五矿期货-农产品期权日报-230302

>> 五矿期货-农产品期权日报-230302

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研究报告全文：农产品期权日报期权研究2023年3月2日星期四基本面信息豆粕2023年第8周全国主要油厂大豆库存为43017万吨较上周减少6001万吨豆粕库存为6301万吨较上周增加126万吨菜粕库存258万吨较上周增加048万吨港口大豆库存延续回落豆粕小幅累库库存量维持高位大豆美豆方面巴西延续偏多降雨收割进度同比仍偏慢但环比有所加快阿根廷干旱延续部分机构再度下调产量预期但美豆并未反馈该预期我们认为市场有倾向于开始交易巴西丰产及收割进度加快预期美豆3月卢品先或有回调可能棕榈油截至2023年2月27日全国重点地区棕榈油商业库存约9782万吨较上周增加171万吨全国重点地投研经理区豆油商业库存约7638万吨较上周减少221万吨华东菜油库存1495万吨较上周增加052万吨豆油整体消0755-23375252费偏好库存小幅下降棕榈油及菜油小幅累库lupxwkjyqhcom棉花美国EMOTM到港价100美分磅27巴西M到港价995美分磅27据全国棉花交易市场数据统计截止到2023年2月26日新疆地区皮棉累计加工总量57279万吨同比增幅864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前一周以来止跌反弹连续回暖上升V型反转不断报收阳线上周以来高位盘整震荡逐渐下行而后围绕55天均线弱势震荡跌幅028报收于2840期权隐含波动率上升062报收于898期权持仓量PCR小幅波动报收于110操作建议玉米C2305上周上升受阻回落上涨幅度收窄而上方有前期高点压力形成上方有空头压力的短期弱势市场行情格局期权隐含波动率窄幅波动持仓量PCR小幅回落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-284010SC2305-P-282010和SC2305-C-288010SC2305-C-2860102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本周以来连续报收阴线跌破震荡区间下限市场行情较为弱势跌幅075报收于3724豆粕期权隐含波动率上升024报收于1565期权持仓量PCR小幅盘整报收于158操作建议豆粕震荡下行跌破区间下限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看涨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-C-380010和SM2305-C-3850103棕榈油期权棕榈油P2305上周以来偏多头趋势方向上高位震荡涨幅073报收于8260期权隐含波动率小幅上升094报收于2484持仓量PCR报收于062操作建议棕榈油P2305偏多头趋势方向上高位盘整震荡形成中期趋势方向向上短期弱势行情格局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P2305SP2305-P-800010SP2305-P-810010和SP2305-C-820010SP2305-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偏多头突破上涨涨幅062报收于5975期权隐含波动率上升052至1022期权持仓量PCR报收于089操作建议白糖SR2305上周突破区间上限后快速回落延续偏多头趋势方向上盘整震荡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SR305SSR305P600010SSR305P590010和SSR305C600010SSR305C5900105棉花期权棉花CF305高位回落后连续报收阴线而后维持近两周以来的低位弱势盘整区间震荡行情格局涨幅049报收于14475棉花期权隐含波动率下降060报收于1798持仓量PCR小幅波动报收于058操作建议棉花CF305空头压力线下弱势盘整震荡上方有20天均线压力棉花期权隐含波动率小幅下降持仓量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CF2305SCF2305P14000SCF2305P14200和SCF2305C14400SCF2305C14200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CC2305284000-800-02827557848MM2305372400-2800-075648224326PP23058260006000073675655405SRSR2305597500370006216819982CFCF230514475007000049354425522RMRM2305304600-2900-094449613826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C2305284041002550285615500551550402023-04-10M23053700965047503749-2900-0772500402023-04-10P23058300236002685082683950048750402023-04-10SR230560005200930059591000017-1600362023-04-06CF2305144003050025600144499000063-2600362023-04-06RM23053050750065003060-4450-1431400362023-04-06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MA20UPLOWC230587591289806210001081920M2305162115151565024162717261529P2305254524052484094265028532447SR230510509871022052106611031029CF2305188816601798-060191019871834RM2305188718931890033201821401896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C23052000634911175059146891161841110-001M23057571482770109-006158530250095158-007P230518049137380760066174038003062-002SR23052638720693078-0228911778958089001CF23054326128649066-00216110693342058-000RM23052668826918101-0303750639061104-014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290028540050285040280027503027002650202600102550250002022-10-212023-01-032022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-01图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000374500803800360040340002022-10-102022-11-162022-12-232023-02-082022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-132023-02-162023-02-212023-02-242023-03-01图3白糖主力合约走势图610050成交量万收盘价595900600040590058003057005600205500105400530002022-10-312023-01-112022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-01图4棉花主力合约走势图15600100成交量万收盘价151001444500801460014100601360013100401260020121001160002022-10-212023-01-032022-08-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02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