 | 5,090 | 0.49 | -0.33 | 0.66 | -0.01 | | 甲醇 | 147,237 | 19,341 | 273,796 | 14,146 | 0.79 | 0.13 | 0.57 | -0.01 | | 乙二醇 | 58,982 | 5,343 | 73,215 | 3,229 | 0.97 | 0.24 | 0.62 | -0.00 | | 聚丙烯 | 86,431 | 35,688 | 134,019 | 4,121 | 1.12 | 0.00 | 0.75 | 0.05 | | 聚氯乙烯 | 146,274 | -38,480 | 349,133 | 6,395 | 0.54 | 0.19 | 0.27 | -0.00 | | 塑料 | 45,822 | 2,057 | 74,112 | 1,248 | 1.03 | 0.03 | 0.58 | -0.03 | | 苯乙烯 | 413,080 | -14,196 | 187,290 | -2,546 | 1.02 | -0.13 | 0.65 | 0.14 | | 橡胶 | 33,637 | 21,381 | 47,789 | 1,563 | 0.31 | -0.24 | 0.52 | -0.01 | | 合成橡胶 | 62,945 | 29,715 | 29,495 | 282 | 0.40 | -0.35 | 0.70 | 0.06 | | 对二甲苯 | 22,818 | 1,274 | 38,545 | 1,023 | 0.71 | -0.14 | 0.83 | -0.02 | | 精对苯二甲酸 | 147,406 | -6,549 | 240,156 | 12,367 | 1.04 | 0.10 | 0.67 | 0.01 | | 短纤 | 17,248 | -7,703 | 28,787 | 2,096 | 0.65 | 0.04 | 0.68 | -0.02 | | 瓶片 | 2,224 | -2,126 | 9,478 | -3 | 0.53 | 0.19 | 0.60 | -0.02 | | 烧碱 | 38,050 | -6,598 | 55,992 | 797 | 0.79 | -0.11 | 0.71 | -0.02 | | 纯碱 | 272,197 | -5,704 | 611,543 | 27,047 | 0.70 | 0.13 | 0.34 | -0.01 | | 尿素 | 17,994 | 3,769 | 92,559 | 1,085 | 0.58 | 0.08 | 0.39 | -0.00 | [5] 期权因子 - 压力位和支撑位 | 期权品种 | 标的合约 | 平值行权价 | 压力点 | 压力点偏移 | 支撑点 | 支撑点偏移 | 购最大持仓 | 沽最大持仓 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 原油 | SC2512 | 440 | 590 | 0 | 400 | 0 | 3,906 | 1,042 | | 液化气 | PG2512 | 4,100 | 4,500 | 0 | 3,600 | -350 | 1,097 | 556 | | 甲醇 | MA2512 | 2,275 | 2,300 | 0 | 2,225 | -25 | 6,357 | 4,874 | | 乙二醇 | EG2601 | 4,000 | 4,500 | 0 | 4,050 | -50 | 4,267 | 2,942 | | 聚丙烯 | PP2512 | 6,600 | 7,300 | 0 | 6,300 | 0 | 4,720 | 6,217 | | 聚氯乙烯 | V2512 | 4,650 | 6,200 | 0 | 4,700 | 0 | 37,926 | 2,877 | | 塑料 | L2512 | 6,900 | 7,300 | 0 | 7,000 | 600 | 3,693 | 1,553 | | 苯乙烯 | EB2512 | 6,500 | 7,000 | 0 | 6,000 | -200 | 1,714 | 2,100 | | 橡胶 | RU2601 | 15,250 | 17,000 | 0 | 14,000 | 0 | 5,880 | 1,937 | | 合成橡胶 | BR2512 | 11,000 | 12,000 | 0 | 10,800 | 200 | 2,838 | 1,993 | | 对二甲苯 | PX2512 | 6,300 | 6,600 | 0 | 6,300 | 0 | 3,101 | 1,931 | | 精对苯二甲酸 | TA2512 | 4,400 | 4,600 | 0 | 4,300 | 0 | 5,374 | 4,619 | | 短纤 | PF2512 | 6,100 | 6,600 | 0 | 6,000 | 0 | 1,596 | 1,247 | | 瓶片 | PR2512 | 5,600 | 6,600 | 0 | 5,600 | 0 | 2,013 | 356 | | 烧碱 | SH2601 | 2,360 | 2,720 | 0 | 2,280 | 0 | 1,990 | 1,833 | | 纯碱 | SA2601 | 1,220 | 1,400 | 0 | 1,100 | 0 | 18,897 | 9,180 | | 尿素 | UR2601 | 1,600 | 1,800 | 0 | 1,600 | -20 | 14,291 | 2,984 | [6] 期权因子 - 隐含波动率(%) | 期权品种 | 平值隐波率 | 加权隐波率 | 加权隐波率变化 | 年平均 | 购隐波率 | 沽隐波率 | HISV20 | 隐历波动率差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 原油 | 28.505 | 33.03 | -0.62 | 36.71 | 35.37 | 29.43 | 30.71 | -2.21 | | 液化气 | 17.475 | 18.43 | -0.21 | 23.86 | 19.37 | 16.52 | 18.99 | -1.51 | | 甲醇 | 16.635 | 19.02 | -1.07 | 21.73 | 19.78 | 18.04 | 18.15 | -1.52 | | 乙二醇 | 13.65 | 15.31 | -1.18 | 16.83 | 15.44 | 15.18 | 14.32 | -0.67 | | 聚丙烯 | 8.99 | 12.45 | -0.41 | 12.68 | 12.54 | 12.37 | 11.72 | -2.73 | | 聚氯乙烯 | 14.01 | 15.28 | -0.50 | 19.35 | 16.58 | 12.86 | 16.01 | -2.00 | | 塑料 | 10.76 | 12.39 | -0.83 | 13.92 | 11.86 | 12.90 | 11.86 | -1.10 | | 苯乙烯 | 17.57 | 19.91 | -3.14 | 23.73 | 19.62 | 20.21 | 18.91 | -1.34 | | 橡胶 | 18.76 | 22.87 | 1.56 | 24.75 | 23.88 | 19.55 | 21.62 | -2.86 | | 合成橡胶 | 22.69 | 24.34 | 0.99 | 30.67 | 24.50 | 23.96 | 24.82 | -2.13 | | 对二甲苯 | 17.045 | 17.97 | -1.14 | 24.40 | 17.60 | 18.49 | 18.13 | -1.09 | | 精对苯二甲酸 | 16.22 | 17.93 | -0.51 | 24.01 | 17.88 | 17.98 | 17.86 | -1.64 | | 短纤 | 14.03 | 16.66 | -0.14 | 20.51 | 16.53 | 16.87 | 16.28 | -2.25 | | 瓶片 | 13.66 | 15.21 | -5.10 | 20.24 | 14.70 | 16.22 | 15.18 | -1.52 | | 烧碱 | 21.38 | 23.60 | -0.38 | 28.64 | 24.66 | 22.28 | 24.06 | -2.68 | | 纯碱 |