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

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15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391616431984197M2305期价偏强档期权档期权313-07407100936004100波动率中性卖出看涨期权参考行权价格前期卖出看跌期权止盈玉米期权28778721073129C2303期价上行有限2920及以上-031-041-05900927602940波动率中性前期卖出看涨期权逐步止盈持有卖出看涨期权参考行权价格白糖期权56049531096067SR303期价震荡5900及以上-111-214-118-00155005900波动率中性如有期货多单可买入看跌期权对冲持有备兑看涨期权组合卖出虚值2-4棉花期权144051439199065CF305期价震荡参考行权价格14200及以下档期权031-0470970041350015000波动率中性前期卖出看涨期权逐步止盈卖出看涨期权参考行权价格8500及棕榈油期权775026662973060P2305期价震荡以上-502-527064-01670008500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13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108041810462850310235000067701720000004409962900287825400003716622004659462950280935000010553580492896300027283560000155290620052284630502689453500097111304210550796310025875150002592558505887473150251861000061751031764061669832002469756667833923010000218065664953250237385214311833333110339158533002343111000247996373063571546533502246125-13791416192033911635502534002195155-2051237810243235799047234502124185-3019602187141338126343713933500207623-3429159873540261751277393150935502029285-366710315428306451286351158136002010365-3652316674682523611125306515283650200647-347273385461706399117527116183700197558-3483327518815截至2023113豆粕期货2305合约收于3916元22987181368241172937501967725-331823631722356766741386209517583800199692-295026256138吨较上周3797元吨上涨313从T型报价来看584012831509183181338501994112-277485924901231629651544157183239002038138-241812721630行权价3900看涨期权成交活跃行权价3900看涨期274420691688135186539502059165-21991861373权持仓集中度较高行权价3700看跌期权成交活跃5749183615901131862400021071965-1914909126335066401472935185740502138229-17331191708行权价3700看跌期权持仓集中度较高标的价格在40371651191281191541002188265-15472064841803585250070196741502212301-1437275083600-4100运行为主4217162529355952000420025153575-857054712681328333350202342502323382-1168425448732585433343206743002730446-611124001368144654173721084350482-7130043232843615431521404400526-67401463119048333275218844505715-63100期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose32460028460028440024440042004200242040004000201638003800161236003600120834003400083200043200043000003000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近期看跌期权成交占比在中性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-HVHV30VIX364600401644003235124200308284000254243800200360020340015-416320010-81230005-12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扩大波动率微笑主力期权波动率微笑2319152023113202311220231112023110202319202316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2玉米期权9T型报价T型报价期权持仓量分布看涨期权C2305DCE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211395122360050000365001654932380152000022256200000017247324002300001454700180453242005000028718000001884332440050000220001984132460050000253160000020839324800500001750021937325000500007651400000232353252005000032200246333254005000036412000002623132560050000455002802935258014905400001278821000000301274260014686300001222780010304254526201384614000341176380003032923552640132665625029688733035821726601309845456911530600081039219926801281953571486136740005550372181270012601152105147763367641698168527201227135385816200120004670461147527401185155-606942693782904761322760117119-952176114519034004931172780117824-94351112463175259-0519756432800116629-12122340177536983391768657642820117936-111134075936383643204758162840121145-722556848738653223976558732860118752-1034637439419922492805588528801211625-876130814526420856-444438462900121773-87591919204043278-667358552920123485-811134563截至2023113玉米期货2303合约收于2877元7839438-6452988029401207955-99112033393081551-78423589429601200108-1000102426吨较上周2886元吨下跌031从T型报价来看4996496-73219909298013551295-44304538844765-3031694230001323142-59635113行权价2960看涨期权成交活跃行权价2960看涨期4275160100010597630401363174-595216047551929250075103530802135-317020316080142865107031202505-291012权持仓集中度较高行权价2800看跌期权成交活跃80253750035111531602885-27001610880000199932003275-238014行权价2800看跌期权持仓集中度较高标的价格在728133300002122732403675-2130143850000053280407-1930273820000053320447-1760362760-2940运行为主3850000053360487-1620434010000053400525-1871540176201000013320445-06710252430000053360481-1430154375000053400521-133030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上升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回落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变化不大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1513119752023113202311220231112023110202319202316主力期权整体隐波水平有所下降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SR305CZC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1200030-3376305000108211000034653893600-3985305510010182333317231824030-4734335520099551111282339628000603171-66433759255300995125870415210540761278-871251593454001012285140016626531640204-1050179966550010355651649935376340001284310-1014124102256001064991512545204128301139-115480510455700109715612645091484049042765-15384951063580011042238521965602246983-125031511135900115730476127341449692196-19571851137600012273925637315625截至2023113白糖期货2303合约收于5604元48992559-2069115118461001290484552127657038172924-210575124162005763780506吨较上周5667元吨下跌111从T型报价来看77782279-23085129863006735330013行权价5800看涨期权成交活跃行权价6500看涨期48551514-222235136164007715287031权持仓集中度较高行权价5300看跌期权成交活跃15577175433334152865008705253088行权价5300看跌期权持仓集中度较高标的价格在5500-5900运行为主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上升白糖期价走弱近期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-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下降波动率价差有所扩大波动率微笑主力期权波动率微笑20161282023113202311220231112023110202319202316主力期权整体隐波水平有所下降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10-03831451120025591011115545764100-041294611400240410-9092281739140001950-043274811600228511-15381842179700-047255111800216112-29411881542120001110-055235512000210716-2381143825181770-055216212200203020-25939031675100001690-061197012400199728-2000178817292570-061178312600199041-12771525198480002500-062160112800195055-1406118914536602307147913000193276-126424844374600017230-0711259132001951109-840142634242447261891131134001936145-994149446874000135018237310011648136001927191-10751397281231601903718661707138001961257-91918872634200061526462927401740140001989334-8741642360728183942766331792142002001419-93181811040414316622675391841144002077533-649700122223198573134611900146002127652-564264537672428772363911946148002225794-3641624751300269336483452044150002247925-415914873990374003627720221520023171077-349672791565107700023520691540025511276016121353190187320120321321560025381419-125481截至2023113棉花期货2305合约收于14405元1331154405817221731580029851674410256吨较上周14360元吨上涨031从T型报价来315924182071482226160001780-00611148177415531601272273162001973066047看行权价15000看涨期权成交活跃行权价1500096099118910823121640021550650601341188440952371166002338056047看涨期权持仓集中度较高行权价13000看跌期权成12429089785243916800252605605656361206909722467170002713052082交活跃行权价13000看跌期权持仓集中度较高标965598626325151720029040450648951451000552558174003096045077的价格在13500-15000运行为主1687931395492611176003288040066105175541392602178003482037049141913112503626691800036770350569451751071312698182003872031060146619616672827501840040690300701942512661429242774186004266028055