当前阿根廷及巴西南部干早天气引发市场担忧，叠加中国需求预期好转，美豆盘面存支撑，继续关注南美天气汲中国需求。近期豆粕供应预期持续好转。开机率持续回升，到港增加，库存持续回暖，豆粕重心下移。成交量不佳，基差回调较大，但1月之后到港仍在低位，且油脂疲弱，油厂豆粕挺价，当前仍有利多支撑，需关注国内需求预期变化。豆粕跟随美豆震荡偏强为主，阶段性建议观望。
　　

研究报告全文：农产品期权周报吴阿龙投资咨询资格Z0015899联系方式020-88818028本报告中所有观点仅供参考请务必阅读此报告倒数第二页的免责声明2022年12月18日本周主要观点标的收盘价30HVVIX持仓量PCR参考运行范围主要观点本周策略上周策略持有备兑看涨期权组合卖出虚值2-4持有备兑看涨期权组合卖出虚值2-4豆粕期权375218831832173M2305期价震荡档期权档期权-163123-183-00535004000波动率中性卖出看跌期权参考行权价格2760及前期备兑看涨期权组合离场暂且观玉米期权2817882104104C2303期价震荡以下望000-01500700527502950波动率中性持有卖出看跌期权参考行权价格卖出看跌期权参考行权价格5500及白糖期权57199851135059SR303期价震荡5500及以下以下140-115-09800554005800波动率中性如有期货多单可卖出看涨期权对冲如有期货多单可卖出看涨期权对冲棉花期权1414516111986057CF305期价震荡卖出虚值2-4档卖出虚值2-4档217-0071060061250015000波动率中性观望观望棕榈油期权783231533018067P2305期价震荡-321378001-01070009000波动率中性注30HV30天历史波动率波动率指数VIX由期权市场价格计算得出反映市场对未来短期波动率的预期持仓量PCRPut-Call-Ratio看跌期权持仓量和看涨期权持仓量的比值波动率价差VIX-HV波动率指数和1个月历史波动率的差值本报告数据统计截止时间至2022年12月16日1500数据来源Wind风险提示单腿卖出期权的投资策略潜在风险较大当市场行情不利时投资者需及时对冲或止损2目录01豆粕期权02玉米期权03白糖期权04棉花期权05棕榈油期权31豆粕期权4T型报价T型报价期权持仓量分布看涨期权M2305DCE看跌期权看涨期权持仓量看跌期权持仓量平值档位持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量337526559195285024964700005375631200000052985629002408453500054982005578062950231551500019218580588756530002316713333313233820062370753050228691000020611022321066365931002167953571442216507006115315021501252500942536819150752565320020901534567262691000022207905193250206019-256371376013661187490184233002020235-11324415816341692143314593350196028-1884460688135451276402179434001942355-2111124086623124128536017703450193245-2105581121661269917309515723500193357-2028228353730621138125728217333550191770-204560862729822318862395162336001908855-2009426010230276524878320651617365019391065-174411125876178935581317951650370019261265-173215621808截至20221216豆粕期货2305合约收于3752元2843120110531575170737501903148-17554701479644632239841341713380019341765-1535215661吨较上周3814元吨下跌163从T型报价来看6715264587011251710385018481975-177112070010416552912079751755390019012325-1499154695行权价3900看涨期权成交活跃行权价3900看涨期95035511648151761395020042735-1149174511权持仓集中度较高行权价3600看跌期权成交活跃453811271322685177740001912301-13132486621196061500575179640502040347-99934436行权价3600看跌期权持仓集中度较高标的价格在1272642195149182841001982381-106728341118240823884151854415020104225-99143703500-4000运行为主20551426296335187842002202475-7321872911813643721295190242505185-691030045781940441224519174300563-6560482期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose3246003246002844002844004200242442004000204000203800163800163600123600123400083400083200043200043000003000近期持仓量PCR继续下降豆粕期价震荡关注后续看跌期权持仓量变化从期权成交量来看看跌期权成交占比在偏低水平关注市场情绪变化波动率波动率指数与期价历史波动率与波动率指数VIXunderlyingcloseVIX-HVHV30VIX4046004016364400351242003230840002825438002420036002015-4340016320010-81230005-12豆粕波动率指数走弱目前处于中性偏低水平关注后市波动率变化实际波动率上升波动率价差有所收紧波动率微笑主力期权波动率微笑23191520221216202212152022121420221213202212122022129主力期权整体隐波水平下降波动率微笑左偏关注市场情绪变化2玉米期权9T型报价T型报价期权持仓量分布看涨期权C2303DCE看跌期权持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量看涨期权持仓量看跌期权持仓量平值档位1924495122300050000135004044892320050000569180000042246923400500004110044244923600500001551600000463429238005000021100487409240011000010380140000051438924200500002900054336924400500002145057634924602300002034612000150613329248005000031917170731052500152000065168910000150704289252005000042315076026925402300001246880001921150257256025400001165280877229525801-33330569600080938210260013544100001382880412010401912620113525-285702084400046011291725264012195-9098261839940123615452660114355-2667136512222000205172282148268011097-3636122822671155277513351030270010799-400031786192023816721111097062720106412-40001227231624020222379377027401041155-415120061169556110524227958452760104721-38241314703055224524766558522780106028-341212871747181780527915590428001076365-31132161404619223600231942587228201097465-279175733042917161235193659512840114459-23387509854377149042863098728601187725-20332401323截至20221216玉米期货2303合约收于2817元25391267468823599528801218865-18402221735152463766666720105129001177985-1926231857吨较上周2817元吨持平从T型报价来看行214672866671510442920123-1119058954386884621210702940140-10260380权价2900看涨期权成交活跃行权价3000看涨期权7781246100009107329601575-974027613401380133337109129801755-9070282223861463200006113930001905-10141344持仓集中度较高行权价2700看跌期权成交活跃1167128530000430402325-719026181100000530802715-654035行权价2740看跌期权持仓集中度较高标的价格在664731000013120311-576040556931000013160351-5140255053320000153200391-4630302750-2950运行为主2900000053240431-4220402980000053280471-3880304360000053320511-3580252430000053360551-3330154240000053400591-311030期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose3030003300025290029002800280020227002700152600260010125002500052400240000230002300持仓量PCR有所下降玉米期价震荡关注后续看跌期权持仓量变化从期权成交量来看近期看跌期权成交占比在中性水平关注市场情绪变化波动率波动率指数与期价历史波动率与波动率指数VIXunderlyingcloseVIX-HVHV30VIX2230002465202900204182800163162700212114260008122500-1-21024004-3823000-4波动率指数有所下降目前处于中性水平实际波动率变化不大波动率价差有所收紧关注后市波动率变化波动率微笑主力期权波动率微笑131197520221216202212152022121420221213202212122022129主力期权整体隐波水平变化不大波动率微笑轻度左偏关注市场情绪变化3白糖期权14T型报价T型报价期权持仓量分布看涨期权SR303CZC看跌期权看涨期权持仓量看跌期权持仓量平值档位持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量12000400014732500015951100007635005500016632510014681520000507175767415593563520012551500048822128000561387-2194245300119935166735827022772571-3113275400118092000298336446051195-2832408185500112919117679744503400012641682-3601605911560011124011115837307324032589-68695920570011307890941061487069088899-104351595258001164134635227458853226481-984275101459001208205532783856165617211-1563135105660001311291246171876截至20221216白糖期货2303合约收于5719元97824726-11767511386100150438626613948333283603-2222351173620017504852654110吨较上周5640元吨上涨140从T型报价来看228915830002512936300569-0260114行权价5800看涨期权成交活跃行权价6100看涨期272452066672514716400668-022025权持仓集中度较高行权价5500看跌期权成交活跃3826922150002516446500768-013032行权价5300看跌期权持仓集中度较高标的价格在305834310000116036600868-0120485400-5800运行为主332559610000117526700968-010053期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose120600020060005900590009058001505800570057000605600100560055005500030540005054005300530000052000005200持仓量PCR有所上升白糖期价偏强近期看跌期权成交占比在中性水平关注市场情绪变化波动率波动率指数与期价历史波动率与波动率指数VIXunderlyingcloseVIX-HVHV30VIX2260002416590020201258001857001681656005500124145400128053001052004-4波动率指数走弱目前处于中性偏低水平关注后市波动率变化实际波动率下降波动率价差有所收紧波动率微笑主力期权波动率微笑1612820221216202212152022121420221213202212122022129主力期权整体隐波水平有所下降波动率微笑轻度左偏关注市场情绪变化4棉花期权19T型报价T型报价期权持仓量分布看涨期权CF305CZC看跌期权持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量看涨期权持仓量看跌期权持仓量平值档位0081429771120023792215791344719800867278211400228325-3854651107100002020934258811600222431-882919196090007101000239711800214837-195790780911501078220912000212249-183317611992800018601175202512200208663-19238941253700020001265184412400205381-205913001158307013771669126002057109-1742103218916000305015111501128002029138-173761218165000898535641217130002099194-93521843418182818399111091356132002071238-11851512235040002924200181510351726134002064295-1220112333223000151731919109041751136002067364-125012591539331527817867721731138002119457-10571653181420005507301820646781800140002089536-131342769310002887125422155901848142002123644-125028430904272123919384991850144002167765-1207155213160278711114001791146002208894-1149207173861955196837719511480022581034-111728215493605909204433020071500019571080-1824350842128616462832037152001316-1156055108581717922502096154001479-1074095173371114742182140156001645-1031051截至20221216棉花期货2305合约收于14145元1101112916571972211158001953-288237吨较上周13845元吨上涨217从T型报价来2232294416561762269160001994-9030413381420001362213162002172-859047看行权价15000看涨期权成交活跃行权价150004621839841342337164002355-80406292554315451272429166002539-764053看涨期权持仓集中度较高行权价13000看跌期权成9831906931082439168002725-7250564256184413191032526170002914-6840102交活跃行权价11200看跌期权持仓集中度较高标843681220922566172003103-6480648152141733882648174003293-621077的价格在12500-15000运行为主13632151304782678176003486-589066781151794682696178003679-5620491307400351592711180003872-5380565941891509612828182004066-516060861463-1020442736184004261-495070131035049-667422801186004457-474055