【市场概要】 豆粕、菜粕：USDA将于5月12日公布供需报告，分析师预计20/21年度美豆期末库存将下调至1.17亿蒲，报告也会给出21/22年度大豆平衡表的首次预估。现阶段美豆进入播种期，截至上周末美豆播种完成42%，高于去年同期及五年均值。 白糖：主产区现货报价基本持稳，南宁报5560（0），与盘面基差-67，总体成交一般。国内销售数据偏差、库存高企及进口量较大，且随着盘面上涨产业套保压力不断增加均压制上方空间。短期走势主要跟随外盘，外盘强势下，进口成本大幅提升，巴西配额外成本达5800，郑糖短期易涨难跌。 棉花：大宗商品普跌带动棉花价格下挫，美棉由于德州部分降雨收跌亦利空国内郑棉价格。目前国内新疆棉花播种已经基本结束，前期受灾棉田已完成重播或补种。随着气温回升，棉苗生长有所加速，重播棉花已出苗。预计新棉上市供应量维持稳定。下游逐渐进入纺织淡季。纱线市场整体稳定，棉纤订单较好，据了解基本排单至5月底，部分大厂可至6月；化纤表现较平淡，新增订单较少，市场情绪低迷。 （1）玉米期权。玉米自4月初低位反弹上升后，维持一个多月以来的多头上涨趋势，上涨1.63%报收2872。期权隐含波动率上涨0.09%至14.55%，持仓量PCR报收于1.23。操作建议，玉米维持多头上涨，继续持有看涨期权牛市价差组合策略，若市场行情跌破低行权价，则平仓离场，如C2109，B_C2109-C-2840和S_C2109-C-2900。 （2）豆粕、菜粕期权。豆粕突破上涨延续多头上涨趋势，上涨2.64%报收3769，期权隐含波动率上涨1.61%至22.33%，持仓量PCR报收于1.02。操作建议，持有看跌期权牛市价差组合策略，若M2109跌破低行权价，则平仓离场，如M2109，B_M2109-P-3700和S_M2109-P-3800。 （3）白糖期权。白糖突破前期高点延续较强的多头信号，上涨3.10%报收5786；期权隐含波动率上涨1.19%至15.64%；期权持仓量PCR维持至0.39。操作建议，白糖延续多头震荡上行，继续持有看涨期权牛市价差组合策略，如SR109,B_SR109C5700和S_SR109C5800。 （4）棉花期权。棉花延续多头上涨趋势，上涨2.58%报收16310，期权隐含波动率上涨1.02%至25.75%，持仓量PCR报收于0.69，操作建议，持有看涨期权牛市价差组合策略，若市场行情受阻回落跌破低行权价，则平仓离场，如CF109，B_CF109C16000和S_CF109C16600。 Z0015541五矿经易期货农产品期权日报期权研究2021年5月13日 星期四卢品先投资经理0755-82927766lupx@wkjyqh.com从业资格号F3047321投资咨询号 【市场行情】期权品种标的合约CC2109MM2109SRSR2109CFCF2109RMRM2109数据来源：wind资讯，五矿经易期权事业部【主力期货合成期权】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2,88069.5084.002,86631.501.11-6.50 613,750170.50142.503,77897.502.659.00615,800150.00172.505,778154.002.74-8.50 5916,400707.00798.0016,309480.003.03-1.00 593,200144.50161.503,18393.003.01-7.00 59数据来源：wind资讯，五矿经易期权事业部注：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】IMP-CIMP-PIMP-T变化14.1515.1214.550.0923.4220.5222.331.6115.6215.7015.641.1925.4626.2625.751.0224.8224.5724.711.61数据来源：wind资讯，五矿经易期权事业部【主力期权合约持仓量PCR】量-Call量-Put变化持仓-Call持仓-Put变化27,88319,441-0.19 58,81572,1370.00103,94463,127-0.13 205,528209,380-0.04 74,64030,560-0.11 93,03236,384-0.04 19,65710,8480.2468,34647,343-0.02 7,3975,692-0.28 13,92316,4140.05数据来源：wind资讯，五矿经易期权事业部图1: 玉米主力合约走势图量-PCR0.700.610.410.55持仓-PCR1.231.020.390.691.18C2109M2109SR2109CF2109RM2109期权标的合约C2109M2109MA20SR2109成交额(亿)CF2109RM2109期权标的合约3.102.582.84150.1776.4352.493,190.00涨跌46.0097.00174.00410.003,769.0016,310.0088.00195.041.632.6468.23564.03440.74423.415,786.00成交量(万)涨跌幅(%)收盘价2,872.00UP14.42417.29131.7014.2122.01C2109M2109SR2109CF210920.67到期日2021-08-062021-08-062021-08-042021-08-042021-08-0414.0119.74LOW13.6015.2124.4318.8114.7123.2223.10RM210924.25期权标的合约21.950.77【标的价量关系】2,872.00 0204060801001201402,2002,4002,6002,8003,0002020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12成交量(万)收盘价 图4: 棉花主力合约走势图图2: 豆粕主力合约走势图图3 白糖主力合约走势图图5: 菜粕主力合约走势图3,190.00 0204060801001201401602,0002,2002,4002,6002,8003,0003,2003,4002020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12成交量(万)收盘价3,769.00 0501001502002503002,8003,0003,2003,4003,6003,8004,0002020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12成交量(万)收盘价5,786.00 01020304050607080904,8005,1005,4005,7006,0002020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12成交量(万)收盘价16,310.00 030609012015012,00013,00014,00015,00016,00017,00018,0002020-11-032020-11-062020-11-112020-11-162020-11-192020-11-242020-11-272020-12-022020-12-072020-12-102020-12-152020-12-182020-12-232020-12-282020-12-312021-01-062021-01-112021-01-142021-01-192021-01-222021-01-272021-02-012021-02-042021-02-092021-02-192021-02-242021-03-012021-03-042021-03-092021-03-122021-03-172021-03-222021-03-252021-03-302021-04-022021-04-082021-04-132021-04-162021-04-212021-04-262021-04-292021-05-072021-05-12成交量(万收盘价 【玉米期权持仓分布】【玉米期权最大未平仓】【玉