【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：截至12月29日，广东24度棕榈油现货价8020元/吨，较上个交易日-30。库存方面，截至12月23日当周，国内棕榈油商业库存104.96万吨，环比+2.51万吨。

研究报告全文：农产品期权日报期权研究2022年12月30日星期五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截至12月29日广东24度棕榈油现货价8020元吨较上个交易日-30库存方面截至12月0755-2337525223日当周国内棕榈油商业库存10496万吨环比251万吨lupxwkjyqhcom期权分析及操作建议从业资格号1玉米期权F3047321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交易咨询号向仍向下跌幅011报收于2814期权隐含波动率上升080报收于1171期权持仓量PCR报收于086Z0015541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延续五个月以来的多头趋势方向震荡上行温和上涨本周以来加速上涨突破上行后高位震荡涨幅078报收于4241豆粕期权隐含波动率上升084报收于2461期权持仓量PCR小幅下降报收于175操作建议豆粕延续近期市场行情偏多头上行的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-425010SM2303-P-420010和SM2303-C-425010SM2303-C-4300103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000报收于7980期权隐含波动率小幅下降036至2938持仓量PCR快速下跌报收于080操作建议棕榈油P2302空头压力线下反弹回暖上升受阻回落短期趋势偏多中期趋势仍偏空头期权隐含波动率小幅下降持仓量PCR大幅下跌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或大跌则逐渐平仓离场如P2302SP2302-C-810010SP2302-C-800010和SP2302-P-790010SP2302-P-7800104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本周以来高位大幅波动涨幅040报收于5781期权隐含波动率下降007至1225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短期趋势方向上持续上涨突破上行而后高位回落大幅下跌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沿着多头趋势方向维持一个半月以来的震荡上行温和上涨涨幅018报收于14150棉花期权隐含波动率下降050报收于2089持仓量PCR窄幅波动报收于067操作建议棉花CF303延续一个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小幅盘整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SCF2303C14400SCF2303C14200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CC2303281400-300-01134909832MM230342410033000788183445PP23027980000000001791428SRSR23035781002300040197511369CFCF2303141500025000184393099RMRM230331270021000683711153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C23032820335040002814-700-025-050402023-02-07M23034250112001290042336850164-800402023-02-07P2302800014800140508008-2800-0352750112023-01-09SR230358006300890057743950069-700362023-02-03CF230314200272003270014145-5500-039-500362023-02-03RM2303315075501105031152500081-1200362023-02-03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MA20UPLOWC2303113412041171080109511541036M2303238625042461084205322191887P2302285930412938-036305531862924SR2303120512471225-007122112721171CF2303212820242089-050215022372063RM2303258826542615053246425462383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C230318982216871140408483972748086001M230319216325391690354916086207175-001P230245941357990780053538528259080-010SR230320717190510920046315137281059-002CF230323607140360590105008833541067002RM23031476910100068-0011280218221142004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310060300050290028160040280030270020260010250002022-08-222022-11-092022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-29图2豆粕主力合约走势图4600300成交量万收盘价440042320025042002004000380015036001003400503200300002022-08-092022-09-162022-11-012022-12-082022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-132022-12-162022-12-212022-12-262022-12-29图3白糖主力合约走势图620050成交量万收盘价6100456000403559005773003058002557002056001555001054005530002022-08-302022-11-172022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-29图4棉花主力合约走势图18600100成交量万收盘价90176008016600701560060141800050146004013600302012600101160002022-08-222022-11-092022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-29图5菜粕主力合约走势图成交量万收盘价1604400140400012010036003153008032006040280020240002022-09-022022-11-222022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-29图6棕榈油主力合约走势图10000180成交量万收盘价950016090001401208500100800080750060700040650020600002022-08-252022-11-142022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-29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2500060040020000200150000-20010000-400-6005000-8000-100024802920228023202360240024402480252025602600264026802720276028002840288029202960300030803160324033203400348022802320236024002440252025602600264026802720276028002840288029603000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200300028002600240022002022-07-222022-10-272022-11-302022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-29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2003200OIPCRCLOSE22180310020160300018161402900141202800121002816002700108080260006025002022-09-022022-06-282022-07-062022-07-142022-07-222022-08-012022-08-092022-08-172022-08-252022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292022-12-212022-07-082022-07-202022-08-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-06-28IMPVMA20UPLOW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2000015001800010001600050014000012000-50010000-10008000-15006000-20004000-25002000-30000-3500320041002750290030503200335035003650380039504100425044004550470048502750290030503350350036503800395042504400455047004850OIPOICOICHANGEPOICHANGEC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480044004000360032002022-07-222022-10-272022-11-302022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-29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3404232004400OIPCR4035300CLOSE4200302604000252022038001518036001014034002022-09-022022-06-282022-07-062022-07-142022-07-222022-08-012022-08-092022-08-172022-08-252022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292022-12-212022-07-082022-07-202022-08-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-06-28IMPVMA20UPLOW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140001000120008001000060080004006000200400002000-2000-4004800500052005400560058006000620064006600680048005000520054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-07-222022-10-272022-11-302022-06-282022-07-012022-07-062022-07-112022-07-142022-07-192022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-29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080OIPCR600020CLOSE07057730006058001505004056000301002054002022-09-022022-06-282022-07-062022-07-142022-07-222022-08-012022-08-092022-08-172022-08-252022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292022-12-212022-07-082022-07-202022-08-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-06-28IMPVMA20UPLOW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100005004008000300200600010004000-100-2002000-300-400-50016600166001780011400114001180012200126001300013400138001420014600150001540015800162001700017400182001860019000194001980020400212002200022800236000110001540015400212001100011000114001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