【基本面信息】
　　大豆：美国农业部数据显示，截至2022年12月29日当周，美国大豆出口检验量为1462882吨，前一周修正后为1774899吨，初值为1753085吨。本作物年度迄今，美国大豆出口检验量累计为28617907吨，上一年度同期30794290吨。
　　白糖：2022/23榨季截至12月底，预计印度食糖总出口量约为150万吨。11月食糖出口量约为60万吨，糖厂已经签订了大约500万吨的出口合同。受预期巴西食糖产量增长的影响，咨询公司Datagro将2022/23榨季全球食糖供应过剩量的预测值再次调增至476万吨，之前预测的数值为202万吨。
　　棕榈油：印尼政策自2月1日起开始强制执行B35生物柴油计划，然后将国内市场义务（DMO）的出口配套系数下降，两项政策均导致印尼可供出口的棕榈油额度或下降，推动棕榈油价格大涨，短期市场受该政策影响，价格或偏强运行

研究报告全文：农产品期权日报期权研究2023年1月5日星期四基本面信息大豆美国农业部数据显示截至2022年12月29日当周美国大豆出口检验量为1462882吨前一周修正后为1774899吨初值为1753085吨本作物年度迄今美国大豆出口检验量累计为28617907吨上一年度同期30794290吨白糖202223榨季截至12月底预计印度食糖总出口量约为150万吨11月食糖出口量约为60万吨糖厂已经签订了大约500万吨的出口合同受预期巴西食糖产量增长的影响咨询公司Datagro将202223卢品先榨季全球食糖供应过剩量的预测值再次调增至476万吨之前预测的数值为202万吨投研经理棕榈油印尼政策自2月1日起开始强制执行B35生物柴油计划然后将国内市场义务DMO的出口配0755-23375252套系数下降两项政策均导致印尼可供出口的棕榈油额度或下降推动棕榈油价格大涨短期市场受该政lupxwkjyqhcom策影响价格或偏强运行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前期高位回落后连续三周以来的空头弱势下行上周以来超跌反弹V型反转持续上涨回Z0015541暖上升形成上方有压力的短期偏多头市场行情涨幅063报收于2881期权隐含波动率上升057报收于1223期权持仓量PCR报收于101操作建议玉米C2303超跌反弹持续上涨回暖上升形成上方有压力的短期偏多头市场行情格局期权隐含波动率窄幅波动持仓量PCR小幅盘整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急速大跌则逐渐平仓离场如C2303SC2303-P-288010SC2303-P-290010和SC2303-C-292010SC2303-C-2900102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上周以来加速上涨突破上行后高位震荡回落跌幅101报收于4218豆粕期权隐含波动率下降188报收于2360期权持仓量PCR小幅盘整报收于189操作建议豆粕延续多头趋势方向上高位盘整期权隐含波动率小幅波动期权持仓量PCR有所上涨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-4300103棕榈油期权棕榈油P2302上周低位反弹连续上涨受阻于上方空头趋势压力回落而后形成近一周以来围绕55天均线附近区间波动跌幅116报收于7984期权隐含波动率小幅上升123至2915持仓量PCR报收于086操作建议棕榈油P2302宽幅矩形区间盘整震荡期权隐含波动率小幅上升持仓量PCR持续上涨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-800010SP2302-P-7900104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回落连续报收阴线跌破21天均线跌幅082报收于5672期权隐含波动率上升018至1246期权持仓量PCR报收于063操作建议白糖SR2303高位震荡后连续大幅下跌形成短期弱势的行情趋势趋势线方向仍向上期权隐含波动率小幅上升期权持仓量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-570010SSR303-C-580010和SSR303-P-550010SSR303-P-5600105棉花期权棉花CF303沿着多头趋势方向维持两个月以来的震荡上行温和上涨跌幅018报收于14255棉花期权隐含波动率上升027报收于2145持仓量PCR窄幅波动报收于068操作建议棉花CF303延续两个月以来的震荡上行温和上涨5天均线10天均线21天均线和55天均线呈现多头排列棉花期权隐含波动率小幅上涨持仓量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CF2303SCF2303P14200SCF2303P14400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CC23032881001800063489214007MM2303421800-4300-10112125166PP2302798400-9400-1161851494SRSR2303567200-4700-082286116362CFCF23031425500-2500-0183442457RMRM2303314900-2900-0916251984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C230328803350420028723600127-950342023-02-07M230342001270091504236-7000-1631750342023-02-07P230280001430061008082-4250-052980052023-01-09SR23035700665068505698-8550-1482600302023-02-03CF230314200322002500014272-5000-0351700302023-02-03RM23033150900078503162-3750-1171250302023-02-03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MA20UPLOWC2303115312961223057112211671077M2303232123912360-188213523511918P2302304627602915123303031692891SR2303128112001246018121012491172CF2303222721452195077216422372091RM2303250126302559-242249926282369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C23034400241766095-0118305983990101010M230323930301961260464908892913189-000P230242272357870850013544130624086-001SR23032864822230078-0036182939039063002CF230323934154130640105306136220068002RM2303124349966080-0101178022214189002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3000702950成交量万收盘价28750060290028505028004027502700302650202600102550250002022-08-252022-11-142022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04图2豆粕主力合约走势图4600200成交量万收盘价440042350018016042001404000120380010036008060340040320020300002022-08-122022-09-212022-11-042022-12-132022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-162022-12-212022-12-262022-12-292023-01-04图3白糖主力合约走势图590050成交量万收盘价5800569800405700305600205500540010530002022-09-022022-11-222022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04图4棉花主力合约走势图18600100成交量万收盘价1760080166001560060143050014600401360020126001160002022-08-252022-11-142022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04图5菜粕主力合约走势图3600成交量万收盘价1203400100318400320080300060280040260020240002022-09-072022-11-252022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04图6棕榈油主力合约走势图9500180成交量万收盘价900015085001208000907500607000650030600002022-08-302022-11-172022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04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2500040003000200002000150001000010000-1000-20005000-30000-400024802920228023202360240024402480252025602600264026802720276028002840288029202960300030803160324033203400348022802320236024002440252025602600264026802720276028002840288029603000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200300028002600240022002022-07-272022-11-012022-12-052022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04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2003200OIPCRCLOSE22180310020160300018161402900141202800122875001002700108080260006025002022-09-072022-07-012022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-08-302022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042022-12-262022-07-132022-07-252022-08-042022-08-162022-08-262022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-07-01IMPVMA20UPLOW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2000015001800010001600014000500120001000008000-50060004000-100020000-1500320041002750290030503200335035003650380039504100425044004550470048502750290030503350350036503800395042504400455047004850OIPOICOICHANGEPOICHANGEC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480044004000360032002022-07-272022-11-012022-12-052022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04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3404235004400OIPCR4035300CLOSE4200302604000252022038001518036001014034002022-09-072022-07-012022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-08-302022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042022-12-262022-07-132022-07-252022-08-042022-08-162022-08-262022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-07-01IMPVMA20UPLOW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1600060014000400120002001000008000-2006000-40040002000-6000-8004800500052005400560058006000620064006600680048005000520054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-07-272022-11-012022-12-052022-07-012022-07-062022-07-112022-07-142022-07-192022-07-222022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-04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080OIPCR600020CLOSE07006056980058001505004056000301002054002022-09-072022-07-012022-07-112022-07-192022-07-272022-08-042022-08-122022-08-222022-08-302022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042022-12-262022-07-132022-07-252022-08-042022-08-162022-08-262022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-07-01IMPVMA20UPLOW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1000080060080004006000200400002000-200-400166001660017800114001140011800122001260013000134001380014200146001500015400158001620017000174001820018600190001940019800204002120022000228002360001100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