【基本面信息】
　　豆粕：2023年第7周，全国主要油厂大豆库存为490.18万吨，较上周减少57.94万吨；豆粕库存为61.75万吨，较上周增加1.26万吨；菜粕库存1.8万吨，较上周减少0.08万吨。油厂开工率下滑，下游采购及提货减弱，豆粕库存稳中上升。
　　大豆：对美豆而言，阿根廷干旱少雨再度来袭，加之近期又突发霜冻，后续产量继续下调可能性极大；巴西方面，降雨仍偏多，收割进度偏慢，虽后续巴西增产压力仍大，但短期市场对主产国天气忧虑加大，仍将支撑美豆偏高估值。
　　棕榈油：马棕方面，SPPOMA数据显示，马来西亚1-20日棕榈油产量较上月减少4.17%；SGS数据显示1-20日棕榈油出口环比增加8.8%。对马棕而言，虽出口有所回暖，但幅度有限；产量环比延续回落，增产周期预计3月到来，库存预计变化不大，驱动不强。印尼DMO政策传闻再起，短期提振市场。
　　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23日星期四基本面信息豆粕2023年第7周全国主要油厂大豆库存为49018万吨较上周减少5794万吨豆粕库存为6175万吨较上周增加126万吨菜粕库存18万吨较上周减少008万吨油厂开工率下滑下游采购及提货减弱豆粕库存稳中上升大豆对美豆而言阿根廷干旱少雨再度来袭加之近期又突发霜冻后续产量继续下调可能性极大巴西方面降雨仍偏多收割进度偏慢虽后续巴西增产压力仍大但短期市场对主产国天气忧虑加大仍将支撑美豆偏卢品先高估值棕榈油马棕方面SPPOMA数据显示马来西亚1-20日棕榈油产量较上月减少417SGS数据显示1-20日棕榈投研经理油出口环比增加88对马棕而言虽出口有所回暖但幅度有限产量环比延续回落增产周期预计3月到来库0755-23375252存预计变化不大驱动不强印尼DMO政策传闻再起短期提振市场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本周以来高位盘整震荡涨幅003报收于2874期权隐含波动率上升017报收于963期权持仓量PCR小幅波动报收于118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062报收于3849豆粕期权隐含波动率下降028报收于1567期权持仓量PCR小幅盘整报收于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天均线持续上涨延续多头上升趋势涨幅056报收于8286期权隐含波动率小幅上升009报收于2631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小幅回升持仓量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-830010SP2305-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昨日大幅上涨突破区间上限后冲高回落涨幅005报收于5976期权隐含波动率上升003至1106期权持仓量PCR报收于080操作建议白糖SR2305维持近三周以来的宽幅矩形区盘整震荡逐渐上行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本周以来超跌反弹逐渐回升涨幅010报收于14485棉花期权隐含波动率上升025报收于1936持仓量PCR小幅波动报收于061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天均线支撑而后逐渐反弹上升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CC230528740010000317254958MM2305384900-2400-062638924745PP23058286004600056618750989SRSR2305597600300005281016781CFCF230514485001500010428130972RMRM2305318600-2700-084517116617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C23052880375041502876200007200472023-04-10M230538509600700038769000232700472023-04-10P23058300276503135082638600105-2300472023-04-10SR2305600071001025059693650062-750432023-04-06CF2305144003850030600144791000007-600432023-04-06RM2305320088507450321415500482800432023-04-06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MA20UPLOWC230594698696301711291315943M2305158315521567-028179921311467P2305266925552631009284031372543SR2305113610631106003115012941005CF2305203417581936025204523821707RM2305191519761945005222626471805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C23052819220690073-038126020148781118002M23054237747468112018127505231663182-000P23052309211593050-0205920337119063000SR23055299037368071-0428696469942080-001CF23054085522313055-01415020391317061-001RM230517601178881020122615435898137003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2950287700290050285040280027503027002650202600102550250002022-10-142022-12-262022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-22图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000387400803800360040340002022-09-262022-11-092022-12-162023-02-012022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-062023-02-092023-02-142023-02-172023-02-22图3白糖主力合约走势图610050成交量万收盘价596800600040590058003057005600205500105400530002022-10-242023-01-042022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-22图4棉花主力合约走势图16100100成交量万收盘价15600801510014465001460060141001360040131001260020121001160002022-10-142022-12-262022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-22图5菜粕主力合约走势图3600成交量万收盘价1203400321400100320080300060280040260020240002022-10-272023-01-092022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-22图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-10-192022-12-292022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-22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25000100050020000015000-50010000-1000-15005000-20000-2500252029602320236024002440248025202560260026402680272027602800284028802920296030003080316032403320340034802320236024002440248025602600264026802720276028002840288029203000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-09-072022-12-132023-01-172022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-22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2003000OIPCRCLOSE22295018020290018160285016140287700280027501412027001210026501026008080255006025002022-10-272022-08-122022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-02-142022-08-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022022-08-12IMPVMA20UPLOW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480044004000360032002022-09-072022-12-132023-01-172022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-22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3404400OIPCR35300CLOSE4200303874002526040002022038001518036001014034002022-10-272022-08-122022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-02-142022-08-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022022-08-12IMPVMA20UPLOW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250003000250020000200015000150010001000050005000-5000-10005200480050005200540056005800600062006400660068004800500054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-09-072022-12-132023-01-172022-08-122022-08-172022-08-222022-08-252022-08-302022-09-022022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-22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596800090OIPCR600020080CLOSE59001807058001606057001405056001204010030550002054002022-10-272022-08-122022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-11-042022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-02-142022-08-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022022-08-12IMPVMA20UPLOW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26000800240006002200020000400180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