研究报告全文：农产品期权日报期权研究2023年2月17日星期五基本面信息豆粕2023年第6周全国主要油厂大豆库存为54812万吨较上周减少8197万吨豆粕库存为6049万吨较上周增加1647万吨菜粕库存188万吨较上周减少13万吨大豆港口库存大幅回落终端提货减少蛋白粕库存增加大豆AgRural指出由于巴西最南部的南里奥格兰德州遭受严重干旱预计那里的农民将收获1610万吨大豆较1月预估减少430万吨布宜诺斯艾利斯谷物交易所周四表示由于上周的热浪和已经持续数月的干旱影响卢品先将继续下修阿根廷202223年度大豆产量预估目前预估产量为3800万吨棕榈油截至2023年2月10日全国重点地区棕榈油商业库存约9801万吨较上周减少478万吨全国重点地投研经理区豆油商业库存约7905万吨较上周减少086万吨华东菜油库存1258万吨较上周增加087万吨节后提货增0755-23375252加油脂库存整体小幅回落lupxwkjyqhcom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从业资格号历骤降反观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F3047321交易咨询号期权分析及策略建议Z00155411玉米期权玉米C2305上周以来连续下跌回落先后跌破21天均线和55天均线本周以来超跌反弹连续大幅上涨而后高位盘整震荡涨幅018报收于2856期权隐含波动率下降009报收于1045期权持仓量PCR小幅波动报收于120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而中期趋势仍向下期权隐含波动率窄幅波动持仓量PCR小幅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-282010SC2305-P-284010和SC2305-C-286010SC2305-C-2880102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涨幅010报收于3826豆粕期权隐含波动率下降073报收于1591期权持仓量PCR持续下降报收于182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行情走势形态下方有55天均线支撑形成短期偏空弱势格局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或大跌则逐渐平仓离场如M2305SM2305-P-380010SM2305-P-375010和SM2305-C-390010SM2305-C-3850103棕榈油期权棕榈油P2305近两个月以来形成上三角收敛近两日连续报收大阳线突破21天均线和55天均线快速上涨企稳上升涨幅187报收于8058期权隐含波动率小幅下降002报收于2533持仓量PCR报收于061操作建议棕榈油P2305维持近一个月以来的温和上涨震荡上行本周以来企稳回升后突破上行期权隐含波动率持续下降持仓量PCR维持至较低水平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快速大跌则逐渐平仓离场如P2305SP2305-P-790010SP2305-P-800010和SP2305-C-810010SP2305-C-8200104白糖期权白糖SR305经过前两周以来的多头上涨后上周以来高位宽幅矩形区间盘整震荡涨幅008报收于5904期权隐含波动率下降0035至1059期权持仓量PCR报收于079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矩形区间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SR305SSR305P580010SSR305P570010和SSR305C600010SSR305C5900105棉花期权棉花CF305本月高位回落后连续报收阴线而后低位弱势盘整震荡行情格局跌幅063报收于14240棉花期权隐含波动率上升007报收于1862持仓量PCR小幅波动报收于064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上升持仓量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CF2305SCF2305P14200SCF2305P14400和SCF2305C14800SCF2305C14600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CC230528560050001819405532MM2305382600400010606023167PP230580580014800187651351532SRSR2305590400500008256815147CFCF23051424000-9000-063359225730RMRM2305316100200006405912824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C230528604250450028581150040150532023-04-10M23053850850097003838-200-0051200532023-04-10P230581002290037050795910950140-9950532023-04-10SR230559009500810059148500141000492023-04-06CF23051420040900260001434960000410900492023-04-06RM23053150975080503167-1000-031600492023-04-06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MA20UPLOWC2305101910671045-009119913851013M2305162915581591-073195823501565P2305257724792533-002297832992656SR2305104510761059-003122814221034CF2305199917061862007212524851766RM2305194419811962-077237928191939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C23051463017187117019119933144080120-001M23054366751355118004124287225635182-003P23051948915746081-0105874535911061003SR230537301314690840128262865277079002CF23054168736555088-01114403492252064-002RM23051375913123095-0122640233424127-008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290028560050285040280027503027002650202600102550250002022-10-102022-12-202022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-16图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000383500803800360040340002022-09-202022-11-032022-12-122023-01-192022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-312023-02-032023-02-082023-02-132023-02-16图3白糖主力合约走势图600059170050成交量万收盘价59004058005700305600205500105400530002022-10-182022-12-282022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-16图4棉花主力合约走势图16100100成交量万收盘价15600151008014350001460060141001360040131001260020121001160002022-10-102022-12-202022-08-082022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-132022-10-182022-10-212022-10-262022-10-312022-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