五矿期货-农产品期权日报-221220

>> 五矿期货-农产品期权日报-221220

上传日期：	2022/12/20	大小：	1293KB
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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20日星期二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小幅变动南宁报56500与盘面基差-48消费未有明显放量购销以节前刚性需求为主11月国内进口73万吨同比增加1026万吨国内进口仍偏高甘蔗糖进入压榨高峰整体供应充足卢品先棕榈油根据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228万吨环比下投研经理降4980755-23375252lupxwkjyqhcom期权分析及操作建议1玉米期权从业资格号玉米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跌幅F3047321039报收于2789期权隐含波动率上升014报收于1140期权持仓量PCR报收于093操作建议玉米C2303经交易咨询号过前期的持续大幅下跌后上周以来形成上方有压力的弱势偏空头低位盘整震荡期权隐含波动率窄幅波动持仓Z0015541量PCR小幅波动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-278010SC2303-P-276010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上周以来高位回落连续下跌先后跌破21天均线和55天均线支撑点而后在55天均线附近盘整震荡跌幅050报收于3963豆粕期权隐含波动率下降014报收于1983期权持仓量PCR小幅下降报收于169操作建议豆粕短期空头趋势压力下弱势盘整震荡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-390010SM2303-P-395010和SM2303-C-405010SM2303-C-4000103棕榈油期权棕榈油P2302前两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上周以来低位弱势盘整震荡涨幅042报收于7686期权隐含波动率小幅下降001至3132持仓量PCR持续上升报收于066操作建议棕榈油P2302低位弱势盘整期权隐含波动率小幅下降持仓量PCR大幅度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大跌或大跌则逐渐平仓离场如P2302SP2302-C-770010SP2302-C-780010和SP2302-P-760010SP2302-P-7700104白糖期权白糖SR303反弹回暖上升连续六天报收阳线突破11月以来高点而后高位震荡回落跌幅045报收于5693期权隐含波动率上升038至1213期权持仓量PCR报收于059操作建议白糖SR2303低位反弹回暖上升后连续报收大阳线而后弱势盘整期权隐含波动率小幅波动期权持仓量PCR小幅上升仍维持在较低水平构建卖出偏多头的看涨看跌期权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-580010SSR303-C-570010和SSR303-P-570010SSR303-P-5600105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上周以来加速上涨跌幅011报收于13840棉花期权隐含波动率上升041报收于2234持仓量PCR窄幅波动报收于061操作建议棉花CF303延续近一个月多月以来的震荡上行温和上涨棉花期权隐含波动率小幅波动持仓量PCR小幅上升仍维持较低水平构建卖出偏空头的宽跨式期权组合策略获取时间价值和方向性收益若市场行情急速大涨或大跌则逐渐平仓离场如CF2303SCF2303P13800SCF2303P13600和SCF2303C14000SCF2303C14200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CC2303278900-1100-03932108992MM2303396300-2000-05011244479PP230276860032000421931480SRSR2303569300-2600-045279515983CFCF23031384000-1500-0118355786RMRM2303292900-3500-1183611069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C23032780500039002791-2500-089200562023-02-13M2303395011650102503964-3650-091100562023-02-13P2302770020400260507644-3150-041-4250222023-01-10SR23035700845091505693-2400-042000462023-02-03CF230313800341003800013761-33900-240-7900462023-02-03RM23032950915093002949-2300-0771950462023-02-03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MA20UPLOWC2303120810681140014113512261044M2303201419611983-014210022461954P2302305731853132-001315733232992SR2303125111781213038127613841168CF2303231721002234041223924242054RM2303238725352463073257427462402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C230325560245860960037693271504093003M230328771394241370264517476352169001P230233234464081400373583023728066-000SR230328784306211060375448031951059002CF23034776829550062-0075156431540061-006RM230316625175571060221119612495112-005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310060300050290040278700280030270020260010250002022-08-102022-10-282022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19图2豆粕主力合约走势图4600300成交量万收盘价440025042003960002004000380015036001003400503200300002022-07-282022-09-052022-10-202022-11-282022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-19图3白糖主力合约走势图620050成交量万收盘价6100456000405900353058005698002557002056001555001054005530002022-08-182022-11-072022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19图4棉花主力合约走势图20600100成交量万收盘价196009018600801760070601660050156004013775001460030136002012600101160002022-08-102022-10-282022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19图5菜粕主力合约走势图成交量万收盘价1604400140400012010036008032002980006040280020240002022-08-232022-11-102022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19图6棕榈油主力合约走势图12000180成交量万收盘价160110001401000012010090008080006040700020600002022-08-152022-11-022022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19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250001500200001000150005001000005000-5000-100024802920228023202360240024402480252025602600264026802720276028002840288029202960300030803160324033203400348022802320236024002440252025602600264026802720276028002840288029603000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200300028002600240022002022-07-122022-10-172022-11-182022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19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2003200OIPCRCLOSE22180310020160300018161402900141202800121002700102787008080260006025002022-08-232022-06-162022-06-242022-07-042022-07-122022-07-202022-07-282022-08-052022-08-152022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-092022-06-282022-07-082022-07-202022-08-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-06-16IMPVMA20UPLOW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200001500180001600010001400012000500100008000060004000-50020000-1000320041002750290030503200335035003650380039504100425044004550470048502750290030503350350036503800395042504400455047004850OIPOICOICHANGEPOICHANGEC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480044004000360032002022-07-122022-10-172022-11-182022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19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3404400OIPCR4035300CLOSE4200396000302604000252022038001518036001014034002022-08-232022-06-162022-06-242022-07-042022-07-122022-07-202022-07-282022-08-052022-08-152022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-092022-06-282022-07-082022-07-202022-08-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-06-16IMPVMA20UPLOW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120008001000060080004006000200400002000-2000-4004800500052005400560058006000620064006600680048005000520054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-07-122022-10-172022-11-182022-06-162022-06-212022-06-242022-06-292022-07-042022-07-072022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-19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080OIPCR600020CLOSE07006056980058001505004056000301002054002022-08-232022-06-162022-06-242022-07-042022-07-122022-07-202022-07-282022-08-052022-08-152022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-092022-06-282022-07-082022-07-202022-08-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-06-16IMPVMA20UPLOW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10000120010008000800600600040020040000-2002000-400-600236002360011400114001180012200126001300013400138001420014600150001540015800162001660017000174001780018200186001900019400198002040021200220002280001100015400154002120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