农产品期权日报

【市场概要】【基本面信息】 豆粕、菜粕：上周美豆出口净销售156.45万吨，环比增加13%，其中向中国出口净销售88.25万吨。目前市场焦点转向南美，种植面积增加既定，关注单产变化。上周巴西大豆播种完成84%，五年均值77%，产量预计增加4.35%。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+93，华东菜粕基差RM2201-75。上周豆粕库存54.73（-5.38）万吨，菜粕库存2.6（+0.4）万吨。水产消费淡季叠加大豆到港增加，蛋白粕库存仍将趋势回升。 白糖：制糖集团报价普遍下调，南宁报5710（-20），与盘面基差-212（-13），市场交投转淡，成交一般。短期配额外进口利润有所修复，外盘缺乏上行动力，国内全面开榨，盘面大幅下挫。但新季制糖成本抬升，进口预期收窄，下方仍有强支撑。 棉花：新变异毒株的爆发引发市场对于经济和需求前景的严重担忧，恐慌指数再度大幅提升。大宗商品普跌，棉花盘面承压下挫。盘面依旧维持震荡，难言趋势。供需基本面以及短期消息面来看预判范围之内无强劲确定性利好，新花的成本既对盘面形成托底作用亦有向上的增压作用。目前棉花现货价格基本持稳，在市场价略低价区间内出货的轧花厂略有增加，不过成本高的轧花厂仍多封盘不售。下游需求未见明显转好，纱厂成品库存依旧累积至23.4天，纱厂开机率小幅回升至59%。【期权分析及操作建议】（1）玉米期权 玉米上周"M"顶回落跌破经线，而后在震荡回暖上升，仍在20天均线压力以下，涨幅0.56%报收于2672，期权隐含波动率上升0.80%至14.45%，持仓量PCR报收于1.00。操作建议，空仓规避风险。（2）豆粕期权 豆粕前两周低位反弹回升后“V”型反转，而后在20天均线和60天均线之间大幅波动，涨幅0.91%报收于3232，期权隐含波动率上升3.13%至19.81%，持仓量PCR小幅下降报收于0.70。操作建议，市场行情不稳定，空仓规避风险。（3）菜粕期权 菜粕延续两周以来的每日大幅波动的市场行情格局，涨幅0.22%报收于2687，期权隐含波动率上升4.86%至29.87%，持仓量PCR报收于0.59。操作建议，空仓规避风险。（4）白糖期权 白糖上周冲高回落后不断报收阴线，形成弱势偏空头趋势，先后跌破20天均线和60天均线，涨幅0.03%报收5918；期权隐含波动率上升0.78%至18.35%；期权持仓量PCR报收于0.53。操作建议，继续持有卖出看涨期权组合策略，获取时间价值，若市场行情快速反弹一个行权价，则平仓离场，如SR205，S_SR205C6300和S_SR205C6400。（5）棉花期权 棉花昨日大幅下跌，整体上维持一个多月以来的矩形区间震荡，跌幅0.40%报收于21095，期权隐含波动率上升6.55%报收于33.05，持仓量PCR报收于0.87。操作建议，构建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CF205，S_CF201C20800和S_CF205P19200。Z0015541五矿期货农产品期权日报期权研究2021年11月30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 【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2,68014.0034.002,66011.500.43-12.00 63,25028.0043.003,23518.000.563.0065,90055.0026.005,929-3.00 -0.05 11.00421,200185.00268.0021,117-293.00 -1.37 22.0042,70038.0024.502,71428.001.0426.504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13.6815.2414.450.8016.0822.8719.813.1319.7916.7618.350.7830.0334.5133.056.5527.8331.7629.874.68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45,58944,6160.00131,196130,7560.0167,19281,9460.19190,674134,191-0.03 19,86217,1450.4280,60642,974-0.02 22,77646,8781.0394,15782,285-0.03 11,83412,7920.1231,80818,9110.02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-PCR0.981.220.862.06持仓-PCR1.000.700.530.870.59C2201M2201SR2201CF2201RM2201期权标的合约C2201M2201MA20SR2201成交额(亿)CF2201RM2201期权标的合约0.03-0.40 0.2260.1326.7534.122,687.00涨跌15.0029.002.00-85.00 3,232.0021,095.006.00108.250.560.9140.73192.61158.28361.335,918.00成交量(万)涨跌幅(%)收盘价2,672.00UP16.02231.5286.3517.5027.76C2201M2201SR2201CF220120.66到期日2021-12-072021-12-072021-12-032021-12-032021-12-0315.1919.19LOW14.3520.3735.2017.7318.9331.4828.05RM220129.92期权标的合约26.171.08【标的价量关系】2,658.00 0204060801001202,4002,4502,5002,5502,6002,6502,7002,7502,8002021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29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2,715.00 0204060801001201402,4002,5002,6002,7002,8002,9003,0003,1003,2002021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29成交量(万)收盘价3,237.00 0501001502003,0003,1003,2003,3003,4003,5003,6003,7003,8002021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29成交量(万)收盘价5,927.00 01020304050607080905,0005,2005,4005,6005,8006,0006,2002021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-29成交量(万)收盘价21,110.00 02040608010012014014,00016,00018,00020,00022,00024,0002021-05-252021-05-282021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-3