【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，油厂开机率小幅降低至61%。主要油厂大豆库存大幅增加，短期国内成交尚可，蛋白粕库存小幅去化。
　　大豆：对美豆而言，2月USDA供需报告符合预期。在巴西降雨偏多及阿根廷持续干旱背景下，仍需给予美豆一定天气升水；且短期新旧作交替期，整体供应偏紧，美豆预计维持高位。中期随着巴西压榨进度加快，市场有反馈巴西丰产预期可能。
　　棕榈油：马来西亚产量下滑加之斋月节需求有增加预期，国内棕榈油现货价格跟随大棕油盘面变化，整体市场价格高位运行，目前下游采买积极性小幅提升，场内成交氛围尚可。
　　棉花：USDA对22/23年度中国棉花消费量的逆势预增，2月月报中，全球棉花消费量延续下修趋势，从22年2月首次预估的2757.7万吨已经调降至2409.4万吨，主要原因在于欧美发达经济体增速下行的背景下纺织服装消费正在经历骤降，反观USDA对中国棉花消费的预估，自12月防疫政策优化以来首次上调10.9万吨至783.8万吨。
　　

研究报告全文：农产品期权日报期权研究2023年2月14日星期二基本面信息豆粕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042万吨油厂开机率小幅降低至61主要油厂大豆库存大幅增加短期国内成交尚可蛋白粕库存小幅去化大豆对美豆而言2月USDA供需报告符合预期在巴西降雨偏多及阿根廷持续干旱背景下仍需给予美豆一定天气升水且短期新旧作交替期整体供应偏紧美豆预计维持高位中期随着巴西压榨进度加快市场有反馈巴卢品先西丰产预期可能棕榈油马来西亚产量下滑加之斋月节需求有增加预期国内棕榈油现货价格跟随大棕油盘面变化整体市场投研经理价格高位运行目前下游采买积极性小幅提升场内成交氛围尚可0755-23375252棉花USDA对2223年度中国棉花消费量的逆势预增2月月报中全球棉花消费量延续下修趋势从22年2月首lupxwkjyqhcom次预估的27577万吨已经调降至24094万吨主要原因在于欧美发达经济体增速下行的背景下纺织服装消费正在经历骤降反观USDA对中国棉花消费的预估自12月防疫政策优化以来首次上调109万吨至7838万吨从业资格号F3047321期权分析及操作建议交易咨询号1玉米期权Z0015541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而后止跌反弹回升涨幅014报收于2831期权隐含波动率上升019报收于1068期权持仓量PCR报收于124操作建议玉米C2305经过前一周连续空头下跌先后跌破21天均线和55天均线后在空头压力线下弱势盘整震荡而后止跌反弹回暖上升期权隐含波动率窄幅波动持仓量PCR小幅回落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C2305SC2305-P-280010SC2305-P-282010和SC2305-C-284010SC2305-C-2860102豆粕期权豆粕M2205延续一个多月以来围绕着20天均线上下宽幅矩形区间盘整震荡下有55天均线支撑上有前期高点压力跌幅003报收于3884豆粕期权隐含波动率下降098报收于1663期权持仓量PCR快速上升报收于199操作建议豆粕维持一个多月以来矩形区间盘整震荡的市场形态期权隐含波动率小幅下降期权持仓量PCR仍维持较高位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涨则逐渐平仓离场如M2305SM2305-P-380010SM2305-P-385010和SM2305-C-390010SM2305-C-3950103棕榈油期权棕榈油P2305逐渐形成下降三角收敛的市场行情形态上周以来止跌反弹回升连续报收阳线而后上升受阻回落延续弱势偏空市场行情跌幅020报收于7868期权隐含波动率小幅上升003报收于2599持仓量PCR报收于059操作建议棕榈油P2305前一周止跌反弹回暖上升后上周以来延续温和上涨后受阻回落的市场行情格局形态上形成下降三角收敛期权隐含波动率窄幅波动持仓量PCR维持至较低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P2305SP2305-P-780010SP2305-P-780010和SP2305-C-800010SP2305-C-7900104白糖期权白糖SR305维持三周以来的多头趋势上涨昨日涨幅收窄有所回落跌幅054报收于5906期权隐含波动率下降036至1072期权持仓量PCR报收于071操作建议白糖SR2305超跌反弹回冷暖上升后连续近三周以来的多头上涨趋势上周以来突破上涨后高位盘整期权隐含波动率小幅波动期权持仓量PCR持续上升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SR305SSR305P580010SSR305P590010和SSR305C600010SSR305C5900105棉花期权棉花CF305维持两个月以来的多头上涨趋势本月以来高位回落连续报收阴线市场行情走势出现拐头的迹象跌幅135报收于14215棉花期权隐含波动率下降053报收于1878持仓量PCR小幅上升报收于063操作建议棉花CF305延续近两周以来的弱势偏空头市场行情形态棉花期权隐含波动率小幅下降持仓量PCR维持较低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CF2305SCF2305P14000SCF2305P14200和SCF2305C14400SCF2305C14400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CC230528310040001430048495MM2305388400-100-003720828009PP2305786800-1600-020635050074SRSR2305590600-3200-054199111823CFCF23051421500-19500-135447432237RMRM2305322000-100-003571518407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C230528404400495028353150112350562023-04-10M2305390090001065038842750071-050562023-04-10P2305790026800353007815-2300-029-5300562023-04-10SR230559001000083505917-1750-0291050522023-04-06CF230514200437003030014334-15200-10511900522023-04-06RM2305320010650865032203850121000522023-04-06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MA20UPLOWC2305108610541068019122414001048M2305170716221663-098205624391673P2305271024802599003308333502816SR2305106710811072-036126114421079CF2305206216771878-053216325041823RM2305198220792044-051245628672045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C23052621934315131027117863145667124-002M23056496269521107030105905211124199011P230516377153460940055551532816059002SR23054756825486054-0108468960429071003CF2305591145422909200413601885390063001RM23059213158221720052115031792150009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502900283300285040280027503027002650202600102550250002022-09-282022-12-152022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-13图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000388200803800360040340002022-09-152022-10-312022-12-072023-01-162022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-13图3白糖主力合约走势图600059170050成交量万收盘价59004058005700305600205500105400530002022-10-132022-12-232022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-13图4棉花主力合约走势图16100100成交量万收盘价15600151008014315001460060141001360040131001260020121001160002022-09-282022-12-152022-08-032022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022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