截至2023/2/10，豆粕期货2305合约收于3853元/吨，较上周(3891元/吨)下跌0.98%；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3750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12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38531595171180M2305期价震荡档期权档期权-098-058-098-02237004100波动率中性前期卖出看涨期权止盈持有卖出看涨期权参考行权价格玉米期权27697961042128C2303期价震荡2920及以上-240-027-02600227302900波动率中性如有期货多单可卖出看涨期权对冲如有期货多单可卖出看涨期权对冲白糖期权593910961135067SR305期价高位参考行权价格6000及以上参考行权价格6000及以上017-107-01600358006100波动率中性持有前期保护性看跌期权组合持有前期保护性看跌期权组合棉花期权1448014931856068CF305期价有支撑-376372-1210041380016000波动率中性卖出看跌期权参考行权价格7700及前期卖出看涨期权逐步止盈棕榈油期权784020902514061P2305期价震荡以下064004-254-00275008500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10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772-11099128503109110000235641540000150-07494529002727050000715200-07889529502937152000015532630-08284530002433050000288630000200-08779530502614152000055411732210-0937453100245515200005247050-10069531502392230000441505717630-1076453200223123000015911154200002180-1165953250220735000043831261100-12754553300209435133331416969230242285155335020144580006991685100003355022457340019486333317391279223232934211819345018547500016443308356420637116253500178510-166737651212102247-14131593035501723135-25002011129192594-360268107736001727205-226437187075231291-3352305136636501696285-2297170955761143326-46919314343700168640-2157430520503截至2023210豆粕期货2305合约收于3853元1881430-678158146037501692555-177845973079245451613-85712814973800172176-1364523119781吨较上周3891元吨下跌098从T型报价来看74563042-65810651599385017521005-102722374835146556114-934825159139001771128-79110022346行权价3900看涨期权成交活跃行权价3900看涨期53812381-83366164439501824161-5293802204权持仓集中度较高行权价3750看跌期权成交活跃83868234-714521683400018871975-295417126050601413-9413851677405019502365-1663482037行权价3750看跌期权持仓集中度较高标的价格在88455460-31331174141001982276-1252605913376175500024177641501934314-23369463700-4100运行为主64522859571185181042003701370528359020251600145185342504155134025494123544352911518994300469285139825572672416785191343505095119004811238675007197344005581180110285386612000552010445060710800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偏低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-HVHV30VIX32460040124400352884200304400024253800020203600-434001516-83200101230005-12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2319152023210202329202328202327202326202323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120-158437236015200008474900-16541723801520000443483000000-17339724001100001236700-182377242005000032200-19235724400500004482500000-20333724601100002531700-216317248005000029300-2302972500155923000041136900-246277252011910500004222000000-26525725401380230000238100-307237256013452540000238940-333217525801201210000503228315000330002055260012043500024061146910-40117952620110930002113391430-4451612640111345-10001429129510000320-498143266010896-142917881861810-562126268010688-2000191817085540-641109527001044105-222223068190500075515-980925712720105915-166718603887507211-5148386527401043195-1702139186351002669-8056858652760102625-18035842257190664578-96056588927801051335-129920361497434892040-1068469092800106743-94719562173056401228-1059389502820110955-598335838869541311-10293059702840112267-429440106343994893-1111249832860110979-4824044905129451219-6982010302880119196-1032974069199943648-606155104029001177110-222681380065851656-80011510372920132531101014截至2023210玉米期货2303合约收于2769元90021189-10538510392940149531006009022396900071078296016753080491吨较上周2837元吨下跌240从T型报价来看5218264910005511012980186305036013123233114294110430002053020120行权价2900看涨期权成交活跃行权价2900看涨期32112262666725115430402442741413948126892000015119230802853072203397393200001513293120323205012权持仓集中度较高行权价2760看跌期权成交活跃817401000011376316036319701610070000053200403177014行权价2760看跌期权持仓集中度较高标的价格在67312000053240443161014365000005328048314702744700000533205231360362730-2900运行为主4740000053360563126043112911000053400603117040176201000013320445-06710252430000053360481-1430154375000053400521-133030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上升玉米期价偏弱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-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13119752023210202329202328202327202326202323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120005501189415000186211000050047105370133841510016741100004682553471015174152001568152000058641608000679017564153001432210000169151556930198542540013153200027154993472169-035433550012375500046715135400084655611734556001199115-41769924106224743911925657001157225-6258014736106064781-08617357575800114744-33093509439733725192261138905900114779-186388635489203958987368595760001265139552813181243截至2023210白糖期货2305合约收于5939元99007358169238992610013072062234561173687986733548211045620013992865070164899吨较上周5929元吨上涨017从T型报价来看976615154266795104563001535376-013161900行权价6300看涨期权成交活跃行权价6500看涨期951268893750551119640013794555-3701766权持仓集中度较高行权价5800看跌期权成交活跃18141100216000412336500561-1750114行权价5800看跌期权持仓集中度较高标的价格在5800-6100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上升白糖期价偏强近期看跌期权成交占比明显上升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回落波动率价差偏低波动率微笑主力期权波动率微笑161282023210202329202328202327202326202323主力期权整体隐波水平变化不大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302-94332651120028124333311056129100-5433220114002641433331401692140001840-57730201160024714000942087700-619282011800237250001341506120001110-6632620120002258600021132311681-1162230412200213370007701594100001650-77222231240020379000669182325214-1361191012600197813181813583122800022920-150017121280018631614294086208430423-164915191300018172426328548473560001141132-170313501704132001777363333549637121688462-196011571568134001754554103845042274000930116-161410552089136001784895614451460602425274-2396825161513800179713358334747573420004620672-263068116421400017491794672527280591943509-29435491647142001775253445748525561036461148-3184441168514400185335546092213454420562059-3327355174314600185945739331772226629203061-3456284179814800193859037531244217484216791-3324235189415000199673133885291271124654716-352118419261520021058933191410245149453517-381614119441540020391031255820262557113550-3846112199615600211212032351109494截至2023210棉花期货2305合约收于14480元53233642-39588720321580015061302147120292吨较上周15045元吨下跌376从T型报价来96996044-39137020891600014401026629635562809-41305421201620017611883744看行权价15000看涨期权成交活跃行权价1520022983114-4028432167164001830101106024295299-4138342209166001797-271247看涨期权持仓集中度较高行权价13400看跌期权成22934755-4130272251168002209855056104593307-4324212283170002402796078交活跃行权价14000看跌期权持仓集中度较高标2081472-379318235317200259673606417451028-3913142381174002792689077的价格在13800-16000运行为主26771258-42111124121760029886450661384436-400092456178002955-1601492095587-3333825271800033845750561089447-3000725901820035825380601865593-14296264218400393594045722571319400062745186003980485075