【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，而后窄幅盘整，涨幅0.63%报收于2706，期权隐含波动率上升1.73%至11.08%，持仓量PCR报收于2.09。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，冲高回落后连续两天大幅下跌，跌幅0.82%报收于3030，期权隐含波动率下降6.81%至20.05%，持仓量PCR报收于0.87。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，持续高位大幅波动，下跌1.04%报收于2704，期权隐含波动率下降0.17%至23.16%，持仓量PCR报收于1.03。操作建议，空仓规避风险。（4）白糖期权 白糖空头趋势线下弱势震荡有所回升，夜盘小幅下跌，跌幅0.19%报收5888；期权隐含波动率下降0.36%至14.35%；期权持仓量PCR报收于0.69。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 棉花超跌反弹后持续大幅上涨，上方有60天均线压力受阻，昨日大涨后夜盘弱势下跌，跌幅0.10%报收于19750，期权隐含波动率下降0.79%报收于23.84%，持仓量PCR报收于0.73。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8日 星期三卢品先投资经理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CC2205MM2205SRSR2205CFCF2205RMRM2205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2,70073.0073.502,7009.500.35-6.50 813,050117.00121.503,046-35.00 -1.14 15.50815,900181.50178.505,90311.000.1915.007919,8001,023.001,040.0019,783179.000.9133.00792,700144.50116.002,729-26.50 -0.96 24.5079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11.4210.8311.081.7312.9726.8820.05-6.81 15.6512.5614.35-0.36 24.1223.5823.84-0.79 25.2421.2923.16-0.17 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16,61963,5512.0658,637122,3160.1227,19114,482-0.38 122,131106,479-0.01 6,3194,5580.0436,73725,276-0.02 7,1537,855-0.55 34,45525,1120.011,4821,652-0.17 7,4987,7130.01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-PCR3.820.530.721.10持仓-PCR2.090.870.690.731.03C2205M2205SR2205CF2205RM2205期权标的合约C2205M2205MA20SR2205成交额(亿)CF2205RM2205期权标的合约-0.19 -0.10 -1.06 66.2117.7023.832,704.00涨跌17.00-25.00 -11.00 -20.00 3,030.0019,750.00-29.00 101.510.63-0.82 37.75202.31104.41235.515,888.00成交量(万)涨跌幅(%)收盘价2,706.00UP16.0267.2724.6114.9525.90C2205M2205SR2205CF220521.13到期日2022-04-112022-04-112022-04-072022-04-072022-04-0714.3518.82LOW12.6719.4733.5116.5217.2129.7126.85RM220529.40期权标的合约24.301.11【标的价量关系】2,646.00 0204060801001202,4002,4502,5002,5502,6002,6502,7002,7502,8002021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-292021-12-022021-12-07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2,700.00 0204060801001201402,4002,5002,6002,7002,8002,9003,0003,1003,2002021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-292021-12-022021-12-07成交量(万)收盘价3,215.00 0501001502003,0003,1003,2003,3003,4003,5003,6003,7003,8002021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-292021-12-022021-12-07成交量(万)收盘价5,827.00 01020304050607080905,0005,2005,4005,6005,8006,0006,2002021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-282021-10-082021-10-132021-10-182021-10-212021-10-262021-10-292021-11-032021-11-082021-11-112021-11-162021-11-192021-11-242021-11-292021-12-022021-12-07成交量(万)收盘价19,760.00 02040608010012014014,00016,00018,00020,00022,00024,0002021-06-022021-06-072021-06-102021-06-162021-06-212021-06-242021-06-292021-07-022021-07-072021-07-122021-07-152021-07-202021-07-232021-07-282021-08-022021-08-052021-08-102021-08-132021-08-182021-08-232021-08-262021-08-312021-09-032021-09-082021-09-132021-09-162021-09-232021-09-2820