截至2022/12/23，豆粕期货2305合约收于3788元/吨，较上周(3752元/吨)上涨0.96%；从T型报价来看，行权价3800看涨期权成交活跃，行权价3900看涨期权持仓集中度较高，行权价3600看跌期权成交活跃，行权价3600看跌期权持仓集中度较高，标的价格在3500-4000运行为主。
　　
　　

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25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378818601826184M2305期价有支撑档期权档期权096-023-00601235004000波动率中性卖出看跌期权参考行权价格2740及卖出看跌期权参考行权价格2760及玉米期权275274398110C2303期价震荡以下以下-231-139-06000627002900波动率中性前期卖出看跌期权逐步止盈持有卖出看跌期权参考行权价格白糖期权57779261134064SR303期价震荡5500及以下101-059-00100455005900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1391018301884058CF305期价震荡卖出虚值2-4档卖出虚值2-4档-166219-1020021250015000波动率中性观望观望棕榈油期权760630582879067P2305期价震荡-289-095-139-00170009000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23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3272087930285028256110000398615920000000348752900271865120000206452000368252950264175650002830358003977553000249675275002692433200041726530502463952166712311172321005267831002387111444422159500486303150230112592319765430191500525833200222414552636196279100002200056537325021531725937433785116006149233002111211351150063603231615745253350204925000105700534800874073400203632-303114290393033193370513713450199539-930592125954916-04632413053500196648-1193166760180632361902955156735501950595-1314654649583417-702238512513600194974-129418718525258092-756208135536501970925-106310096201288082-4581875152637001921108-13255411673截至20221223豆粕期货2305合约收于3788元324743200017051679375019441315-1145758159370602123-239143166138001949156-1060241674吨较上周3752元吨上涨096从T型报价来看5707451-120124171138502183202-04944658105301546-329103170439002198232-08530704行权价3800看涨期权成交活跃行权价3900看涨期867168-50385170239502026249-67458562权持仓集中度较高行权价3600看跌期权成交活跃4317628-40072173440002049284-612578391753164-480595174540503385-0290433行权价3600看跌期权持仓集中度较高标的价格在13731287-38849517654100377-04003411574249-35341178441504175-03603703500-4000运行为主257627214535182342004595-03307451018903572918434250508069553005768257844423518524300536-23754482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有所上升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231915202212232022122220221221202212202022121920221216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320-022450230005000013400-02343023200500005691400000-024410234005000041000-026390236005000015500-02737023800500002111200000-02835024001100001033900-030330242005000029000-03231024400500002141000050-0342902460050000346150-03727024800500003198000192139254525002300001421699150-0432302520050000460160-0472105254014444700001877666000190-05219125601254320000256548000017252580122741000011267190000154260012115557145549515400012000013626201121620005062381502-67511052640107175-6254371741128004910257182660102495-1739886158320002321011168758272680100713-18755333778257167-207718032700989175-1860167768860374233-583565799272091321-2759110428071529920-72245828274097231-173322731173320821867-1169348222760951395-1684106675981327755-133326845278099052-118688220883869859-1304208772800105767-69429154012483912-11431559132820109682-4651662953328079100012596428401092965-493169138642926471111101008286012016902268截至20221223玉米期货2303合约收于2752元2495770153875102828801275-55641667201812198444465109229001465-42552380吨较上周2817元吨下跌231从T型报价来看17245026667511162920180552515871283286100004115129401920790381行权价2900看涨期权成交活跃行权价3000看涨期1303251200003116829602115071027619573564000025121029802215-34912812250025953000021240300025050400345权持仓集中度较高行权价2740看跌期权成交活跃884338642000015133030402900350261329105000033080330030035行权价2740看跌期权持仓集中度较高标的价格在680600005312037002704053700000531604100240254802010000132004500220302700-2900运行为主27816300005324049002004028800000532805300190304042700005332057001802524300000533606100160154240000053400650015030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有所上升玉米期价偏弱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波动率指数走弱目前处于中性偏低水平实际波动率下降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1311975202212232022122220221221202212202022121920221216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16000400-013746500018281100003034545500-015646510016081100001751712120006731547557355200139010003641968699269690480530012972-20008747294800065331776637955400127855-1538433042055728961207292587755001235125-1667693752504000109565712612018785600116725-218845395789255218441591127595257001125495-2143506525860827459731074679175800108790-20701946771554641598203395659001167157-1421419792752679426901551008600012562375-1088190932截至20221223白糖期货2303合约收于5777元11472663571475107761001436330-8084655543996328114294116462004560110110吨较上周5719元吨上涨101从T型报价来看237937700021229630055450090114行权价6000看涨期权成交活跃行权价6100看涨期293028150001513616400654008025权持仓集中度较高行权价5500看跌期权成交活跃3883929200001515396500754013032行权价5300看跌期权持仓集中度较高标的价格在26202315100001162566008540120485500-5900运行为主321338210000117876700954010053期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose1205900200590058005800090150570057005600560006010055005500540054000300505300530000052000005200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-HVHV30VIX225900241658002020125700185600168165500124145400801253001052004-4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扩大波动率微笑主力期权波动率微笑16128202212232022122220221221202212202022121920221216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00-578265611200229721615412206499100-62124601140021612222223711339120002000-6632268116002087278003281956710-715207811800203735294296859100001130-77618911200020164843575625491760-841171012200196261-31741213261750-918153412400193581-357652116180002870-9891366126001906106-36460418542770-110112041280019241460004281905600081490-977108014541300019291932128984432182377-113493014871320019272483332922724287759-1290797153113400195132052640731654000143083-1160701165413600196340049944813333325309-104361017351380019774925131892027200055591992-1168514175314000202560567030021272767645-118244018041420020617256306427905092838-12473721838144002152871793262461577523-14683081851146002102985456131211387240-1290270192714800218311445056398104164588-1477225194915000136498201021197443-160919319981520015318810551064306-161616620461540017068390952040398-16571462108156001883760051截至20221223棉花期货2305合约收于13910元1307408-16991272157158002066721037吨较上周14145元吨下跌166从T型报价来24411626-19711102201160002250664041524298-1951992267162002437619047看行权价15000看涨期权成交活跃行权价1500046853-2000882322164002626589062962189-1683842417166002816543053看涨期权持仓集中度较高行权价13000看跌期权成95650-21517324501680030075070564492963-14297225571700032004810102交活跃行权价11200看跌期权持仓集中度较高标83277-181863258817200339445906480142-2329562627174003588430077的价格在12500-15000运行为主137487-250051267817600378341006675827-2698462721178003979392049128224-310340274318000417537505663591-363635276718200437135806084218-3654332828184004568342070148042502-3878302868186004765327055