【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24日星期五基本面信息豆粕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000报收于2871期权隐含波动率下降030报收于933期权持仓量PCR小幅波动报收于109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049报收于3832豆粕期权隐含波动率上升012报收于15797期权持仓量PCR小幅盘整报收于172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天均线支撑延续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-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天均线持续上涨本周以来偏多头趋势方向上高位震荡涨幅022报收于8270期权隐含波动率小幅下降089报收于2542持仓量PCR报收于064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-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本周以来逐渐偏多头震荡上行涨幅008报收于5970期权隐含波动率下降075至1030期权持仓量PCR报收于079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窄幅波动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008报收于14440棉花期权隐含波动率下降073报收于1863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CC230528710000000022346415MM2305383200-1900-049502719363PP23058270001800022670855360SRSR2305597000500008203912159CFCF23051444000-3500-024327123674RMRM2305316800-2000-063428413654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C23052880290046002863-1300-045-800462023-04-10M23053850790086503843-3350-0861050462023-04-10P2305830023850329508209-5400-065-6100462023-04-10SR230560005600103505953-1600-027-1750422023-04-06CF230514400326002920014434-4500-031-600422023-04-06RM23053150950064503181-3350-1041250422023-04-06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MA20UPLOWC2305893969933-03011021274930M2305161615481579012174920301469P2305259924612542-089279930762522SR230510719691030-075112512421008CF2305198217091863-073199222611723RM2305194219241932-013216325231804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C23052475827639112038134204146602109-009M23053842646143120008130738224617172-010P230527418193110700205997038452064001SR23054604830564066-0049236473019079-001CF2305336392587707702215196993771062001RM230514086170961210202759837918137000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286300290050285040280027503027002650202600102550250002022-10-172022-12-272022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000384000803800360040340002022-09-272022-11-102022-12-192023-02-022022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-072023-02-102023-02-152023-02-202023-02-23图3白糖主力合约走势图610050成交量万收盘价595300600040590058003057005600205500105400530002022-10-252023-01-052022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23图4棉花主力合约走势图16100100成交量万收盘价15600801510014445001460060141001360040131001260020121001160002022-10-172022-12-272022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23图5菜粕主力合约走势图3600成交量万收盘价1203400100317900320080300060280040260020240002022-10-282023-01-102022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-10-202022-12-302022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23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2500025002000200001500100015000500010000-5005000-1000-15000-2000252029602320236024002440248025202560260026402680272027602800284028802920296030003080316032403320340034802320236024002440248025602600264026802720276028002840288029203000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-09-082022-12-142023-01-182022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23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2003000OIPCRCLOSE22295018020290018160285028001614028630027501412027001210026501026008080255006025002022-10-282022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-02-152022-08-252022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032022-08-15IMPVMA20UPLOW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35000100030000025000-100020000-200015000-3000100005000-40000-500043502950275028502950305031503250335034503550365037503850395040504150425044504550275028503050315032503350345035503650375038503950405041504250435044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-09-082022-12-142023-01-182022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23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3404400OIPCR35300CLOSE4200302526038400040002022038001518036001014034002022-10-282022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-02-152022-08-252022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032022-08-15IMPVMA20UPLOW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25000250020002000015001500010001000050005000-5000-10005200480050005200540056005800600062006400660068004800500054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-09-082022-12-142023-01-182022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23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595300090OIPCR600020080CLOSE59001807058001606057001405056001204010030550002054002022-10-282022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-02-152022-08-252022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032022-08-15IMPVMA20UPLOW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2800070026000600240005002200020000400180003001600020014000100120001000008000-1006000-2004000-3002000-4001080010800176001160011600120001240012800132001360014000144001480015200156001600016400168001720018000184001880019200011200116001160018400108001080011200120001240012800132001360014000144001480015200156001600016400168001720017600180001880019200OIPOICOICHANGEPOICHANGEC棉花期权最大未平仓棉花认购认沽合约最大持仓量所在的行权价24000220002000018000160001400012000100002022-09-302022-12-092023-01-132022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23棉花期权到期日收盘价C最大持仓P最大持仓棉花期权持仓量PCR棉花期权隐含波动率OIPCRCLOSE1101600050100155004514445000904015000350801450030070251400020060151350005010504013000003012500020120002022-10-282022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-02-152022-08-252022-09-062022-09-192022-09-292022-10-182022-10-282022-11-092022-11-212022-12-012022-12-132022-12-232023-01-052023-01-172023-02-032022-08-15IMPVMA20UPLOW菜粕期权持仓分布菜粕期权持仓分布图菜粕期权持仓变化图8000120070001000600080060050004004000200300002000-2001000-400027002700245024502500260028002900300031003200330034003500360024002400-6002500250029003300240024002450260027002800300031003200340035003600OIPOICOICHANGEPOICHANGEC菜粕期权最大未平仓菜粕认购认沽合约最大持仓量所在的行权价3500330031002900270025002022-09-082022-12-142023-01-182022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23菜粕期权到期日收盘价C最大持仓P最大持仓菜粕期权持仓量PCR菜粕期权隐含波动率452603500OIPCRCLOSE402203300317900351803100301402900251000602700200202500152022-10-202022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232022-12-192022-12-282022-08-152022-08-242022-09-022022-09-142022-09-232022-10-112022-10-202022-10-312022-11-092022-11-182022-11-292022-12-082023-01-092023-01-182023-02-032023-02-142023-02-23IMPVMA20UPLOW棕榈油期权持仓分布棕榈油期权持仓分布图棕榈油期权持仓变化图16000800140006001200040010000200800006000-20040002000-4000-6001060010600100001000010000112001180012400130001060011200118001240013000940094005800580061006400670070007300760079008200850088009100970058006100640067007000730076007900820085008800910094009700OIPOICOICHANGEPOICHANGEC棕榈油期权最大未平仓棕榈油认购认沽合约最大持仓量所在的行权价110001050010000950090008500800075007000650060002022-09-302022-12-092023-01-132022-08-152022-08-182022-08-232022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-23棕榈油期权到期日收盘价C最大持仓P最大持仓棕榈油期权持仓量PCR棕榈油期权隐含波动率5520010000OIPCR18050CLOSE9500160451409000401208500100350808000300607500250402002070002022-10-202022-08-152022-08-232022-08-312022-09-082022-09-192022-09-272022-10-122022-10-282022-11-072022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232022-08-152022-08-242022-09-022022-09-142022-09-232022-10-112022-10-202022-10-312022-11-092022-11-182022-11-292022-12-082022-12-192022-12-282023-01-092023-01-182023-02-032023-02-142023-02-23IMPVMA20UPLOW免责声明五矿期货有限公司是经中国证监会批准设立的期货经营机构已具备有商品期货经纪金融期货经纪资产管理期货交易咨询等业务资格本刊所有信息均建立在可靠的资料来源基础上我们力求能为您提供精确的数据客观的分析和全面的观点但我们必须声明对所有信息可能导致的任何损失概不负责本报告并不提供量身定制的交易建议报告的撰写并未虑及读者的具体财务状况及目标五矿期货研究团队建议交易者应独立评估特定的交易和战略并鼓励交易者征求专业财务顾问的意见具体的交易或战略是否恰当取决于交易者自身的状况和目标文中所提及的任何观点都仅供参考不构成买卖建议版权声明本报告版权为五矿期货有限公司所有本刊所含文字数据和图表未经五矿期货有限公司书面许可任何人不得以电子机械影印录音或其它任何形式复制传播或存储于任何检索系统不经许可复制本刊任何内容皆属违反版权法行为可能将受到法律起诉并承担与之相关的所有损失赔偿和法律费用五矿期货分支机构深圳总部业务一部深圳市南山区滨海大道3165号五矿金融大厦13-16层电话400-888-5398电话0755-83252740业务二部业务三部电话0755-88917165电话0755-83752356业务四部业务五部电话010-68331868-183电话028-85053476深圳营业部北京分公司深圳市福田区福华三路1006号诺德大厦30D1北京市海淀区首体南路6号新世纪世行饭店写字楼1253室电话0755-83752310电话010-68332068上海分公司成都分公司上海市浦东新区向城路288号国华人寿金融大厦902903成都高新区天府大道北段1288号1幢3单元12层12041205电话021-58784529电话028-86131072青岛分公司北京营业部山东省青岛市东海西路35号太平洋中心1写字楼409北京市丰台区广安路9号院6号楼408409电话0532-85780820电话010-64185322广州营业部湛江营业部广东省广州市天河区珠江西路17号广晟国际大厦24楼2407广东省湛江市开发区乐山东路35号银隆广场12层A1210室电话020-29117582电话0759-2856220天津营业部西安营业部天津市滨海高新区华苑产业区梅苑路5号金座广场2101-陕西省西安市新城区纬什街新科路1号楼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