五矿期货-农产品期权日报-230315

>> 五矿期货-农产品期权日报-230315

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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15日星期三基本面信息豆粕2023年第10周全国大豆港口库存为40718万吨较上周减少2426万吨豆粕库存为5761万吨较上周减少623万吨菜粕库存435万吨较上周减少012万吨大豆港口库存延续下滑趋势豆菜粕小幅去库棕榈油截至2023年3月10日全国重点地区棕榈油商业库存约10157万吨较上周减少131万吨全国重点地区豆油商业库存约7425万吨较上周增加024万吨华东菜油库存1728万吨较上周减少卢品先096万吨豆油库存变化不大棕榈油及菜油小幅去库投研经理棉花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0755-23375252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lupxwkjyqhcom度结转库存也环比调增我国棉花供应端压力较大从业资格号期权分析及策略建议F30473211玉米期权交易咨询号玉米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涨幅018报收于Z00155412833期权隐含波动率上升033报收于954期权持仓量PCR小幅波动报收于103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079报收于3748豆粕期权隐含波动率上升005报收于1459期权持仓量PCR小幅回落仍维持较高水平报收于131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-365010和SM2305-C-380010SM2305-C-3750103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低位弱势盘整涨幅059报收于7810期权隐含波动率大幅拉升212报收于2729持仓量PCR持续下降报收于051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市场行情而后高位盘整震荡跌幅013报收于6263期权隐含波动率下降063至1688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后高位震荡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049报收于14330棉花期权隐含波动率上升075报收于1934持仓量PCR小幅波动报收于058操作建议棉花CF305维持近两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CC230528330050001829128236MM2305374800-3000-079682825801PP23057810004600059667751854SRSR2305626300-800-013534833537CFCF230514330007000049425030306RMRM2305301800-2400-079633719277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C23052840230030002833-200-007000272023-04-10M23053750620047003765-4200-1101700272023-04-10P2305780017850244007735-14650-186-7550272023-04-10SR230563007500116006259-3600-057-400232023-04-06CF230514400167003200014247600004-8300232023-04-06RM23053000830032503051-800-0263250232023-04-06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MA20UPLOWC2305908974954033936996877M2305136715331459005152916041453P2305285925722729212250626032410SR2305171916531688-06312361504968CF2305205917731934075185218991805RM2305181221141971082190419821827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C23052378554692230083152934157926103-004M23055915573210124-042176942232236131-001P230563729525870830208762944540051-001SR23057000761103087-003109882130610119-002CF23055491742839078-00915993892187058000RM23052741230427111-0244519649294109004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502900283300285040280027503027002650202600102550250002022-11-032023-01-162022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-14图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000376500803800360040340002022-10-212022-11-292023-01-062023-02-212022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-242023-03-012023-03-062023-03-092023-03-14图3白糖主力合约走势图650090成交量万收盘价625300806300706100605059004057003020550010530002022-11-112023-01-312022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-14图4棉花主力合约走势图15600100成交量万收盘价151008014600142350014100601360013100401260020121001160002022-11-032023-01-162022-09-012022-09-062022-09-092022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-14图5菜粕主力合约走势图3600成交量万收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