【基本面信息】
　　豆粕：美豆方面，上有顶下有底格局未变。3月USDA供需报告偏利多，阿根廷减产及巴西偏慢的收割进度对美豆底部有强支撑；但南美天气问题已交易至尾声，难以继续提振美豆上行。在巴西丰产及美豆出口不及预期背景下，市场较为担忧巴西收割加快后供应压力大增，上方压制明显。
　　棕榈油：马棕方面，3月供需报告偏利多、短期产区频发的暴雨对底部仍有支撑；但3月即将进入旱季，产量预计增加，有小幅累库预期，对上方有一定压制，震荡格局难破。
　　棉花：USDA再度调增中国2022/23年度棉花产量21.8万吨至642.3万吨，利空棉价，棉价上涨乏力。截止到11日新疆皮棉累计加工总量596.12万吨，同比增12.67%，本年度我国棉花总产量或超650万吨，上年度结转库存也环比调增，我国棉花供应端压力较大。

研究报告全文：农产品期权日报期权研究2023年3月14日星期二基本面信息豆粕美豆方面上有顶下有底格局未变3月USDA供需报告偏利多阿根廷减产及巴西偏慢的收割进度对美豆底部有强支撑但南美天气问题已交易至尾声难以继续提振美豆上行在巴西丰产及美豆出口不及预期背景下市场较为担忧巴西收割加快后供应压力大增上方压制明显棕榈油马棕方面3月供需报告偏利多短期产区频发的暴雨对底部仍有支撑但3月即将进入旱季产量预计增加有小幅累库预期对上方有一定压制震荡格局难破卢品先棉花USDA再度调增中国202223年度棉花产量218万吨至6423万吨利空棉价棉价上涨乏力截投研经理止到11日新疆皮棉累计加工总量59612万吨同比增1267本年度我国棉花总产量或超650万吨上年0755-23375252度结转库存也环比调增我国棉花供应端压力较大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围绕着60天均线弱势盘整形成上方有压力的弱势交易咨询号偏空头趋势跌幅032报收于2826期权隐含波动率上升019报收于921期权持仓量PCR小幅波动报Z0015541收于107操作建议玉米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上周止跌反弹连续报收阳线回升而后上升受阻回落延续弱势偏空头趋势跌幅026报收于3782豆粕期权隐含波动率上升065报收于1453期权持仓量PCR小幅回落仍维持较高水平报收于133操作建议豆粕维持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-370010SM2305-P-375010和SM2305-C-380010SM2305-C-3850103棕榈油期权棕榈油P2305上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本周以来延续弱势偏空头跌幅142报收于7788期权隐含波动率小幅上升0119报收于2517持仓量PCR持续下降报收于052操作建议棕榈油P2305形成短期弱势偏空头市场行情走势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-760010SP2305-P-770010和SP2305-C-780010SP2305-C-7900104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而后高位盘整震荡涨幅011报收于6296期权隐含波动率上升053至1751期权持仓量PCR小幅波动报收于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延续上涨趋势报收于100以上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涨幅035报收于14320棉花期权隐含波动率上升028报收于1858持仓量PCR小幅波动报收于057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CF2305SCF2305P14200SCF2305P14000和SCF2305C14400SCF2305C14600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CC2305282600-900-03229138259MM2305378200-1000-026600422772PP2305778800-11200-142599647369SRSR2305629600700011560735252CFCF230514320005000035487534777RMRM2305304200800026600518221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C23052820360020502836-1450-051950282023-04-10M230538005500480038079500252500282023-04-10P2305780024100161507880-3550-0459150282023-04-10SR2305630010000105006295-1650-026-100242023-04-06CF230514400160003200014240-11300-079-8000242023-04-06RM2305305056504800305916500541650242023-04-06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MA20UPLOWC23059289179210199431011875M2305135215151453065153916191459P2305259623912517019249725782415SR230517831715175105312051453958CF2305202216691858028184818901805RM2305172020151889-112190719891826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C23053082645325147023151820162471107001M23054680877495166055179954238454133-000P23054741929471062-0108394143394052-002SR23056685760070090015111459134752121-007CF2305562374878808702115901491084057002RM230532718440571350204572547924105003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502900283500285040280027503027002650202600102550250002022-11-022023-01-132022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000380900803800360040340002022-10-202022-11-282023-01-052023-02-202022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-232023-02-282023-03-032023-03-082023-03-13图3白糖主力合约走势图650090成交量万收盘价629600806300706100605059004057003020550010530002022-11-102023-01-302022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13图4棉花主力合约走势图15600100成交量万收盘价151008014600142350014100601360013100401260020121001160002022-11-022023-01-132022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13图5菜粕主力合约走势图3600成交量万收盘价1203400100320030600080300060280040260020240002022-11-152023-02-022022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-11-072023-01-182022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13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300006004002500020020000015000-200-40010000-6005000-8000-1000252029602320236024002440248025202560260026402680272027602800284028802920296030003080316032403320340034802320236024002440248025602600264026802720276028002840288029203000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-09-272022-12-302023-02-102022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13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2003000OIPCRCLOSE22295018020290018160285016140280028350027501412027001210026501026008080255006025002022-11-152022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-032022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212022-08-31IMPVMA20UPLOW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3500015003000010002500050020000015000-50010000-10005000-15000-200043502950275028502950305031503250335034503550365037503850395040504150425044504550275028503050315032503350345035503650375038503950405041504250435044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-09-272022-12-302023-02-102022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13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3404400OIPCR35300CLOSE4200302526038090040002022038001518036001014034002022-11-152022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-032022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212022-08-31IMPVMA20UPLOW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35000700060003000050002500040002000030002000150001000100000-10005000-20000-30005200480050005200540056005800600062006400660068004800500054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-09-272022-12-302023-02-102022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13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629600140OIPCR640018CLOSE63001206200166100100146000080590012580010060570004056008550002054002022-11-152022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-032022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212022-08-31IMPVMA20UPLOW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26000200024000220001500200001800010001600050014000120000100008000-50060004000-10002000-15001840018400188001920011200112001160012000124001280013200136001400014400148001520015600160001640016800172001760018000010800116001160018400108001080011200120001240012800132001360014000144001480015200156001600016400168001720017600180001880019200OIPOICOICHANGEPOICHANGEC棉花期权最大未平仓棉花认购认沽合约最大持仓量所在的行权价24000220002000018000160001400012000100002022-10-252022-12-272023-02-072022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13棉花期权到期日收盘价C最大持仓P最大持仓棉花期权持仓量PCR棉花期权隐含波动率OIPCRCLOSE110155004510014235001500040090351450030080251400007020060135001505010130005040003012500020120002022-11-152022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-032022-09-132022-09-232022-10-122022-10-242022-11-032022-11-152022-11-252022-12-072022-12-192022-12-292023-01-112023-01-302023-02-092023-02-212022-08-31IMPVMA20UPLOW菜粕期权持仓分布菜粕期权持仓分布图菜粕期权持仓变化图900020008000150070006000100050005004000300002000-5001000027002700245024502500260028002900300031003200330034003500360024002400-1000240024002450250026002700280029003000310032003300340035003600OIPOICOICHANGEPOICHANGEC菜粕期权最大未平仓菜粕认购认沽合约最大持仓量所在的行权价3500330031002900270025002022-09-272022-12-302023-02-102022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13菜粕期权到期日收盘价C最大持仓P最大持仓菜粕期权持仓量PCR菜粕期权隐含波动率452603500OIPCRCLOSE402203300351803060003100301402900251000602700200202500152022-11-072022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-01-052023-01-162022-08-312022-09-092022-09-212022-09-302022-10-182022-10-272022-11-072022-11-162022-11-252022-12-062022-12-152022-12-262023-02-012023-02-102023-02-212023-03-022023-03-13IMPVMA20UPLOW棕榈油期权持仓分布棕榈油期权持仓分布图棕榈油期权持仓变化图16000150014000100012000100005008000600004000-50020000-10001060010600100001000011200118001240013000100001060011200118001240013000940094007900580058006100640067007000730076007900820085008800910097005800610064006700700073007600820085008800910094009700OIPOICOICHANGEPOICHANGEC棕榈油期权最大未平仓棕榈油认购认沽合约最大持仓量所在的行权价110001050010000950090008500800075007000650060002022-10-252022-12-272023-02-072022-08-312022-09-052022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-13棕榈油期权到期日收盘价C最大持仓P最大持仓棕榈油期权持仓量PCR棕榈油期权隐含波动率5520010000OIPCR18050CLOSE9500160451409000401208500100350808000300607500250402002070002022-11-072022-08-312022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-152022-11-232022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132022-08-312022-09-092022-09-212022-09-302022-10-182022-10-272022-11-072022-11-162022-11-252022-12-062022-12-152022-12-262023-01-052023-01-162023-02-012023-02-102023-02-212023-03-022023-03-13IMPVMA20UPLOW免责声明五矿期货有限公司是经中国证监会批准设立的期货经营机构已具备有商品期货经纪金融期货经纪资产管理期货交易咨询等业务资格本刊所有信息均建立在可靠的资料来源基础上我们力求能为您提供精确的数据客观的分析和全面的观点但我们必须声明对所有信息可能导致的任何损失概不负责本报告并不提供量身定制的交易建议报告的撰写并未虑及读者的具体财务状况及目标五矿期货研究团队建议交易者应独立评估特定的交易和战略并鼓励交易者征求专业财务顾问的意见具体的交易或战略是否恰当取决于交易者自身的状况和目标文中所提及的任何观点都仅供参考不构成买卖建议版权声明本报告版权为五矿期货有限公司所有本刊所含文字数据和图表未经五矿期货有限公司书面许可任何人不得以电子机械影印录音或其它任何形式复制传播或存储于任何检索系统不经许可复制本刊任何内容皆属违反版权法行为可能将受到法律起诉并承担与之相关的所有损失赔偿和法律费用五矿期货分支机构深圳总部业务一部深圳市南山区滨海大道3165号五矿金融大厦13-16层电话400-888-5398电话0755-83252740业务二部业务三部电话0755-88917165电话0755-83752356业务四部业务五部电话010-68331868-183电话028-85053476深圳营业部北京分公司深圳市福田区福华三路1006号诺德大厦30D1北京市海淀区首体南路6号新世纪世行饭店写字楼1253室电话0755-83752310电话010-68332068上海分公司成都分公司上海市浦东新区向城路288号国华人寿金融大厦902903成都高新区天府大道北段1288号1幢3单元12层12041205电话021-58784529电话028-86131072青岛分公司北京营业部山东省青岛市东海西路35号太平洋中心1写字楼409北京市丰台区广安路9号院6号楼408409电话0532-85780820电话010-64185322广州营业部湛江营业部广东省广州市天河区珠江西路17号广晟国际大厦24楼2407广东省湛江市开发区乐山东路35号银隆广场12层A1210室电话020-29117582电话0759-2856220天津营业部西安营业部天津市滨海高新区华苑产业区梅苑路5号金座广场2101-陕西省西安市新城区纬什街新科路1号楼一层2102电话029-87572985电话022-23778878宁波中山西路营业部重庆营业部浙江省宁波市海曙区布政巷16号12楼1205室重庆市江北区江北城西大街25号11-1电话0574-87330527电话023-67078086郑州营业部南通营业部郑州市未来路69号未来大厦16层1612号江苏省南通市青年东路81号南通大饭店B楼财富中心2003室电话0371-65619030电话0513-81026105杭州民心路营业部台州爱华路营业部浙江省杭州市江干区万银大厦1408室浙江省台州市椒江区爱华新台州大厦8-A电话0571-81969926电话0576-89811511济南营业部昆明营业部山东省济南市历下区山大路201号天业科技商务大厦401云南省昆明市盘龙区北京路612号银海国际公寓D座3201室427室电话0871-63338532电话0531-83192255大连营业部唐山营业部辽宁省大连市沙河口区会展路大连国际金融中心A座大连期河北省唐山市路北区军鑫里凤城国贸1楼21层2104号货大厦2001号电话0315-5936395电话0411-84800452武汉营业部湖北省武汉市江岸区三阳路8号天悦星辰A栋26楼2602室电话0755-23375007