农产品期权周报
2022年8月7日农产品期权周报本报告中所有观点仅供参考，请务必阅读此报告倒数第二页的免责声明。 本周主要观点2注：30HV:30天历史波动率(%)波动率指数（VIX），由期权市场价格计算得出，反映市场对未来短期波动率的预期；持仓量PCR（Put-Call-Ratio），看跌期权持仓量和看跌期权持仓量的比值；波动率价差（VIX-HV），波动率指数和1个月历史波动率的差值；本报告数据统计截止时间至2022年8月5日15:00，数据来源：Wind。风险提示：单腿卖出期权的投资策略潜在风险较大，当市场行情不利时，投资者需及时对冲或止损。标的收盘价30HVVIX持仓量PCR参考运行范围主要观点本周策略上周策略豆粕期权371725.93%23.021.94M2301期价震荡（+1.01%）（+2.07%）（-0.70）（+0.13）【3500，4000】波动率回落玉米期权273315.77%14.461.56C2301期价震荡（+0.55%）（-0.19%）（+0.18）（+0.68）【2600，2900】波动率回落白糖期权559512.20%13.480.43SR301期价震荡（-3.17%）（+0.28%）（+1.25）（-0.12）【5500，5900】波动率偏低棉花期权1379042.96%23.740.61CF301期价震荡（-5.35%）（+0.37%）（-0.83）（-0.11）【13000，16000】波动率下降棕榈油期权790455.78%43.841.05P2301期价震荡（-7.03%）（-2.64%）（-1.67）（-0.09）【7000，9000】波动率较高前期组合到期，如有期货多单可卖出看涨期权对冲持有备兑看涨期权组合如有期货多单可卖出看涨期权对冲如有期货多单可卖出看涨期权对冲前期组合到期，如有期货多单可卖出看涨期权对冲持有备兑看涨期权组合前期组合到期，新仓观望利用看跌期权构建买入牛市价差组合持有牛市价差组合利用看跌期权构建买入牛市价差组合 目录3豆粕期权玉米期权0102白糖期权棉花期权0304棕榈油期权05 豆粕期权41 T型报价T型报价期权持仓量分布截至2022/8/5，豆粕期货2301合约收于3717元/吨，较上周(3680元/吨)上涨1.01%；从T型报价来看，行权价4000看涨期权成交活跃，行权价4000看涨期权持仓集中度较高，行权价3500看跌期权成交活跃，行权价3500看跌期权持仓集中度较高，标的价格在3500-4000运行为主。0100002000030000看涨期权持仓量看跌期权持仓量平值档位M2301.DCE持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量105715.26%820280030.86%13100.00%175089350011.62%816.5285024.89%5.5-38.89%04860012.19%768.5290029.26%16.537.50%185630012.91%721.5295028.62%1918.75%137371119.53%710300028.66%2414.29%100046660014.35%629.5305027.30%25-9.09%2074720015.26%585.5310027.13%30.5-12.86%1477150016.04%542.5315026.51%35-20.45%429281774017.06%501320026.18%41.5-23.85%2242420577623.82%483.5325025.76%48.5-27.61%34911733652023.94%4409.30%330026.23%61.5-24.07%354716074347229.39%41617.72%335025.33%68-30.26%624342427314933.51%386.519.80%340025.00%79-31.60%1373824223610034.62%35020.00%345024.76%92-32.10%6247794173147437.20%31920.66%350025.04%110.5-29.84%32352380978710637.20%28420.42%355024.56%125-31.32%71740422117105439.07%254.520.63%360024.32%143-31.25%31056771254330138.70%22420.43%365023.99%162-31.50%2196113794461222739.44%19820.51%370023.85%184.5-30.77%1743111692545108940.56%17520.68%375023.97%211-29.31%180110227663353440.09%15220.59%380023.80%237-28.72%3031972710862241141.49%13320.71%385024.12%269-26.90%17527092550670443.56%11720.96%390025.53%312-22.96%2513238599128943.57%100.520.92%395025.00%340-23.34%80143218081685647.50%88.521.23%4000417.5-13.65%01779665651246.08%74.521.07%4050467-10.96%6944256533749.43%6521.31%4100496-12.44%01535125327851.35%5621.45%4150537-11.97%010922553116059.68%49.521.81%4200535-18.20%291250015961.54%4221.84%4250622.5-10.94%0011378477.27%3922.54%4300667-10.41%0109087386.49%34.522.86%4350711.5-10.05%0102987701106.67%3123.26%4400757.5-9.61%02094837089116.00%2723.45%4450803.5-9.21%0334看跌期权看涨期权 期权持仓量与成交量期价与持仓量PCR期价与成交量PCR近期持仓量PCR变化不大，豆粕期价震荡偏强，关注后续看跌期权持仓量变化。从期权成交量来看，看跌期权成交占比明显下降，关注市场情绪变化。2500270029003100330035003700390041004300450047000.40.81.21.62.02.42.83.23.64.0PCR_oiunderlying_close2500270029003100330035003700390041004300450047000.00.40.81.21.62.02.42.83.2PCR_volunderlying_close 波动率波动率指数与期价历史波动率与波动率指数豆粕波动率指数较前期回落，目前处于中性偏低水平，关注后市波动率变化。实际波动率变化不大，波动率价差收紧。2500270029003100330035003700390041004300450047001216202428323640VIXunderlying_close-12-8-40481216510152025303540VIX-HVHV30VIX 波动率微笑主力期权波动率微笑主力期权整体隐波水平有所下降，波动率微笑左偏，关注市场情绪变化。12%16%20%24%28%2022/8/52022/8/42022/8/32022/8/22022/8/12022/7/29 玉米期权92 T型报价T型报价期权持仓量分布截至2022/8/5，玉米期货2301合约收于2733元/吨，较上周(2718元/吨)上涨0.55%；从T型报价来看，行权价2720看涨期权成交活跃，行权价2720看涨期权持仓集中度较高，行权价2620看跌期权成交活跃，行权价2500看跌期权持仓集中度较高，标的价格在2600-2900运行为主。0100020003000400050006000700080009000看涨期权持仓量看跌期权持仓量平值档位C2301.DCE持仓量成交量涨跌幅收盘价IV行权价IV收盘价涨跌幅成交量持仓量100.47%424.5230018.58%5.5266.67%134528000.50%405232018.16%6200.00%95460000.52%385.5234017.72%6.5160.00%178662000.55%366.5236018.27%9157.14%13822584000.58%347.5238017.71%9.5111.11%161566000.46%328.5240017.96%12100.00%2723541000.65%310.5242017.14%1260.00%44800100.52%292244015.12%9-5.26%04385100.73%274.5246016.84%1639.13%182897000.59%257248016.12%16.513.79%402195100.63%240250016.23%2014.29%1670992781-4.05%213252015.58%210.00%838587113300.73%207.5254015.39%24-4.00%62222310000.79%192.5256014.78%25.5-13.56%103257815300.85%177.5258015.10%31.5-8.70%647104054900.62%163260014.87%35.5-12.35%2479589366900.67%149.5262014.83%41-12.77%43403915700106.27%14412.22%264014.96%48-11.11%36382326853615.26%13012.16%266015.06%55.5-9.76%33819178054673.57%11611.98%268015.05%63-10.00%40543458504313.45%10512.18%270015.01%71-10.69%14926487539518396.04%96.512.63%272015.18%81-8.99%6213341505615548.54%8913.11%274015.41%92-8.00%411156233352866.85%7812.90%276015.37%102-8.11%17884329403116.92%69.512.97%278015.63%114.5-6.91%15050433187426.03%61.513.00%280015.79%127-6.27%1915516482174.90%53.512.92%282015.86%139.5-6.38%1311893641945.56%47.513.05%2840161-0.92%041418712037.59%42.513.24%2860175.5-0.85%01533484410008.70%37.513.35%2880190.5-0.78%083628658198.33%32.513.34%2900206-0.72%0473141783-1.92%25.512.82%2920221.5-0.89%01871365626.67%2413.32%2940238-0.83%017621044010.26%21.513.55%2960255-0.58%021510242-3.03%1612.94%2980272-0.55%0243270113621.43%1713.92%3000289.5-0.69%034458305.00%10.513.32%3040325.5-0.46%02641
