【基本面信息】
　　豆粕：基本面来看，南美天气问题交易至尾声，对美豆转为底部强支撑，难提振其上行。市场交易重心逐步转移至巴西，巴西收割进度环比加快，大豆出口贴水不断回落，美豆出口不及预期等，均反应出市场对巴西丰产压力的担忧，美豆上方压制明显。
　　棕榈油：马棕方面，2月库存去化略超预期，且高频数据显示3月库存有进一步小幅去化可能。但减产已接近尾声，后续将进入增产季，上方压制较为明显；短期若宏观企稳，马棕在高频数据偏多支撑下有反弹可能。
　　棉花：2023年3月USDA报告数据：美、澳、巴基斯坦减产合计113万吨，中、印土和巴西增产合计119万吨；除中国外，大部分消费国消费下降，导致期末库存增加，库销比创出2014年来最高。

研究报告全文：农产品期权日报期权研究2023年3月21日星期二基本面信息豆粕基本面来看南美天气问题交易至尾声对美豆转为底部强支撑难提振其上行市场交易重心逐步转移至巴西巴西收割进度环比加快大豆出口贴水不断回落美豆出口不及预期等均反应出市场对巴西丰产压力的担忧美豆上方压制明显棕榈油马棕方面2月库存去化略超预期且高频数据显示3月库存有进一步小幅去化可能但减产已接近尾声后续将进入增产季上方压制较为明显短期若宏观企稳马棕在高频数据偏多支撑下有反卢品先弹可能投研经理棉花2023年3月USDA报告数据美澳巴基斯坦减产合计113万吨中印土和巴西增产合计1190755-23375252万吨除中国外大部分消费国消费下降导致期末库存增加库销比创出2014年来最高lupxwkjyqhcom期权分析及策略建议从业资格号1玉米期权F3047321玉米C2305延续近三周以来的宽幅矩形区间盘整震荡上方有趋势线压力下方有前期低点支撑跌交易咨询号幅084报收于2822期权隐含波动率上升027报收于989期权持仓量PCR小幅波动报收于101操作Z0015541建议玉米C2305维持近三周以来20天均线附近的宽幅矩形区间盘整震荡期权隐含波动率有所反弹上升仍在较低水平持仓量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急速大涨或大跌则逐渐平仓离场如C2305SC2305-P-284010SC2305-P-282010和SC2305-C-288010SC2305-C-2860102豆粕期权豆粕M2205前一周止跌反弹回暖上升而后受阻回落上周以来震荡下行市场行情逐渐转为弱势空头昨日大幅下跌空头力量增强跌幅047报收于3636豆粕期权隐含波动率大幅度上升292报收于1955期权持仓量PCR持续下降仍维持较高水平报收于127操作建议豆粕沿着短期空头趋势方向持续空头下行期权隐含波动率快速上涨期权持仓量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-355010SM2305-P-360010和SM2305-C-360010SM2305-C-3650103棕榈油期权棕榈油P2305前一周以来高位回落连续报收阴线大幅下跌跌破近期低点上周以来低位弱势区间震荡跌幅026报收于7700期权隐含波动率急速上升379报收于3350持仓量PCR低位窄幅波动报收于056操作建议棕榈油P2305前一周持续大幅下挫后上周以来跌幅收窄低位弱势盘整震荡期权隐含波动率快速上升持仓量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-750010SP2305-P-760010和SP2305-C-780010SP2305-C-7700104白糖期权白糖SR305前一周连续大幅上涨突破去年6月以来高点上周高位回落连续大幅下跌而后止跌反弹回升且趋势线方向仍向上涨幅031报收于6180期权隐含波动率下降074至1529期权持仓量PCR快速反弹上升报收于113操作建议白糖SR2305经过前期的持续大幅上涨突破上行上周以来冲高回落快速下跌而后止跌回升而中期趋势线方向仍向上期权隐含波动率逐渐下降回落期权持仓量PCR快速反弹上升至110以上构建看涨期权看跌期权偏多头组合策策略获取时间价值和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SR305SSR305P620010SSR305P610010和SSR305C620010SSR305C6300105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上周空头压力线下持续下跌形成上方有压力的弱势区间盘整涨幅029报收于14050棉花期权隐含波动率下降019报收于2219持仓量PCR小幅波动报收于062操作建议棉花CF305上方有压力的弱势盘整震荡棉花期权隐含波动率快速上升后逐渐回落持仓量PCR较低水平窄幅波动构建卖出偏空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CF2305SCF2305P13800SCF2305P14000和SCF2305C14200SCF2305C14000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CC2305282200-2400-08429378360MM2305363600-1700-047875331981PP2305770000-2000-026767859283SRSR23056180001900031354721850CFCF230514050004000029552438699RMRM2305291700-2500-085540115887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C230528203700140028436000212100212023-04-10M23053650430087503606-9650-261-3050212023-04-10P2305770017650259007618-18800-241-8250212023-04-10SR230562004200110006132-1000-016-4800172023-04-06CF2305140002050022200139837300052-6700172023-04-06RM23052900630056002907-6250-210-1000172023-04-06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MA20UPLOWC23058971060989027919957881M2305194719611955292153716571416P2305324134203330379258828352341SR2305159414241529-074133316101056CF2305226221612219-019191220611762RM2305251826912629164197021931747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C23054705760627129-081157524159739101-002M2305133760186312139-035171685217277127-008P230569691683570980219821455106056-001SR23057423245859062-00798807111274113006CF23059485170070074-02114768891097062003RM23053749667147179-0485194753811104-011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290028430050285040280027503027002650202600102550250002022-11-092023-01-202022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-20图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000803800359900360040340002022-10-272022-12-052023-01-122023-02-272022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-03-022023-03-072023-03-102023-03-152023-03-20图3白糖主力合约走势图650090成交量万收盘价806300613200706100605059004057003020550010530002022-11-172023-02-062022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-20图4棉花主力合约走势图15600100成交量万收盘价151008014600139800014100601360013100401260020121001160002022-11-092023-01-202022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-20图5菜粕主力合约走势图3600成交量万收盘价1203400100320080290500300060280040260020240002022-11-222023-02-092022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-20图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-11-142023-02-012022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-20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3000020001500250001000500200000-50015000-100010000-1500-20005000-2500-30000-3500252029602320236024002440248025202560260026402680272027602800284028802920296030003080316032403320340034802320236024002440248025602600264026802720276028002840288029203000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-10-112023-01-092023-02-172022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-20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2003000OIPCRCLOSE22295018020290018160285016140280028430027501412027001210026501026008080255006025002022-11-222022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-03-022023-03-102023-03-202023-03-102022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-062023-01-182023-02-062023-02-162023-02-282022-09-07IMPVMA20UPLOW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30000400025000200020000015000-200010000-40005000-60000-800043502950275028502950305031503250335034503550365037503850395040504150425044504550275028503050315032503350345035503650375038503950405041504250435044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-10-112023-01-092023-02-172022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-20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3404400OIPCR35300CLOSE4200302526040002022035990038001518036001014034002022-11-222022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-03-022023-03-102023-03-202023-03-102022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-062023-01-182023-02-062023-02-162023-02-282022-09-07IMPVMA20UPLOW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3000010002500050020000015000-50010000-100050000-15005200480050005200540056005800600062006400660068004800500054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-10-112023-01-092023-02-172022-09-072022-09-132022-09-162022-09-212022-09-262022-09-292022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-122023-01-172023-01-202023-02-012023-02-062023-02-092023-02-142023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-20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140OIPCR640018CLOSE61320063001206200166100100146000080590012580010060570004056008550002054002022-11-222022-09-072022-09-162022-09-262022-10-112022-10-192022-10-272022-11-042022-11-142022-11-302022-12-082022-12-162022-12-262023-01-042023-01-122023-01-202023-02-062023-02-142023-02-222023-03-022023-03-102023-03-202023-03-102022-09-202022-09-302022-10-192022-10-312022-11-102022-11-222022-12-022022-12-142022-12-262023-01-062023-01-182023-02-062023-02-162023-02-282022-09-07IMPVMA20UPLOW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20000100018000500160001400001200010000-5008000-100060004000-15002000-200018400184001880019200112001120011600120001240012800132001360014000144001480015200156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