【基本面信息】
　　大豆：美国大豆出口检验量为175.30万吨，前一周修正后为196.33万吨，初值为161.99万吨。2021年12月23日当周，美国大豆出口检验量为175.14万吨。本作物年度迄今，美国大豆出口检验量累计为271.33万吨，上一年度同期2917.83万吨。
　　白糖：原糖端，继续上行压力较大。近强远弱，价差持续走阔，阶段性供需错配推升本次反弹。印度第二批出口政策即将出炉，短期泰国等国压榨推迟，巴西可供出口有限，印度倾向于生产白糖，贸易流偏紧预计将延续至明年一季度。
　　棕榈油：从棕榈油基本面来看，高频数据显示马棕产量下滑的同时出口降幅有所收窄，月末库存或仍趋降。但最近国内中心城市人流量恢复较快，市场对后期需求复苏存在期待，内外利多因素助推内盘油脂大幅反弹。
　　

研究报告全文：农产品期权日报期权研究2022年12月28日星期三基本面信息大豆美国大豆出口检验量为17530万吨前一周修正后为19633万吨初值为16199万吨2021年12月23日当周美国大豆出口检验量为17514万吨本作物年度迄今美国大豆出口检验量累计为27133万吨上一年度同期291783万吨白糖原糖端继续上行压力较大近强远弱价差持续走阔阶段性供需错配推升本次反弹印度第二批出口政策即将出炉短期泰国等国压榨推迟巴西可供出口有限印度倾向于生产白糖贸易流偏卢品先紧预计将延续至明年一季度投研经理棕榈油从棕榈油基本面来看高频数据显示马棕产量下滑的同时出口降幅有所收窄月末库存或仍0755-23375252趋降但最近国内中心城市人流量恢复较快市场对后期需求复苏存在期待内外利多因素助推内盘油脂lupxwkjyqhcom大幅反弹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高位回落后连续三周以来的空头弱势下行本周以来低位反弹持续回暖上升而趋势线方Z0015541向仍向下涨幅101报收于2808期权隐含波动率上升066报收于1090期权持仓量PCR报收于084操作建议玉米C2303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本周以来超跌反弹回暖上升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若市场行情急速大涨则逐渐平仓离场如C2303SC2303-P-278010SC2303-P-280010和SC2303-C-282010SC2303-C-2840102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本周以来延续上涨趋势跌幅050报收于4163豆粕期权隐含波动率上升245报收于2372期权持仓量PCR小幅下降报收于176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大幅上升期权持仓量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和方向性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低位空头压力线下盘整震荡两周后本周以来低位反弹连续大幅上涨而上方有55天均线压力涨幅118报收于8040期权隐含波动率小幅上升160至2992持仓量PCR大幅度上升报收于103操作建议棕榈油P2302空头压力线下反弹回暖上升短期趋势偏多中期趋势仍偏空头期权隐含波动率小幅上升持仓量PCR大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-810010SP2302-C-820010和SP2302-P-790010SP2302-P-8000104白糖期权白糖SR303低位反弹V型反转后连续两周以来的多头上涨突破上行趋势夜盘快速回落跌幅079报收于5768期权隐含波动率上升022至1200期权持仓量PCR报收于061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和方向性若市场行情急速大涨则逐渐平仓离场如SR303SSR303-C-590010SSR303-C-580010和SSR303-P-570010SSR303-P-5800105棉花期权棉花CF303沿着多头趋势方向延续一个半月以来的震荡上行温和上涨涨幅039报收于14205棉花期权隐含波动率上升036报收于2160持仓量PCR窄幅波动报收于068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CF2303SCF2303P14200SCF2303P14000和SCF2303C14400SCF2303C14600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CC2303280800280010125237014MM2303416300-2100-0506992925PP230280400094001181511199SRSR2303576800-4600-079294017091CFCF2303142050055000395563932RMRM2303308500-2100-0683271016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C230328003000395027911250045-1750422023-02-07M230341501365010350418317000412000422023-02-07P2302800019100137008054314504061400132023-01-09SR2303580089506650582359001025500382023-02-03CF23031420032800329001419920900149-600382023-02-03RM2303310098008550311317500572750382023-02-03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MA20UPLOWC2303109310861090066110311721034M2303225924472372245202921491909P2302281931952992160307832222935SR2303115512861200022123713171156CF2303215621682160036216422862042RM2303246125812506-044246825592377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C230316400145340890078806373700084-003M230328021429101530164920386648176-010P230265119556880860133076731743103023SR23034110021661053-0276122637245061-002CF23033151418767060-0024846732743068000RM2303151939224061-0091319817139130-005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310060300050290040278800280030270020260010250002022-08-182022-11-072022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-27图2豆粕主力合约走势图4600300成交量万收盘价440041850025042002004000380015036001003400503200300002022-08-052022-09-142022-10-282022-12-062022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-092022-12-142022-12-192022-12-222022-12-27图3白糖主力合约走势图620050成交量万收盘价6100456000405826005900353058002557002056001555001054005530002022-08-262022-11-152022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-27图4棉花主力合约走势图18600100成交量万收盘价90176008016600701560060142200050146004013600302012600101160002022-08-182022-11-072022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-27图5菜粕主力合约走势图成交量万收盘价1604400140400012010036003157008032006040280020240002022-08-312022-11-182022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-27图6棕榈油主力合约走势图10000180成交量万收盘价950016090001401208500100800080750060700040650020600002022-08-232022-11-102022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-27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250002500200020000150015000100010000500500000-50032402280232023602400244024802520256026002640268027202760280028402880292029603000308031603240332034003480228023202360240024402480252025602600264026802720276028002840288029202960300030803160332034003480OIPOICOICHANGEPOICHANGEC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3200300028002600240022002022-07-202022-10-252022-11-282022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-27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2003200OIPCRCLOSE22180310020160300018161402900141202800121002700102788008080260006025002022-08-312022-06-242022-07-042022-07-122022-07-202022-07-282022-08-052022-08-152022-08-232022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272022-12-192022-07-062022-07-182022-07-282022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-06-24IMPVMA20UPLOW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200001000180005001600014000012000-500100008000-10006000-15004000-200020000-2500320041002750290030503200335035003650380039504100425044004550470048502750290030503350350036503800395042504400455047004850OIPOICOICHANGEPOICHANGEC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480044004000360032002022-07-202022-10-252022-11-282022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-27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3404400OIPCR4185004035300CLOSE4200302604000252022038001518036001014034002022-08-312022-06-242022-07-042022-07-122022-07-202022-07-282022-08-052022-08-152022-08-232022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272022-12-192022-07-062022-07-182022-07-282022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-06-24IMPVMA20UPLOW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140001200100012000800100006008000400200600004000-200-4002000-6000-8004800500052005400560058006000620064006600680048005000520054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-07-202022-10-252022-11-282022-06-242022-06-292022-07-042022-07-072022-07-122022-07-152022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-27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080OIPCR600020CLOSE07058260006058001505004056000301002054002022-08-312022-06-242022-07-042022-07-122022-07-202022-07-282022-08-052022-08-152022-08-232022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272022-12-192022-07-062022-07-182022-07-282022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-06-24IMPVMA20UPLOW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80001000800600600040020040000-200-4002000-600-800-1000118001180020400114001140012200126001300013400138001420014600150001540015800162001660017000174001780018200186001900019400198002120022000228002360001100015400154002360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