五矿期货-农产品期权日报-230324

>> 五矿期货-农产品期权日报-230324

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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24日星期五基本面信息豆粕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本周以来连续大幅下跌跌破维持近三周以来的宽幅矩形区间下限而后低位弱势震荡交易咨询号涨幅007报收于2773期权隐含波动率上升067报收于1179期权持仓量PCR小幅波动报收于096Z0015541操作建议玉米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上周震荡下行逐渐回落本周以来快速下跌空头力量增强跌幅169报收于3499豆粕期权隐含波动率上升187报收于2043期权持仓量PCR大幅度下降报收于111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仍维持较高位构建看跌期权熊市价差组合策略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M2305BM2305-P-355010BM2305-P-360010和SM2305-P-335010SM2305-P-3400103棕榈油期权棕榈油P2305维持近三周已来的弱势偏空头趋势本周以来加速下跌破位下行跌幅181报收于7174期权隐含波动率下降091报收于3325持仓量PCR低位窄幅波动报收于042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本周以来延续空头下跌趋势期权隐含波动率快速上升后小幅波动持仓量PCR维持至较低水平构建卖出空头的看涨期权看跌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至低行权价则逐渐平仓离场如P2305SP2305-P-700010SP2305-P-710010和SP2305-C-730010SP2305-C-7200104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持续大幅上扬高位震荡且趋势线方向仍向上跌幅056报收于6187期权隐含波动率上升024至1734期权持仓量PCR小幅波动报收于112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跌幅025报收于13955棉花期权隐含波动率下降024报收于2205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CC230527730020000732849101MM2305349900-6000-169702625009PP2305717400-13200-181739754046SRSR2305618700-3500-056347021591CFCF23051395500-3500-025267718728RMRM2305277600-5800-205542915388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C23052780220023002779900032600182023-04-10M23053500845037503547-6000-1664800182023-04-10P2305720019000166507224-14600-1984950182023-04-10SR230562006100685061931800029550142023-04-06CF230514000146001870013959-4400-031400142023-04-06RM23052800575041502816-5600-1954000142023-04-06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MA20UPLOWC23051054125211780679471035858M2305196521402073187159417941393P2305341932063325-091269830662329SR2305180116251734024142817101145CF2305228820952205-024196621651767RM2305250527352637147206123681754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C23054869982255169003176290169674096003M230594180151915161013174102192747111-015P230510805684801078-00713227755614042-004SR2305857415285406200398012110217112001CF23055660142383075-03114611390865062002RM230529575394081330075271251442098003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290050285027760040280027503027002650202600102550250002022-11-142023-02-012022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000803800354400360040340002022-11-012022-12-082023-01-172023-03-022022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-042022-11-092022-11-142022-11-172022-11-222022-11-252022-11-302022-12-052022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-202023-02-012023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-072023-03-102023-03-152023-03-202023-03-23图3白糖主力合约走势图650090成交量万收盘价806300619300706100605059004057003020550010530002022-11-222023-02-092022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-142022-11-172022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-012023-02-062023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23图4棉花主力合约走势图15600100成交量万收盘价151008014600139650014100601360013100401260020121001160002022-11-142023-02-012022-09-132022-09-162022-09-212022-09-262022-09-292022-10-112022-10-142022-10-192022-10-242022-10-272022-11-012022-11-042022-11-092022-11-172022-11-222022-11-252022-11-302022-12-052022-12-082022-12-132022-12-162022-12-212022-12-262022-12-292023-01-042023-01-092023-01-122023-01-172023-01-202023-02-062023-02-092023-02-142023-02-172023-02-222023-02-272023-03-022023-03-072023-03-102023-03-152023-03-202023-03-23图5菜粕主力合约走势图3600成交量万收盘价12034001003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