截至2023/2/17，豆粕期货2305合约收于3828元/吨，较上周(3853元/吨)下跌0.65%；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3800看跌期权成交活跃，行权价3800看跌期权持仓集中度较高，标的价格在3700-4100运行为主。
　　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。

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19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前期备兑组合离场观望持有备兑看涨期权组合卖出虚值2-4豆粕期权382814211586170M2305期价震荡档期权-065-175-124-01037004100波动率中性观望前期卖出看涨期权止盈玉米期权28689241027123C2305期价震荡239129-015-00527902920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589010761119076SR305期价高位参考行权价格6000及以上参考行权价格6000及以上-083-019-01600958006100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141701598175068CF305期价有支撑-214104-1060001370016000波动率中性持有卖出看跌期权参考行权价格卖出看跌期权参考行权价格7700及棕榈油期权818620952468075P2305期价有支撑7700及以下以下441005-04601476008600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17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58004197628501100005866304000014004392629000500006062000468762950050000549630049826300015200001129263000020005277630501520000501196321005572631000500002222500606763150237715200001154181763006462632002211152000014911225200002180070576325021332300001030901100077526330020342540000516925630200854765335019183200001391686100003340083427534001835460002627124792320093379534501760552222688331735701063333500168175-625250214500021601052883550163211-185219941298024514-536229536001601165-2143160669732180206419211515413650163927-1429102061371247141-06016613773700156536-2000302922365截至2023217豆粕期货2305合约收于3828元1082172-186132140437501579525-160021393135863281773-329103143238001580725-1420432530328吨较上周3853元吨下跌065从T型报价来看107863255-30380148038501670102-72723817773209587380-403595149039001626128-857254112368行权价3900看涨期权成交活跃行权价3900看涨期54111317-217451535395017011645-5467511864权持仓集中度较高行权价3800看跌期权成交活跃107673945-14933156140001738202-4271081493723111510002351576405018512455-2191862508行权价3800看跌期权持仓集中度较高标的价格在12670256962517160841001902288-204661245507917801364125165041503345-118010623700-4100运行为主69431925357195170542003805-1040527307218095556717444250432000421493302310100005177243004765-083039641202861333335179343505255-07600529922720000318774400575-06901104961403400002519474450624-07900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25201510202321720232162023215202321420232132023210主力期权整体隐波水平有所下降波动率微笑偏中性关注市场情绪变化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801434982360050000821001494782380050000458300000015545824000500083670016243824200500020266001704182440050000438250000017939824601100002313001893782480110000202730019935825001520000712180021133825200500004222000000225318254005000051900241298256013410500013304025827825801482152000010814701500030279258260013921520000555783110303238262013031520000273315630331218526401277210000692376100003203381992660123625666743523517387781872680122435166734721985495100017052700119045000308673965000914371127153272011686-76971940325461910421325274011027-263210788980973052910952760110610-23082329244260919368123610073227801097135-250012451509532673681333858102800109018-250011052311949124421360718492820109424-23818878733702979613735886728401104315-2125122511104403065014634789228601094395-2100115949731325078616923892328801124505-1789804392120775139013732991729001147625-16115224387985122811282229222920125079-1073321281截至2023217玉米期货2303合约收于2868元953769317241794529401334955-7734768991111202136412595029601211105-1213103425吨较上周2801元吨上涨239从T型报价来看5739282518759597229801305-4400359124642494272779863000148-4210119行权价2920看涨期权成交活跃行权价2900看涨期36759784000359993040185-33901394889226150002510963080223-30402037683032000015114631202625-260012权持仓集中度较高行权价2760看跌期权成交活跃8010000053160302-22701610400000053200342-201014行权价2760看跌期权持仓集中度较高标的价格在7020000053240382-1800143650000053280422-1630274740000053320462-1490362790-2920运行为主47621000013360502-1380431186581000013400542-128040176201000013320445-06710252430000053360481-1430154375000053400521-133030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弱势运行玉米期价上升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1311975202321720232162023215202321420232132023210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16000560111909500019071100007634507537013180955100170511000017325261200047101507095520015041100001534161629018461053001377152000039051948000693022051055400122121000010494898529115-1623955500113541429293660234000896193-3092985600110810526443567112089319-522209652570010792252276905873006006228-76113358105800107247532644541307373311768-87778883590011309358093493358174834238-1053425944600011251512036061256截至2023217白糖期货2305合约收于5890元94676720-1429219826100119322813347390559566767-1667101025620013103165144180819吨较上周5939元吨下跌083从T型报价来看106816270-9095108463001535414210220794行权价6200看涨期权成交活跃行权价6300看涨期67763629200031176640014675025000164权持仓集中度较高行权价5700看跌期权成交活跃172922886100002127765005915-1580114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上升白糖期价高位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16128202321720232162023215202321420232132023210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2420-4153000112002693350007877143100-307284011400239720001961296160001840-33026401160022262-3333501672700-356244011800215930001321258140001110-3862241120002228775005653226120001680-42220421220020397166792221751650-46518441240019269125041211991100002520-512164812600182112909379326312290-56414551280017521812504415302480003063-51912801300017142926095328402511079-9121056173513200169147342939184837600011669-1141870159413400167074345544865315999223-1585685142413600165911432563634860340002445259-1621553152613800169017633336118104124382685-1958423151714000167824825255142748620003145949-20003321602142001716348221126167409043202619-213025516601440018134782163965435751754005-219119617241460018636141808704249053302679-2371148177414800192876615711251749120686296-2467113183415000200493013831761354141814782-269684187415200212911091293116252657402386-2809641931154002115127510394864561392308-3000491988156002197145992121425截至2023217棉花期货2305合约收于14170元40682675-3091382048158002080162971726254吨较上周14480元吨下跌214从T型报价来134237411-2857302113160001804562227942035662-2941242179162001982437041看行权价15000看涨期权成交活跃行权价1520024274378-33331822141640021764070582162768-3333142263166002371372047看涨期权持仓集中度较高行权价13800看跌期权成2400888-3529112313168002596459955122332565-2857102412170002840605976交活跃行权价13800看跌期权持仓集中度较高标1641660-36367241517200303053513631359507-333362486174003162286077的价格在13700-16000运行为主2136484-14296260517600336127206686297-166752659178003560256048198214820006283718000376024205087281-2500327141820040103621650157219300032818184004160221061239841645333343018186004360211061