0755-23375252lupx@wkjyqh.com从业资格号F3047321能源化工期权日报期权研究2022年11月2日 星期三【基本面信息】 橡胶：供应：全球供应稳定，目前产胶仍处旺季，现货库存持续高位。需求：国外需求持续低迷，轮胎企业订单受限，开工率居低位，且轮胎库存高企、供应压力大，天胶采购需求持续疲弱。 甲醇：上游负荷回升，上游开工77.16%，环比-2.07%。到港量30.19万吨，环比+15.13万吨。库存方面，港口库存总量报45.22万吨，环比-14.41万吨，处于同期低位水平。 PVC：东北、山西及四川地区部分企业报价下调50-100元/吨，目前电石价格有所下跌，PVC成本面支撑减弱，但PVC生产企业亏损缺口仍然较大，部分企业存在降负意愿，电石法PVC生产装置开工负荷72.05%，供应偏强。另外，下游PVC制品企业因房地产行业未见起色，开工难见好转，需求持续疲软，采购积极性欠佳。【期权分析及操作建议】（1）橡胶期权 橡胶高位回落后延续近三周以来的弱势空头下行趋势，上周以来加速下跌，昨日超跌反弹回升，尚未改变趋势方向，涨幅1.67%报收于12180；期权隐含波动率上升0.30%报收于25.19%，持仓量PCR维持低位报收于0.38。操作建议，橡胶空头趋势方向下反弹回升，期权隐含波动率小幅上升，持仓量PCR维持在较低水平，构建卖出看涨期权组合策略，获取时间价值收益，若市场行情快速大涨至低行权价，策略将面临亏损，则平仓离场，如RU2301，S_RU2301C12750@10和S_RU2301C12500@10。（2）甲醇期权 甲醇高位回落后延续近三周以来的空头趋势震荡下行，涨幅0.36%报收于2528，期权隐含波动率上升0.10%报收于28.55%，持仓量PCR报收于0.37。操作建议，甲醇市场行情弱势偏空头，期权隐含波动率小幅上升，持仓量PCR维持低位水平，构建卖出看涨期权组合策略，若市场行情快速大涨或大跌，则平仓离场，如MA2301，S_MA301C2650，S_MA301C2600。（3）PTA期权 PTA空头方向不断报收大阴线大幅下跌，跌破今年7月以来低点，而后低位震荡，涨幅0.67%报收于5106；期权隐含波动率上升0.95%报收于29.42%，持仓量PCR报收于0.26。操作上建议，PTA上方有均线压力的弱势弱势空头，期权隐含波动率处于降波通道小幅上升，持仓量PCR逐渐回落，构建卖出看涨期权组合策略，获取时间价值收益，若市场行情快速大涨至低行权价，则逐渐平仓离场，如TA2301，S_TA301C5200，S_TA301C5300。（4）塑料期权 塑料延续近三周以来的空头下行趋势，而后低位窄幅震荡后大幅波动，涨幅1.34%报收于7723；期权隐含波动率下降1.72%报收于21.05%，持仓量PCR持续下降报收于0.79。操作上建议，塑料沿着空头趋势方向不断回落后大幅震荡，期权隐含波动率小幅上升，持仓量PCR持续下降，构建卖出看涨期权组合策略，获取时间价值，若市场行情快速大涨，则平仓离场，如L2301，S_L2301-C-7900和S_L2301-C-7800。（5）聚丙烯期权 聚丙烯10月以来冲高回落后持续下跌，跌破今年8月以来的低点，而后超跌反弹回升，涨幅1.27%报收于7547；期权隐含波动率下降1.53%报收于21.23%，持仓量PCR报收于0.96。操作上建议，聚丙烯维持空头下跌趋势方向持续回落，期权隐含波动率小幅上升，持仓量PCR窄幅波动，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PP2301，S_PP2301-C-7700，S_PP2301-C-7600。（6）PVC期权 PVC延续弱势偏空头下行，不断创今年以来的新低点，涨幅1.41%报收于5698；期权隐含波动率下降1.14%报收于25.81%，持仓量PCR报收于0.37。操作上建议，PVC维持空头下跌趋势方向震荡下行，期权隐含波动率小幅上升，持仓量PCR窄幅波动，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V2301，S_V2301-C-5800，S_V2301-C-5900。交易咨询号Z0015541卢品先投研经理 【市场行情】期权品种标的合约RURU2301MAMA2301PTATA2301LPGPG2212LL2301PPPP2301PVCV2301【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12,250394.00459.0012,185426.003.625.00552,55087.0083.002,55473.502.9626.00345,100210.00158.505,152131.502.6245.50345,30048.60105.205,24395.801.86-35.60 67,700209.50180.507,729202.502.696.00367,500217.00163.507,554182.502.486.50365,700172.00161.005,711180.003.2513.0036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26.2522.5725.190.3029.2727.2928.550.1029.4329.3929.420.9526.6032.6829.940.1720.6221.5221.05-1.72 19.9622.1321.23-1.53 26.6324.4325.81-1.14 【主力期权合约持仓量PCR】量-Call量-Put变化持仓-Call持仓-Put变化20,3318,268-0.37 37,77614,259-0.01 87,59649,865-0.62 98,88736,1530.0192,88858,5260.04157,07041,2680.0222,16526,872-0.29 11,26514,627-0.09 11,98511,104-0.65 17,94414,098-0.06 8,99912,6140.0214,21413,618-0.03 26,50115,649-0.51 68,16225,066-0.04 成交量(万)成交额(亿)收盘价12,180.00200.001.6736.38436.02涨跌涨跌幅(%)5,279.00111.002.1516.21167.552,528.009.000.36160.86405.305,106.0034.000.67231.16586.0724.3225.8222.82数据来源：wind资讯，五矿期货期权事业部7,723.00102.001.3445.86174.77数据来源：wind资讯，五矿期货期权事业部95.001.2761.23228.135,698.0079.001.41117.74330.807,547.00期权标的合约TA23012022-12-05V2301L230121.4922.8720.10量-PCR持仓-PCRRU23010.412022-12-26TA230132.8040.9724.64MA230130.7837.5024.05MA23012022-12-05期权标的合约MA20UPLOWRU23012022-12-07L23012022-12-07PP23012022-12-07PG22122022-11-07到期日RU23010.38V230126.9928.7625.2219.96数据来源：wind资讯，五矿期货期权事业部TA23010.630.26V23010.590.37数据来源：wind资讯，五矿期货期权事业部PG221232.6539.4225.88L23010.930.79PP23011.400.96PG22121.211.30期权标的合约PP230121.1622.35MA23010.570.37 【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12,190.00 01020304050607011,00011,50012,00012,50013,00013,50014,00014,50015,0002022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-01成交量(万)收盘价2,554.00 0751502252,2002,3002,4002,5002,6002,7002,8002,9003,0002022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-01成交量(万)收盘价5,156.00 0801602403204004,0004,5005,0005,5006,0006,5007,0007,5008,0002022-04-252022-04-282022-05-062022-05-112022-05-162022-05-192022-05-242022-05-272022-06-012022-06-072022-06-102022-06-152022-06-202022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-01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