【市场概要】五矿期货能源化工期权日报期权研究2022年5月17日 星期二【基本面信息】 橡胶：截至2022年5月13日，上期所天然橡胶库存267123（3557）吨，仓单253980（-460）吨。20号胶库存96707（-6230）吨，仓单89209（-7437）吨。青岛+上期所库存77.14(-0.10)万吨。山东地区轮胎企业全钢胎开工负荷为55.30%，较去年同期下滑14.08个百分点。国内轮胎企业半钢胎开工负荷为60.72%，较去年同期走低4.47个百分点。下游物流有所改善，但厂商库存偏高，代理商库存偏高需要时间改善。 甲醇：上周港口与企业库存去化，到港量回落。上游生产利润阶段性底部回升，开工与产量回升，5月依旧有部分装置检修，但预计负荷将高于4月。需求端传统下游表现偏弱，MTO开工小幅回落，随着近期甲醇价格的下跌，MTO与传统需求利润出现明显修复，二甲醚、MTBE利润处于同期高位，PP-3MA价差回升至近年同期中位置水平。 原油：国际油价周一下跌，因中国抗疫措施以及经济数据疲软点燃对全球经济陷入衰退的担忧。但市场找到部分支撑，因欧盟向距离禁止进口俄罗斯原油又进了一步。国家统计局周一公布的数据显示，1—4月份，中国社会消费品零售总额138142亿元，同比下降0.2%。其中，除汽车以外的消费品零售额124807亿元,增长0.8%。【期权分析及操作建议】（1）橡胶期权 橡胶延续四个月以来的弱势空头下跌趋势，而后低位反弹回升，但趋势线方向仍向下，涨幅0.54%报收于13060；期权隐含波动率上升0.05%报收于26.84%，持仓量PCR报收0.28。操作建议，沪胶空头趋势线下弱势震荡上升，期权隐含波动率小幅下降，持仓量PCR维持在较低水平，持有卖出看涨期权组合策略，获取时间价值，若市场行情快速反弹一个行权价，则平仓离场，如RU2205，S_RU2209C13750和S_RU2209C14000。（2）甲醇期权 甲醇延续一个半月以来的空头下跌趋势，且上方有20天均线和60天均线压力，低位技术性反弹回升，跌幅0.25%报收于2760，期权隐含波动率下降0.73%报收于34.71%，持仓量PCR报收于0.60。操作建议，空仓规避风险。（3）PTA期权 PTA沿着多头趋势方向大幅波动震荡上行，上周以来加速上涨突破近期高点，涨幅1.01%报收于6832；期权隐含波动率下降0.06%报收于40.17%，持仓量PCR快速上升报收于1.75。操作上建议，PTA偏多头上行，期权隐含波动高位波动，期权持仓量PCR维持在较高水平，构建看跌期权牛市价差组合策略，若市场行情回落至低行权价，则平仓离场，如TA207，B_TA207P6600和S_TA207P7000。（4）LPG期权 LPG沿着多头趋势方向震荡上行，维持近一个半月以来不断报收大阳线和大阴线，涨幅0.69%报收于6168；期权隐含波动率上升0.20%报收于39.10%，持仓量PCR急速下降报收于0.68。操作上建议，LPG市场波动加剧，期权隐含波动率维持在较高水平，空仓规避风险。投资咨询号Z0015541卢品先投研经理0755-23375252lupx@wkjyqh.com从业资格号F3047321 【市场行情】期权品种标的合约RURU2209MAMA2207PTATA2207LPGPG2207LL2209PPPP2209PVCV2209【主力期货合成期权】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13,000630.00547.0013,083220.001.7123.00722,75090.0077.502,7634.500.162.50146,800241.50246.006,79613.500.20-36.50 146,200161.00298.606,062-81.20 -1.32 -105.60 168,700329.00361.008,668-7.00 -0.08 -24.00 588,600356.00354.508,602-11.00 -0.13 -3.50 588,600428.50349.508,67914.500.1752.0058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】IMP-CIMP-PIMP-T变化28.7820.5326.840.0535.2333.8934.71-0.73 38.9740.9940.17-0.06 39.7437.9039.100.2023.8720.7422.010.1425.6221.0223.45-0.11 30.1623.3528.321.57【主力期权合约持仓量PCR】量-Call量-Put变化持仓-Call持仓-Put变化12,8583,9500.0538,53410,6580.0144,34428,7070.1138,78923,4050.0567,20498,4770.1140,16070,354-0.08 5,4602,860-0.03 4,0142,7130.065,0547,4500.3911,7327,183-0.03 6,9326,205-0.03 8,6426,5690.025,4972,039-0.17 15,5056,457-0.03 PG220743.2947.5039.09L22091.470.61PP22090.900.76PG22070.520.68期权标的合约PP220924.1625.02MA22070.650.600.28V220929.0030.8927.1023.29数据来源：wind资讯，五矿期货期权事业部TA22071.471.75V22090.370.42数据来源：wind资讯，五矿期货期权事业部2022-08-05L22092022-08-05PP22092022-08-05PG22072022-06-08到期日RU2209L220923.1223.8122.44量-PCR持仓-PCRRU22090.312022-08-25TA220738.3642.9833.73MA220737.7141.9333.50MA22072022-06-06期权标的合约MA20UPLOWRU220926.3827.2725.49数据来源：wind资讯，五矿期货期权事业部8,692.0017.000.2037.39162.19数据来源：wind资讯，五矿期货期权事业部-6.00 -0.07 44.45191.408,627.00-32.00 -0.37 57.46248.778,605.00期权标的合约TA22072022-06-06V22096,168.0042.000.693.9848.762,760.00-7.00 -0.25 5.2614.546,832.0068.001.0119.3065.27成交量(万)成交额(亿)收盘价13,060.0070.000.5437.58488.15涨跌涨跌幅(%) 8YjWnVdVbWnVmXdYlW6M8QbRnPpPoMpNiNpPtOlOmOoOaQnMpQuOoOrRxNnOsM图4: 动力煤主力合约走势图【标的价量关系】图1: 橡胶主力合约走势图图2: 甲醇主力合约走势图图3 PTA主力合约走势图13,070.00 0255012,00013,00014,00015,00016,0002021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-302021-12-032021-12-082021-12-132021-12-162021-12-212021-12-242021-12-292022-01-042022-01-072022-01-122022-01-172022-01-202022-01-252022-01-282022-02-092022-02-142022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-16成交量(万)收盘价2,770.00 0751502253003752,0002,4002,8003,2003,6002021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-302021-12-032021-12-082021-12-132021-12-162021-12-212021-12-242021-12-292022-01-042022-01-072022-01-122022-01-172022-01-202022-01-252022-01-282022-02-092022-02-142022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-16成交量(万)收盘价6,718.00 0801602403204004,0004,5005,0005,5006,0006,5007,0002021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-302021-12-032021-12-082021-12-132021-12-162021-12-212021-12-242021-12-292022-01-042022-01-072022-01-122022-01-172022-01-202022-01-252022-01-282022-02-092022-02-142022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-16成交量(万)841.40 0112233445008001,1001,4001,7002,0002,3002021-11-042021-11-092021-11-122021-11-172021-11-222021-11-252021-11-302021-12-032021-12-082021-12-132021-12-162021-12-212021-12-242021-12-292022-01-042022-01-072022-01-122022-01-172022-01-202022-01-252022-01-282022-02-092022-02-142022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022