研究报告全文：农产品期权日报期权研究2023年9月22日星期五基本面信息卢品先棉花国际方面消息截至9月15日巴基斯坦9月上半月皮棉上市量约138万吨环比8月下半月下降约32新投研经理年度皮棉累计上市量61万吨较去年同期增加799为近年同期最高上市量国内方面消息9月19日储备棉销售资源2万吨实际成交率7967当前内销订单依然较差外销订单近期略有好转纺织企业原料采购较谨慎棉花现货0755-23375252市场卖家主动促销但下游接受度低成交仍以刚需采购为主lupxwkqhcn白糖国际消息印度气象部门主管周二表示在为期四个月的季风雨季季末印度将迎来强降雨这是农民的从业资格号救命稻草此前该国在8月经历百年不遇的干旱令部分夏季作物受灾国内消息昨日产区制糖集团报价区间F3047321为7410-7760元吨加工糖厂报价区间为7530-7950元吨糖企报价整体持稳仅少数下调10-20元吨现货市场观交易咨询号望心态上升交投氛围偏淡成交一般期权分析及策略建议Z00155411玉米期权标的行情豆粕M2311两周多以来多头趋势方向上缓慢回落近一周宽幅区间盘整跌幅059报收于4378常俊萍期权分析豆粕期权隐含波动率报收于2348035围绕历史平均水平窄幅波动期权持仓量PCR报收于期权研究员113自较高位置震荡下行changjpwkqhcn策略建议构建卖出看涨看跌偏多头的期权组合策略获方向性收益和时间价值收益若市场行情快速大跌或大从业资格号涨突破损益平衡点则逐渐平仓离场如M2311SM2311-P-4300SM2311-P-4400和SM2311-C-4550SM2311-C-4600F031174062豆粕期权标的行情豆粕M2311两周多以来多头趋势方向上缓慢回落近一周宽幅区间盘整跌幅029报收于4421期权分析豆粕期权隐含波动率报收于2348035围绕历史平均水平窄幅波动期权持仓量PCR报收于113自较高位置震荡下行策略建议构建卖出看涨看跌偏多头的期权组合策略获方向性收益和时间价值收益若市场行情快速大跌或大涨突破损益平衡点则逐渐平仓离场如M2311SM2311-P-4300SM2311-P-4400和SM2311-C-4550SM2311-C-46003棕榈油期权标的行情棕榈油P2401经过一个月以来多头趋势方向上振荡上行两周前自高点持续下跌接近一个月前的最低点形成长期多头趋势下短期低位弱势的市场行情走势形态跌幅038报收于7292期权分析棕榈油期权隐含波动率持续上升报收于2640067突破上轨道线持续上行持仓量PCR报收于070在较低位置盘整策略建议构建卖出偏中性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快速大跌或大涨突破损益平衡点则逐渐平仓离场如P2310SP2310-P-710010SP2310-P-720010和SP2310-C-740010SP2310-C-7500104白糖期权标的行情白糖SR2311整体表现为前期震荡上行一个月后遇阻回落上周以来连续下行后宽幅区间震荡跌幅020报收于7064期权分析白糖期权隐含波动率报收于2255109突破近一个月高点期权持仓量PCR报收于205持续下跌后小幅波动策略建议构建卖出偏多头的看涨看跌期权组合策略获取时间价值收益若市场行情急速大涨或大跌突破损益平衡点则逐渐平仓离场如SR2311SSR2311P700010SSR2311P710010和SSR2311C720010SSR2311C7300105棉花期权标的行情棉花CF2311一个月前延续多头上涨趋势突破前期高点的压力点形成快速上涨两周前震荡回落后宽幅盘整市场行情表现为长期偏多短期宽幅震荡的行情走势形态涨幅009报收于17455期权分析棉花期权隐含波动率报收于2780132高于上轨道线持续缓慢震荡上行持仓量PCR盘整于080延续震荡下行趋势策略建议构建卖出看涨看跌偏多头的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突破损益平衡点则逐渐平仓离场如CF2311SCF2311P17200SCF2311P17400和SCF2311C17600BCF2311C17800注持仓量PCR期权的持仓量PCR是从期权的卖方角度分析市场的参与程度期权持仓量PCR为100时一般认为是市场行情的多空分界线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CC2311264900-500-01933568910MM2311437800-2600-05911375008PP2401729200-2800-038662148471SRSR2311706400-1400-020113796CFCF2311174550015000094583996RMRM2311343300-400-01213084494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C231126403650220026551300049550222023-10-13M2311445089507100446971501639050222023-10-13P240173003470031400733361000844100772023-12-07SR231170009900106006993-4600-065-7100202023-10-11CF231117600309003570017552-3300-0199700202023-10-11RM2311345083008400344926500771600202023-10-11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MA20UPLOWC2311145113521410-022138714531321M2311228524192348035227023402199P2401269225612640067241925342305SR2311217223572255109197821621793CF2311284226742780132222325301916RM2311328033863335-138288931612617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C23111012763075-057140425112906080001M231118201899104-034121364136583113-002P240125251971078-0124563631851070000SR23111711715042-04862685128659205-008CF2311388117560450077942763365080-006RM231115031794119-0486705271572107-010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300090成交量万收盘价802900706028005040270026540030260020102500020230320202303232023032820230331202304062023042420230427202305052023051020230515202305182023052320230608202306132023061620230621202306282023070320230706202307272023080120230804202308092023081420230817202309072023091220230915202309202023041120230414202304192023052620230531202306052023071120230714202307192023072420230822202308252023083020230904图2豆粕主力合约走势图48001804600成交量万收盘价442100160440014042001201004000803800603600403400203200020230320202303232023032820230331202304062023041120230414202305052023051020230515202305182023052320230526202305312023061620230621202306282023070320230706202307112023071420230804202308092023081420230817202308222023082520230915202309202023041920230424202304272023060520230608202306132023071920230724202307272023080120230830202309042023090720230912图3白糖主力合约走势图7800180成交量万收盘价1607092007300140120680010080630060580040205300020230320202303232023032820230331202304112023041420230424202304272023051020230515202305232023052620230605202306082023061620230621202307032023070620230714202307192023072720230801202308092023081420230822202308252023090420230907202309152023092020230406202304192023050520230518202305312023061320230628202307112023072420230804202308172023083020230912图4棉花主力合约走势图19000250成交量万收盘价18000173450020017000160001501500010014000501300012000020230323202303282023033120230406202304112023042420230427202305052023051020230526202305312023060520230608202306212023062820230703202307062023071120230724202307272023080120230804202308222023082520230830202309042023091520230920202303202023041420230419202305152023051820230523202306132023061620230714202307192023080920230814202308172023090720230912图5菜粕主力合约走势图4000成交量万收盘价16038001403600345200120100340080320060300040280020260002023032820230331202304062023041120230414202304192023042420230515202305182023052320230526202305312023060520230608202306282023070320230706202307112023071420230719202307242023081420230817202308222023082520230830202309042023032020230323202304272023050520230510202306132023061620230621202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