【市场概要】五矿期货农产品期权日报期权研究2021年11月5日 星期五卢品先投资经理0755-23375252lupx@wkjyqh.com从业资格号F3047321投资咨询号【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。上周美豆出口检验量8350万蒲，环比减少11.5%，其中对中国出口检验5260万蒲。上周巴西大豆播种完成52%，去年同期42%，属于历史同期第二快进度。终端逢低补库，华南豆粕基差M2201+240，华东菜粕基差RM2201-22。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。上周菜粕库存小幅回落至1.22万吨，水产需求淡季下库存料季节性增加。 白糖：制糖集团报价持稳，南宁报5715（0），与盘面基差-226（+43），成交清淡。短期库存压力大，在未见到进口收窄前，上行动力不足。中期来看，下榨季国内小幅减产，进口收窄，远期价格低于进口成本，基本面有向好预期，时间换空间。 棉花：南疆籽棉收购持续进行中，阿克苏、巴州机采籽棉收购价相对较低，目前整体持稳，巴州40%毛衣分较优机采籽棉收购价10-10.2元/公斤。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温和上涨趋势，涨幅0.60%报收于2685，期权隐含波动率上升0.65%至15.78%，持仓量PCR报收于0.91。操作建议，持有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 豆粕延续弱势空头维持下跌趋势，跌幅0.26%报收于3120，期权隐含波动率上升1.23%至21.28%，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 菜粕空头趋势下弱势盘整，涨幅0.00%报收于2551，期权隐含波动率上升0.93%至29.99%，持仓量PCR报收于0.34。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，涨幅0.34%报收5958；期权隐含波动率下跌0.30%至19.72%；期权持仓量PCR回落至0.61。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，下跌0.68%报收于21295，期权隐含波动率下降1.67%报收于36.35%，持仓量PCR报收于0.86。操作建议，空仓规避风险。Z0015541 【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2,68044.0050.502,67419.500.73-11.50 233,10089.0050.503,1393.000.1018.50236,00089.00135.505,95412.500.21-4.50 2121,200863.00696.0021,367-176.00 -0.82 72.00212,55080.0060.002,57038.001.5019.0021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14.6917.9715.780.6522.6419.7621.281.2320.5017.5819.72-0.30 34.8238.1436.35-1.67 31.7824.0629.990.93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71,24835,3160.15148,519135,2520.0067,14361,847-0.09 214,009140,3690.0022,5118,1230.0388,98754,6230.0011,84810,1170.0585,95574,0070.037,8572,371-0.24 39,71613,391-0.00 数据来源：wind资讯，五矿期货期权事业部19.9139.7029.05RM220130.32期权标的合约27.770.30【标的价量关系】UP16.04220.8386.5718.9235.17C2201M2201SR2201CF220121.97到期日2021-12-072021-12-072021-12-032021-12-032021-12-0315.5220.86LOW15.0020.9044.2319.76成交量(万)涨跌幅(%)收盘价2,685.003,120.0021,295.0044.00128.560.60-0.26 48.16228.78204.02246.755,958.00期权标的合约C2201M2201MA20SR2201成交额(亿)CF2201RM2201期权标的合约0.34-0.68 0.0073.1334.3623.022,551.00涨跌22.001.00-18.00 -105.00 图1: 玉米主力合约走势图量-PCR0.500.920.360.85持仓-PCR0.910.660.610.860.34C2201M2201SR2201CF2201RM22012,676.00 0204060801001202,4002,5002,6002,7002,8002,9002021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-04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2,570.00 0204060801001201401602,4002,5002,6002,7002,8002,9003,0003,1003,2003,3002021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-04成交量(万)收盘价3,135.00 0501001502003,1003,2003,3003,4003,5003,6003,7003,8002021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-04成交量(万)收盘价5,945.00 01020304050607080905,0005,2005,4005,6005,8006,0006,2002021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-04成交量(万)收盘价21,355.00 02040608010012014014,00016,00018,00020,00022,00024,0002021-04-272021-04-302021-05-102021-05-132021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-09202