五矿期货-农产品期权日报-230316

>> 五矿期货-农产品期权日报-230316

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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16日星期四基本面信息豆粕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前一周上升受阻回落逐渐下行形成上方有压力的弱势偏空头趋势而后维持两周以来的Z0015541宽幅矩形区间跌幅014报收于2830期权隐含波动率下降066报收于888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064报收于3739豆粕期权隐含波动率下降012报收于1446期权持仓量PCR小幅回落仍维持较高水平报收于132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跌破近期低点而后超跌反弹仍未改变空头趋势方向夜盘大幅下挫跌幅166报收于7692期权隐含波动率下降1082报收于2621持仓量PCR低位反弹报收于055操作建议棕榈油P2305空头压力线下超跌反弹回暖上升受阻回落延续空头下行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快速大涨则逐渐平仓离场如P2305SP2305-P-760010SP2305-P-750010和SP2305-C-780010SP2305-C-7700104白糖期权白糖SR305上周以来持续大幅上涨突破去年6月以来的高点本周以来上涨收窄高位回落连续大幅下跌而趋势线方向仍向上跌幅177报收于6120期权隐含波动率下降176至1512期权持仓量PCR小幅波动报收于126操作建议白糖SR2305多头趋势方向上高位回落连续报收大阴线而趋势线方向仍向上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若市场行情极速大跌至低行权价则逐渐平仓离场如SR305BSR305C610010BSR305C600010和SSR305C640010SSR305C6300105棉花期权棉花CF305延续近两周以来的低位弱势盘整区间震荡夜盘大幅下跌跌幅129报收于14110棉花期权隐含波动率上升039报收于1972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CF2305SCF2305P13800SCF2305P14000和SCF2305C14000SCF2305C14200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CC2305283000-400-01415994533MM2305373900-2400-064515419400PP2305769200-13000-166565844266SRSR2305612000-11000-177586436532CFCF23051411000-18500-129266919075RMRM2305298700-4200-139531216090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C23052840210029002832-100-004200262023-04-10M230537506200425037704500123050262023-04-10P2305770026600135507831905011713850262023-04-10SR230561001355042006194-6550-1057350222023-04-06CF230514200246001700014276300002116600222023-04-06RM23053000610039503022-2700-0893450222023-04-06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MA20UPLOWC2305846912888-066928982874M2305133615391446-012151815881447P2305265225852621-108251126102411SR2305155214461512-17612581530987CF2305210517451972039185819121804RM2305178919721914-057189819701827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C23051443125363176-054153624157529103-001M23055358364004119-004176443232275132000P230540314348960870049000749447055004SR230512132873211060-027101191127001126007CF23055418231552058-02015455289650058000RM230515728341312171064335547251109-000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502900283200285040280027503027002650202600102550250002022-11-042023-01-172022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-15图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000376800803800360040340002022-10-242022-11-302023-01-092023-02-222022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-272023-03-022023-03-072023-03-102023-03-15图3白糖主力合约走势图650090成交量万收盘价806300619600706100605059004057003020550010530002022-11-142023-02-012022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-15图4棉花主力合约走势图15600100成交量万收盘价151008014600142750014100601360013100401260020121001160002022-11-042023-01-172022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-15图5菜粕主力合约走势图3600成交量万收盘价1203400100320030190080300060280040260020240002022-11-172023-02-062022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-15图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-11-092023-01-202022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-15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300008006002500040020000200150000-20010000-4005000-6000-800232024802320236024002440248025202560260026402680272027602800284028802920296030003080316032403320340034802360240024402520256026002640268027202760280028402880292029603000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-09-292023-01-042023-02-142022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-15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2003000OIPCRCLOSE22295018020290018160285016140280028320027501412027001210026501026008080255006025002022-11-172022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-03-152023-03-072022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012023-02-132023-02-232022-09-02IMPVMA20UPLOW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3500020003000015002500010002000050015000010000-5005000-10000-150043502950275028502950305031503250335034503550365037503850395040504150425044504550275028503050315032503350345035503650375038503950405041504250435044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-09-292023-01-042023-02-142022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-15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3404400OIPCR35300CLOSE4200302526040003768002022038001518036001014034002022-11-172022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-03-152023-03-072022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012023-02-132023-02-232022-09-02IMPVMA20UPLOW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3000030002000250001000200000-100015000-200010000-3000-40005000-50000-60005200480050005200540056005800600062006400660068004800500054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-09-292023-01-042023-02-142022-09-022022-09-072022-09-132022-09-162022-09-212022-09-262022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-15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1406400OIPCR61960018CLOSE63001206200166100100146000080590012580010060570004056008550002054002022-11-172022-09-022022-09-132022-09-212022-09-292022-10-142022-10-242022-11-012022-11-092022-11-252022-12-052022-12-132022-12-212022-12-292023-01-092023-01-172023-02-012023-02-092023-02-172023-02-272023-03-072023-03-152023-03-072022-09-152022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012023-02-132023-02-232022-09-02IMPVMA20UPLOW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240001500220001000200005001800016000014000-50012000-1000100008000-15006000-20004000-25002000-300018400184001880019200112001120011600120001240012800132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