五矿期货-农产品期权日报-230307

>> 五矿期货-农产品期权日报-230307

上传日期：	2023/3/7	大小：	1298KB
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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7日星期二基本面信息豆粕蛋白粕现货延续弱势广东东莞豆粕报4100-40元吨广东黄埔菜粕报3150-20元吨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棕榈油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052万吨棕榈油去库进度略不及预期卢品先库存仍居高位棉花美国EMOTM到港价982美分磅-25巴西M到港价981美分磅-21据全国棉花交易市场数据投研经理统计截止到2023年3月3日新疆地区皮棉累计加工总量58299万吨同比增幅1040755-23375252lupxwkjyqhcom期权分析及策略建议1玉米期权从业资格号玉米C2305上周以来高位盘整震荡逐渐下行形成上方有压力的弱势偏空头趋势跌幅021报收于2833期权F3047321隐含波动率上升042报收于916期权持仓量PCR小幅波动报收于110操作建议玉米C2305上周高位回落后不交易咨询号断弱势下行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Z0015541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-280010SC2305-P-282010和SC2305-C-284010SC2305-C-2860102豆粕期权豆粕M2205前周以来连续报收阴线跌破震荡区间下限而后止跌反弹连续报收阳线回升上方有60天均线压力涨幅071报收于3804豆粕期权隐含波动率下降055报收于1490期权持仓量PCR小幅盘整报收于157操作建议豆粕震荡下行跌破区间下限而后反弹回升维持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-380010SM2305-P-375010和SM2305-C-380010SM2305-C-3850103棕榈油期权棕榈油P2305延续一个多月以来的偏多头趋势方向震荡上行本周以来高位连续大幅下跌而趋势线方向仍向上跌幅134报收于8216期权隐含波动率小幅下降009报收于2447持仓量PCR报收于064操作建议棕榈油P2305偏多头趋势方向上高位盘整震荡而后快速回落趋势线方向斜率为正数期权隐含波动率窄幅波动持仓量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-810010和SP2305-C-840010SP2305-C-8300104白糖期权白糖SR305上周以来持续大幅上涨突破维持近三周以来的宽幅矩形区间上限形成较强的短期偏多头行情涨幅116报收于6169期权隐含波动率上升300至1396期权持仓量PCR急速上升报收于103操作建议白糖SR2305延续偏多头趋势方向上突破上涨期权隐含波动率快速上升期权持仓量PCR持续上升构建看涨期权牛市价差组合策略获取方向性收益若市场行情极速大跌至低行权价则逐渐平仓离场如SR305BSR305C600010BSR305C600010和SSR305C620010SSR305C6300105棉花期权棉花CF305反弹上升受阻回落延续近两周以来的低位弱势盘整区间震荡跌幅037报收于14635棉花期权隐含波动率上升044报收于1840持仓量PCR小幅波动报收于055操作建议棉花CF305突破压力线上涨后盘整震荡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CC2305283300-600-021365110367MM23053804002700071467317651PP2305821600-11200-134614851208SRSR23056169007100116372822729CFCF23051463500-5500-037369227118RMRM23053067002300076412412554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C23052840260038002828-1300-046-500352023-04-10M230538005700745037831500040-2150352023-04-10P2305820025850203508255-16100-1913900352023-04-10SR2305620070001430061279150152-4200312023-04-06CF230514600318002350014683-5700-0394800312023-04-06RM230530506300645030491000033-1850312023-04-06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MA20UPLOWC23059638919160429771058896M2305146315171490-055161617231509P2305253423332447-009255726632451SR230514231353139630010791162996CF2305190816941840044188019441815RM2305196918911933020197220711874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C23052669748632182-001149514164400110-001M23053459835822104-018161292253054157000P23052989922850076-0126622542388064-003SR23059935263190064-0089284595256103013CF23055536025733046-02216027388947055-002RM23051708814588085-0014340040976094-001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502900282400285040280027503027002650202600102550250002022-10-262023-01-062022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000378200803800360040340002022-10-132022-11-212022-12-282023-02-132022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-162023-02-212023-02-242023-03-012023-03-06图3白糖主力合约走势图612700620050成交量万收盘价6100600040590030580057002056005500105400530002022-11-032023-01-162022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06图4棉花主力合约走势图15600100成交量万收盘价151001469000801460014100601360013100401260020121001160002022-10-262023-01-062022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06图5菜粕主力合约走势图3600成交量万收盘价1203400100320030470080300060280040260020240002022-11-082023-01-192022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-10-312023-01-112022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06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300001500100025000500200000-50015000-100010000-1500-20005000-25000-3000252029602320236024002440248025202560260026402680272027602800284028802920296030003080316032403320340034802320236024002440248025602600264026802720276028002840288029203000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-09-202022-12-232023-02-032022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06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2003000OIPCRCLOSE22295018020290018160285016140280014282400275012027001210026501026008080255006025002022-11-082022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-02-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022023-02-142022-08-24IMPVMA20UPLOW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35000600300004002500020020000015000-20010000-4005000-6000-80043502750285029503050315032503350345035503650375038503950405041504250445045502750285029503050315032503350345035503650375038503950405041504250435044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-09-202022-12-232023-02-032022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06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3404400OIPCR35300CLOSE4200302526040003782002022038001518036001014034002022-11-082022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-02-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022023-02-142022-08-24IMPVMA20UPLOW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25000500040002000030001500020001000100000-10005000-20000-30005200480050005200540056005800600062006400660068004800500054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-09-202022-12-232023-02-032022-08-242022-08-292022-09-012022-09-062022-09-092022-09-152022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-06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612700110OIPCR620020100CLOSE61001809060001608059000701458000601257000501004056008030550002054002022-11-082022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-02-242022-09-052022-09-162022-09-282022-10-172022-10-272022-11-082022-11-182022-11-302022-12-122022-12-222023-01-042023-01-162023-02-022023-02-142022-08-24IMPVMA20UPLOW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280001200260001000240002200080020000600180004001600014000200120000100008000-2006000-4004000-6002000-80018400184001120011200116001200012400128001320013600140001440014800152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