五矿期货-农产品期权日报-230328

>> 五矿期货-农产品期权日报-230328

上传日期：	2023/3/28	大小：	1296KB
格式：	pdf 共12页	来源：	五矿期货
评级：	--	作者：	卢品先
下载权限：	无限制-登录即可下载

研究报告全文：农产品期权日报期权研究2023年3月28日星期二基本面信息豆粕美豆方面宏观风险释放但基本面仍承压巴西产量预估上调近期天气好转收割进度加快目前收割已过半巴西不断走低的出口报价升贴水及美豆远低于预期的出口均显示巴西供应压力的增加棕榈油马棕方面3月库存预计小幅下滑但月内高频显示目前已进入增产周期斋月备货结束在欧洲菜油价格偏低中印库存偏高背景下出口难见好转后续或将进入累库周期但4-5月累库进度卢品先预计偏慢短期利空并不突出投研经理棉花截止3月24日棉花商业总库存42245万吨环比上周减少283万吨降幅067其中新0755-23375252疆地区商品棉36572万吨周环比减少386万吨降幅0104内地地区国产商品棉3480万吨周环lupxwkjyqhcom比减少034万吨降幅097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上周以来连续大幅下跌跌破维持近三周以来的宽幅矩形区间下限昨日大幅下跌延续空Z0015541头下行趋势跌幅029报收于27338期权隐含波动率上升075报收于1266期权持仓量PCR小幅波动报收于096操作建议玉米C2305玉米上周连续大幅下跌跌破去年12月以来低点市场行情空头力量较强期权隐含波动率小幅上升仍在较低水平持仓量PCR小幅回落构建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-278010BC2305-P-280010和SC2305-P-270010SC2305-P-2720102豆粕期权豆粕M2205延续近两周以来持续大幅下跌空头力量不断增强跌幅014报收于3494豆粕期权隐含波动率上升113报收于2233期权持仓量PCR小幅上涨报收于098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维持近三周以来的弱势偏空头趋势上周以来加速下跌破位下行而后低位大幅波动涨幅107报收于7366期权隐含波动率下降000报收于3213持仓量PCR低位窄幅波动报收于040操作建议棕榈油P2305经过前三周以来的空头下跌而后低位弱势盘整有所回升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-730010SP2305-P-720010和SP2305-C-750010SP2305-C-7400104白糖期权白糖SR305前期连续大幅上涨突破去年6月以来高点而后高位回落连续大幅下跌上周止跌反弹回暖上升后快速回落而中期趋势线方向仍向上形成偏多头趋势方向上宽幅矩形区间大幅震荡涨幅010报收于6160期权隐含波动率下降015至1731期权持仓量PCR小幅波动报收于109操作建议白糖SR2305形成偏多头趋势方向上宽幅矩形震荡区间大幅波动且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小幅波动100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SR305SSR305P600010SSR305P610010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涨幅206报收于14135棉花期权隐含波动率上升024报收于2180持仓量PCR小幅波动报收于061操作建议棉花CF305维持一周多以来空头压力下弱势区间盘整棉花期权隐含波动率小幅波动持仓量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SCF2305C14200SCF2305C14400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CC2305273300-800-02929137986MM2305349400-500-014798827955PP23057366007800107829760483SRSR2305616000600010218913467CFCF2305141350028500206331322949RMRM2305277300-700-025621917288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C23052740200029502731-3500-127-250142023-04-10M23053500480063003485-2300-066-900142023-04-10P23057400133001935073401850025-2650142023-04-10SR23056200315092506139-5100-082-2100102023-04-06CF23051420055003570013898-400-003-23700102023-04-06RM23052750590035502774-550-020050102023-04-06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MA20UPLOWC23051254127312660759791101857M2305217822732233113166419271400P2305322631963213000277231622381SR2305179616601731-015149817601236CF2305228620892180024200122021800RM2305250827522633032213824781798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C230571328120354169-059183532176457096-002M230574511100774135-009180882177165098002P23059266270501076-01114789958697040001SR23054908944071090010100418108982109-001CF2305466435414811600814727689571061-000RM23052399925282105-0165468545841084-003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290050285040280027280027503027002650202600102550250002022-11-162023-02-032022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-27图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000803800360034860040340002022-11-032022-12-122023-01-192023-03-062022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-092023-03-142023-03-172023-03-222023-03-27图3白糖主力合约走势图650090成交量万收盘价806300616000706100605059004057003020550010530002022-11-242023-02-132022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-27图4棉花主力合约走势图15600100成交量万收盘价151008014600139100014100601360013100401260020121001160002022-11-162023-02-032022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-27图5菜粕主力合约走势图3600成交量万收盘价1203400100320080300060277300280040260020240002022-11-292023-02-162022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-27图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-11-212023-02-082022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-27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250003000200020000100015000010000-10005000-20000-3000252029602320236024002440248025202560260026402680272027602800284028802920296030003080316032403320340034802320236024002440248025602600264026802720276028002840288029203000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-10-182023-01-162023-02-242022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-27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2003000OIPCRCLOSE22295018020290018160285016140280027501412027001210027280026501026008080255006025002022-11-292022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172023-03-272023-03-172022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012023-02-132023-02-232023-03-072022-09-15IMPVMA20UPLOW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250003000250020000200015000150010001000050005000-5000-100043502950275028502950305031503250335034503550365037503850395040504150425044504550275028503050315032503350345035503650375038503950405041504250435044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-10-182023-01-162023-02-242022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-27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3404400OIPCR35300CLOSE4200302526040002022038001534860018036001014034002022-11-292022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172023-03-272023-03-172022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012023-02-132023-02-232023-03-072022-09-15IMPVMA20UPLOW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30000150010002500050020000015000-500-100010000-15005000-20000-25005200480050005200540056005800600062006400660068004800500054005600580060006200640066006800OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-10-182023-01-162023-02-242022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-27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140OIPCR640020CLOSE6160006300181206200161006100600014080590012580006057001004056008550002054002022-11-292022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172023-03-272023-03-172022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012023-02-132023-02-232023-03-072022-09-15IMPVMA20UPLOW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200001500180001000160001400050012000010000-50080006000-10004000-15002000-20001840018400188001920011200112001160012000124001280013200136001400014400148001520015600160001640016800172001760018000010800116001160018400108001080011200120001240012800132001360014000144001480015200156001600016400168001720017600180001880019200OIPOICOICHANGEPOICHANGEC棉花期权最大未平仓棉花认购认沽合约最大持仓量所在的行权价24000220002000018000160001400012000100002022-11-082023-01-112023-02-212022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-27棉花期权到期日收盘价C最大持仓P最大持仓棉花期权持仓量PCR棉花期权隐含波动率OIPCRCLOSE110155004510015000400901391000351450030080251400007020060135001505010130005040003012500020120002022-11-292022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-212022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172023-03-272023-03-172022-09-272022-10-142022-10-262022-11-072022-11-172022-11-292022-12-092022-12-212023-01-032023-01-132023-02-012023-02-132023-02-232023-03-072022-09-15IMPVMA20UPLOW菜粕期权持仓分布菜粕期权持仓分布图菜粕期权持仓变化图80001000700050060005000040003000-5002000-10001000027002700245024502500260028002900300031003200330034003500360024002400-1500240024002450250026002700280029003000310032003300340035003600OIPOICOICHANGEPOICHANGEC菜粕期权最大未平仓菜粕认购认沽合约最大持仓量所在的行权价3500330031002900270025002022-10-182023-01-162023-02-242022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-27菜粕期权到期日收盘价C最大持仓P最大持仓菜粕期权持仓量PCR菜粕期权隐含波动率452603500OIPCRCLOSE402203300351803100301402900251002773000602700200202500152022-11-212022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172023-03-272023-01-192023-02-062022-09-152022-09-262022-10-122022-10-212022-11-012022-11-102022-11-212022-11-302022-12-092022-12-202022-12-292023-01-102023-02-152023-02-242023-03-072023-03-162023-03-27IMPVMA20UPLOW棕榈油期权持仓分布棕榈油期权持仓分布图棕榈油期权持仓变化图25000160014002000012001000150008006001000040020050000-2000-4001060010600100001000011200118001240013000100001060011200118001240013000940094009400580058006100640067007000730076007900820085008800910097005800610064006700700073007600790082008500880091009700OIPOICOICHANGEPOICHANGEC棕榈油期权最大未平仓棕榈油认购认沽合约最大持仓量所在的行权价110001050010000950090008500800075007000650060002022-11-082023-01-112023-02-212022-09-152022-09-202022-09-232022-09-282022-10-102022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-27棕榈油期权到期日收盘价C最大持仓P最大持仓棕榈油期权持仓量PCR棕榈油期权隐含波动率5520010000OIPCR18050CLOSE9500160451409000401208500100350808000300607500250402002070002022-11-212022-09-152022-09-232022-10-102022-10-182022-10-262022-11-032022-11-112022-11-292022-12-072022-12-152022-12-232023-01-032023-01-112023-01-192023-02-032023-02-132023-02-212023-03-012023-03-092023-03-172023-03-272022-09-152022-09-262022-10-122022-10-212022-11-012022-11-102022-11-212022-11-302022-12-092022-12-202022-12-292023-01-102023-01-192023-02-062023-02-152023-02-242023-03-072023-03-162023-03-27IMPVMA20UPLOW免责声明五矿期货有限公司是经中国证监会批准设立的期货经营机构已具备有商品期货经纪金融期货经纪资产管理期货交易咨询等业务资格本刊所有信息均建立在可靠的资料来源基础上我们力求能为您提供精确的数据客观的分析和全面的观点但我们必须声明对所有信息可能导致的任何损失概不负责本报告并不提供量身定制的交易建议报告的撰写并未虑及读者的具体财务状况及目标五矿期货研究团队建议交易者应独立评估特定的交易和战略并鼓励交易者征求专业财务顾问的意见具体的交易或战略是否恰当取决于交易者自身的状况和目标文中所提及的任何观点都仅供参考不构成买卖建议版权声明本报告版权为五矿期货有限公司所有本刊所含文字数据和图表未经五矿期货有限公司书面许可任何人不得以电子机械影印录音或其它任何形式复制传播或存储于任何检索系统不经许可复制本刊任何内容皆属违反版权法行为可能将受到法律起诉并承担与之相关的所有损失赔偿和法律费用五矿期货分支机构深圳总部业务一部深圳市南山区滨海大道3165号五矿金融大厦13-16层电话400-888-5398电话0755-83252740业务二部业务三部电话0755-88917165电话0755-83752356业务四部业务五部电话010-68331868-183电话028-85053476深圳营业部北京分公司深圳市福田区福华三路1006号诺德大厦30D1北京市海淀区首体南路6号新世纪世行饭店写字楼1253室电话0755-83752310电话010-68332068上海分公司成都分公司上海市浦东新区向城路288号国华人寿金融大厦902903成都高新区天府大道北段1288号1幢3单元12层12041205电话021-58784529电话028-86131072青岛分公司北京营业部山东省青岛市东海西路35号太平洋中心1写字楼409北京市丰台区广安路9号院6号楼408409电话0532-85780820电话010-64185322广州营业部湛江营业部广东省广州市天河区珠江西路17号广晟国际大厦24楼2407广东省湛江市开发区乐山东路35号银隆广场12层A1210室电话020-29117582电话0759-2856220天津营业部西安营业部天津市滨海高新区华苑产业区梅苑路5号金座广场2101-陕西省西安市新城区纬什街新科路1号楼一层2102电话029-87572985电话022-23778878宁波中山西路营业部重庆营业部浙江省宁波市海曙区布政巷16号12楼1205室重庆市江北区江北城西大街25号11-1电话0574-87330527电话023-67078086郑州营业部南通营业部郑州市未来路69号未来大厦16层1612号江苏省南通市青年东路81号南通大饭店B楼财富中心2003室电话0371-65619030电话0513-81026105杭州民心路营业部台州爱华路营业部浙江省杭州市江干区万银大厦1408室浙江省台州市椒江区爱华新台州大厦8-A电话0571-81969926电话0576-89811511济南营业部昆明营业部山东省济南市历下区山大路201号天业科技商务大厦401云南省昆明市盘龙区北京路612号银海国际公寓D座3201室427室电话0871-63338532电话0531-83192255大连营业部唐山营业部辽宁省大连市沙河口区会展路大连国际金融中心A座大连期河北省唐山市路北区军鑫里凤城国贸1楼21层2104号货大厦2001号电话0315-5936395电话0411-84800452武汉营业部湖北省武汉市江岸区三阳路8号天悦星辰A栋26楼2602室电话0755-23375007

相关研报