截至2023/3/3，豆粕期货2305合约收于3763元/吨，较上周(3859元/吨)下跌2.49%；从T型报价来看，行权价3800看涨期权成交活跃，行权价3900看涨期权持仓集中度较高，行权价3600看跌期权成交活跃，行权价3750看跌期权持仓集中度较高，标的价格在3600-4000运行为主。
　　近期持仓量PCR下滑，豆粕期价震荡偏弱，关注后续看跌期权持仓量变化。
　　从期权成交量来看，近期看跌期权成交占比有所上升，目前在中性水平。

研究报告全文：农产品期权周报作者吴阿龙投资咨询资格Z0015899联系方式020-88818028本报告中所有观点仅供参考请务必阅读此报告倒数第二页的免责声明2023年3月5日本周主要观点标的收盘价30HVVIX持仓量PCR参考运行范围主要观点本周策略上周策略观望观望豆粕期权376312301467154M2305期价偏弱-249033-011-01136004000波动率偏低持有备兑看涨期权组合如有期货多单可卖出看涨期权对冲玉米期权2838782865118C2305期价有支撑参考行权价格2900及以上-101-082-02500627902920波动率偏低如有期货多单可卖出看涨期权对冲如有期货多单可卖出看涨期权对冲白糖期权60407951175086SR305期价高位参考行权价格6100及以上参考行权价格6000及以上124-29605401158006200波动率中性持有前期保护性看跌期权组合持有前期保护性看跌期权组合棉花期权1475014941698065CF305期价有支撑326054-038-0021400016000波动率中性如有期货多单可卖出看涨期权对冲前期卖出看跌期权逐步止盈棕榈油期权84181825226073P2305期价有支撑参考行权价格8600及以上077-369-11000478009000波动率中性注30HV30天历史波动率波动率指数VIX由期权市场价格计算得出反映市场对未来短期波动率的预期持仓量PCRPut-Call-Ratio看跌期权持仓量和看涨期权持仓量的比值波动率价差VIX-HV波动率指数和1个月历史波动率的差值本报告数据统计截止时间至2023年3月3日1500数据来源Wind风险提示单腿卖出期权的投资策略潜在风险较大当市场行情不利时投资者需及时对冲或止损2目录01豆粕期权02玉米期权03白糖期权04棉花期权05棕榈油期权31豆粕期权4T型报价T型报价期权持仓量分布看涨期权M2305DCE看跌期权看涨期权持仓量看跌期权持仓量平值档位持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量68526090728503600110000849660040000120264856290031390500020162520028180629502953050000519630300756300027700500079274030000200322706305028111100001047114133034765631002410050000225815037760631502566152000045405176320665569532002241110000368104812000021804555063250226923000026231901102553458330020682300001029859530205594063350193825400004441579100003112011773753400184235750013871362923207123085345017114512503125499935708262623500161665-1875598018320022839156222951506355015009-37933145152685072321609184141336001482155-367390091248526125481748144514233650142624-3846228181401362823141310513233700140838-3448826628059截至202333豆粕期货2305合约收于3763元吨54254235135375513373750140658-2970622432625100958292139853136838001419845-2489198127551较上周3859元吨下跌249从T型报价来看行18691544896834135138501442117-20411346151642594958281500231404390013941515-185575213714权价3800看涨期权成交活跃行权价3900看涨期权760818892000151442395013991925-15576242532持仓集中度较高行权价3600看跌期权成交活跃1617933255000105151640001736245-10262620531101985362506515384050299-65602847行权价3750看跌期权持仓集中度较高标的价格在1455531941250045160241003465-584012014078796250003516974150393-576410003600-4000运行为主670321250000318164200445-4610527219756430000218504250494-4260208114242307400002520714300544-3890394483219710000119474350594-3570183741536200001521964400644-33003711598513200001523324450694-30700期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose32460024460028440020440024420016420020400012400016380008380012083600043600043400003400近期持仓量PCR下滑豆粕期价震荡偏弱关注后续看跌期权持仓量变化从期权成交量来看近期看跌期权成交占比有所上升目前在中性水平波动率波动率指数与期价历史波动率与波动率指数VIXunderlyingcloseVIX-HVHV30VIX3246004012352844008304200424254000020203800-41516360010-81234005-12豆粕波动率指数持续走落目前处于偏低水平关注后市波动率变化实际波动率下降波动率价差有所扩大波动率微笑主力期权波动率微笑25201510202333202332202331202322820232272023224主力期权整体隐波水平有所下降波动率微笑偏中性关注市场情绪变化2玉米期权9T型报价T型报价期权持仓量分布看涨期权C2305DCE看跌期权持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量看涨期权持仓量看跌期权持仓量平值档位71-1234802360050002282310-08646223800500004883000000-090442240005000436700-094422242005000026600-09940224400500004282500000-104382246005000029600-109362248005000026700-116342250005000100114600-12332225200500003672000000-131302254005000043900-140282256005000034040-150262258014831100004415221500030-1632422600138311000092746210-1772222620115705000247289630-19420226401264152000016189410000210-2151822660115715200005311964720-2411622680111023000013226725160-2721432700104625150001092126435000833554713527209683500082048814760-3651055274087935000728100749180-4358827608826000259021095068870-993682780877950002588178633489398-826555783280085914-3454488246964345305-12634157692820852205-46523901653096721716-13893179528408743000022761659654431114-150922581528608694050006775633141161231-18421558202880895541898164079225341068-19231058322900886681494304266144061644-2353658262920851830611721472截至202333玉米期货2303合约收于2838元吨130321261-181845859294080899500043103914483617-2857258462960142713011116476较上周2867元吨下跌101从T型报价来看行8344612000290829801395257035914201261500015954300015852260117权价2920看涨期权成交活跃行权价2900看涨期权48712791000011064304019820601397387411000011236308023817102036051740000512703120278146011持仓集中度较高行权价2800看跌期权成交活跃7436000005316031812701410140000053200358113014行权价2800看跌期权持仓集中度较高标的价格在73800000532403981020143510000053280438092027453200000533204780840362790-2920运行为主554900000533605180780431716105000053400558072040176201000013320445-06710252430000053360481-1430154375000053400521-133030期权持仓量与成交量期价与持仓量PCR期价与成交量PCRPCRoiunderlyingclosePCRvolunderlyingclose3030003300025290029002021528002800101270027000500260002600持仓量PCR弱势运行玉米期价震荡关注后续看跌期权持仓量变化从期权成交量来看近期看跌期权成交占比明显上升目前在较高水平波动率波动率指数与期价历史波动率与波动率指数VIXunderlyingcloseVIX-HVHV30VIX1630002465201429004163212280012180102700-14-2826000-3波动率指数走弱目前处于较低水平实际波动率下降波动率价差有所收紧关注后市波动率变化波动率微笑主力期权波动率微笑11975202333202332202331202322820232272023224主力期权整体隐波水平有所下降波动率微笑左偏关注市场情绪变化3白糖期权14T型报价T型报价期权持仓量分布看涨期权SR305CZC看跌期权看涨期权持仓量看跌期权持仓量平值档位持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量240005602341007500023630500010427302000053702609075100214005000248230238102938075200192005000898340016000503033670753001702050007448221200069303946075400148505000206558172851640515550013851100005925453800090485144244055600122315000254796454000178517117503395700113635-3000858212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