五矿期货-农产品期权日报-230303

>> 五矿期货-农产品期权日报-230303

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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3日星期五基本面信息豆粕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007报收于2844期权隐含波动率下降022报收于876期权持仓量PCR小幅波动报收于111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经过前期一个多月围绕着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涨幅064报收于3758豆粕期权隐含波动率下降074报收于1491期权持仓量PCR小幅盘整报收于155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偏空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急速大涨则逐渐平仓离场如M2305SM2305-P-370010SM2305-P-365010和SM2305-C-380010SM2305-C-3850103棕榈油期权棕榈油P2305延续近两个月以来的偏多头趋势方向震荡上行涨幅058报收于8366期权隐含波动率小幅下降052报收于2432持仓量PCR报收于063操作建议棕榈油P2305偏多头趋势方向上高位盘整震荡而后突破上涨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P2305SP2305-P-820010SP2305-P-830010和SP2305-C-840010SP2305-C-8500104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002报收于5985期权隐含波动率上升015至1037期权持仓量PCR报收于088操作建议白糖SR2305本周以来突破盘整震荡区间上限延续偏多头趋势方向上逐渐上行趋势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SSR305C600010SSR305C6100105棉花期权棉花CF305经过近两周以来的低位弱势盘整区间震荡而后止跌反弹回暖上升突破上涨市场行情表现为短期偏多头行情格局涨幅103报收于14710棉花期权隐含波动率上升024报收于1822持仓量PCR小幅波动报收于058操作建议棉花CF305突破压力线上涨表现为偏多头行情棉花期权隐含波动率小幅上升持仓量PCR维持较低水平构建卖出偏多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CF2305SCF2305P14400SCF2305P14600和SCF2305C14800SCF2305C15000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CC2305284400-200-00717675030MM23053758002400064525219616PP23058366004800058607650547SRSR2305598500100002256415341CFCF2305147100015000103473934502RMRM2305304900-200-007415512678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C23052840360027502849-650-023450392023-04-10M23053750615072503739-900-024-1900392023-04-10P23058400217002770083407250088-2600392023-04-10SR230560006400755059892950050350352023-04-06CF23051480026000360001470025100174-1000352023-04-06RM23053050630068503045-1550-051-450352023-04-06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MA20UPLOWC2305867881876-0229871065909M2305153514531491-074162317261520P2305248223782432-052261727942439SR2305106210011037015106511021027CF2305190317261822024189919721827RM2305192917741843-047200121231879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C2305984721095214040147560163173111000M23055385262079115006163449253323155-003P230520873192660920166414140512063002SR23053954926262066-0129216781293088-000CF2305589635010308501916090293586058000RM230515492195071260253855638716100-004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290028480050285040280027503027002650202600102550250002022-10-242023-01-042022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000373600803800360040340002022-10-112022-11-172022-12-262023-02-092022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-142023-02-172023-02-222023-02-272023-03-02图3白糖主力合约走势图610059900050成交量万收盘价600040590058003057005600205500105400530002022-11-012023-01-122022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02图4棉花主力合约走势图15600100成交量万收盘价151001471000801460014100601360013100401260020121001160002022-10-242023-01-042022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02图5菜粕主力合约走势图3600成交量万收盘价1203400100320030410080300060280040260020240002022-11-042023-01-172022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-10-272023-01-092022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02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250008006002000040015000200100000-2005000-4000-600232024802320236024002440248025202560260026402680272027602800284028802920296030003080316032403320340034802360240024402520256026002640268027202760280028402880292029603000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-09-162022-12-212023-02-012022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02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2003000OIPCRCLOSE22295018020290018160285016140280028480027501412027001210026501026008080255006025002022-11-042022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-03-022023-02-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312023-02-102022-08-22IMPVMA20UPLOW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3500025003000020002500015002000010001500050010000500000-50043504350275028502950305031503250335034503550365037503850395040504150425044504550275028502950305031503250335034503550365037503850395040504150425044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-09-162022-12-212023-02-012022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02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3404400OIPCR35300CLOSE4200302526040003736002022038001518036001014034002022-11-042022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-03-022023-02-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312023-02-102022-08-22IMPVMA20UPLOW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2500020001500200001000150005001000005000-5000-10005200480050005200540056005800600062006400660068004800500054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-09-162022-12-212023-02-012022-08-222022-08-252022-08-302022-09-022022-09-072022-09-132022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-02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100OIPCR599000610020090CLOSE600018080590007016580006014570005012560004010030550002054002022-11-042022-08-222022-08-302022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-142022-11-222022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-03-022023-02-222022-09-012022-09-142022-09-262022-10-132022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312023-02-102022-08-22IMPVMA20UPLOW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30000150028000260001000240005002200020000018000-5001600014000-10001200010000-15008000-200060004000-25002000-300018400184001880019200112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