五矿期货-农产品期权日报-230322

>> 五矿期货-农产品期权日报-230322

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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22日星期三基本面信息豆粕2023年第11周全国大豆港口库存为42464万吨较上周增加1746万吨豆粕库存为5181万吨较上周减少58万吨菜粕库存35万吨较上周减少085万吨大豆港口库存小幅回升但仍居高位豆菜粕延续去库整体库存压力不大棕榈油截至2023年3月20日全国重点地区棕榈油商业库存约10063万吨较上周减少094万吨全国重点地区豆油商业库存约6741万吨较上周减少684万吨华东菜油库存1657万吨较上周减少卢品先071万吨短期消费偏好油脂均小幅去库投研经理棉花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昨日大幅下挫跌破延续近三周以来的宽幅矩形区间下限夜盘延续弱势空头跌幅118交易咨询号报收于2774期权隐含波动率上升120报收于1109期权持仓量PCR小幅波动报收于099操作建议Z0015541玉米C2305大幅下跌跌破今年2月以来低点空头力量较强期权隐含波动率有所反弹上升仍在较低水平持仓量PCR小幅回落构建看跌期权熊市价差组合策略获取方向性收益若市场行情急速大涨至低行权价则逐渐平仓离场如C2305BC2305-P-274010BC2305-P-272010和SC2305-P-282010SC2305-P-2840102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本周以来快速下跌空头力量增强涨幅047报收于3643豆粕期权隐含波动率下降037报收于1918期权持仓量PCR小幅上升仍维持较高水平报收于133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而后低位弱势区间震荡本周以来延续弱势空头跌幅097报收于7584期权隐含波动率下降083报收于3246持仓量PCR低位窄幅波动报收于055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021报收于6174期权隐含波动率上升170至1699期权持仓量PCR小幅波动报收于110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036报收于14000棉花期权隐含波动率上升144报收于2363持仓量PCR小幅波动报收于060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CC2305277400-3300-118543115247MM23053643001700047674324453PP2305758400-7400-097752557639SRSR23056174001300021281317333CFCF230514020005000036338423644RMRM2305290400-100-003485914116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C23052780285026502782-6100-215800202023-04-10M230536505500630036424300119-100202023-04-10P2305760020700194507613-300-0042850202023-04-10SR230562005350945061593950065-1500162023-04-06CF230514000174002460013928-5500-039-9200162023-04-06RM23052900520047002905-200-007100162023-04-06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MA20UPLOWC2305110011131109120927984871M2305184519831918-037155317001405P2305312033883246-083261929072331SR2305173616301699170136216451080CF2305252921322363144193421151754RM2305242725612511-118199822521745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C230581941159531195066163727162479099-002M2305104839116128111-029157832209397133006P23057444166734090-00810384256805055-001SR23056868137320054-007100583110976110-002CF23055605540444072-00214504487490060-001RM23052209737427169-0105084051602101-002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290050285027790040280027503027002650202600102550250002022-11-102023-01-302022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000803800364000360040340002022-10-282022-12-062023-01-132023-02-282022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-03-032023-03-082023-03-132023-03-162023-03-21图3白糖主力合约走势图650090成交量万收盘价806300615800706100605059004057003020550010530002022-11-182023-02-072022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21图4棉花主力合约走势图15600100成交量万收盘价151008014600139300014100601360013100401260020121001160002022-11-102023-01-302022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-02-022023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21图5菜粕主力合约走势图3600成交量万收盘价1203400100320080300029030060280040260020240002022-11-232023-02-102022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-022023-02-072023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-11-152023-02-022022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-122022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-102023-01-132023-01-182023-01-302023-02-072023-02-102023-02-152023-02-202023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21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300001000025000800060002000040001500020001000005000-20000-4000236024803240232023602400244024802520256026002640268027202760280028402880292029603000308031603240332034003480232024002440252025602600264026802720276028002840288029202960300030803160332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-10-122023-01-102023-02-202022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21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2003000OIPCRCLOSE22295018020290018160285016140280027501412027790027001210026501026008080255006025002022-11-232022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-212023-03-132022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-12-272023-01-092023-01-192023-02-072023-02-172023-03-012022-09-08IMPVMA20UPLOW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300004000200025000020000-200015000-4000-600010000-80005000-100000-1200043503450275028502950305031503250335034503550365037503850395040504150425044504550275028502950305031503250335035503650375038503950405041504250435044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-10-122023-01-102023-02-202022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21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3404400OIPCR35300CLOSE4200302526040002022036400038001518036001014034002022-11-232022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-212023-03-132022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-12-272023-01-092023-01-192023-02-072023-02-172023-03-012022-09-08IMPVMA20UPLOW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300001000800250006002000040020015000010000-200-4005000-6000-8004800500052005400560058006000620064006600680048005000520054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-10-122023-01-102023-02-202022-09-082022-09-142022-09-192022-09-222022-09-272022-09-302022-10-172022-10-202022-10-252022-10-282022-11-022022-11-072022-11-102022-11-152022-11-182022-11-232022-11-282022-12-012022-12-062022-12-092022-12-142022-12-192022-12-222022-12-272022-12-302023-01-052023-01-132023-01-182023-01-302023-02-022023-02-072023-02-102023-02-152023-02-232023-02-282023-03-032023-03-082023-03-132023-03-162023-03-21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140OIPCR640018CLOSE61580063001206200166100100146000080590012580010060570004056008550002054002022-11-232022-09-082022-09-192022-09-272022-10-122022-10-202022-10-282022-11-072022-11-152022-12-012022-12-092022-12-192022-12-272023-01-052023-01-132023-01-302023-02-072023-02-152023-02-232023-03-032023-03-132023-03-212023-03-132022-09-212022-10-102022-10-202022-11-012022-11-112022-11-232022-12-052022-12-152022-12-272023-01-092023-01-192023-02-072023-02-172023-03-012022-09-08IMPVMA20UPLOW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200005001800001600014000-5001200010000-10008000-150060004000-20002000-250018400184001880019200112001120011600120001240012800132001360014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