研究报告全文：农产品期权日报期权研究2023年10月21日星期六基本面信息卢品先棉花现货收购方面昨日北疆采摘进度过半当前轧花厂籽棉收购意愿偏谨慎棉农挺价意愿较强导致收购数量不多国储拍卖方面10月18日储备棉销售资源2万吨实际成交058吨平均成交价格17094元吨较前一投研经理日上涨19元吨产业现货方面当前纺织纱线销售一般利润空间较小且货品累库情况较多原料采购趋于谨慎0755-23375252lupxwkqhcn白糖国际方面消息印度所有食糖品类的出口限制已延长至10月31日以后该限制不适用于按照特定配额向从业资格号欧盟和美国出口的食糖巴西的强降雨正在减缓港口船舶的装货速度这可能会将原定于10月的一些货物延误至11月国内方面消息产区制糖集团报价稳中有降加工糖厂报价全线持稳传统消费淡季现货交投冷清成交偏F3047321淡交易咨询号Z0015541期权分析及策略建议1玉米期权标的行情玉米C2401前期超跌反弹回暖上升连续报收阳线V型反转近两个月震荡下行突破前期超跌常俊萍低点呈现短期弱势的市场行情走势形态涨幅028报收于2509期权研究员期权分析期权隐含波动率报收于1055-060自高处加速跌破下轨道线后跌速放缓震荡下行期权持changjpwkqhcn量PCR报收于107迅速拉升后持续缓慢震荡下行从业资格号策略建议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快速波动至损益平衡点则逐渐平仓离场如C2401SC2401-P-2460SC2401-P-2480和SC2401-C-2500SC2401-C-2520F031174062豆粕期权标的行情豆粕M2401一个多月以来多头趋势方向上缓慢回落近一周弱势反弹后窄幅盘整市场行情短期偏中性涨幅028报收于3907期权分析豆粕期权隐含波动率报收于1668-043在较低位置延续前期加速下行趋势期权持仓量PCR报收于122震荡下行近两个月后缓慢上升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快速波动突破损益平衡点则逐渐平仓离场如M2401SM2401-P-3900SM2401-P-3950和SM2401-C-3950SM2401-C-40003棕榈油期权标的行情棕榈油P2401近一个多月以来自高点持续缓慢下跌后小幅回暖遇阻回落近两周反弹上升持续震荡上行后小幅回落跌幅174报收于7234期权分析棕榈油期权隐含波动率报收于2210-032延续自高点震荡下行趋势持仓量PCR报收于054延续前期阶段性震荡下行趋势策略建议构建卖出偏多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快速波动突破损益平衡点则逐渐平仓离场如P2401SP2401-P-720010SP2401-P-730010和SP2401-C-740010SP2401-C-7500104白糖期权标的行情白糖SR2401整体表现为前期震荡上行遇阻回落后近一个月宽幅区间震荡近两周加速下跌后弱势回暖上行形成长期多头趋势下短期中性偏多的行情涨幅051报收于6866期权分析白糖期权隐含波动率报收于1392-061自上轨道线快速下降跌破下轨道线后跌速放缓期权持仓量PCR报收于195持续下跌后窄幅盘整策略建议构建卖出偏多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波动突破损益平衡点则逐渐平仓离场如SR2401SSR2401P680010SSR2401P690010和SSR2401C700010SSR2401C7100105棉花期权标的行情棉花CF2401上涨突破前期高点的压力点形成快速上涨一个月前遇阻回落后宽幅盘整近三周弱势反弹遇阻回落后震荡下行市场行情表现为长期弱势偏多短期回落的行情走势形态跌幅039报收于16405期权分析棉花期权隐含波动率报收于1969-025自较高位置加速下跌后跌速放缓震荡下行持仓量PCR震荡下行后弱势回暖于较低位置盘整报收于091策略建议构建卖出看涨看跌偏空头的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涨或大跌突破损益平衡点则逐渐平仓离场如CF2401SCF2401P16200SCF2401P16400和SCF2401C16400SCF2401C16600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CC2401250900700028490512275MM24013907001100028974437969PP2401723400-12800-174607344709SRSR24016866003500051748351119CFCF24011640500-6500-039332327359RMRM24012923001400048651818957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C240125203150400025122550103050492023-12-07M240139009400835039111700044-050492023-12-07P2401730024350212007332-2750-037-250492023-12-07SR24016900115001465068695400079-950552023-12-13CF240116400491004570016434-7300-044-1100552023-12-13RM2401290010950960029142050071-350552023-12-13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MA20UPLOWC240111069991055-060216725421791M2401166216741668-043132715001154P2401230120822210-032322134552986SR2401123514991392-061184222441440CF2401206318421969-025244928572040RM2401235522952327-020294634592433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C240110661010095-086113598121848107001M240117431863107010260608318813122-002P240125001733069-0098037743615054001SR240130753438112-021109074212495195-009CF240152275655108-058167574152617091-003RM2401137916831220226194649277080001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290090成交量万收盘价285080280070602750502700402650302600202550251100102500020230411202304192023050520230526202306082023061620230703202307142023072420230804202308252023090720230915202309282023101920230414202304242023042720230510202305152023051820230523202305312023060520230613202306212023062820230706202307112023071920230727202308012023080920230814202308172023082220230830202309042023091220230920202309252023101120231016图2豆粕主力合约走势图4800180成交量万收盘价4600160440014012042003911001004000803800603600403400203200020230414202305102023052320230531202306132023062820230706202307192023080920230822202308302023091220230925202310112023041120230419202304242023042720230505202305152023051820230526202306052023060820230616202306212023070320230711202307142023072420230727202308012023080420230814202308172023082520230904202309072023091520230920202309282023101620231019图3白糖主力合约走势图7400180成交量万收盘价160720068780014070001206800100660080606400406200206000020231011202310162023101920230411202304142023041920230424202304272023050520230510202305152023051820230523202305262023053120230605202306082023061320230616202306212023062820230703202307062023071120230714202307192023072420230727202308012023080420230809202308142023081720230822202308252023083020230904202309072023091220230915202309202023092520230928图4棉花主力合约走势图19000250成交量万收盘价180002001700016445001501600010015000140005013000020230411202304142023041920230531202306052023060820230613202307242023072720230801202308042023091220230915202309202023042420230427202305052023051020230515202305182023052320230526202306162023062120230628202307032023070620230711202307142023071920230809202308142023081720230822202308252023083020230904202309072023092520230928202310112023101620231019图5菜粕主力合约走势图4000成交量万收盘价16038001403600120100340080320029170060300040280020260002023041420230427202305232023060520230613202306282023071120230719202308012023082220230904202309122023092520231016202304112023041920230424202305052023051020230515202305182023052620230531202306082023061620230621202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