研究报告全文：农产品期权日报期权研究2022年12月21日星期三基本面信息大豆美国农业部发布的出口检验周报显示截至2022年12月15日的一周美国大豆出口检验量为1619850吨较一周前减少138比去年同期减少152美国对中国大陆地区装运1109604吨大豆比一周前减少48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卢品先体供应充足投研经理棕榈油南马来西亚棕榈油公会SPOMMA的数据显示2022年12月1-15日马来西亚棕榈油产量环比0755-23375252减少673其中鲜果串单产环比减少600出油率OER减少014拉尼娜现象导致雨季暴雨和洪水lupxwkjyqhcom风险高企可能阻碍印尼和马来西亚的鲜果串收获影响到11月和12月份的棕榈油生产从业资格号期权分析及操作建议F30473211玉米期权交易咨询号玉米C2303高位回落后连续两周以来的空头弱势下行本周以来加速下跌跌幅147报收于2739期Z0015541权隐含波动率下降038报收于1102期权持仓量PCR报收于091操作建议玉米C2303形成空头破位下行本周以来加速下跌期权隐含波动率窄幅波动持仓量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或方向性收益若市场行情快速大涨则平仓离场如C2303SC2303-P-272010SC2303-P-270010和SC2303-C-274010SC2303-C-2760102豆粕期权豆粕M2203延续一个月以来的多头趋势方向震荡上行温和上涨上周高位回落连续下跌止跌于55天均线而后逐渐反弹回暖上升涨幅126报收于4028豆粕期权隐含波动率下降010报收于1973期权持仓量PCR小幅下降报收于184操作建议豆粕止跌反弹回暖后延续偏多头市场行情格局期权隐含波动率小幅下降期权持仓量PCR有所回落构建卖出偏多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-405010和SM2303-C-405010SM2303-C-4100103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颈线形成上方有空头压力的弱势盘整震荡跌幅097报收于7592期权隐含波动率小幅下降047至3065持仓量PCR持续上升报收于069操作建议棕榈油P2302空头压力下低位弱势盘整期权隐含波动率小幅下降持仓量PCR小幅上升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-760010和SP2302-P-760010SP2302-P-7500104白糖期权白糖SR303低位反弹V型反转后连续六天报收阳线突破11月以来高点而后高位震荡涨幅056报收于5747期权隐含波动率上升001至1214期权持仓量PCR报收于058操作建议白糖SR2303短期多头趋势方向上高位盘整震荡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-590010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涨幅054报收于13935棉花期权隐含波动率上升034报收于2268持仓量PCR窄幅波动报收于064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CF2303SCF2303P13800SCF2303P14000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CC2303273900-4100-14729728263MM230340280050001266052409PP2302759200-7400-0971491142SRSR23035747003200056238213613CFCF2303139350075000545113543RMRM23032980004000136280824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C23032740545030002765-2650-0952550552023-02-13M2303405083001380039953100078-3300552023-02-13P2302760022550210507615-3450-0452300212023-01-10SR230357009900755057243050054-2350452023-02-03CF23031400030800418001389012900094-4500452023-02-03RM230330006100120002941-750-025-3900452023-02-03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MA20UPLOWC2303116510361102-038113312241042M2303194318911913-070208222271936P2302301931503085-047313932892988SR2303122811931214001127513831167CF2303227322612268034221723642069RM2303229825032415-048255727272387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C23032887027376095-0017933072248091-002M230322576320651420054656885807184015P23022941530029102-0383637425133069003SR23032435116403067-0395393331259058-001CF230329654212350720105093232375064002RM230311044148081340281237713973113001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310060300050290040276100280030270020260010250002022-08-112022-10-312022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-20图2豆粕主力合约走势图4600300成交量万收盘价440025042003993002004000380015036001003400503200300002022-07-292022-09-062022-10-212022-11-292022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-20图3白糖主力合约走势图620050成交量万收盘价6100456000405900353058005720002557002056001555001054005530002022-08-192022-11-082022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-112022-08-162022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-20图4棉花主力合约走势图20600100成交量万收盘价196009018600801760070601660050156001388000401460030136002012600101160002022-08-112022-10-312022-06-172022-06-222022-06-272022-06-302022-07-052022-07-082022-07-132022-07-182022-07-212022-07-262022-07-292022-08-032022-08-082022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-20图5菜粕主力合约走势图成交量万收盘价16044001404000120100360080320029840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76-89811511济南营业部昆明营业部山东省济南市历下区山大路201号天业科技商务大厦401云南省昆明市盘龙区北京路612号银海国际公寓D座3201室427室电话0871-63338532电话0531-83192255大连营业部唐山营业部辽宁省大连市沙河口区会展路大连国际金融中心A座大连期河北省唐山市路北区军鑫里凤城国贸1楼21层2104号货大厦2001号电话0315-5936395电话0411-84800452武汉营业部湖北省武汉市江岸区三阳路8号天悦星辰A栋26楼2602室电话0755-23375007