【市场概要】【基本面信息】 豆粕、菜粕：美豆出口支撑有限，市场焦点转向南美，巴西大豆增产预期施压盘面。上周美豆出口净销售118.34万吨，环比减少59%，其中对中国出口净销售108万吨。上周巴西大豆播种完成38%，去年同期23%。终端逢低补库，华南豆粕基差M2201+241，华东菜粕基差RM2201+107。上周豆粕库存50.7万吨，环比减少1.65万吨，11月大豆供给预估增加，基差延续高位回落。 白糖：制糖集团报价小幅下调，南宁报5715（-30），与盘面基差-210（+23），成交清淡。今日全国糖会召开，因国内制糖成本提升、配额外进口利润倒挂，与会代表均表现出对下榨季看好情绪。但库存居高不下，短期驱动不足，跟随外盘为主。中期来看，内盘仍有上行空间，但上涨将较为曲折。 棉花：籽棉收购价基本尘埃落定，基本在10元/吨附近波动。目前市场主要看多逻辑在于盘面贴水皮棉价格带来的成本支撑，目前盘面与皮棉价格倒挂在2000-3000左右，因此后期基差回归方式有待商榷。下游需求就数据看没有发现明显的转好迹象，纱厂成品库存8.9天较上周小幅累积，纯棉纱厂开工率持续下降至53%附近。若后期限产限电有所放松，或能带动下游需求的逐步转好。【期权分析及操作建议】（1）玉米期权 玉米延续近一个多月以来的震荡上行趋势，温和上涨，涨幅0.91%报收于2657，期权隐含波动率上升0.60%至15.29%，持仓量PCR报收于0.89。操作建议，构建看涨期权牛市价差组合策略，若市场行情回落跌破低行权价，则平仓离场，如C2201，B_C2201C2580和S_C2201C2680。（2）豆粕期权 豆粕维持空头趋势，持续大幅下跌，跌幅1.55%报收于3110，期权隐含波动率下降1.66%至19.89%，持仓量PCR报收于0.66。操作建议，继续持有卖出看涨期权组合策略，获取时间价值，若市场行情快速反转回升一个行权价，则逐渐平仓离场，如M2201，S_M2201C3350，S_M2201C3400，S_M2201C3450和S_M2201C3500。（3）菜粕期权 菜粕延续空头大幅下跌趋势，跌破今年6月以来的新低点，跌幅1.49%报收于2504，期权隐含波动率下降0.68%至28.80%，持仓量PCR报收于0.35。操作建议，空仓规避风险。（4）白糖期权 白糖在20天均线和60天均线以上大幅震荡，夜盘回落下跌，跌幅0.78%报收5943；期权隐含波动率上升0.14%至20.35%；期权持仓量PCR回落至0.62。操作建议，空仓规避风险。（5）棉花期权 棉花维持两周以来的宽幅矩形区间震荡，夜盘有所回落，跌幅1.33%报收于21455，期权隐含波动率上升0.99%报收于37.43%，持仓量PCR报收于0.83。操作建议，空仓规避风险。Z0015541五矿期货农产品期权日报期权研究2021年11月3日 星期三卢品先投资经理0755-23375252lupx@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CC2201MM2201SRSR2201CFCF2201RMRM2201数据来源：wind资讯，五矿期货期权事业部【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2,66036.0059.502,63722.000.84-20.50 253,10091.5045.503,146-15.00 -0.47 36.00255,900163.0081.005,98260.501.0239.002321,600905.00848.0021,65736.000.17202.00232,50082.5056.002,527-17.00 -0.67 22.5023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】IMP-CIMP-PIMP-T变化15.2815.3015.290.6022.4217.5319.89-1.66 20.7818.7320.350.1436.0540.1137.430.9932.3023.6928.80-0.68 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】量-Call量-Put变化持仓-Call持仓-Put变化84,13534,396-0.22 147,550131,299-0.02 64,42769,0520.27209,133138,545-0.05 41,53111,199-0.30 87,21053,8890.0122,01711,315-0.05 85,25870,636-0.02 8,7866,004-0.01 38,13613,1880.01数据来源：wind资讯，五矿期货期权事业部图1: 玉米主力合约走势图量-PCR0.411.070.270.51持仓-PCR0.890.660.620.830.35C2201M2201SR2201CF2201RM2201期权标的合约C2201M2201MA20SR2201成交额(亿)CF2201RM2201期权标的合约-0.78 -1.33 -1.49 75.7451.4042.492,504.00涨跌16.00-54.00 56.0070.003,110.0021,455.00-75.00 159.950.91-1.55 60.73239.28307.94461.975,943.00成交量(万)涨跌幅(%)收盘价2,657.00UP16.10229.0990.1118.3733.60C2201M2201SR2201CF220121.98到期日2021-12-072021-12-072021-12-032021-12-032021-12-0315.4020.64LOW14.7020.9344.3819.3019.6538.9928.66RM220130.29期权标的合约27.040.68【标的价量关系】2,637.00 0204060801001202,4002,5002,6002,7002,8002,9002021-04-232021-04-282021-05-062021-05-112021-05-142021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-02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2,522.00 0204060801001201401602,4002,5002,6002,7002,8002,9003,0003,1003,2003,3002021-04-232021-04-282021-05-062021-05-112021-05-142021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-02成交量(万)收盘价3,143.00 0501001502003,1003,2003,3003,4003,5003,6003,7003,8002021-04-232021-04-282021-05-062021-05-112021-05-142021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-02成交量(万)收盘价5,984.00 01020304050607080905,0005,2005,4005,6005,8006,0006,2002021-04-232021-04-282021-05-062021-05-112021-05-142021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-02成交量(万)收盘价21,640.00 02040608010012014014,00016,00018,00020,00022,00024,0002021-04-232021-04-282021-05-062021-05-112021-05-142021-05-192021-05-242021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-10202