五矿期货-农产品期权日报-221216

>> 五矿期货-农产品期权日报-221216

上传日期：	2022/12/19	大小：	1300KB
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研究报告全文：农产品期权日报期权研究2022年12月16日星期五基本面信息大豆截至12月8日当周美国大豆出口销售料净增150-210万吨其中202223年度大豆出口销售料净增150-200万吨202324年度大豆出口销售料净增0-10万吨当周美国豆粕出口销售料净增15-37万吨其中202223年度销售料净增15-35万吨202324年度销售料净增0-2万吨当周美国202223年度豆油销售料净增0-05万吨白糖制糖集团报价上调南宁报564030与盘面基差-56市场购销氛围好转新糖成交略有走量内外价差仍处高位郑糖仍有估值优势广西糖厂开榨9成压榨上量压制上方空间随着防疫放松近期部分市场卢品先走货略好转但好转幅度一般棕榈油根据MPOB报告马来西亚棕榈油11月份供需结果如下产量168万吨环比下降733出口151万吨投研经理环比增加092进口47万吨环比下降3188国内消费329万吨环比增加1472期末库存228万吨环比下0755-23375252降498lupxwkjyqhcom期权分析及操作建议从业资格号1玉米期权F3047321玉米C2303高位回落后连续报收阴线延续两周以来的弱势下行形成上方有压力的弱势偏空头趋势而后超低交易咨询号反弹涨幅039报收于2801期权隐含波动率下降034报收于1097期权持仓量PCR报收于086操作建议玉Z0015541米高位回落后维持近两周以来的弱势偏空头下跌趋势低位超跌弱势反弹期权隐含波动率窄幅波动持仓量PCR持续下降回落构建卖出偏空头的宽跨式期权组合策略获取时间价值收益若市场行情快速大跌或大跌则逐渐平仓离场如C2303SC2303-P-280010SC2303-P-278010和SC2303-C-282010SC2303-C-2800102豆粕期权豆粕M2203延续一个月以来的多头趋势上震荡上行温和上涨本周以来高位回落连续下跌先后跌破21天均线和55天均线支撑点而后止跌反弹回升涨幅094报收于3976豆粕期权隐含波动率涨幅020报收于1984期权持仓量PCR小幅下降报收于178操作建议豆粕多头趋势方向上高位回落连续下跌形成短期偏空头中长期偏多头趋势期权隐含波动率小幅上升期权持仓量PCR有所下降构建卖出偏空头的宽跨式期权组合策略获取时间价值收益若市场行情快速回落大跌则逐渐平仓离场如M2303SM2303-P-400010SM2303-P-395010和SM2303-C-405010SM2303-C-4000103棕榈油期权棕榈油P2302上周高位回落连续大幅下跌跌破M颈线形成上方有压力的空头趋势低位弱势盘整震荡跌幅059报收于7706期权隐含波动率小幅下降020至3089持仓量PCR持续上升报收于068操作建议棕榈油P2302延续近两周以来的弱势偏空头先后跌破20天均线和60天均线形成上方有压力的弱势偏空头趋势而后超低反弹回升期权隐含波动率小幅下降持仓量PCR窄幅盘整震荡构建卖出偏空头的宽跨式期权组合策略获取时间价值收益和方向性收益若市场行情快速大涨则逐渐平仓离场如P2302SP2302-C-770010SP2302-C-780010和SP2302-P-770010SP2302-P-7600104白糖期权白糖SR303经过前两周以来空头压力线下弱势盘整上周以来反弹回暖上升连续六天报收阳线突破11月以来高点涨幅051报收于5760期权隐含波动率上升088至1229期权持仓量PCR报收于053操作建议白糖SR2303维持近两周以来的短期偏多头上涨趋势期权隐含波动率小幅上升期权持仓量PCR小幅上升仍维持在较低水平构建卖出看涨看跌期权偏多头组合策略获取时间价值收益若市场行情快速大涨或大跌则逐渐平仓离场如SR303SSR303-C-590010SSR303-C-580010和SSR303-P-570010SSR303-P-5800105棉花期权棉花CF303延续一个半月以来偏多头上行温和上涨趋势本周以来加速上涨涨幅241报收于14245棉花期权隐含波动率下降035报收于2252持仓量PCR窄幅波动报收于062操作建议棉花低位回暖上升后逐渐形成近一个半月以来的偏多头市场行情格局棉花期权隐含波动率小幅下降持仓量PCR维持在较低水平构建看跌期权牛市价差组合策略获取方向性收益若市场行情快速大幅大跌则逐渐平仓离场如CF2303BCF2303P14000BCF2303P14000和SCF2303P14600SCF2303P14800市场行情期权品种标的合约收盘价涨跌涨跌幅成交量万成交额亿CC2303280100110003927977803MM2303397600370009411244427PP2302770600-4600-0591911481SRSR23035760002900051243313943CFCF23031424500335002416894792RMRM23032966001900064317934数据来源wind资讯五矿期货期权事业部主力期货合成期权期权标的合约平值期权权利金C权利金P合成价格涨跌涨跌幅升贴水剩余天数到期日C23032800425048502794100004-700602023-02-13M23034000101001300039711200030-500602023-02-13P2302770024000242007698-5850-075-800262023-01-10SR2303580059501240057363950069-2450502023-02-03CF23031420029800509001398912100087-25600502023-02-03RM230329508900940029451250043-2100502023-02-03数据来源wind资讯五矿期货期权事业部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期权标的合约IMP-CIMP-PIMP-T变化MA20UPLOWC2303115710581097-034113012231036M2303203719451984020214123081974P2302299031863089-020319934032995SR2303126211771229088128813931183CF2303225622452252-035227024752066RM2303234124332392-059261527962434数据来源wind资讯五矿期货期权事业部主力期权合约持仓量PCR期权标的合约量-Call量-Put量-PCR变化持仓-Call持仓-Put持仓-PCR变化C230317834267811500217568765427086001M23032585835363137-0054191974730178-015P230234198350291020103275122146068000SR23032884618168063-0175550929162053001CF23033982120195051-0124829830058062007RM2303999312439124-0031117512902115-001数据来源wind资讯五矿期货期权事业部标的价量关系图1玉米主力合约走势图320070成交量万收盘价310060300050290040279100280030270020260010250002022-08-082022-10-262022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-15图2豆粕主力合约走势图4600300成交量万收盘价440025042003968002004000380015036001003400503200300002022-07-262022-09-012022-10-182022-11-242022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-292022-12-022022-12-072022-12-122022-12-15图3白糖主力合约走势图620050成交量万收盘价6100456000405900355735003058002557002056001555001054005530002022-08-162022-11-032022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-15图4棉花主力合约走势图2160010020600成交量万收盘价901960080186007017600601660050156004014030001460030136002012600101160002022-08-082022-10-262022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-15图5菜粕主力合约走势图成交量万收盘价1604400140400012010036008030310032006040280020240002022-08-192022-11-082022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-15图6棕榈油主力合约走势图12000180成交量万收盘价160110001401000012010090008080006040700020600002022-08-112022-10-312022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-15数据来源wind资讯五矿期货期权事业部玉米期权持仓分布玉米期权持仓分布图玉米期权持仓变化图25000100080020000600150004001000020005000-2000-40032402280232023602400244024802520256026002640268027202760280028402880292029603000308031603240332034003480228023202360240024402480252025602600264026802720276028002840288029202960300030803160332034003480OIPOICOICHANGEPOICHANGEC玉米期权最大未平仓玉米认购认沽合约最大持仓量所在的行权价3200300028002600240022002022-07-082022-10-132022-11-162022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-15玉米期权到期日收盘价C最大持仓P最大持仓玉米期权持仓量PCR玉米期权隐含波动率2003200OIPCRCLOSE22180310020160300018161402900141202800121002700102791008080260006025002022-08-192022-06-142022-06-222022-06-302022-07-082022-07-182022-07-262022-08-032022-08-112022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-072022-06-242022-07-062022-07-182022-07-282022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-06-14IMPVMA20UPLOW豆粕期权持仓分布豆粕期权持仓分布图豆粕期权持仓变化图18000800160006001400040020012000010000-2008000-4006000-6004000-8002000-10000-1200320041002750290030503200335035003650380039504100425044004550470048502750290030503350350036503800395042504400455047004850OIPOICOICHANGEPOICHANGEC豆粕期权最大未平仓豆粕认购认沽合约最大持仓量所在的行权价480044004000360032002022-07-082022-10-132022-11-162022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-15豆粕期权到期日收盘价C最大持仓P最大持仓豆粕期权持仓量PCR豆粕期权隐含波动率3404400OIPCR4035300CLOSE4200396800302604000252022038001518036001014034002022-08-192022-06-142022-06-222022-06-302022-07-082022-07-182022-07-262022-08-032022-08-112022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-072022-06-242022-07-062022-07-182022-07-282022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-06-14IMPVMA20UPLOW白糖期权持仓分布白糖期权持仓分布图白糖期权持仓变化图12000120010001000080080006006000400200400002000-2000-4004800500052005400560058006000620064006600680048005000520054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC白糖期权最大未平仓白糖认购认沽合约最大持仓量所在的行权价6800660064006200600058005600540052002022-07-082022-10-132022-11-162022-06-142022-06-172022-06-222022-06-272022-06-302022-07-052022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-15白糖期权到期日收盘价C最大持仓P最大持仓白糖期权持仓量PCR白糖期权隐含波动率080OIPCR620020CLOSE070600006057350015050580004056000301002054002022-08-192022-06-142022-06-222022-06-302022-07-082022-07-182022-07-262022-08-032022-08-112022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-072022-06-242022-07-062022-07-182022-07-282022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-06-14IMPVMA20UPLOW棉花期权持仓分布棉花期权持仓分布图棉花期权持仓变化图10000150010008000500600004000-5002000-1000-15001180011800204001140011400122001260013000134001380014200146001500015400158001620016600170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