截至2023/2/3，豆粕期货2305合约收于3891元/吨，较上周(3841元/吨)上涨1.30%；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3750看跌期权持仓集中度较高，标的价格在3700-4100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2月5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389116541808202M2305期价有支撑档期权档期权130-142-32501437004100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玉米期权28378221068126C2303期价上行有限2920及以上2920及以上-077089-046-00227602940波动率中性如有期货多单可卖出看涨期权对冲观望白糖期权592912031151065SR305期价高位参考行权价格6000及以上35520006700357006000波动率中性持有前期保护性看跌期权组合如有期货多单可买入看跌期权对冲棉花期权1504511211977064CF305期价偏多参考行权价格14200及以下131049-165-0051400016000波动率中性前期卖出看涨期权逐步止盈前期卖出看涨期权逐步止盈棕榈油期权779020862768063P2305期价震荡-124-435-26200970008500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2月3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839-3399962850302411000064263494000000-112970290028731100006659200-11892029502866152000012553580-1258703000282023000088304530000200-1328203050282535000033011976210-14177031002112050000238850-15072031502503350000640490517640-1626703200234535000046211336200002180-17462053250229443000035633261100-1895715330021324100001669102323060-20652333502053525004522251100003310-216475534002018716671907117582340-239429345019509-526526309635912-659368535001879115-17865068907102343-6703273550185116-21951675126882419-210302536001811215-245639437365242828-63125253650180430-2308125951741646300-08623114973700179941-2190608819688截至202323豆粕期货2305合约收于3891元吨2257484-20119515333750179855-19715567304494946682-23816415873800183074-1543287018492较上周3841元吨上涨130从T型报价来看行688620941210157519563850183895-132419124241135924830-3021125166739001888122-96315662194权价3900看涨期权成交活跃行权价3900看涨期权44832364-15993171739501935152-7034021825持仓集中度较高行权价3700看跌期权成交活跃70442912-1977451732400019431825-641477113944321025248621796405019632165-5662382081行权价3750看跌期权持仓集中度较高标的价格在66643781316491809410024492805545167693284319118114018554150254832254055603700-4100运行为主551227961404325189642002497356528915372394318827912751964425027744105265257824956783438215197843004435207039714499565217175201743504895198005203286076471520814400537190016839213583331120654450584517400期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose324600244600440044002820420024420016400040002038001238001636003600081234003400040832003200043000003000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-HVHV30VIX32460040124400352884200304400024253800020203600-415340016-83200101230005-12豆粕波动率指数走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231915202323202322202321202313120231302023120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50-04148323601100004238600-04346323800500002482500000-0454432400110000734500-047423242005000226900-049403244005000121500-0523832460152000082792000000-055363248005000025800-058343250005000086700-062323252005000043300-06630325400500004051500000-070283256005000039900-075263525801309230000646112700-08124426001323320000528563010-08822452620127635750049113511000030-0722062640122143333821904320-0791875266011895111111671583810-08816952680117065000863131750005550-0981522700115585000280164567620-1101352720113911-833114419904392-4561152740112014-1250648751680414-23710377327601096175-1667164816300051926-54686576827801090225-15091199132732300341-446758572800109529-1343131820062756378-6026258752820110837-1190478890965021183-4465359332840113747-784919114793101780-968429072860118359-40735652612020586-1053349242880122672-137366220478511192-12902793529001174815-52329018965256468-140021595329201296100050135656截至202323玉米期货2303合约收于2837元吨89841967-12821797029401232111-3067054087542101-1613139762960134013000046490较上周2859元吨下跌077从T型报价来看行47691234-166710988298014271485137039690582555-111181014300014931665183113170权价3000看涨期权成交活跃行权价3000看涨期权3271430100051058304020151000153524242572000310913080239084020350592410000211453120278072012持仓集中度较高行权价2700看跌期权成交活跃81913430000212783160317506301610160000053200357056014行权价2800看跌期权持仓集中度较高标的价格在73400000532403970510143750000053280437046027390110000133204770420362760-2940运行为主329640000533605170390433570000053400557036040176201000013320445-06710252430000053360481-1430154375000053400521-133030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-HVHV30VIX163000246529002014428001632700212122600180250010-142400-2823000-3波动率指数回落目前处于中性偏低水平实际波动率上升波动率价差有所收紧关注后市波动率变化波动率微笑主力期权波动率微笑1311975202323202322202321202313120231302023120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12000550278925500017431100003052155680313825510015651100009892298471035772552001464155000765402780006890408625553001382250003408523169020497528540012874-11111091497048220470043555500122775-117622254616400094329390334456001184145-121226343721222649388925161157001166285-952342640350605784510831748125800115252-9573186614055422479120611158735900116290-9551903216982594165169569941600012101455-8209351223截至202323白糖期货2305合约收于5929元吨793544532090405991610012802155-7314241149594263582162225102962001273289-898176773较上周5726元吨上涨355从T型报价来看行712063442500125107563001474384-611432668权价6200看涨期权成交活跃行权价6500看涨期权9045525333338115764004795-496059持仓集中度较高行权价5700看跌期权成交活跃178163951857165128865005765-4240114行权价5800看跌期权持仓集中度较高标的价格在5700-6000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PCRPCRoiunderlyingclosePCRvolunderlyingclose12060001506000590059000905800580057001005700560056000605500550054000505400030530053005200520000051000005100持仓量PCR上升白糖期价走强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-HVHV30VIX1860002416590020121658005700168560014550012454001253008052001051004-4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16128202323202322202321202313120231302023120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306-570372511200298540001305072100-40036001140029055250058175970001840-4233400116002744500012169700-4513200118002647600052161360001110-47630011200026329285725231871680-511280212200246791250179170550001650-5482603124002340100007817612570-587240612600223912000290188740002490-63622091280021511500055019743480-68420151300020872052610403862300012510-7471822132002013264003180296219790-8161633134001992381176341844392000103016-1388137113600192650638272853462602478-765130312301380019137290935163673100051102087-824113614571400019241051290305635992015171-83598816201420019121449092669200903495798-8508501713144001929199874262137271476826-105771117191460019522688061468183026741189-112460017831480019913547931687118862643719-12964971815150002022452711987123433172133-1146425191415200208257077574092843783329-1097357197615400217570889226857262443486-13952901995156002157830573270413截至202323棉花期货2305合约收于15045元31082107-16372352019158002212979550181294吨较上周14850元吨上涨131从T型报价来65293874-18451902047160002243113148214629627821634-1897158210216200233813035001444看行权价15000看涨期权成交活跃行权价1600019351688-197513021451640023801470448166020531891-214810621811660016574941051看涨期权持仓集中度较高行权价13800看跌期权成18531794-230187222216800193098535685722789-2234732274170002016408478交活跃行权价13600看跌期权持仓集中度较高标1962991-24056023121720022546270641399183-2576492345174002444589077的价格在14000-16000运行为主1917115-1818452439176002635553066112782-27663424281780028275170491987432-26322824611800029402082561229163-24242525301820032164620601720198-1852222589184003490679470199512254-26091725891860035201623775