五矿期货-农产品期权日报-230309

>> 五矿期货-农产品期权日报-230309

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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9日星期四基本面信息豆粕蛋白粕现货小幅上涨广东东莞豆粕报412020元吨广东黄埔菜粕报320040元吨2023年第9周全国大豆港口库存为43144万吨较上周减少027万吨豆粕库存为6384万吨较上周增加083万吨菜粕库存447万吨较上周增加189万吨大豆港口库存变化不大豆菜粕持续累库棕榈油截至2023年3月3日全国重点地区棕榈油商业库存约10288万吨较上周增加506万吨全国重点地区豆油商业库存约7401万吨较上周减少222万吨华东菜油库存1824万吨较上周增加329卢品先万吨豆油延续去库棕榈油及菜油消费一般库存小幅累积投研经理棉花国内经济稳步复苏下游纺织品服装消费预期增强棉花销售进度明显加快据国家棉花市场0755-23375252监测系统数据截至3月2日全国新棉销售率为530同比提高137个百分点lupxwkjyqhcom期权分析及策略建议从业资格号1玉米期权F3047321玉米C2305上周以来高位盘整震荡逐渐下行而后弱势盘整形成上方有压力的弱势偏空头趋势跌交易咨询号幅021报收于2844期权隐含波动率上升013报收于924期权持仓量PCR小幅波动报收于109操作Z0015541建议玉米C2305上周高位回落后不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011报收于3804豆粕期权隐含波动率下降063报收于1471期权持仓量PCR快速下降仍维持较高水平报收于139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回落连续报收阴线大幅下跌形成下方有支撑的短期弱势偏空跌幅020报收于8062期权隐含波动率小幅下降056报收于2351持仓量PCR持续下降报收于056操作建议棕榈油P2305偏多头趋势方向上高位盘整震荡而后持续下跌回落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-790010SP2305-P-800010和SP2305-C-810010SP2305-C-8200104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本周以来加速上涨形成较强的短期偏多头行情涨幅047报收于6221期权隐含波动率下降019至1469期权持仓量PCR急速上升报收于121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SSR305C640010SSR305C6300105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涨幅000报收于14650棉花期权隐含波动率下降089报收于1803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CC2305284400-600-02117715050MM2305380400400011485818463PP2305806200-1600-020730959051SRSR23056221002900047394524430CFCF23051465000000000315223088RMRM23053070001100036443413562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C230528403700230028546500231000332023-04-10M23053800610062003799-450-012-500332023-04-10P2305810019850229508069-13900-169700332023-04-10SR230562008650980061891700028-3250292023-04-06CF23051460028900222001466716000111700292023-04-06RM23053050640052503062-550-018-850292023-04-06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MA20UPLOWC23058999439240139631041886M2305137015391471-063158516741496P2305242022522351-056251826072429SR2305152813971469-01911191267971CF2305192316271803-089186319121815RM2305183218501840025194220331851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C23051667922368134-034149048162154109-003M230570564103600147-019166993232080139-014P23056614746105070-0157688443126056-003SR2305905597398508201397861118009121010CF2305475343226906801716459990151055-000RM230519773159640810174195840633097004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290028550050285040280027503027002650202600102550250002022-10-282023-01-102022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-08图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000380000803800360040340002022-10-172022-11-232022-12-302023-02-152022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-202023-02-232023-02-282023-03-032023-03-08图3白糖主力合约走势图6300618600506200成交量万收盘价6100406000590030580057002056005500105400530002022-11-072023-01-182022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-08图4棉花主力合约走势图15600100成交量万收盘价151001466500801460014100601360013100401260020121001160002022-10-282023-01-102022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-08图5菜粕主力合约走势图3600成交量万收盘价1203400100320030610080300060280040260020240002022-11-102023-01-302022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-08图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-11-022023-01-132022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-08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3000010002500050020000015000-50010000-100050000-1500252029602320236024002440248025202560260026402680272027602800284028802920296030003080316032403320340034802320236024002440248025602600264026802720276028002840288029203000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-09-222022-12-272023-02-072022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-08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2003000OIPCRCLOSE22295018020290018160285016140280028550027501412027001210026501026008080255006025002022-11-102022-08-262022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-282023-03-082023-02-282022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-062023-01-182023-02-062023-02-162022-08-26IMPVMA20UPLOW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350001200030000100008000250006000200004000150002000010000-20005000-40000-600043502750285029503050315032503350345035503650375038503950405041504250445045502750285029503050315032503350345035503650375038503950405041504250435044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-09-222022-12-272023-02-072022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-08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3404400OIPCR35300CLOSE4200302526038000040002022038001518036001014034002022-11-102022-08-262022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-282023-03-082023-02-282022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-062023-01-182023-02-062023-02-162022-08-26IMPVMA20UPLOW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30000800070002500060005000200004000300015000200010000100005000-1000-20000-30005200480050005200540056005800600062006400660068004800500054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-09-222022-12-272023-02-072022-08-262022-08-312022-09-052022-09-082022-09-142022-09-192022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-08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618600140OIPCR630020CLOSE620012018610016100600059001408058001206057001056000408550002054002022-11-102022-08-262022-09-052022-09-142022-09-222022-09-302022-10-172022-10-252022-11-022022-11-182022-11-282022-12-062022-12-142022-12-222022-12-302023-01-102023-01-182023-02-022023-02-102023-02-202023-02-282023-03-082023-02-282022-09-072022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-062023-01-182023-02-062023-02-162022-08-26IMPVMA20UPLOW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2800020002600024000150022000200001000180001600050014000120000100008000-50060004000-10002000-1500184001840018800192001120011200116001200012400128001320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