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。
　　截至2022/12/30，豆粕期货2305合约收于3936元/吨，较上周(3788元/吨)上涨3.91%；从T型报价来看，行权价4300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3750看跌期权成交活跃，行权价3750看跌期权持仓集中度较高，标的价格在3600-4200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2023年1月2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393619522179181M2305期价有支撑档期权档期权391092353-00336004200波动率中性持有卖出看跌期权参考行权价格卖出看跌期权参考行权价格2740及玉米期权2824907105107C2303期价震荡2740及以下以下262164070-00327402920波动率中性卖出看涨期权参考行权价格5900及前期卖出看跌期权逐步止盈白糖期权578310431142061SR303期价震荡以上010118008-00355005900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1426014891909059CF305期价震荡卖出虚值2-4档卖出虚值2-4档252-3410250011300015000波动率中性如有期货多单可卖出看涨期权对冲观望棕榈油期权833831992492083P2305期价偏强卖出虚值2-4档962141-38701675009000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30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8999123110405285031064580000234681920000003219982900296245800005948200338948295028695400002357258035889830002771552666715128972003738485305027076516000109811547210397799531002663812857128218950416750531502575963643425193176404387025320025301146675116303100002180471655532502468132381103833601100500609330024471651379111774813190533563533502388195-2507441454337056051934002369245-577138774062391194549234502327295-13245591113438401357464515703500227535-1954366356290498481484425517483550227444-1927473157235321641559385518023600222752-229650537656229611514883435177036502264665-193981665151657216159530918343700223879-210011422811截至20221230豆粕期货2305合约收于3936元272651518012785191037502202925-225971329837600386020192501970380022541145-190837633366吨较上周3788元吨上涨391从T型报价来看582411842164222199938502256135-184390333891175329942264195200939002249157-18237961742行权价4300看涨期权成交活跃行权价3900看涨期29011563221016851995395022721835-1678448927权持仓集中度较高行权价3750看跌期权成交活跃4720321522691462001400022872115-159023412032341146524511272022405023022415-1496200574行权价3750看跌期权持仓集中度较高标的价格在2135228728321112053410023172735-1426182424124211472789942046415023353075-1350583703600-4200运行为主2850236828237952046420023843455-12315672911711028307768206342502503390-10031230054504736372159209543002461424-107427503493114305647205643504915-50200852757423742211444005345-47200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震荡运行豆粕期价偏强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豆粕波动率指数回升目前处于中性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扩大波动率微笑主力期权波动率微笑231915202212302022122920221228202212272022122620221223主力期权整体隐波水平上升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171213528230005000013400080501232005000056920000000844812340050000410000884612360050000155180000009244123800500002110009642124000500003391600000101401242005000029000106381244005000021414000501123612460050000396150119341248005000033812000190126321250015200001115131501353012520152000016426100001501442812540050000766190156261256005000065680008016924125801642254000046648901842212600146623000030481806000120203201262014162540000371974400049022518152640135332000018177712292521625266012803513333232135920002122717149526801232455000533332422835761285270012246544441508636902591045291095272011838513331273269415859035119252740113911000102111417164583820574527601138155-31340708002797820169607752780109920-111120102371368311643194858532800109827-100026265381189230612743758772820113837-6332301388849471955-17927587428401121465-88215702578839932202442191528601159595-63018653480截至20221230玉米期货2303合约收于2824元246315210001592428801219745-44945314311853821699521159712900126390-3744822188吨较上周2752元吨上涨262从T型报价来看161886614298980292013821085-136225541264470200061018294014321255-157100323行权价2860看涨期权成交活跃行权价3000看涨期1297586666751084296015001435-1716823421061161100004113429801660164-06110223521376281520000311633000179618400039133权持仓集中度较高行权价2760看跌期权成交活跃8850416500003136430402195-17902515178630000214413080259-152035行权价2740看跌期权持仓集中度较高标的价格在7860000053120299-1320405450000053160339-1170254680000053200379-1040302740-2920运行为主2660000053240419-0950402710000053280459-08603038432000053320499-0800252435000053360539-07401542241000013400579-069030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震荡运行玉米期价回升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波动率指数弱势运行目前处于中性偏低水平实际波动率上升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1311975202212302022122920221228202212272022122620221223主力期权整体隐波水平有所上升波动率微笑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160004003037815000110000792765439035068151001629050002917311200077334421582520015301000345205168015664855530012921-50006347273800063794884394995540012553-40002036526360578104329659775500119475-318229293767400092314610742018625600116619-2083238261402658121512841239265700108739-24273681396808167293413276493658001057785-203014841008630639981509305988590011221445-139982682981895682130413103060001136223-1186103844截至20221230白糖期货2303合约收于5783元13000527100051065610015143245-635776054939127500025116262004205-52966220吨较上周5777元吨上涨010从T型报价来看2922532500015128163005195-4240113行权价6000看涨期权成交活跃行权价6100看涨期312820200001514836400619-358025权持仓集中度较高行权价5700看跌期权成交活跃40692310000115916500719-310029行权价5300看跌期权持仓集中度较高标的价格在1801411000016600819-2730455500-5900运行为主33022000056700919-244053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波动率指数弱势运行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16128202212302022122920221228202212272022122620221223主力期权整体隐波水平变化不大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30196301011200238913444416606065100211281211400221212-7693651411120001950223261511600216716-11113462028710237242011800213622-8331831177100001130253222812000204626-187596525571771217202712200204738-136438014001750289185312400201751-1500262148680002580321167312600198968-150046219192560352149912800197792-13213431391600070322801320130001975124-1206176245661823118611501045132001979165-10819293330266515970210521544134001987216-9243693759400014201317079091582136001991276-891274159631803276577791615138002002348-9141731963200056745436566661658140001987424-1092531190026281628495751729142002033528-897102403049404178464871764144002055636-87517231817354037074091791146002102762-8083321814113077433471837148002163901-692492089835198469129418801500021791036-742321129901796412491922152001224-41505513311356532121968154001388-36809217803205231812014156001558-3413036截至20221230棉花期货2305合约收于14260元13052493381532050158001734-3023022吨较上周13910元吨上涨252从T型报价来376928335431362121160001913-27901038938581791142147162002097-247047看行权价16000看涨期权成交活跃行权价1500041328-619912142164002263-308458996134000872248166002449-2931247看涨期权持仓集中度较高行权价13000看跌期权成970126000762294168002660-1920564669303149682351170002847-1934082交活跃行权价13000看跌期权持仓集中度较高标916202-167592388172003043-168064873199-556512422174003237-155077的价格在13000-15000运行为主1493245213482498176003432-1440661014198000432545178003626-139049146890-513372570180003822-132056829831143392695182004018-125060112292581392791184004215-117070166652258000292735186004411-117055