【基本面信息】
　　豆粕：蛋白粕现货小幅上涨，广东东莞豆粕报4120（+20）元/吨；广东黄埔菜粕报3200（+40）元/吨。2023年第9周，全国大豆港口库存为431.44万吨，较上周减少0.27万吨；豆粕库存为63.84万吨，较上周增加0.83万吨；菜粕库存4.47万吨，较上周增加1.89万吨。大豆港口库存变化不大，豆菜粕持续累库。
　　棕榈油：基本面来看，2月马棕库存预计回落，但幅度有效，对盘面难有提振；而马来西亚短期持续暴雨，或对3月马棕产量造成不利影响，3月库存仍难累积，4月或有累库可能；印尼2-4月国内配额增加，对马棕亦有支撑。但中期马棕累库预期偏强，上方有较明显压制。
　　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。据国家棉花市场监测系统数据，截至3月2日，全国新棉销售率为53.0%，同比提高13.7个百分点。

研究报告全文：农产品期权日报期权研究2023年3月10日星期五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基本面来看2月马棕库存预计回落但幅度有效对盘面难有提振而马来西亚短期持续暴雨或对3月马棕产量造成不利影响3月库存仍难累积4月或有累库可能印尼2-4月国内配额增加卢品先对马棕亦有支撑但中期马棕累库预期偏强上方有较明显压制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涨交易咨询号幅028报收于2850期权隐含波动率下降001报收于923期权持仓量PCR小幅波动报收于108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010报收于3816豆粕期权隐含波动率下降044报收于1427期权持仓量PCR小幅回落仍维持较高水平报收于136操作建议豆粕前期持续大幅下跌止跌反弹回暖上升后形成上方有压力的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涨幅070报收于8106期权隐含波动率小幅上升047报收于2398持仓量PCR持续下降报收于054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空头压力下有所反弹上升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去年6月以来的高点形成较强的短期偏多头行情涨幅150报收于6298期权隐含波动率上升058至1527期权持仓量PCR小幅波动报收于119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SR305BSR305C610010BSR305C620010和SSR305C640010SSR305C6500105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038报收于14565棉花期权隐含波动率下降034报收于1770持仓量PCR小幅波动报收于054操作建议棉花CF305维持近一周以来的空头压力下弱势盘整震荡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中性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CF2305SCF2305P14200SCF2305P14400和SCF2305C14800SCF2305C14600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CC230528500080002818825349MM2305381600400010527620116PP23058106005600070514441419SRSR23056298009300150491930523CFCF23051456500-5500-038452133050RMRM2305305300-1700-055413612696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C23052860215039002843-1100-039-750322023-04-10M230538006600470038192000053300322023-04-10P2305810020250235008068-150-002-3850322023-04-10SR2305630061001590062021350022-9600282023-04-06CF230514600191003050014486-18100-123-7900282023-04-06RM230530506550455030708500281700282023-04-06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MA20UPLOWC2305912932923-0019571033882M2305131615361427-044156816541483P2305244523372398047250625932418SR230515961414152705811421315969CF2305189915301770-034185419001807RM2305165417681699-141192020141826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C23051599918411115-019150878162744108-001M23057221973041101-046172831235813136-003P230553456410230770077734341872054-002SR23058617252153061-021103357123028119-002CF23055509729642054-01416574389838054-001RM23052037513591067-0144258541538098001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290028400050285040280027503027002650202600102550250002022-10-312023-01-112022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-09图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000382000803800360040340002022-10-182022-11-242023-01-032023-02-162022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-212023-02-242023-03-012023-03-062023-03-09图3白糖主力合约走势图6300620700606200成交量万收盘价610050600040590058003057005600205500105400530002022-11-082023-01-192022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-09图4棉花主力合约走势图15600100成交量万收盘价151001448500801460014100601360013100401260020121001160002022-10-312023-01-112022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-09图5菜粕主力合约走势图3600成交量万收盘价1203400100320030700080300060280040260020240002022-11-112023-01-312022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-09图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-11-032023-01-162022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-09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300001200250001000800200006001500040010000200500000-200332023202360240024402480252025602600264026802720276028002840288029202960300030803160324033203400348023202360240024402480252025602600264026802720276028002840288029202960300030803160324034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-09-232022-12-282023-02-082022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-09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2003000OIPCRCLOSE22295018020290018160285016140280028400027501412027001210026501026008080255006025002022-11-112022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-012022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-12-272023-01-092023-01-192023-02-072023-02-172022-08-29IMPVMA20UPLOW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35000100003000080002500060002000040001500020001000005000-20000-400043502750285029503050315032503350345035503650375038503950405041504250445045502750285029503050315032503350345035503650375038503950405041504250435044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-09-232022-12-282023-02-082022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-09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3404400OIPCR35300CLOSE4200302526038200040002022038001518036001014034002022-11-112022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-012022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-12-272023-01-092023-01-192023-02-072023-02-172022-08-29IMPVMA20UPLOW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3000025002500020001500200001000150005001000005000-5000-10005200480050005200540056005800600062006400660068004800500054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-09-232022-12-282023-02-082022-08-292022-09-012022-09-062022-09-092022-09-152022-09-202022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-09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620700140OIPCR630020CLOSE620012018610016100600059001408058001206057001056000408550002054002022-11-112022-08-292022-09-062022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-212022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-012022-09-082022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-12-272023-01-092023-01-192023-02-072023-02-172022-08-29IMPVMA20UPLOW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260001500240002200010002000018000500160001400001200010000-50080006000-100040002000-1500184001840018800192001120011200116001200012400128001320013600140001440014800152001560016000164001680017200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