【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%。
　　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：马来西亚棕榈油局(MPOB)公布的供需数据显示，12月底马来西亚棕榈油库存为219.5万吨，环比降低4.09%；12月份马来西亚棕榈油产量为161.9万吨，环比降低3.68%；12月份棕榈油出口量为146.8万吨，环比降低3.48%。
　　

研究报告全文：农产品期权日报期权研究2023年1月11日星期三基本面信息大豆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10万吨创同期历史新高配额外进口利润有所修复但仍深度倒挂卢品先棕榈油马来西亚棕榈油局MPOB公布的供需数据显示12月底马来西亚棕榈油库存为2195万吨投研经理环比降低40912月份马来西亚棕榈油产量为1619万吨环比降低36812月份棕榈油出口量为14680755-23375252万吨环比降低348lupxwkjyqhcom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高位震荡有所回落跌幅042交易咨询号报收于2859期权隐含波动率下降059报收于1217期权持仓量PCR报收于118操作建议玉米Z0015541C2303超跌反弹V型反转连续三周偏多头上涨上方有前期高点压力且中期趋势线方向向下形成短期偏多中期偏空的市场行情格局期权隐含波动率窄幅波动持仓量PCR小幅盘整震荡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-288010SC2303-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本周以来延续弱势偏空头涨幅024报收于4127豆粕期权隐含波动率下降009报收于2261期权持仓量PCR小幅盘整报收于177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-400010和SM2303-C-415010SM2303-C-4100103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弱势下行本周以来加速下跌跌幅073报收于7838期权隐含波动率小幅上升117至3291持仓量PCR报收于059操作建议棕榈油P2305上周上升受阻回落后连续弱势偏空头本周以来加速下跌先后跌破21天均线和55天均线市场行情较为弱势偏空头期权隐含波动率窄幅波动持仓量PCR维持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-P-770010SP2305-P-780010和SP2305-C-790010SP2305-C-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037报收于5627期权隐含波动率上升005至1264期权持仓量PCR报收于058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形成短期偏空头市场行情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-P-550010SSR303-P-560010和SSR303-C-560010SSR303-C-5700105棉花期权棉花CF303沿着多头趋势方向维持两个多月以来震荡上行温和上涨涨幅021报收于14425棉花期权隐含波动率下降014报收于2107持仓量PCR小幅上升报收于074操作建议棉花CF303延续近两个月以来的震荡上行温和上涨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CC2303285900-1200-042381910968MM230341270010000248563526PP2305783800-5800-073843366594SRSR2303562700-2100-037183310356CFCF2303144350030000214903530RMRM230331580021000674441392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C23032860390027502872-1650-0571250282023-02-07M230341506300112504101-3850-093-2650282023-02-07P2305780045750458007800-20000-250-3850902023-04-10SR23035600720043005629-3750-066200242023-02-03CF2303144002440023200144124700033-2300242023-02-03RM23033150650072003143-900-029-1500242023-02-03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MA20UPLOWC2303114712701217-059114612141079M2303236621712261-009217223921953P2305344031193291117303231742891SR2303139411251274005122112661175CF2303213820572107-014216822292106RM2303245125252491-052250626362376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C230322652302261330428013894806118003M230318624214791150335367695018177006P230512107103890860072753916131059-004SR23032342618813080-0076342236888058-003CF230340063249760620125774042556074001RM230315489176721140381450524365168-002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300060成交量万收盘价2950287400290050285040280027503027002650202600102550250002022-08-312022-11-182022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-10图2豆粕主力合约走势图4600200成交量万收盘价1804400160420041000014012040001008038006036004020340002022-08-182022-09-272022-11-102022-12-192022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-222022-12-272022-12-302023-01-052023-01-10图3白糖主力合约走势图590050成交量万收盘价5800405700562600305600205500540010530002022-09-082022-11-282022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-10图4棉花主力合约走势图17600100成交量万收盘价16600801560014445006014600401360012600201160002022-08-312022-11-182022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-10图5菜粕主力合约走势图3600成交量万收盘价1203400100313800320080300060280040260020240002022-09-142022-12-012022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-10图6棕榈油主力合约走势图9000180成交量万收盘价8500150120800090750060700030650002022-09-052022-11-232022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-022022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-10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25000120010002000080060040015000200010000-200-4005000-600-8000-100024802920228023202360240024402480252025602600264026802720276028002840288029202960300030803160324033203400348022802320236024002440252025602600264026802720276028002840288029603000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-08-022022-11-072022-12-092022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-10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2003000OIPCRCLOSE22295018020290018160285016140287400280027501412027001210026501026008080255006025002022-09-142022-07-072022-07-152022-07-252022-08-022022-08-102022-08-182022-08-262022-09-052022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102022-12-302022-07-192022-07-292022-08-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-07-07IMPVMA20UPLOW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200008001800060016000140004001200020010000800006000-2004000-40020000-600455029003050320033503500365038003950410042504400455047004850500029003050320033503500365038003950410042504400470048505000OIPOICOICHANGEPOICHANGEC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480044004000360032002022-08-022022-11-072022-12-092022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-10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3404400OIPCR4041000035300CLOSE4200302604000252022038001518036001014034002022-09-142022-07-072022-07-152022-07-252022-08-022022-08-102022-08-182022-08-262022-09-052022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102022-12-302022-07-192022-07-292022-08-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-07-07IMPVMA20UPLOW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14000100012000800600100004008000200600004000-2002000-4000-6004800500052005400560058006000620064006600680048005000520054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-08-022022-11-072022-12-092022-07-072022-07-122022-07-152022-07-202022-07-252022-07-282022-08-052022-08-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-10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080OIPCR590020CLOSE0705800180601656260057000501456000401203055001002054002022-09-142022-07-072022-07-152022-07-252022-08-022022-08-102022-08-182022-08-262022-09-052022-09-222022-09-302022-10-172022-10-252022-11-022022-11-102022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102022-12-302022-07-192022-07-292022-08-102022-08-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-07-07IMPVMA20UPLOW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10000100080080006006000400200400002000-200-400236002360011400114001180012200126001300013400138001420014600150001540015800162001660017000174001780018200186001900019400198002040021200220002280001100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