【基本面信息】
　　豆粕：2023年第5周，全国主要油厂大豆库存为630.09万吨，较上周增加135.99万吨；豆粕库存为44.02万吨，较上周减少8.41万吨；菜粕库存3.18万吨，较上周减少0.42万吨。主要油厂大豆库存大幅增加，豆菜粕去库。
　　大豆：美豆方面，中期巴西丰产预期对上方有压制，但短期仍处天气交易阶段，难下跌，美豆方面也难为油脂带来强驱动。国内油脂短期小幅去库，但消费好转幅度不及市场预期。
　　棕榈油：MPOB数据预估，1月马来西亚产量136-141.4万吨，库存预计205-219万吨，有小幅去库预期。高频数据来看，ITS数据显示2月1-5日马来西亚棕榈油出口11.55万吨，同比增加62.5%。
　　棉花：国内棉花供应充足，疆内外价差整体平稳。库存方面截止2月3日，棉花商业总库存424.61万吨，环比上周减少3.67万吨。
　　

研究报告全文：农产品期权日报期权研究2023年2月10日星期五基本面信息豆粕2023年第5周全国主要油厂大豆库存为63009万吨较上周增加13599万吨豆粕库存为4402万吨较上周减少841万吨菜粕库存318万吨较上周减少042万吨主要油厂大豆库存大幅增加豆菜粕去库大豆美豆方面中期巴西丰产预期对上方有压制但短期仍处天气交易阶段难下跌美豆方面也难为油脂带来强驱动国内油脂短期小幅去库但消费好转幅度不及市场预期棕榈油MPOB数据预估1月马来西亚产量136-1414万吨库存预计205-219万吨有小幅去库预期高频数据卢品先来看ITS数据显示2月1-5日马来西亚棕榈油出口1155万吨同比增加625棉花国内棉花供应充足疆内外价差整体平稳库存方面截止2月3日棉花商业总库存42461万吨环比上投研经理周减少367万吨0755-23375252lupxwkjyqhcom期权分析及操作建议1玉米期权从业资格号玉米C2305上周以来连续下跌回落先后跌破21天均线和55天均线形成上方有压力的弱势偏空头跌幅021F3047321报收于2798期权隐含波动率下降045报收于1041期权持仓量PCR报收于127操作建议玉米上周以来连续交易咨询号下跌回落形成短期弱势偏空市场行情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空头的宽Z0015541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C2305SC2305-P-274010SC2305-P-276010和SC2305-C-280010SC2305-C-2820102豆粕期权豆粕M2205延续近两周以来围绕着20天均线上下宽幅矩形区间盘整震荡而后逐渐下降回落趋势线方向仍向上跌幅101报收于3813豆粕期权隐含波动率下降055报收于1758期权持仓量PCR小幅下降报收于181操作建议豆粕维持宽幅区间盘整震荡弱势回落的市场行情走势形态期权隐含波动率小幅下降期权持仓量PCR持续下降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若市场行情急速大跌则逐渐平仓离场如M2305SM2305-P-370010SM2305-P-375010和SM2305-C-380010SM2305-C-3850103棕榈油期权棕榈油P2305延续下三角收敛的市场行情形态上周以来连续报收阴线下跌而后止跌反弹连续报收阳线上涨回升上方有前期高点压力跌幅017报收于8006期权隐含波动率小幅下降058至2649持仓量PCR报收于057操作建议棕榈油P2305维持空头趋势方向压力下反弹回升方向上短期偏强中期偏空的行情结构期权隐含波动率小幅下降持仓量PCR维持在较低水平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-780010SP2305-P-790010和SP2305-C-820010SP2305-C-8100104白糖期权白糖SR305春节后跳空高开突破近期高点大幅上扬盘整震荡一周后继续突破上涨涨幅020报收于5942期权隐含波动率下降010至1068期权持仓量PCR报收于067操作建议白糖维持短期偏多头突破上涨的的市场行情格局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多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跌则逐渐平仓离场如SR305SSR305-P-580010SSR305-P-590010和SSR305-C-600010SSR305-C-6100105棉花期权棉花CF305沿着多头趋势方向维持两个多月以来震荡上行温和上涨上周以来高位回落后逐渐转为短期偏弱势行情而趋势线方向仍为正数跌幅030报收于14760棉花期权隐含波动率下降063报收于1965持仓量PCR小幅上升报收于062操作建议棉花CF303短期弱势偏空头中期趋势线方向仍向上的市场走势棉花期权隐含波动率小幅波动持仓量PCR维持在070以下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和方向性收益若市场行情急速大涨则逐渐平仓离场如CF2305SCF2305P14400SCF2305P14600和SCF2305C14800SCF2305C15000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CC2305279800-600-02117514911MM2305381300-3900-101841032401PP2305800600-1400-017520041707SRSR23055942001200020182910844CFCF23051476000-4500-030326024131RMRM2305314600-3900-122664921177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C23052800470043002804-1850-066600602023-04-10M230538001170092503825-4750-1231150602023-04-10P2305800032800318008010-2400-030400602023-04-10SR2305590010850830059261000017-1650562023-04-06CF23051480044200430001481235000245200562023-04-06RM230531501045099003156-3050-096950562023-04-06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MA20UPLOWC230510859891041-045124514121078M2305182316971758-055211124781743P2305277024912649-058314333532933SR2305102111251068-010128014521109CF2305206618261965-063218525151855RM2305217021182136016250228912113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C23054699940145085-001111357141113127-008M23056352569783110033107302194710181-012P230521530164460760045468031157057002SR230526435220010830068366856345067001CF2305294242137507300012288075643062-000RM230511757221971890372185331876146006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290050280100285040280027503027002650202600102550250002022-09-262022-12-132022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-09图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000381900803800360040340002022-09-132022-10-272022-12-052023-01-122022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-172023-01-202023-02-012023-02-062023-02-09图3白糖主力合约走势图600059280050成交量万收盘价59004058005700305600205500105400530002022-10-112022-12-212022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-09图4棉花主力合约走势图16100100成交量万收盘价15600148300015100801460060141001360040131001260020121001160002022-09-262022-12-132022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-09图5菜粕主力合约走势图3600成交量万收盘价1203400100315400320080300060280040260020240002022-10-142022-12-262022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-09图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-09-292022-12-162022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-09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3000060002500050004000200003000150002000100001000500000-1000252029602320236024002440248025202560260026402680272027602800284028802920296030003080316032403320340034802320236024002440248025602600264026802720276028002840288029203000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-08-252022-11-302023-01-042022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-09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2003000OIPCRCLOSE22295018020290018160285016140280027501412028010027001210026501026008080255006025002022-10-142022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132022-08-01IMPVMA20UPLOW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350004000300003000250002000200001000150000100005000-10000-200043502950275028502950305031503250335034503550365037503850395040504150425044504550275028503050315032503350345035503650375038503950405041504250435044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-08-252022-11-302023-01-042022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-09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3404400OIPCR4035300CLOSE4200302603819004000252022038001518036001014034002022-10-142022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132022-08-01IMPVMA20UPLOW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200001600180001400160001200140001000120008001000060080004006000200400002000-2000-4004800500052005400560058006000620064006600680048005000520054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-08-252022-11-302023-01-042022-08-012022-08-042022-08-092022-08-122022-08-172022-08-222022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-09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592800080OIPCR600020CLOSE07059001806058001605057001404056001203055001002054002022-10-142022-08-012022-08-092022-08-172022-08-252022-09-022022-09-132022-09-212022-09-292022-10-242022-11-012022-11-092022-11-172022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-012022-08-112022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132022-08-01IMPVMA20UPLOW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24000200022000200001500180001600010001400012000500100008000060004000-5002000-1000184001840018800192001120011200116001200012400128001320013600140001440014800152001560016000164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