【市场概要】五矿期货农产品期权日报期权研究2021年12月2日 星期四卢品先投资经理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。 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 玉米维持一周以来在20天均线以下小幅震荡，涨幅0.79%报收于2666，期权隐含波动率下降1.69%至13.33%，持仓量PCR报收于1.08。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，而后维持在20天均线和60天均线之间大幅波动，跌幅0.35%报收于3175，期权隐含波动率上升4.17%至21.05%，持仓量PCR小幅下降报收于0.63。操作建议，市场行情不稳定，空仓规避风险。（3）菜粕期权 菜粕延续三周以来的每日巨幅波动的市场行情格局，跌幅1.09%报收于2632，期权隐含波动率下降2.45%至27.61%，持仓量PCR报收于0.57。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，跌幅0.22%报收5910；期权隐含波动率下降3.57%至14.25%；期权持仓量PCR报收于0.54。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_SR205C6200，S_SR205C6300和S_SR205C6400。（5）棉花期权 棉花连续四天报收阴线，跌破一个多月以来的矩形区间下限，昨日超低反弹，涨幅1.58%报收于20545，期权隐含波动率上升0.48%报收于37.88，持仓量PCR报收于0.83。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2,66021.0017.502,66420.500.78-2.50 43,20031.5026.503,2055.500.1730.0045,90013.5049.005,865-28.50 -0.48 14.50220,400440.00168.0020,672602.003.00127.0022,65019.0014.502,655-27.00 -1.01 22.502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11.4814.9413.33-1.69 19.9221.8321.054.1715.7613.0114.25-3.57 27.9944.6937.880.4824.2829.7327.61-2.45 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44,25951,0010.36121,048130,5150.0445,12665,5090.26187,936117,665-0.04 22,40727,1990.5975,03240,421-0.02 30,76744,644-0.47 92,22076,7000.024,9387,793-0.02 31,03717,759-0.02 数据来源：wind资讯，五矿期货期权事业部18.5231.4728.04RM220129.95期权标的合约26.131.58【标的价量关系】UP16.01166.5562.6016.8127.77C2201M2201SR2201CF220120.68到期日2021-12-072021-12-072021-12-032021-12-032021-12-0315.0819.09LOW14.1520.2335.1717.50成交量(万)涨跌幅(%)收盘价2,666.003,175.0020,545.00-29.00 127.090.79-0.35 48.04122.28189.70462.985,850.00期权标的合约C2201M2201MA20SR2201成交额(亿)CF2201RM2201期权标的合约0.021.58-1.09 38.3832.4345.782,632.00涨跌21.00-11.00 1.00320.00图1: 玉米主力合约走势图量-PCR1.151.451.211.45持仓-PCR1.080.630.540.830.57C2201M2201SR2201CF2201RM22012,666.00 0204060801001202,4002,4502,5002,5502,6002,6502,7002,7502,8002021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-01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2,670.00 0204060801001201402,4002,5002,6002,7002,8002,9003,0003,1003,2002021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-01成交量(万)收盘价3,202.00 0501001502003,0003,1003,2003,3003,4003,5003,6003,7003,8002021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-01成交量(万)收盘价5,856.00 01020304050607080905,0005,2005,4005,6005,8006,0006,2002021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-01成交量(万)收盘价20,695.00 02040608010012014014,00016,00018,00020,00022,00024,0002021-05-272021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122