【基本面信息】
　　大豆：蛋白粕，供给方面由于大豆和菜籽的到港在不断的环比改善，大豆和菜籽的库存预期将会继续增加，供给好转的情况下，蛋白粕的原料供应预期充足，上方存在压力。
　　白糖：原糖端，阶段性供需错配推升原糖反弹。南北半球压榨交替期，泰国、澳大利亚及中美洲收割有所推迟；巴西本榨季压榨尾声，降雨导致部分本榨季甘蔗来不及收割，后续可供出口量有限。全球需求仍偏好，阶段性供需错配导致全球贸易流偏紧。
　　棕榈油：马来西亚棕榈油协会(MPOA)的数据显示，12月1-20日马来西亚棕榈油产量较11月1-20日减少3.87%。
　　

研究报告全文：农产品期权日报期权研究2022年12月27日星期二基本面信息大豆蛋白粕供给方面由于大豆和菜籽的到港在不断的环比改善大豆和菜籽的库存预期将会继续增加供给好转的情况下蛋白粕的原料供应预期充足上方存在压力白糖原糖端阶段性供需错配推升原糖反弹南北半球压榨交替期泰国澳大利亚及中美洲收割有所推迟巴西本榨季压榨尾声降雨导致部分本榨季甘蔗来不及收割后续可供出口量有限全球需求仍偏好阶段性供需错配导致全球贸易流偏紧卢品先棕榈油马来西亚棕榈油协会MPOA的数据显示12月1-20日马来西亚棕榈油产量较11月1-20日减少投研经理3870755-23375252lupxwkjyqhcom期权分析及操作建议1玉米期权从业资格号玉米C2303高位回落后连续三周以来的空头弱势下行上周以来跌幅收窄低位弱势震荡涨幅033报F3047321收于2777期权隐含波动率下降110报收于1024期权持仓量PCR报收于087操作建议玉米C2303交易咨询号经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Z0015541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若市场行情快速大涨则逐渐平仓离场如C2303SC2303-P-272010SC2303-P-274010和SC2303-C-276010SC2303-C-2780102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前一周高位回落连续下跌而后止跌于55天均线上周以来持续反弹回暖上升涨幅116报收于4190豆粕期权隐含波动率上升193报收于2127期权持仓量PCR小幅下降报收于186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上升期权持仓量PCR有所下降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-415010SM2303-P-420010和SM2303-C-425010SM2303-C-4200103棕榈油期权棕榈油P2302维持两周以来的空头压力的弱势宽幅矩形区间盘整涨幅217报收于7826期权隐含波动率小幅下降210至2882持仓量PCR窄幅波动报收于080操作建议棕榈油P2302前两周高位回落连续大幅下跌先后跌破20天均线和60天均线上周以来形成上方有压力的弱势偏空头期权隐含波动率小幅下降持仓量PCR持续回落至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收益若市场行情快速大跌或大跌则逐渐平仓离场如P2302SP2302-C-790010SP2302-C-780010和SP2302-P-770010SP2302-P-7800104白糖期权白糖SR303低位反弹V型反转后连续近两周以来的多头上涨突破上行趋势涨幅064报收于5805期权隐含波动率下降048至1178期权持仓量PCR报收于063操作建议白糖SR2303低位反弹回暖上升后连续报收大阳线短期趋势方向上持续上涨突破上行期权隐含波动率小幅波动期权持仓量PCR窄幅波动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-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上周以来宽幅矩形区间盘整震荡涨幅140报收于14145棉花期权隐含波动率上升050报收于2124持仓量PCR窄幅波动报收于067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上周以来涨幅收窄高位宽幅区间盘整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多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CC230327770090003330568459MM2303419000480011611034570PP2302782600166002171731329SRSR23035805003700064285216447CFCF23031414500195001405363739RMRM230331010042001374411348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C230327803450365027782350085100432023-02-07M230342001005013550416510350255-2500432023-02-07P230278001420020250774024700330-8650142023-01-09SR23035800600096005764-1300-023-4100392023-02-03CF2303142002370045000139879400068-15800392023-02-03RM230331009250975030959750325-600392023-02-03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MA20UPLOWC2303104210021024-110110911821036M2303201322102127193202621381914P2302269830162832-210309432442943SR2303115512081178-048124413271161CF2303213321102124050218023192040RM2303250926082550247248426042364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C230322135181310820228480173769087-002M23034563062662137-0074870290549186-011P23024913035691073-0303416927379080014SR230329512236650800105923737339063002CF23032531515544061-0154865632722067001RM23032088214598070-0481229116555135013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310060300050290040277600280030270020260010250002022-08-172022-11-042022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26图2豆粕主力合约走势图4600300成交量万收盘价440041680025042002004000380015036001003400503200300002022-08-042022-09-132022-10-272022-12-052022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-26图3白糖主力合约走势图620050成交量万收盘价6100456000403559005766003058002557002056001555001054005530002022-08-252022-11-142022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26图4棉花主力合约走势图19600100成交量万收盘价1860090801760070166006015600501402500146004030136002012600101160002022-08-172022-11-042022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26图5菜粕主力合约走势图成交量万收盘价1604400140400012010036008031340032006040280020240002022-08-302022-11-172022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26图6棕榈油主力合约走势图10000180成交量万收盘价950016090001401208500100800080750060700040650020600002022-08-222022-11-092022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26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3200300028002600240022002022-07-192022-10-242022-11-252022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26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2003200OIPCRCLOSE22180310020160300018161402900141202800121002700102776008080260006025002022-08-302022-06-232022-07-012022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262022-12-162022-07-052022-07-152022-07-272022-08-082022-08-182022-08-302022-09-092022-09-222022-10-112022-10-212022-11-022022-11-142022-11-242022-12-062022-06-23IMPVMA20UPLOW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2500030002000200001000015000-1000-200010000-30005000-4000-50000-6000320041002750290030503200335035003650380039504100425044004550470048502750290030503350350036503800395042504400455047004850OIPOICOICHANGEPOICHANGEC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480044004000360032002022-07-192022-10-242022-11-252022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26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3404400OIPCR4168004035300CLOSE4200302604000252022038001518036001014034002022-08-302022-06-232022-07-012022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262022-12-162022-07-052022-07-152022-07-272022-08-082022-08-182022-08-302022-09-092022-09-222022-10-112022-10-212022-11-022022-11-142022-11-242022-12-062022-06-23IMPVMA20UPLOW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140001500120001000100008000500600004000-50020000-10005200480050005200540056005800600062006400660068004800500054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-07-192022-10-242022-11-252022-06-232022-06-282022-07-012022-07-062022-07-112022-07-142022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-26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080OIPCR600020CLOSE07057660006058001505004056000301002054002022-08-302022-06-232022-07-012022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262022-12-162022-07-052022-07-152022-07-272022-08-082022-08-182022-08-302022-09-092022-09-222022-10-112022-10-212022-11-022022-11-142022-11-242022-12-062022-06-23IMPVMA20UPLOW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8000600400600020004000-200-4002000-600-800166001660017800114001140011800122001260013000134001380014200146001500015400158001620017000174001820018600190001940019800204002120022000228002360001100015400154002360011000110001140011800122001260013000134001380014200146001500015800162001660017000174001780018200186001900019400198002040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