报告核心观点 - 能源化工期权策略构建以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 [4] 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|SC2602|443|-3|-0.74|1.98|-0.89|2.26|0.12| |液化气|PG2601|4290|58|1.37|9.97|3.29|4.52|-0.81| |甲醇|MA2602|2112|22|1.05|4.74|-3.37|5.18|0.19| |乙二醇|EG2601|3656|-25|-0.68|18.68|-2.92|27.65|-1.78| |聚丙烯|PP2601|6199|6|0.10|27.26|2.68|38.02|-3.10| |聚氯乙烯|V2601|4326|-19|-0.44|64.15|-0.36|88.17|-3.77| |塑料|L2601|6575|19|0.29|28.97|6.12|26.70|-7.23| |苯乙烯|EB2601|6525|41|0.63|35.41|6.34|23.35|-0.62| |橡胶|RU2601|15230|15|0.10|4.00|0.57|3.38|-0.49| |合成橡胶|BR2601|10615|100|0.95|2.77|-1.12|1.97|-0.24| |对二甲苯|PX2602|6804|36|0.53|8.97|3.67|3.80|0.11| |精对苯二甲酸|TA2602|4660|2|0.04|12.13|-5.78|4.30|0.01| |短纤|PF2602|6118|-28|-0.46|24.70|6.97|20.98|0.92| |瓶片|PR2602|5670|-10|-0.18|3.58|-3.48|2.14|-0.05| |烧碱|SH2602|2112|-10|-0.47|4.79|-0.04|2.52|0.03| |纯碱|SA2602|1125|-4|-0.35|10.03|2.39|4.54|-0.22| |尿素|UR2602|1652|5|0.30|1.27|-0.13|2.55|0.01|[5] 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|57145|-23283|52282|211|0.64|-0.06|0.62|0.03| |液化气|133371|70098|52073|8242|1.49|0.49|0.75|0.09| |甲醇|583036|84502|629403|-3607|1.19|0.14|0.47|-0.03| |乙二醇|90094|-847|118050|8730|0.56|-0.16|0.44|0| |聚丙烯|56762|-6073|151359|2341|1.19|0.45|0.60|0| |聚氯乙烯|233818|55712|455648|14122|0.81|0.05|0.26|-0.01| |塑料|59749|-2284|105376|2383|1.03|0.13|0.47|0| |苯乙烯|365727|125241|148569|13775|1.00|0.44|0.50|-0.08| |橡胶|37678|14141|54600|-245|0.51|-0.23|0.44|-0.02| |合成橡胶|35092|-12028|32665|-217|0.37|0.13|0.51|0| |对二甲苯|12746|-2615|19712|1613|1.72|0.60|1.16|0.05| |精对苯二甲酸|347510|6900|340172|1336|1.10|0.13|0.82|0| |短纤|50429|25447|54937|3618|1.72|0.45|0.88|0.02| |瓶片|6589|-1276|20492|1163|1.05|-0.18|1.05|-0.03| |烧碱|252131|-34867|191560|6795|1.01|0.09|0.42|0.07| |纯碱|669592|260578|1119082|23131|1.00|0.14|0.18|-0.03| |尿素|42232|-6184|136346|3545|0.85|-0.03|0.54|0.03|[6] 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|SC2602|445|540|0|430|0|3825|2161| |液化气|PG2601|4250|4400|0|4150|0|5091|3617| |甲醇|MA2602|2100|2300|0|2050|50|4454|2368| |乙二醇|EG2601|3700|3800|-200|3600|-50|8614|4797| |聚丙烯|PP2601|6200|6300|-300|6100|0|9137|7058| |聚氯乙烯|V2601|4350|6200|0|4300|0|47042|9629| |塑料|L2601|6600|7000|0|6400|0|7875|5929| |苯乙烯|EB2601|6500|6800|0|6300|-100|19072|11114| |橡胶|RU2601|15250|16000|0|15000|500|6309|2137| |合成橡胶|BR2601|10600|11000|0|10000|0|4319|2148| |对二甲苯|PX2602|6800|7200|0|5800|0|652|895| |精对苯二甲酸|TA2602|4650|4850|-150|4600|0|3215|2732| |短纤|PF2602|6100|6800|500|5800|-300|1311|1425| |瓶片|PR2602|5700|6400|400|5600|600|439|388| |烧碱|SH2602|2120|2320|160|2000|-40|2636|1287| |纯碱|SA2602|1120|1300|-560|1100|0|11159|2830| |尿素|UR2602|1660|1700|-100|1640|0|1551|1048|[7] 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|23.355|27.73|0.38|32.74|29.17|25.46|26.47|-3.11| |液化气|17.845|20.01|0.36|22.76|20.21|19.87|18.46|-0.61| |甲醇|18.635|18.85|-0.55|20.95|19.57|18.24|19.23|-0.60| |乙二醇|17.86|18.38|0.85|15.80|18.41|18.33|15.70|2.16| |聚丙烯|11.59|13.04|0.80|12.17|13.77|12.43|11.39|0.20| |聚氯乙烯|15.37|17.21|0.72|18.67|18.54|15.56|15.46|-0.09| |塑料|10.34|12.03|-0.85|13.00|12.53|11.55|12.26|-1.92| |苯乙烯|17.765|19.90|0.94|21.52|20.29|19.50|18.57|-0.80| |橡胶|14.97|18.30|-0.23|23.17|18.87|17.17|18.98|-4.01| |合成橡胶|18.865|21.14|-1.92|27.73|21.62|19.85|20.03|-1.17| |对二甲苯|7.67|17.37|-0.11|22.11|18.51|16.71|17.59|-9.92| |精对苯二甲酸|14.485|15.01|1.25|20.52|15.85|14.26|15.81|-1.32| |短纤|12.9|14.33|0.83|17.86|15.24|13.80|14.01|-1.11| |瓶片|11.495|13.45|0.42|17.36|13.94|12.98|13.41|-1.92| |烧碱|21.985|23.04|0.72|26.79|22.56|23.51|21.85|0.13| |纯碱|23.845|30.05|6.00|31.75|33.36|26.74|25.28|-1.43| |尿素|12.505|13.94|0.80|21.81|15.30|12.34|14.46|-1.96|[8] 策略与建议 能源类期权 - 原油 - 标的行情分析：美国原油产量1381.5万桶/日环比微增0.01% 炼厂加工量1687.6万桶/日环比+2.63% 全球海上浮仓升至10841.1万桶环比+10.2% 炼厂开工率回升带动汽柴油库存积累 原油与石油产品总库存走高 10月大幅下跌后止跌反弹 11月震荡后反弹回暖再大幅下跌 12月上方有压力区间盘整后大幅度下跌 行情偏弱势 [9] - 期权因子研究：隐含波动率维持均值偏下水平波动 持仓量PCR报收0.70以下 行情偏弱 压力位为540 支撑位为430 [9] - 期权策略建议：构建看跌期权熊市价差组合策略获取方向性收益 构建卖出偏空头的看涨+看跌期权组合策略获取期权时间价值和方向性收益 构建多头领口策略进行现货多头套保 [9] 能源类期权 - 液化气 - 标的行情分析：原油端63美元左右震荡 供应过剩压制向上高度 外盘丙烷求购多 短期外盘偏紧 中长期供应压力仍在 内盘强于外盘和原油 本周到港低 进口补充有限 9月先涨后跌 10月先弱后强 11月偏多上涨后回落 12月区间震荡回落 [11] - 期权因子研究：隐含波动率维持均值附近水平波动 持仓量PCR报收于0.80以下 行情偏震荡 压力位为4500 支撑位为4150 [11] - 期权策略建议：构建卖出偏中性的看涨+看跌期权组合策略获取期权时间价值和方向性收益 构建多头领口策略进行现货多头套保 [11] 醇类期权 - 甲醇 - 标的行情分析：本周企业库存下滑 主产区供应有增 部分企业前期预售、烯烃外采及大甲醇重启推迟等利多去库 8月以来走弱 9月低位盘整后反弹受阻回落 10月以来延续弱势 11月先跌后涨空间有限 12月延续偏弱势 [11] - 期权因子研究：隐含波动率维持历史均值附近水平波动 持仓量PCR报收于0.60以下 行情偏弱 压力位为2300 支撑位为2000 [11] - 期权策略建议：构建看跌期权熊市价差组合策略获取方向性收益 构建卖出偏空头的看涨+看跌期权组合策略获取期权时间价值 构建多头领口策略进行现货多头套保 [11] 醇类期权 - 乙二醇 - 标的行情分析：华东主港地区MEG港口库存约75.3万吨环比上升2.1万吨