【基本面信息】
　　大豆：Mysteel农产品对全国主要油厂的调查情况显示，第1周（12月31日至1月6日）111家油厂大豆实际压榨量为199.15万吨，开机率为69%。本周油厂实际开机率低于预期，较预估低3.19万吨；较前一周实际压榨量减少0.65万吨。
　　白糖：截至12月底，广西累计产糖189.01万吨，同比增加11.53万吨；云南累计产糖22.84万吨，同比增加10.73万吨，国内甘蔗糖厂已进入压榨高峰。进口端，11月进口73万吨，同比增加10万吨，创同期历史新高，配额外进口利润有所修复但仍深度倒挂。
　　棕榈油：国内棕榈油正处于供需最弱的时刻，令国内棕榈油期价在跟随国际市场波动的同时，表现弱于国际市场。国内随着贸易商进口步伐放缓，国内棕榈油港口库存继续攀升的速度将出现明显放缓。

研究报告全文：农产品期权日报期权研究2023年1月10日星期二基本面信息大豆Mysteel农产品对全国主要油厂的调查情况显示第1周12月31日至1月6日111家油厂大豆实际压榨量为19915万吨开机率为69本周油厂实际开机率低于预期较预估低319万吨较前一周实际压榨量减少065万吨白糖截至12月底广西累计产糖18901万吨同比增加1153万吨云南累计产糖2284万吨同比增加1073万吨国内甘蔗糖厂已进入压榨高峰进口端11月进口73万吨同比增加10万吨创同期历卢品先史新高配额外进口利润有所修复但仍深度倒挂投研经理棕榈油国内棕榈油正处于供需最弱的时刻令国内棕榈油期价在跟随国际市场波动的同时表现弱0755-23375252于国际市场国内随着贸易商进口步伐放缓国内棕榈油港口库存继续攀升的速度将出现明显放缓lupxwkjyqhcom期权分析及操作建议从业资格号1玉米期权F3047321玉米C2303超跌反弹V型反转持续三周以来的多头上涨趋势昨日夜盘冲高回落跌幅087报收交易咨询号于2862期权隐含波动率上升006报收于1276期权持仓量PCR报收于115操作建议玉米C2303超Z0015541跌反弹V型反转连续三周偏多头上涨而中期趋势线方向仍向下形成短期偏多中期偏空的行情格局期权隐含波动率窄幅波动持仓量PCR大幅度上升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大跌则逐渐平仓离场如C2303SC2303-P-284010SC2303-P-286010和SC2303-C-2880010SC2303-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冲高回落连续报收阴线跌幅070报收于4106豆粕期权隐含波动率上升028报收于2271期权持仓量PCR小幅盘整报收于171操作建议豆粕多头趋势方向上高位回落形成短期偏空中期偏多的市场行情走势期权隐含波动率小幅波动期权持仓量PCR窄幅盘整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和方向性收益若市场行情急速大涨则逐渐平仓离场如M2303SM2303-P-405010SM2303-P-410010和SM2303-C-415010SM2303-C-4200103棕榈油期权棕榈油P2305前一周低位反弹连续报收阳线大幅上涨上周反弹上升受阻回落连续下行跌幅030报收于8008期权隐含波动率小幅下降046至3174持仓量PCR报收于062操作建议棕榈油P2305三角收敛市场行情形态上周以来反弹上升受阻回落延续前期的弱势偏空头市场行情期权隐含波动率窄幅波动持仓量PCR直线下降至较低水平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和方向性收益若市场行情快速大涨则逐渐平仓离场如P2305SP2305-C-810010SP2305-C-800010和SP2305-P-790010SP2305-P-8000104白糖期权白糖SR303上周以来高位回落连续报收阴线跌破21天均线和震荡区间下限跌幅011报收于5654期权隐含波动率下降034至1269期权持仓量PCR报收于061操作建议白糖SR2303上周以来连续报收大阴线大幅度下跌跌破盘整震荡区间下限而后低位弱势盘整震荡期权隐含波动率小幅波动期权持仓量PCR维持在较低水平构建卖出偏空头的看涨看跌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极速大涨则逐渐平仓离场如SR303SSR303-C-570010SSR303-C-580010和SSR303-P-560010SSR303-P-5500105棉花期权棉花CF303维持两个月以来沿着多头趋势方向震荡上行温和上涨涨幅056报收于14420棉花期权隐含波动率下降001报收于2121持仓量PCR小幅上升报收于072操作建议棉花CF303延续近两个月以来的震荡上行温和上涨上周以来涨幅有所收窄市场行情表现为短期偏多头的市场行情格局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跌则逐渐平仓离场如CF2303SCF2303P14400SCF2303P14200和SCF2303C14800SCF2303C14600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CC2303286200-2500-08730678857MM2303410600-2900-07012115009PP2305800800-2400-030971478040SRSR2303565400-600-01116719457CFCF2303144200080000564263060RMRM2303312200-3300-1055081602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C230328605100240028871000032500292023-02-07M2303410011000695041419000223450292023-02-07P2305800047450475008000-17400-213-850912023-04-10SR23035700440077505667-300-0051250252023-02-03CF2303144002440027900143653300023-5500252023-02-03RM23033100103004950315419500623150252023-02-03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MA20UPLOWC2303122913281276006114012071074M2303234421822271028216423831945P2305321531223174-046303931962882SR2303135711681269-034121512601170CF2303215820482121-001217422372112RM2303249026132543033250726372377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C23032198020104091-0428136893527115002M23032115917390082-0405423492841171-008P230576786046079-0212460715284062000SR230325686223340870176160537757061-000CF23033127915607050-0135570340266072002RM23031879014234076-0071402123844170-002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3000602950成交量万收盘价289000290050285040280027503027002650202600102550250002022-08-302022-11-172022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-09图2豆粕主力合约走势图4600200成交量万收盘价1804400160414200420014012040001008038006036004020340002022-08-172022-09-262022-11-092022-12-162022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-212022-12-262022-12-292023-01-042023-01-09图3白糖主力合约走势图590050成交量万收盘价5800405667005700305600205500540010530002022-09-072022-11-252022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-09图4棉花主力合约走势图17600100成交量万收盘价16600801560014390006014600401360012600201160002022-08-302022-11-172022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-09图5菜粕主力合约走势图3600成交量万收盘价1203400100315200320080300060280040260020240002022-09-132022-11-302022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-09图6棕榈油主力合约走势图9000180成交量万收盘价8500150120800090750060700030650002022-09-022022-11-222022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-09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25000120010002000080060015000400200100000-2005000-400-6000-80032402280232023602400244024802520256026002640268027202760280028402880292029603000308031603240332034003480228023202360240024402480252025602600264026802720276028002840288029202960300030803160332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-08-012022-11-042022-12-082022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-09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2003000OIPCRCLOSE22295018020290018160285016140289000280027501412027001210026501026008080255006025002022-09-132022-07-062022-07-142022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092022-12-292022-07-182022-07-282022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-07-06IMPVMA20UPLOW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2000080018000600160001400040012000100002008000060004000-20020000-400455029003050320033503500365038003950410042504400455047004850500029003050320033503500365038003950410042504400470048505000OIPOICOICHANGEPOICHANGEC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480044004000360032002022-08-012022-11-042022-12-082022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-09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340440040OIPCR41420035300CLOSE4200302604000252022038001518036001014034002022-09-132022-07-062022-07-142022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092022-12-292022-07-182022-07-282022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-07-06IMPVMA20UPLOW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6800660064006200600058005600540052002022-08-012022-11-042022-12-082022-07-062022-07-112022-07-142022-07-192022-07-222022-07-272022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-09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080OIPCR590020CLOSE0705800185667000601657000501456000401203055001002054002022-09-132022-07-062022-07-142022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092022-12-292022-07-182022-07-282022-08-092022-08-192022-08-312022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-07-06IMPVMA20UPLOW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1200080060010000400800020006000-2004000-400-6002000-800-1000118001180020400114001140012200126001300013400138001420014600150001540015800162001660017000174001780018200186001900019400198002120022000228002360001100015400154002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