【基本面信息】
　　豆粕：2023年第6周，全国主要油厂大豆库存为548.12万吨，较上周减少81.97万吨；豆粕库存为60.49万吨，较上周增加16.47万吨；菜粕库存1.88万吨，较上周减少1.3万吨。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：美豆方面，短期仍主要博弈主产国天气及巴西丰产预期，在巴西短期收割偏慢背景下，市场暂未感受到较大供应压力，天气升水仍可支撑美豆维持偏高估值，但上行动力缺乏；中期来看，随着巴西收割进度加快，市场供应压力将大增，未来两到三周重点关注美豆出口销售情况，以此来反应市场对巴西供应压力感知程度。
　　棕榈油：全国重点地区棕榈油商业库存约98.01万吨，较上周减少4.78万吨；全国重点地区豆油商业库存约79.05万吨，较上周减少0.86万吨；华东菜油库存12.58万吨，较上周增加0.87万吨。油脂库存整体回落，但棕榈油库存压力仍大。
　　棉花：市场采购低于预期，棉价上涨存在一定压力，当前新疆3128级棉花提货价15300元/吨左右。下游纺织企业随买随用，市场成交相对平稳。随着产业链各企业陆续开工，市场补货逐步启动。

研究报告全文：农产品期权日报期权研究2023年2月22日星期三基本面信息豆粕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美豆方面短期仍主要博弈主产国天气及巴西丰产预期在巴西短期收割偏慢背景下市场暂未感受到较大供应压力天气升水仍可支撑美豆维持偏高估值但上行动力缺乏中期来看随着巴西收割进度加快市场卢品先供应压力将大增未来两到三周重点关注美豆出口销售情况以此来反应市场对巴西供应压力感知程度棕榈油全国重点地区棕榈油商业库存约9801万吨较上周减少478万吨全国重点地区豆油商业库存约投研经理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087万吨油脂库存整体回落但棕榈油0755-23375252库存压力仍大lupxwkjyqhcom棉花市场采购低于预期棉价上涨存在一定压力当前新疆3128级棉花提货价15300元吨左右下游纺织企业随买随用市场成交相对平稳随着产业链各企业陆续开工市场补货逐步启动从业资格号F3047321期权分析及策略建议交易咨询号1玉米期权Z0015541玉米C2305上周以来止跌反弹连续回暖上升V型反转不断报收阳线短期偏多头市场行情格局跌幅003报收于2872期权隐含波动率下降047报收于947期权持仓量PCR小幅波动报收于116操作建议玉米C2305止跌反弹回暖上升连续报收阳线而上方有前期高点压力形成上方有压力的短期偏多头市场行情走势期权隐含波动率窄幅波动持仓量PCR小幅回落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C2305SC2305-P-284010SC2305-P-286010和SC2305-C-288010SC2305-C-2900102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021报收于3853豆粕期权隐含波动率下降057报收于1595期权持仓量PCR反弹上升报收于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和方向性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-3850103棕榈油期权棕榈油P2305近两个月以来形成上三角收敛上周以来连续报收阳线突破21天均线和55天均线持续上涨而后区间盘整跌幅021报收于8212期权隐含波动率小幅上升008报收于2622持仓量PCR报收于063操作建议棕榈油P2305止跌反弹回暖上升后延续前期上涨的趋势上周以来持续突破上涨表现为短期较强的偏多头信号期权隐含波动率持续下降回落持仓量PCR维持至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快速大跌则逐渐平仓离场如P2305SP2305-P-810010SP2305-P-820010和SP2305-C-840010SP2305-C-8300104白糖期权白糖SR305维持近三周以来的宽幅矩形区盘整震荡夜盘大幅上涨突破上行涨幅096报收于5989期权隐含波动率上升026至1102期权持仓量PCR报收于082操作建议白糖SR2305维持近三周以来的宽幅矩形区盘整震荡整体趋势方向仍偏向多头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SR305SSR305P590010SSR305P600010和SSR305C600010SSR305C6100105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区间震荡行情格局涨幅066报收于14525棉花期权隐含波动率上升013报收于1911持仓量PCR小幅波动报收于062操作建议棉花CF305高位回落后延续近三周以来的偏空头弱势下行上周以来跌幅收窄低位弱势盘整震荡下方有55天均线支撑棉花期权隐含波动率小幅下降持仓量PCR快速下降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CF2305SCF2305P14400SCF2305P14200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CC2305287200-100-00320865994MM2305385300-800-021444617165PP2305821200-200-002518142563SRSR2305598900570009615319082CFCF230514525009500066387927987RMRM2305319400-500-016339210853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C23052880350041002874-050-002200482023-04-10M23053850900073003867-100-0031400482023-04-10P2305820027800301008177-3500-043-3500482023-04-10SR230560005650125505931-1000-017-5800442023-04-06CF2305146002980043500144638400058-6200442023-04-06RM23053200825084003199-200-006450442023-04-06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MA20UPLOWC2305917973947-04711521344960M2305160515831595-057184922181480P2305266725572622008287631912562SR2305107911231102026116813281008CF2305201117661911013208224461717RM2305189519921940-030227527171832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C23052231024755111017128819150003116-001M23053464832537094-012126573229987182003P23052323216292070-0045787136179063-001SR230522673256021130168080565943082-001CF23053446723659069-01214960992224062-000RM23051243811105089-0402577634501134007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300060成交量万收盘价2950287500290050285040280027503027002650202600102550250002022-10-132022-12-232022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000385700803800360040340002022-09-232022-11-082022-12-152023-01-312022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-02-032023-02-082023-02-132023-02-162023-02-21图3白糖主力合约走势图600059320050成交量万收盘价59004058005700305600205500105400530002022-10-212023-01-032022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21图4棉花主力合约走势图16100100成交量万收盘价15600801510014460001460060141001360040131001260020121001160002022-10-132022-12-232022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21图5菜粕主力合约走势图3600成交量万收盘价1203400100319900320080300060280040260020240002022-10-262023-01-062022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-10-182022-12-282022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21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2500020001500200001000150005001000005000-5000-1000252029602320236024002440248025202560260026402680272027602800284028802920296030003080316032403320340034802320236024002440248025602600264026802720276028002840288029203000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-09-062022-12-122023-01-162022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21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2003000OIPCRCLOSE22295018020290018160285016140287500280027501412027001210026501026008080255006025002022-10-262022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-02-132022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012022-08-11IMPVMA20UPLOW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35000200030000150025000100020000500150000100005000-5000-100043502950275028502950305031503250335034503550365037503850395040504150425044504550275028503050315032503350345035503650375038503950405041504250435044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-09-062022-12-122023-01-162022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21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3404400OIPCR35300CLOSE4200302526038570040002022038001518036001014034002022-10-262022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-02-132022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012022-08-11IMPVMA20UPLOW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200002001800010016000014000-10012000-20010000-3008000-40060004000-5002000-6000-7004800500052005400560058006000620064006600680048005000520054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-09-062022-12-122023-01-162022-08-112022-08-162022-08-192022-08-242022-08-292022-09-012022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-21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593200090OIPCR600020080CLOSE59001807058001606057001405056001204010030550002054002022-10-262022-08-112022-08-192022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-11-032022-11-112022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-02-132022-08-232022-09-022022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012022-08-11IMPVMA20UPLOW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260008002400022000600200001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