【市场概要】【基本面信息】 豆粕、菜粕：美豆出口季节性复苏，但仍弱于去年。目前市场聚焦南美大豆产区，巴西大豆基本播种完毕，阿根廷大豆播种进行中，局部产区旱情引发单产和产量下降预期。上周大豆压榨量202.18（+13.29）万吨，豆粕产量161.74（+10.63）万吨，表观消费154.91（-1.58）万吨，豆粕库存61.56（+6.83）万吨。主要油厂菜粕库存1.78（-0.82）万吨。随着压榨量的回升，蛋白粕库存将趋势增加。 白糖：制糖集团报价延续下跌，南宁新糖报5750（-30），与盘面基差-61（-41），市场整体成交清淡。运费大幅下行，原糖高位回落，巴西配额外进口利润转正，对盘面提振转为压制。但新季国内制糖成本、前期进口成本均偏高，此价位已接近国内成本线，下方支撑较强，不宜过分悲观。 棉花：目前市场上现货整体成交偏淡，部分资源点价销售基差有继续下移倾向。整体看外部环境仍未稳定，变异病毒带来的悲观情绪仍未消散。产业方面表现一般，盘面反弹后国内棉花现货交投走淡，成交冷清。当前籽棉收购价格在4.65-4.80元/斤，成交了了，价格波动较小。下游纺企担忧棉价继续下跌、且棉纱更难走货，因此采购谨慎心理较强。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%。纱厂备货情绪一般，多按刚需采买为主。【期权分析及操作建议】（1）玉米期权 玉米上升受阻回落，连续两天报收大阴线，涨幅0.19%报收于2655，期权隐含波动率下降5.16%至9.36%，持仓量PCR报收于1.11。操作建议，空仓规避风险。（2）豆粕期权 豆粕延续两周以来的20天均线和60天均线之间大幅波动的市场行情格局，跌幅0.99%报收于3210，期权隐含波动率上升10.87%至26.86%，持仓量PCR小幅下降报收于0.60。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，上周大幅上涨后冲高回落，下跌1.09%报收于2724，期权隐含波动率上升0.84%至23.33%，持仓量PCR报收于1.02。操作建议，空仓规避风险。（4）白糖期权 白糖经过前两周的空头下跌趋势，而后弱势震荡，涨幅0.20%报收5888；期权隐含波动率上升0.30%至14.71%；期权持仓量PCR报收于0.71。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_SR205C6000，S_SR205C6100，S_SR205C6200和S_SR205C6300。（5）棉花期权 棉花上周持续大幅下跌后震荡上行，日上维持着大幅波动，涨幅1.25%报收于19780，期权隐含波动率下降0.77%报收于24.63%，持仓量PCR报收于0.72。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12月7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CC2201MM2201SRSR2205CFCF2205RMRM2205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2,6601.0015.002,646-15.50 -0.58 -9.00 13,20036.005.003,231-23.00 -0.71 21.0015,900180.00188.005,8923.500.064.008019,800943.001,124.0019,619176.000.91-161.00 802,700165.00110.002,7550.500.0231.0080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12.196.869.36-5.16 25.6828.5926.8610.8715.7013.2514.710.3025.0824.3624.63-0.77 23.3523.3123.330.84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31,88136,1580.43116,768129,072-0.00 45,22930,8640.01183,876110,322-0.00 10,4627,117-0.83 35,41425,173-0.01 3,7896,2290.3034,38124,6350.027419520.167,3387,4900.00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-PCR1.130.680.681.64持仓-PCR1.110.600.710.721.02C2201M2201SR2205CF2205RM2205期权标的合约C2201M2201MA20SR2205成交额(亿)CF2205RM2205期权标的合约0.201.25-1.09 35.0221.2524.902,724.00涨跌5.00-32.00 12.00245.003,210.0019,780.00-30.00 77.700.19-0.99 29.31113.56124.84243.205,888.00成交量(万)涨跌幅(%)收盘价2,655.00UP16.1957.8421.0015.2426.55C2201M2201SR2205CF220521.26到期日2021-12-072021-12-072022-04-072022-04-072022-04-0714.6318.89LOW13.0619.8433.9416.5317.5430.2527.11RM220529.52期权标的合约24.701.28【标的价量关系】2,643.00 0204060801001202,4002,4502,5002,5502,6002,6502,7002,7502,8002021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-012021-12-06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2,717.00 0204060801001201402,4002,5002,6002,7002,8002,9003,0003,1003,2002021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-012021-12-06成交量(万)收盘价3,229.00 0501001502003,0003,1003,2003,3003,4003,5003,6003,7003,8002021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-012021-12-06成交量(万)收盘价5,822.00 01020304050607080905,0005,2005,4005,6005,8006,0006,2002021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-10-282021-11-022021-11-052021-11-102021-11-152021-11-182021-11-232021-11-262021-12-012021-12-06成交量(万)收盘价19,615.00 02040608010012014014,00016,00018,00020,00022,00024,0002021-06-012021-06-042021-06-092021-06-152021-06-182021-06-232021-06-282021-07-012021-07-062021-07-092021-07-142021-07-192021-07-222021-07-272021-07-302021-08-042021-08-092021-08-122021-08-172021-08-202021-08-252021-08-302021-09-022021-09-072021-09-102021-09-152021-09-222021-09-272021-09-302021-10-122021-10-152021-10-202021-10-252021-1