【基本面信息】
　　玉米：产量：USDA下调22/23年全球玉米产量593万吨至11.56亿吨，环比-0.51%。消费量：饲料消费较12月报告下调230万吨至7.33亿吨，环比-0.31%。全球玉米需求量下调508万吨至11.65亿吨，环比-0.43%。
　　大豆：产量：USDA下调22/23年全球大豆产量316万吨至3.88亿吨，环比-0.81%。消费量：全球大豆需求量较12月报告下调139万吨至3.79亿吨，环比-0.36%。
　　白糖：截至12月底，本制糖期全国共生产325吨，同比增加47万吨，加之进口供应仍阶段性施压，限制糖价走势。

研究报告全文：农产品期权日报期权研究2023年1月18日星期三基本面信息玉米产量USDA下调2223年全球玉米产量593万吨至1156亿吨环比-051消费量饲料消费较12月报告下调230万吨至733亿吨环比-031全球玉米需求量下调508万吨至1165亿吨环比-043大豆产量USDA下调2223年全球大豆产量316万吨至388亿吨环比-081消费量全球大豆需求量较12月报告下调139万吨至379亿吨环比-036白糖截至12月底本制糖期全国共生产325吨同比增加47万吨加之进口供应仍阶段性施压限制糖价走势卢品先投研经理期权分析及操作建议0755-233752521玉米期权lupxwkjyqhcom玉米C2303超跌反弹V型反转持续三周以来的多头上涨趋势而后维持一周多以来的高位盘整震荡涨幅032报收于2893期权隐含波动率上升086报收于1367期权持仓量PCR报收于119操作建议玉米C2303经从业资格号过前期三周以来的多头上涨而后延续一周多以来的高位盘整震荡而中期趋势线方向向下形成短期偏多中期偏F3047321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交易咨询号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-288010Z0015541SC2303-P-286010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前一周冲高回落连续报收阴线上周以来止跌反弹逐渐回暖延续偏多头市场行情涨幅019报收于4274豆粕期权隐含波动率上升085报收于2414期权持仓量PCR小幅上升报收于192操作建议豆粕前周高位回落连续弱势下跌后止跌反弹回暖上升延续前期的偏多头市场行情形态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急速大跌则逐渐平仓离场如M2303SM2303-P-425010SM2303-P-420010和SM2303-C-425010SM2303-C-4300103棕榈油期权棕榈油P2305前一周反弹上升受阻回落连续弱势下行上周以来加速下跌后低位弱势盘整震荡跌幅010报收于7754期权隐含波动率小幅下降008至3302持仓量PCR报收于055操作建议棕榈油P2305前周上升受阻回落后连续弱势偏空头上周以来加速下跌先后跌破21天均线和55天均线而后形成低位弱势盘整区间震荡的市场行情形态期权隐含波动率小幅下降仍维持较高水平持仓量PCR窄幅波动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-760010和SP2305-C-790010SP2305-C-7800104白糖期权白糖SR303经过近两周以来的持续弱势空头下行后逐渐形成上方有压力的弱势震荡市场行情格局涨幅032报收于5650期权隐含波动率下降009至1541期权持仓量PCR报收于049操作建议白糖SR2303上方有压力的弱势偏空头市场行情期权隐含波动率小幅下降期权持仓量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-570010SSR303-C-5800105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近两周以来涨幅有所收窄宽幅矩形区间盘整涨幅032报收于14425棉花期权隐含波动率上升166报收于2334持仓量PCR小幅上升报收于082操作建议棉花CF303延续近两周以来的偏多头市场行情的宽幅矩形区间盘整震荡棉花期权隐含波动率小幅波动持仓量PCR小幅上升至080以上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CF2303SCF2303P14000SCF2303P14200和SCF2303C14400SCF2303C14600操作提醒临近春节长假注意仓位管控或清仓离场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CC2303289300100003529968637MM23034274008000198683702PP2305775400-800-010606747101SRSR2303565000180003217579896CFCF2303144250075000523112231RMRM230332470041001286382046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C23032900210039502882200007-1150212023-02-07M23034250860064004272150004-200212023-02-07P23057800424504595077654000051100832023-04-10SR23035700275090505637850015-1300172023-02-03CF2303144001980022400143747600053-5100172023-02-03RM230332505450740032312650083-1650172023-02-03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MA20UPLOWC2303127214581367086118712751100M2303237924402414085226224532071P2305338231743302-008306332352891SR2303164613131541-009127713801174CF2303231223532334166214722142080RM2303277627902783114255326872419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C23031373614474105-0147825492784119-001M230323816327261370415100797923192004P230566984200063-0193363418406055-003SR230338171175350460106667132920049-000CF230319531233541200215513245473082000RM230321306184970870301494127525184-004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288400290050285040280027503027002650202600102550250002022-09-072022-11-252022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-17图2豆粕主力合约走势图4600200成交量万收盘价1804272004400160420014012040001008038006036004020340002022-08-252022-10-112022-11-172022-12-262022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-292023-01-042023-01-092023-01-122023-01-17图3白糖主力合约走势图590050成交量万收盘价5800405700563400305600205500540010530002022-09-162022-12-052022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-17图4棉花主力合约走势图16100100成交量万收盘价15600151008014375001460060141001360040131001260020121001160002022-09-072022-11-252022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-17图5菜粕主力合约走势图3600成交量万收盘价1203400100320100320080300060280040260020240002022-09-212022-12-082022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-17图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-09-132022-11-302022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-17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2500020001500200001000150005001000005000-5000-100024802920228023202360240024402480252025602600264026802720276028002840288029202960300030803160324033203400348022802320236024002440252025602600264026802720276028002840288029603000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-08-092022-11-142022-12-162022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-17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2003000OIPCRCLOSE22295018020290018160285016140288400280027501412027001210026501026008080255006025002022-09-212022-07-142022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-01-092022-07-262022-08-052022-08-172022-08-292022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-12-272022-07-14IMPVMA20UPLOW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16000250014000200012000150010000100080005006000040002000-5000-1000335042502900305032003350350036503800395041004250440045504700485050002900305032003500365038003950410044004550470048505000OIPOICOICHANGEPOICHANGEC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480044004000360032002022-08-092022-11-142022-12-162022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-17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4272003404400OIPCR4035300CLOSE4200302604000252022038001518036001014034002022-09-212022-07-142022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-01-092022-07-262022-08-052022-08-172022-08-292022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-12-272022-07-14IMPVMA20UPLOW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140008001200060040010000200800006000-2004000-4002000-6000-8004800500052005400560058006000620064006600680048005000520054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-08-092022-11-142022-12-162022-07-142022-07-192022-07-222022-07-272022-08-012022-08-042022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-17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080OIPCR590020CLOSE0705800180601656340057000501456000401203055001002054002022-09-212022-07-142022-07-222022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-292022-10-142022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-01-092022-07-262022-08-052022-08-172022-08-292022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-12-272022-07-14IMPVMA20UPLOW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10000600400800020006000-200-4004000-600-8002000-1000-1200-140011800118002040011400114001220012600130001340013800142001460015000154001580016200166001700017400178001820018600190001940019800212002200022800236000110001540015400212001100011000114001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