Crude oil options set sail smoothly! Will effectively improve the efficiency and accuracy of enterprise risk management in the crude oil industry chain

Shanghai crude oil options officially listed for trading

At 9 a.m. on June 21, crude oil options were officially listed for trading on the Shanghai International Energy Exchange (hereinafter referred to as Shanghai Futures Energy), a subsidiary of the Shanghai Futures Exchange (hereinafter referred to as the Shanghai Futures Exchange).

At the listing activity on that day, Luo Hongsheng, Director of the Futures Supervision Department of the China Securities Regulatory Commission, announced the China Securities Regulatory Commission’s " approval of the Shanghai International Energy Exchange Center for Crude Oil Options Trading". Li Jun, deputy Director of Shanghai Local Financial Supervision and Administration Bureau, and PetroChina Zhu Fang, deputy secretary-general of the Chemical Industry Federation, Pan Yixin, executive vice chairman of the China Air Transport Association, Huo Jinsan, general manager of China United Petroleum Co., Ltd., and Jiang Yan, chairman of the previous period of energy, delivered speeches successively.

Li Jun said in his speech that as China’s first batch of options denominated in RMB and fully open to foreign investors, crude oil options combine international experience with local advantages and will complement crude oil futures after listing, which will help further enrichment. The derivative product sequence of the oil and gas industry enables entity companies to form a more “tailored” portfolio hedging strategy, avoiding the risk of price fluctuations, and achieving stable operations; it helps to increase the price influence of important commodities and enhance Shanghai’s ability to allocate global resources. Ability to serve the high-quality development of the real economy; help to continuously enhance the radiation and global influence of Shanghai as an international financial center, improve the energy level of Shanghai, and promote the Shanghai city brand.

In Zhu Fang’s view, the listing of crude oil options will further enrich crude oil price risk management tools, help further effectively perform the functions of the futures market, improve the risk management capabilities of oil refineries, and promote structural adjustment, transformation and upgrading in the crude oil industry chain. The market competitiveness and international management level of China's oil refining enterprises will enhance the role and status of China's oil refining industry in the international market system.

Pan Yixin said that the cost of aviation kerosene accounts for about 30% of the total cost of airlines, and airlines have a very strong need for hedging and risk management of crude oil prices. The listing of crude oil options will provide air transportation companies with more risk management tools, enhance the market competitiveness of China's air transportation industry, and enhance the role and status of China's oil-related companies in the international market system.

Huo Jin San believes that after the listing of crude oil options, it will form a trinity organic pattern with spot and futures, providing companies in China's crude oil industry chain with richer diversified and refined risk management tools, improving the company's steady operation and further strengthening company competitiveness.

Jiang Yan introduced that since the listing of crude oil futures in 2018, through a series of measures such as the introduction of a market maker mechanism, a settlement price trading mechanism, the release of Japanese-Chinese trading reference prices, the expansion of crude oil delivery storage capacity, and the update of crude oil delivery grades, the overall operation has been stable and progressing. Under the circumstance of the impact of the epidemic and the violent fluctuations of the bulk commodity market, it has demonstrated strong resilience and self-repair capabilities, providing a reliable, stable and effective place for relevant entities to manage risks, and the market function has been better played.

He said that in this context, the listing of crude oil options based on crude oil futures contracts is a matter of course. With the gradual transformation of China's oil-related enterprises to high-quality development, industrial enterprises have continued to deepen their understanding of risk management, and the demand for risk management of crude oil prices tends to be more specialized and refined. The listing of crude oil options will form an effective supplement to the crude oil futures market, further improve the risk aversion system of domestic entities, and improve the efficiency and precision of risk management of crude oil industry chain enterprises.

A reporter from the Futures Daily learned that industry professionals have shown great enthusiasm for crude oil options. Liang Yi, general manager of the futures department of Sinochem Petroleum Co., Ltd., said that crude oil options have the characteristics of asymmetric risk-return and non-linear profit and loss. Enterprises hedging through options can not only achieve the same effect as futures hedging, but also may obtain further benefits.

"Although crude oil futures can also help companies stabilize related risks, it is difficult to meet the individual needs of companies." Liu Yong, general manager of the futures management planning center of Shantou Bo Petrochemical Co., Ltd., said that options can be combined with futures and other tools to meet the individual needs of different companies.

The event on the day was conducted in the form of "cloud listing" combining live and webcast. Guests and audiences from the China Securities Regulatory Commission, Shanghai Municipality, relevant industry associations, upstream and downstream enterprises in the crude oil industry chain, and news media witnessed the listing of crude oil options through online and offline methods.

Stable operation on the first day of listing

Judging from the transaction data and market reaction on the day of crude oil options listing, crude oil options operated stably on the first day, with active trading and reasonable transaction prices.

Data from the Shanghai Futures Exchange showed that crude oil options traded 4,475 lots (one-sided, the same below) on the first day of listing, with a turnover of 50,685,700 yuan. On that day, two series of 96 contracts of crude oil options were listed, with 1,652 positions held. The ratio of traded positions was 2.71, and the ratio of call options to put options was 0.81. The contract with the largest call options holdings is SC2109C510, and the contract with the largest put options holdings is SC2109P390.

The launch of crude oil options has received widespread attention from investors. Yang An, head of energy and chemical research and development of Haitong Futures, said that the trading of crude oil options on the first day of listing was more in line with market expectations, and the active trading was concentrated in at-value options and out-of-the-money options, indicating that investors are more mature and rational in the application of option tools.

From the perspective of market conditions, South China Futures and Options Analyst Wang Qian introduced that crude oil futures prices have fluctuated greatly recently, and crude oil prices on domestic and foreign markets have shown wide fluctuations in recent days. Yesterday, the domestic crude oil rose by more than a point after the opening. Affected by the slight increase in the underlying opening, the opening price of the call option after the opening of the crude oil option was slightly higher than the listing price, and the opening price of the put option was slightly lower than the listing price. Shanghai crude oil futures maintained an oscillating downward trend throughout the day, and both the call and put options closed down slightly near the closing value, and the overall fluctuations and changes were not large. "On the whole, the trading price of crude oil options on the first day of listing is relatively reasonable. Because of the large single-handed contract of crude oil options, the trading volume is not comparable to other futures options," she said.

Jin Xiao, Head of Commodity Research of the Topix Derivatives Research Institute, said that the trading volume and open interest of options were not particularly high on the first day of listing, on the one hand, the remote months of the two contract months of SC2109 and SC2110, and on the other hand the volatility of the recent crude oil market is not too high, the market participation is relatively moderate, and the trading conditions are in line with expectations.

From the perspective of option volatility, Wang Qian introduced that the implied volatility of crude oil options on the first day of listing did not change much. The implied volatility of SC2109 contract series at-value options surged after the opening, and then quickly dropped, basically maintaining around 33% throughout the day. As of the close, the implied volatility of main at-value options was 33.16%, the 90-day historical volatility of crude oil futures was 39.76%, and the implied volatility was lower than the historical volatility. "The overall volatility of crude oil options shows a smiling state. The implied volatility of real-value options and out-of-the-money options is relatively high, and the implied volatility of fair-value options is relatively low, but the overall difference is not much." She said, from the term structure of volatility, the volatility of crude oil options is near-high and far-low, indicating that the market has high near-term uncertainty and low long-term uncertainty.

For investors, Yang An said that the crude oil options traded on the exchange have a highly transparent, open, fair and just trading environment, which provides investors with very efficient trading tools. For industrial customers, crude oil options can reduce some of the intermediate costs of participating in hedging; for institutional customers, it enriches their investment allocation strategies; for ordinary investors, there is also an additional trading option.

Jin Xiao also believes that for the real industry, the rational use of crude oil options can meet the more refined risk management needs of enterprises. For financial institutions, crude oil options can help them realize a more diversified and more flexible asset allocation portfolio based on crude oil futures. "With the gradual maturity of the domestic crude oil futures market, the future crude oil options market will be a market dominated by institutions," he said.

Yang An said that in the future, upstream and downstream customers of the crude oil industry will participate in the market in large numbers." The launch of crude oil options is largely to meet the actual needs of customers in China's crude oil industry. As the domestic crude oil industry's upstream and downstream customers continue to deepen their understanding of risk management, the use of crude oil futures to manage risks cannot meet the needs of oil companies.” He said that listing crude oil options is conducive to improving the efficiency of price discovery, forming a more reasonable pricing mechanism, and providing flexible and effective risk management tools for upstream and downstream enterprises in the industrial chain.

For the market outlook, Jin Xiao believes that crude oil options investors need to pay attention to the changes in the absolute value of oil prices, the changes in the relative value of SC crude oil to Brent crude oil, the changes in the volatility of SC crude oil prices, and the liquidity limitations of the options themselves.

In this regard, Yang An said that investors should understand the suitability process of crude oil futures investors. Crude oil futures options are a relatively special investment product. Investors should not only be familiar with the relevant knowledge of options trading and understand the characteristics of contract rules, but also should be familiar with the crude oil market. As a product with obvious international characteristics, the influencing factors of crude oil options are more complicated than ordinary commodities, so investors must do their homework before participating and participate under the premise of controlling risks.

原油期权顺利启航！将有效提升原油产业链企业风险管理的效率和精度
上海原油期权正式挂牌交易

6月21日上午9时，原油期权在上海期货交易所（下称上期所）子公司上海国际能源交易中心（下称上期能源）正式挂牌交易。
在当日的上市活动上，中国证监会期货监管部主任罗红生宣读了中国证监会《关于同意上海国际能源交易中心开展原油期权交易的批复》，上海市地方金融监督管理局副局长李军、中国石油和化学工业联合会副秘书长祝昉、中国航空运输协会常务副理事长潘亿新、中国联合石油有限责任公司总经理火金三和上期所理事长、上期能源董事长姜岩先后致辞。
李军在致辞中表示，作为我国首批以人民币计价并向境外投资者全面开放的期权品种，原油期权将国际经验与本土优势相结合，上市后将与原油期货形成互补，有助于进一步丰富油气行业的衍生产品序列，使实体企业形成更加“量身定做”的组合套保策略，规避价格波动风险、实现稳健经营；有助于提升重要大宗商品的价格影响力，增强上海配置全球资源的能力，服务实体经济高质量发展；有助于不断增强上海国际金融中心的辐射力和全球影响力，提升上海城市能级，打响上海城市品牌。
在祝昉看来，原油期权上市将进一步丰富原油价格风险管理工具，有助于期货市场功能的进一步有效发挥，提高炼油企业的风险管理能力，推动原油产业链上的结构调整和转型升级，提高我国炼油企业的市场竞争力和国际化经营水平，提升我国炼油行业在国际市场体系中的作用和地位。
潘亿新表示，航空煤油成本占据航空公司总成本的30%左右，航空公司对原油价格的避险需求、风险管理需要非常强烈。原油期权上市，将为航空运输企业提供更多风险管理工具，提升我国航空运输行业的市场竞争力，增强我国涉油企业在国际市场体系中的作用和地位。
火金三认为，原油期权上市后，将与现货、期货一起形成三位一体的有机格局，为我国原油产业链各企业提供更加丰富的多样化和精细化风险管理工具，提升企业稳健经营水平，进一步增强企业竞争力。
姜岩介绍，原油期货自2018年上市以来，通过引入做市商机制、结算价交易机制、发布日中交易参考价、拓展原油交割库容、更新原油交割品级等一系列措施，总体运行稳中有进，在疫情冲击和大宗商品市场剧烈波动的情况下，展现出较强的韧性和自我修复能力，为相关实体企业管理风险提供了切实可靠、稳定有效的场所，市场功能得到较好发挥。
他表示，在此背景下，上市基于原油期货合约的原油期权，可谓水到渠成。随着我国涉油企业逐步向高质量发展转型，产业企业在风险管理上的认识不断深入，对原油价格的风险管理需求趋向更加专业化、精细化。原油期权的上市将形成对原油期货市场的有效补充，进一步完善国内实体企业的避险体系，提升原油产业链企业在风险管理上的效率和精度。
期货日报记者了解到，产业人士对原油期权表现出了极大热情。中化石油有限公司期货部总经理梁毅表示，原油期权具有风险收益不对称、损益非线性的特性。企业通过期权进行套期保值，不仅可以实现与期货套保一样的效果，而且还有可能获得进一步的收益。
“虽然原油期货也可帮助企业平抑相关风险，但很难满足企业个性化的需求。”山东京博石油化工有限公司期现经营策划中心总经理刘勇表示，期权可以与期货等工具进行组合，满足不同企业的个性化需求。
当天的活动以现场和网络直播结合的“云上市”形式进行。来自中国证监会、上海市、相关行业协会、原油产业链上下游企业、新闻媒体的嘉宾和观众，通过线上、线下的方式，共同见证了原油期权的上市。
上市首日运行平稳
从原油期权上市当天的成交数据和市场反应来看，原油期权首日运行稳定，投交活跃，成交价格合理。
上期所数据显示，原油期权上市首日成交4475手（单边，下同），成交金额5068.57万元。当日原油期权挂盘两个系列96个合约，持仓1652手，成交持仓比为2.71，看涨期权与看跌期权成交比为0.81。看涨期权持仓量最大的合约为SC2109C510，看跌期权持仓量最大的合约为SC2109P390。
原油期权的推出受到了投资者的普遍关注。一期货能源化工研发负责人杨安表示，原油期权上市首日的成交情况比较符合市场预期，活跃成交集中在平值期权和虚值期权，这说明投资者对期权工具的应用比较成熟和理性。
从行情来看，期货期权分析师王茜介绍，近期原油期货价格波动较大，内外盘原油价格近几天呈现宽幅振荡走势。昨日，内盘原油在开盘后拉升一个多点，受标的开盘小幅走强影响，原油期权开盘后看涨期权开盘价略高于挂牌价，看跌期权开盘价略低于挂牌价。上海原油期货全天维持振荡下跌走势，至收盘平值附近看涨和看跌期权均小幅收跌，整体波动和变化幅度不大。“整体来看，上市首日原油期权成交价格较为合理，由于原油期权单手合约规模较大，成交量与其他期货期权不具有可比性。”她说。
另一期货公司衍生品研究院大宗商品研究主管金晓表示，期权的成交量和持仓量在上市首日并不是特别高，一方面是因为SC2109和SC2110两个合约月份偏远月，另一方面是近期原油市场的波动率不是太高，市场参与度相对温和，交易情况符合预期。
从期权波动率情况来看，王茜介绍，上市首日原油期权全天隐含波动率变化不大，SC2109合约系列平值期权隐含波动率开盘后冲高，又迅速回落，全天基本维持在33%附近。截至收盘，主力平值期权隐含波动率为33.16%，原油期货90日历史波动率为39.76%，隐含波动率低于历史波动率。“原油期权波动率整体呈现微笑状态，实值期权、虚值期权隐含波动率偏高，平值期权隐含波动率偏低，但总体相差不大。”她说，从波动率期限结构来看，原油期权波动率呈现近高远低的状态，表明市场近期不确定性较高，远期不确定性偏低。
对于投资者来说，杨安表示，场内交易的原油期权具备高度透明，公开、公平、公正的交易环境，为投资者提供了非常高效的交易工具。对于产业客户来说，原油期权可以降低其参与套期保值的一些中间成本；对于机构客户来说，丰富了其投资配置策略；对于普通投资者来说，同样多了一个交易选择。
金晓也认为，对于实体产业来说，合理运用原油期权可以满足企业更加精细化的风险管理需求。对于金融机构来说，原油期权可以帮助其在原油期货的基础之上实现更加多元化和更具灵活性的资产配置组合方案。“随着国内原油期货市场发展逐步成熟，未来原油期权市场将是以机构为主的市场。”他说。
杨安表示，未来原油产业上下游客户将大量参与到市场中。“原油期权的推出，很大程度上是为了满足我国原油产业客户的实际需求，随着国内原油产业上下游客户在风险管理上的认识不断深入，仅仅利用原油期货管理风险已经不能满足涉油企业的风险管理需求。”他说，上市原油期权，有利于提高价格发现效率，形成更加合理的定价机制，为产业链上下游企业提供灵活有效的风险管理工具。
对于后市，金晓认为，原油期权投资者需要关注油价绝对值的变化、SC原油对Brent原油相对价值的变化、SC原油价格波动率的变化和期权本身的流动性局限四个方面。
对此，杨安表示，投资者要了解原油期货投资者适当性流程，原油期货期权属于较为特殊的投资品种，投资者不仅要熟悉期权交易的相关知识，了解合约规则特点，还应当对原油市场有相应的了解。作为一个国际化特征明显的品种，原油期权的影响因素比普通商品更为复杂，所以投资者在参与之前一定要做好功课，在控制好风险的前提下参与。