五矿期货-农产品期权日报-230419

>> 五矿期货-农产品期权日报-230419

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研究报告全文：农产品期权日报期权研究2023年4月19日星期三基本面信息豆粕2023年第15周全国大豆港口库存为33004万吨较上周减少866万吨豆粕库存为2709万吨较上周减少565万吨菜粕库存312万吨较上周减少253万吨大豆美豆方面阿根廷产量再度下调但巴西创记录产量及持续走低的升贴水均反应了市场对巴西供应压力的担忧美国短期主产区天气良好利于种植但星期需关注可能的天气升水短期美豆缺乏较明显驱动区间震荡为主卢品先棕榈油截至2023年4月17日全国重点地区棕榈油商业库存约8979万吨较上周减少233万吨全投研经理国重点地区豆油商业库存约6541万吨较上周增加173万吨华东菜油库存278万吨较上周增加2360755-23375252万吨lupxwkjyqhcom期权分析及策略建议1玉米期权从业资格号玉米C2307空头压力线下反弹回暖上升而后受阻回落延续弱势盘整偏空头趋势线方向向下涨幅F3047321004报收于2743期权隐含波动率上升075报收于1206期权持仓量PCR小幅波动报收于109操作交易咨询号建议玉米C2307经过前期的持续空头下跌后超低反弹回升而后受阻回落延续弱势偏空头趋势期权隐Z0015541含波动率小幅波动仍在较低水平持仓量PCR有所反弹上升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C2307BC2307-P-278010BC2307-P-280010和SC2307-P-270010SC2307-P-2720102豆粕期权豆粕M2207经过前期的持续大幅下跌后上周以来维持空头压力线下弱势震荡跌幅104报收于3505豆粕期权隐含波动率下降025报收于1654期权持仓量PCR小幅下降报收于075操作建议豆粕沿着短期空头趋势方向持续空头下行而后低位弱势区间震荡期权隐含波动率持续下降期权持仓量PCR小幅波动构建卖出偏空头的看涨看跌期权组合策略获取方向性收益和时间价值收益若市场行情急速大涨则逐渐平仓离场如M2307SM2307-P-345010SM2307-P-350010和SM2307-C-355010SM2307-C-3500103棕榈油期权棕榈油P2306经过前三周以来的弱势偏空头趋势前一周以来连续报收阳线逐渐回升后受阻回落震荡下行而后超跌反弹回升涨幅180报收于7710期权隐含波动率下降109报收于2486持仓量PCR有所上升报收于088操作建议棕榈油P2306近两周以来先抑后扬延续空头压力线下快速反弹回升期权隐含波动率小幅波动持仓量PCR有所反弹仍维持至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收益若市场行情快速大涨或大跌超过损益平衡点则逐渐平仓离场如P2306SP2306-P-760010SP2306-P-770010和SP2306-C-770010SP2306-C-7800104白糖期权白糖SR307延续多头上涨趋势前一周加速上涨突破近期高点延续多头上涨趋势而后高位大幅波动本周以来再次突破高点上行涨幅029报收于6832期权隐含波动率下降028至1962期权持仓量PCR小幅波动报收于185操作建议白糖SR2307延续前期多头趋势加速上涨整体表现为多头趋势方向上大幅波动期权隐含波动率小幅波动期权持仓量PCR快速上升至150以上构建看涨期权牛市价差组合策策略获方向性收益若市场行情快速下跌至低行权价则逐渐平仓离场如SR307BSR307C670010BSR307C660010和SSR307C700010SSR307C7100105棉花期权棉花CF305延维持近三周以来震荡上行偏多头上涨涨幅053报收于15055棉花期权隐含波动率上升013报收于1763持仓量PCR小幅波动报收于081操作建议棉花CF307延续近三周以来的温和上涨趋势棉花期权隐含波动率小幅波动持仓量PCR窄幅波动构建卖出偏多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跌则逐渐平仓离场如CF2307SCF2307P15000SCF2307P14800和SCF2307C15000SCF2307C15200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CC230727430010000436329961MM2307350500-3700-10415205384PP2306771000136001803312509SRSR230768320020000291146478083CFCF2307150550080000539146844RMRM2307289500-1000-0349162660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C23072740425042002741700026-250502023-06-07M23073500105005750354836001034250502023-06-07P230677001485019450765419450261-5600222023-05-10SR2307680019700168506829250004-350482023-06-05CF2307150003630034500150183100021-3700482023-06-05RM2307290080006600291460002101900482023-06-05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MA20UPLOWC2307105112871205075113312221045M2307158517161654-025191121121710P2306241525682486-109280231242481SR2307193819791962-028190020821719CF2307178516991763013194221491735RM2307201818711963015230826012015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C23072342643753187-008116029126316109004M23074241047021111-0216465648382075-003P23065614549054087-0013412830131088008SR23077487810312513804995368176793185023CF23074225714350034-0114028932676081000RM23072908217650061-0571860813889075012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290050285040280027420027503027002650202600102550250002022-12-072023-02-242022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-18图2豆粕主力合约走势图4600200成交量万收盘价440016042001204000803800355000360040340002022-11-242023-01-032023-02-162023-03-272022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-302023-04-042023-04-102023-04-132023-04-18图3白糖主力合约走势图7100682900160成交量万收盘价6900140670012065001006300806100605900570040550020530002022-12-152023-03-062022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-092023-03-142023-03-172023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-18图4棉花主力合约走势图156001514500100成交量万收盘价15100801460014100601360013100401260020121001160002022-12-072023-02-242022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-03-012023-03-062023-03-092023-03-142023-03-172023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-18图5菜粕主力合约走势图3600成交量万收盘价1203400100320080294900300060280040260020240002022-12-202023-03-092022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-012023-03-062023-03-142023-03-172023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-18图6棕榈油主力合约走势图9000150成交量万收盘价8500120800090750060700030650002022-12-122023-03-012022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-082022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-132023-02-162023-02-212023-02-242023-03-062023-03-092023-03-142023-03-172023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-18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30000300025002500020002000015001500010005001000005000-5000-1000252029602320236024002440248025202560260026402680272027602800284028802920296030003080316032403320340034802320236024002440248025602600264026802720276028002840288029203000308031603240332034003480OIPOICOICHANGEPOICHANGEC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3200310030002900280027002600250024002022-11-082023-02-132023-03-172022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-18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2003000OIPCRCLOSE22295018020290018160285016140280027501412027001210027420026501026008080255006025002022-12-202022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-03-142023-03-222023-03-302023-04-102023-04-182023-04-102022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312023-02-102023-02-222023-03-062023-03-162023-03-282022-10-13IMPVMA20UPLOW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10000250090002000800070001500600050001000400050030002000010000-50043504350275028502950305031503250335034503550365037503850395040504150425044504550275028502950305031503250335034503550365037503850395040504150425044504550OIPOICOICHANGEPOICHANGEC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480044004000360032002022-11-082023-02-132023-03-172022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-18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3204400OIPCR35280CLOSE4200302402520040001602012038003550001508036001004000034002022-12-202022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-03-142023-03-222023-03-302023-04-102023-04-182023-04-102022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312023-02-102023-02-222023-03-062023-03-162023-03-282022-10-13IMPVMA20UPLOW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350007000300006000500025000400020000300015000200010001000005000-10000-20006100710049005100530055005700590063006500670069007300750049005100530055005700590061006300650067006900710073007500OIPOICOICHANGEPOICHANGEC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6800660064006200600058005600540052002022-11-082023-02-132023-03-172022-10-132022-10-182022-10-212022-10-262022-10-312022-11-032022-11-112022-11-162022-11-212022-11-242022-11-292022-12-022022-12-072022-12-122022-12-152022-12-202022-12-232022-12-282023-01-032023-01-062023-01-112023-01-162023-01-192023-01-312023-02-032023-02-082023-02-162023-02-212023-02-242023-03-012023-03-062023-03-092023-03-142023-03-222023-03-272023-03-302023-04-042023-04-102023-04-132023-04-18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682900200OIPCR700024180CLOSE680022160660020140186400120166200100146000120801006058008040560002054002022-12-202022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-282023-01-062023-01-162023-01-312023-02-082023-02-162023-02-242023-03-062023-03-142023-03-222023-03-302023-04-102023-04-182023-04-102022-10-252022-11-042022-11-162022-11-282022-12-082022-12-202022-12-302023-01-122023-01-312023-02-102023-02-222023-03-062023-03-162023-03-282022-10-13IMPVMA20UPLOW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10000600400800020006000-200-4004000-600-8002000-1000-120011200112001160012000124001280013200136001400014400148001520015600160001640016800010800136001360010800108001120011600120001240012800132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