截至2023/1/6，豆粕期货2305合约收于3797元/吨，较上周(3936元/吨)下跌3.53%；从T型报价来看，行权价3900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3700看跌期权成交活跃，行权价3700看跌期权持仓集中度较高，标的价格在3600-4100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8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379717161913187M2305期价震荡档期权档期权-353-236-26600636004100波动率中性前期卖出看跌期权止盈持有卖出看跌期权参考行权价格玉米期权28869131132120C2303期价上行有限2740及以下22000608201327602920波动率中性持有卖出看涨期权参考行权价格卖出看涨期权参考行权价格5900及白糖期权566711671214067SR303期价震荡5900及以上以上-20112407200755005900波动率中性持有备兑看涨期权组合卖出虚值2-4如有期货多单可卖出看涨期权对冲棉花期权1436014851893061CF305期价震荡档期权卖出虚值2-4档070-004-0160021300015000波动率中性卖出看涨期权参考行权价格8500及如有期货多单可卖出看涨期权对冲棕榈油期权816031932909076P2305期价偏弱以上卖出虚值2-4档-213-006417-00775008800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2023年1月6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10854-388954528502925458000041969672000000-44590129002774458000088916200-47085129502757611000061621580-498801300026787130000672947200-523751530502588870000121011730210-558702310025189537500140241850-597653531502409105200001462510317641-28662832002317121400013196500100002180-676558532502234148667103034761101-941500533002173176190339080353060-77046753350209320333399521583430-8324243400206325524392483828425053-118037012433450199330510911302158948956-122933214843500196438554823865392049242-1416291150735501914470001109538049623-1440258516283600192661167294768772369341-17202215161036501945784004126735919501291-1766193516813700191294162940817841截至202316豆粕期货2305合约收于3797元吨2238969-18051681736375019531184895206158965629949-1803145517883800199714574118934305较上周3936元吨下跌353从T型报价来看行62792421-196112318013850201917381330432100116814554-191610551843390020352038275991222权价3900看涨期权成交活跃行权价3900看涨期权30811012-1855901879395021002399893681172持仓集中度较高行权价3700看跌期权成交活跃61042587-1882755189840002111273920523116631111998-198762519084050218131310021148900行权价3700看跌期权持仓集中度较高标的价格在30703449-17055351952410022523545104443947919791339-16044451971415022233918764965063600-4100运行为主33232386-137937520014200232943793914864110672419-70433206042502397481591896303441844340002852103430022485166616749812941920667242129435056456810031092426138920521624400611654012586319425001752194445065861300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震荡运行豆粕期价震荡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-HVHV30VIX4046004016364400351242003230840002825438002420036002015-4340016320010-81230005-12豆粕波动率指数回落目前处于中性偏低水平关注后市波动率变化实际波动率下降波动率价差有所收紧波动率微笑主力期权波动率微笑2319152023162023152023142023132022123020221229主力期权整体隐波水平下降波动率微笑轻度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52350592230005000101340012755923200500010549160000013253923400500010410001375192360050000155001424992380050000211140000014847924000500003390015545924200500002901200000162439244005000021450170419246005000039610000150179399248005000020119018837925001100003141615019935925200500003748000150211339254005000063417419231825600500005896000502402992580050000544902572792600110000175735312027825926200500001934400049030223926401520000241394120033021926601509152000049175920002100338199268014712300004273843227243418052700146832000012486703025903901602720134135000140838191574048114152740129941429241312051190104681232760126755000360698501815181400114278012077-17651855366837056181302955922280011499-28006051759624505491511809842820114413-2571185944534160765177066510452840116519-22452693569171271358191053104328601121245-257642836701截至202316玉米期货2303合约收于2886元吨2233250815944010052880115434-20002953586813983641016983110332900115344-19279141035较上周2824元吨上涨220从T型报价来看行2192963179523103929201150555-1778397265123320181786165104029401177695-152459142权价2900看涨期权成交活跃行权价2900看涨期权13972472150011510412960121585-132713521015011813307785107529801353104-9172124220732276233336109330001255-5280124持仓集中度较高行权价2800看跌期权成交活跃8667197166674122030401625-41302521063034000025131130802015-336035行权价2740看跌期权持仓集中度较高标的价格在884130200001513833120241-28204061255100001147231602855-08782545823000023200321-2130302760-2940运行为主28410000053240367-02720402772110000132804065-0372030176201000013320445-06710252430000053360481-1430154375000053400521-133030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震荡运行玉米期价偏强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有所上升目前在偏高水平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波动率指数回升目前处于中性偏低水平实际波动率上升波动率价差有所扩大关注后市波动率变化波动率微笑主力期权波动率微笑1513119752023162023152023142023132022123020221229主力期权整体隐波水平有所上升波动率微笑轻度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16000400-089667500018150500084425814390-1055675100155905000561725120007761-38145552001305050001612121491343-12036955300122515000125577148000777225-21627155400109335-222226885462633418-34917957885500106312-1111708929794000957794-4591049425600104434-6856092584131073726-11824859545700105479-36610484663078724482-18002051018580010781475-29658590475498358-27278108259001152234-14722071084703952-300035118160001501334075233821截至202316白糖期货2303合约收于5667元吨128182046-2000213246100169043104721061340121343500015150362005331040300较上周5783元吨下跌201从T型报价来看行23641278100001164063006330960112权价5900看涨期权成交活跃行权价6100看涨期权1870800000517066400733083025持仓集中度较高行权价5500看跌期权成交活跃24624210000518996500833073029行权价5300看跌期权持仓集中度较高标的价格在122884300005208766009330650455500-5900运行为主3277145600005227067001033058053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上升白糖期价回落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20161282023162023152023142023132022123020221229主力期权整体隐波水平变化不大波动率微笑偏中性关注市场情绪变化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11207530941120023989125044154261001462915114002320110001421556120001950153271711600222913-13331732169700161252011800212915-21052751434100001130166232512000204118-307730026661770181213312200200825-264760615931690199194412400197134-2444896170480002570215176012600194547-2295121122002500233158012800192765-20735881466600066111430143013000192090-17432007395617231144881268132001908121-16555343502245039863411231561134001916164-14583183894400012821044919611542136001915215-1400915225531661214578231580138001929280-12507602199200058844017157191692140001956360-1067267223627274537336151742142001987453-9944084110440010518235261797144002004554-99261681618832387064401817146002113692-62343303335518098363761875148002168825-561993571103837616103131898150002173953-657151263213894492727119681520023761142-2561095124425566022619951540024691307-2102110172615661119120361560026271493-060991截至202316棉花期货2305合约收于14360元120841145516120741580025691631-263643吨较上周14260元吨上涨070从T型报价来2900100538213621121600027541830-113312812484382631172161162001992-202047看行权价15000看涨期权成交活跃行权价150006111274171002203164002152-2846581231163-118842233166002359-183047看涨期权持仓集中度较高行权价13000看跌期权成1340270274752297168002547-1660565213590794682367170002736-158082交活跃行权价13000看跌期权持仓集中度较高标95334000562379172002927-151064836156000482413174003119-142077的价格在13000-15000运行为主1478135714452491176003313-134066102467000372500178003507-129049146988606352576180003702-12505675732690312618182003898-1190601281231154292683184004095-113070181859251304262726186004315-0552755