【市场概要】五矿期货农产品期权日报期权研究2021年11月23日 星期二卢品先投资经理0755-23375252lupx@wkjyqh.com从业资格号F3047321投资咨询号【基本面信息】 豆粕、菜粕：上周美豆出口检验量207万吨，环比减少28.8%，同比减少18.1%。美豆出口季节性复苏，但仍弱于去年。目前市场焦点转向南美，巴西大豆播种进展顺利，产量预计增加4.35%。上周巴西大豆播种完成78%，去年同期70%，阿根廷大豆播种完成18.8%，接近五年均值21.8%。终端逢低补库，华南豆粕基差M2201+139，华东菜粕基差RM2201+11。上周豆粕库存60.11（+0.43）万吨，菜粕库存2.2（+0.6）万吨。水产消费淡季叠加大豆到港增加，蛋白粕库存继续止降回升。 白糖：制糖集团报价持稳，南宁报5800（0），与盘面基差-269（+73），市场成交略有走量。10月进口超预期，广西已开榨，后续供应有增加预期，市场情绪偏悲观；但进口利润持续倒挂，新季制糖成本增加，下方支撑仍在，短期下行空间有限。【期权分析及操作建议】（1）玉米期权 玉米延续近两个月以来的震荡上行，上周冲高回落后，止跌于20天均线反弹回升，跌幅0.34%报收于2673，期权隐含波动率上升1.98%至16.05%，持仓量PCR报收于0.97。操作建议，构建看跌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C2201，B_C2201P2620和S_C2201P2720。（2）豆粕期权 豆粕低位反弹回升后“V”型反转，站上20天均线而上有60天均线压力，夜盘持续上升，涨幅1.29%报收于3231，期权隐含波动率上升1.69%至19.34%，持仓量PCR报收于0.70。操作建议，空仓规避风险。（3）菜粕期权 菜粕低位反弹后连续7天报收阳线，突破近一个月以来的高点，而后冲高回落大幅波动，跌幅0.11%报收于2722，期权隐含波动率上升4.73%至29.68%，持仓量PCR报收于0.61。操作建议，空仓规避风险。（4）白糖期权 白糖延续近两个月以来的震荡上行温和上涨趋势，涨幅0.03%报收6048；期权隐含波动率上升0.46%至17.67%；期权持仓量PCR报收于0.50。操作建议，持有看跌期权牛市价差组合策略，若行情跌破低行权价，则平仓离场，如SR201，B_SR201P5900和S_SR201P6200。（5）棉花期权 棉花维持近一个月以来的宽幅矩形区间盘整震荡，跌幅0.51%报收于21610，期权隐含波动率上升0.69%报收于28.36%，持仓量PCR报收于0.84。操作建议，持有卖出宽跨式组合策略，获取时间价值，若市场行情突破区间上下限，则平仓离场，如CF201，S_CF201C22800，S_CF201C22400和S_CF201P20800，S_CF201P21200。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2,68027.5035.002,673-31.50 -1.16 -0.50 113,25026.0075.003,201-14.00 -0.44 -30.00 116,000106.0037.006,0692.500.0421.00921,600360.00281.0021,679-65.00 -0.30 69.0092,70056.0047.002,709-78.50 -2.82 -13.00 9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16.2115.8816.051.9819.1119.6019.341.6917.3118.6617.670.4626.0831.5628.360.6932.0427.6329.684.73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54,43452,164-0.06 142,843138,9260.0245,91042,1510.09200,907139,7230.0130,93310,5690.0498,27748,987-0.01 16,53911,796-0.10 96,69180,906-0.01 12,75514,7200.2429,66418,039-0.04 数据来源：wind资讯，五矿期货期权事业部19.4333.4728.62RM220130.01期权标的合约27.221.15【标的价量关系】UP16.08237.8487.2718.2129.44C2201M2201SR2201CF220121.19到期日2021-12-072021-12-072021-12-032021-12-032021-12-0315.4219.99LOW14.7620.6537.5018.80成交量(万)涨跌幅(%)收盘价2,673.003,231.0021,610.00-3.00 143.28-0.34 1.2953.42214.77199.92172.726,048.00期权标的合约C2201M2201MA20SR2201成交额(亿)CF2201RM2201期权标的合约0.03-0.51 -0.11 67.3133.0715.912,722.00涨跌-9.00 41.002.00-110.00 图1: 玉米主力合约走势图量-PCR0.960.920.340.71持仓-PCR0.970.700.500.840.61C2201M2201SR2201CF2201RM22012,670.00 0204060801001202,4002,4502,5002,5502,6002,6502,7002,7502,8002021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-22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2,710.00 0204060801001201402,4002,5002,6002,7002,8002,9003,0003,1003,2002021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-22成交量(万)收盘价3,202.00 0501001502003,0003,1003,2003,3003,4003,5003,6003,7003,8002021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-22成交量(万)收盘价6,067.00 01020304050607080905,0005,2005,4005,6005,8006,0006,2002021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-11-012021-11-042021-11-092021-11-122021-11-172021-11-22成交量(万)收盘价21,685.00 02040608010012014014,00016,00018,00020,00022,00024,0002021-05-182021-05-212021-05-262021-05-312021-06-032021-06-082021-06-112021-06-172021-06-222021-06-252021-06-302021-07-052021-07-082021-07-132021-07-162021-07-212021-07-262021-07-292021-08-032021-08-062021-08-112021-08-162021-08-192021-08-242021-08-272021-09-012021-09-062021-09-092021-09-142021-09-172021-09-242021-09-292021-10-112021-10-142021-10-192021-10-222021-10-272021-