【市场概要】能源化工期权日报期权研究2022年8月23日 星期二【基本面信息】 橡胶：截至2022年8月19日，山东地区轮胎企业全钢胎开工负荷为56.46%，较上周提升0.76个百分点，较去年同期下滑4.87个百分点。国内轮胎企业半钢胎开工负荷为61.57%，较上周提升1.66个百分点，较去年同期提升4.28个百分点。全钢需求方面，国内需求有转好预期。国外需求有转差预期。上期所天然橡胶库存284053（469）吨，仓单258660（3880）吨。20号胶库存76779（594）吨，仓单68765（0）吨。上期所+青岛库存75.34(0.67)万吨。 甲醇：基本面来看8月22号01合约上涨46元/吨，报2488元/吨，现货上涨25元/吨，基差-28元/吨。供应端检修装置逐步恢复，上游开工70.68%，环比回落1.9%。上周到港量23.89万吨，环比减少8.72万吨，外盘开工低位回升，8月预计进口压力将有所缓解。库存方面港口库存总量报104.93万吨，环比增加1.74万吨，上游企业库存环比减少1.02万吨，报38.39万吨，库存同比较低。利润方面，随着价格走弱，利润继续回落，煤制亏损幅度加大，焦炉利润回落，处于亏损，气制利润小幅回升。需求方面甲醛与醋酸开工环比小幅回升，MTBE与二甲醚开工小幅回落。 原油：油价周一下挫，结束三日连升走势，市场担忧美国激进加息可能导致全球经济放缓并抑制燃料需求。ICE10月布伦特原油期货目前下跌3.5%，至每桶93.32美元。周一到期的美国9月WTI原油合约下跌3.6%，至每桶87.48美元。交投更活跃的10月WTI原油合约下跌3.8%，至每桶87.03美元。【期权分析及操作建议】（1）橡胶期权 橡胶空头压力线下弱势盘整震荡，涨幅0.42%报收于11975；期权隐含波动率下降1.16%报收于26.39%，持仓量PCR维持低位报收于0.33。操作建议，沪胶延续弱势偏空头低位盘整，期权隐含波动率小幅下降，持仓量PCR维持在较低水平盘整，构建卖出看涨期权组合策略，获取时间价值，若市场行情快速大涨至低行权价，则平仓离场，如RU2301，S_RU2301C13250@10和S_RU2301C13500@10。（2）甲醇期权 甲醇近三周以来空头趋势压力线下，本周以来低位震荡回暖上升，上方有20天均线和60天均线压力，涨幅1.22%报收于2485，期权隐含波动率下降1.22%报收于28.52%，持仓量PCR报收于0.73。操作建议，甲醇空头压力下降波震荡回暖，持仓量PCR逐渐下降，构建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至低行权价，则平仓离场，如MA2210，S_MA210C2600和S_MA210C2550。（3）PTA期权 PTA延续市场大幅波动的行情格局，跌幅0.28%报收于5686；期权隐含波动率上升0.56%报收于33.25%，持仓量PCR小幅盘整报收于0.88。操作上建议，PTA市场行情波动剧烈，空仓规避风险。（4）LPG期权 LPG延续一个半月以来的空头下跌趋势，上周以来超跌反弹回升持续大幅上涨，市场波动剧烈，涨幅1.36%报收于5438；期权隐含波动率下降0.52%报收于35.39%，持仓量PCR报收于1.51。操作上建议，LPG高波动率持续上扬，空仓规避风险。（5）聚丙烯期权 聚丙烯维持近两个月以来的空头下跌趋势，反弹上升乏力，延续弱势偏空头，跌幅0.72%报收于7489；期权隐含波动率下降0.94%报收于21.52%，持仓量PCR报收于0.94。操作上建议，聚丙烯方向上延续弱势偏空头下行趋势，波动上小幅下降，压力线下逐渐下移，构建卖出看涨期权组合策略，获取时间价值，若市场行情反弹至低行权价，则平仓离场，如PP2301，S_PP2301-C-7700和S_PP2301-C-7800。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RURU2209MAMA2210PTATA2210LPGPG2210LL2301PPPP2301PVCV2301【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12,00091.0092.0011,999151.001.2724.0032,47551.5057.002,47032.001.31-15.50 145,700153.00137.005,71678.001.3830.00145,450141.60209.805,38296.601.83-56.20 167,500340.00370.007,470-14.00 -0.19 -19.00 1077,600342.50381.507,56152.500.7010.001076,200408.00326.006,282183.003.0078.00107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27.6923.5326.39-1.16 28.0129.0728.52-1.22 30.5835.5433.250.5633.4736.9835.39-0.52 23.7122.7423.19-0.20 22.6620.3721.52-0.94 29.9027.4928.790.95【主力期权合约持仓量PCR】量-Call量-Put变化持仓-Call持仓-Put变化9,6424,342-0.08 35,75711,694-0.01 67,72062,9690.0847,69234,919-0.04 105,189122,3620.1797,30385,6130.1110,71212,9390.267,16210,8170.053,9724,6100.395,5635,247-0.05 2,3952,375-0.06 3,5433,193-0.07 6,5775,637-0.60 7,6755,255-0.14 成交量(万)成交额(亿)收盘价11,975.0050.000.421.9923.74涨跌涨跌幅(%)5,438.0073.001.3611.65125.012,485.0030.001.227.2217.735,686.00-16.00 -0.28 13.6238.8326.6528.5424.75数据来源：wind资讯，五矿期货期权事业部7,489.00-28.00 -0.37 38.66145.31数据来源：wind资讯，五矿期货期权事业部-55.00 -0.72 51.26194.966,204.00-55.00 -0.88 74.91234.467,551.00期权标的合约TA22102022-09-05V2301L230123.1825.5220.84量-PCR持仓-PCRRU22090.452022-08-25TA221037.7543.9931.51MA221032.5935.1430.04MA22102022-09-05期权标的合约MA20UPLOWRU22092022-12-07L23012022-12-07PP23012022-12-07PG22102022-09-07到期日RU22090.33V230129.7633.7625.7521.55数据来源：wind资讯，五矿期货期权事业部TA22101.160.88V23010.860.68数据来源：wind资讯，五矿期货期权事业部PG221038.6442.7934.50L23011.160.94PP23010.990.90PG22101.211.51期权标的合约PP230123.2925.03MA22100.930.73 【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12,875.00 01020304050607011,00012,00013,00014,00015,00016,0002022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-22成交量(万)收盘价2,488.00 0751502252,2002,4002,6002,8003,0003,2003,4002022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-22成交量(万)收盘价5,382.00 0801602403204004,0004,5005,0005,5006,0006,5007,0007,5008,0002022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-03-182022-03-232022-03-282022-03-312022-04-072022-04-122022-04-152022-04-202022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-22成交量(万) 图8: PVC主力合约走势图【标的价量关系】图4: LPG主力合约走势图图5: 塑料主力合约走势图图6 PP主力合约走势图5,397.00 0510152025304,0005,0006,0007,0008,0002022-02-172022-02-222022-02-252022-03-022022-03-072022-03-102022-03-152022-