棉花期权周报：市场情绪转好 内外棉强势反弹 棉花期权平值IV震荡下行

市场情绪转好内外棉强势反弹棉花期权平值IV震荡下行研究员：张翠萍投资咨询编号：Z0016574Email: zhangcp@mfc.com.cnTel: 027-68851659美尔雅期货棉花期权周报20221107 内容要点标的分析：上周ICE美棉期货强势反弹，周一触及近2年低点后连续涨停，周涨幅高达20.72%。月初美联储如期加息75基点，符合市场预期。USDA发布美棉出口周度数据显示，截至10月27日当周，美国2022/23年度陆地棉净签约43500吨，较前一周增加180%；装运陆地棉26989吨，较前一周增加33%。宏观利空落地，加上出口数据大幅增长，造就上周美棉的强势反弹。上周郑棉受外盘带动，表现强势，站稳13000关口后，试图冲击13500。国内金融市场情绪受疫情管控放松言论影响，整体表现较强。受疫情持续影响，新棉收购缓慢进行，籽棉收购价格较上周小幅下跌，当前平均价格5.74元/公斤。现货方面，随着新棉陆续上市，陈棉价格走弱，基差有所收窄。下游行情仍然惨淡，订单稀少，开机率环比下滑，纺企采购维持刚需。受棉花价格下跌影响，本周纺企利润转好。期权策略：上周棉花期权平值IV震荡下行，棉花主力合约CF301平值IV最新值为22.67%，国内疫情防控政策仍然坚持动态清零总方针，纺织产业生产流通不畅的状况仍将持续。新棉采摘交售进度滞后，供应压力后移，短期维持供需双弱的局面。操作上建议逢高做空，后续关注新棉收购及外盘走势。期权策略建议采用卖出看涨期权或宽跨式期权策略。 目录ONTENTSCPPT模板：www.1ppt.com/moban/ PPT素材：www.1ppt.com/sucai/PPT背景：www.1ppt.com/beijing/ PPT图表：www.1ppt.com/tubiao/ PPT下载：www.1ppt.com/xiazai/ PPT教程：www.1ppt.com/powerpoint/ 资料下载：www.1ppt.com/ziliao/ 范文下载：www.1ppt.com/fanwen/ 试卷下载：www.1ppt.com/shiti/ 教案下载：www.1ppt.com/jiaoan/ PPT论坛：www.1ppt.cn PPT课件：www.1ppt.com/kejian/ 语文课件：www.1ppt.com/kejian/yuwen/ 数学课件：www.1ppt.com/kejian/shuxue/ 英语课件：www.1ppt.com/kejian/yingyu/ 美术课件：www.1ppt.com/kejian/meishu/ 科学课件：www.1ppt.com/kejian/kexue/ 物理课件：www.1ppt.com/kejian/wuli/ 化学课件：www.1ppt.com/kejian/huaxue/ 生物课件：www.1ppt.com/kejian/shengwu/ 地理课件：www.1ppt.com/kejian/dili/ 历史课件：www.1ppt.com/kejian/lishi/ 棉花期权标的行情回顾期权行情回顾期权策略推荐1223 标的行情回顾1.1 标的行情回顾上周郑棉主连大幅上涨，郑棉盘中最高上触13250元/吨，最低触及12270元/吨，最终收盘13185元/吨，周涨幅2.57%（+330）；ICE美棉期货呈大幅反弹态势，最高上探83.89美分/磅，最低70.21美分/磅，最终收报于83.00美分/磅，周涨幅15.10%（+10.89美分/磅），主因或因美棉周度出口销售数据引发的乐观情绪。预计下周ICE期棉或将维持横盘震荡态势。70.000080.000090.0000100.0000110.0000120.0000130.0000140.0000150.0000160.0000170.0000180.000012000135001500016500180001950021000225002022-03-292022-04-052022-04-122022-04-192022-04-262022-05-032022-05-102022-05-172022-05-242022-05-312022-06-072022-06-142022-06-212022-06-282022-07-052022-07-122022-07-192022-07-262022-08-022022-08-092022-08-162022-08-232022-08-302022-09-062022-09-132022-09-202022-09-272022-10-042022-10-112022-10-182022-10-252022-11-01郑棉与美棉价格走势郑棉主连收盘价（元/吨）美棉（美分/磅） 2.1期权成交持仓分析期权行情回顾上周棉花期权总成交量为730562手，环比增加405219手，最新持仓量为357614手，环比增加44129手，交易活跃度大幅增加。从PCR指标来看，上周成交量PCR震荡走低，最新值0.54，持仓量PCR区间震荡，当前值0.44，目前棉花期权投资者情绪偏空。30%50%70%90%110%130%150%170%190%210%230%250%0200004000060000800001000001200001400001600001800002000002022-03-012022-03-072022-03-112022-03-172022-03-232022-03-292022-04-062022-04-122022-04-182022-04-222022-04-282022-05-092022-05-132022-05-192022-05-252022-05-312022-06-072022-06-132022-06-172022-06-232022-06-292022-07-052022-07-112022-07-152022-07-212022-07-272022-08-022022-08-082022-08-122022-08-182022-08-242022-08-302022-09-052022-09-092022-09-162022-09-222022-09-282022-10-112022-10-172022-10-212022-10-272022-11-02棉花期权总成交量&PCR走势棉花看涨期权总成交量棉花看跌期权总成交量棉花期权总成交量PCR50%60%70%80%90%100%110%120%130%140%150%0500001000001500002000002500003000003500004000002022-03-012022-03-082022-03-152022-03-222022-03-292022-04-072022-04-142022-04-212022-04-282022-05-102022-05-172022-05-242022-05-312022-06-082022-06-152022-06-222022-06-292022-07-062022-07-132022-07-202022-07-272022-08-032022-08-102022-08-172022-08-242022-08-312022-09-072022-09-152022-09-222022-09-292022-10-132022-10-202022-10-272022-11-03棉花期权总持仓量&PCR走势棉花看涨期权总持仓量棉花看跌期权总持仓量棉花期权总持仓量PCR 2.1 期权成交持仓分析期权行情回顾棉花最新期权主力合约为CF301合约系列。上周总成交631248手，环比增加328425手，最新持仓量304923手，交易活跃度大幅增加。CF301合约系列成交量PCR震荡走低，最新值为0.54，持仓量PCR区间震荡，最新值0.43，期权投资者市场情绪偏空。0.00%200.00%400.00%600.00%800.00%1000.00%1200.00%1400.00%1600.00%1800.00%0200004000060000800001000001200001400001600002022-05-052022-05-112022-05-172022-05-232022-05-272022-06-022022-06-092022-06-152022-06-212022-06-272022-07-012022-07-072022-07-132022-07-192022-07-252022-07-292022-08-042022-08-102022-08-162022-08-222022-08-262022-09-012022-09-072022-09-142022-09-202022-09-262022-09-302022-10-132022-10-192022-10-252022-10-312022-11-04CF301期权成交量&PCR走势CF301看涨期权成交量CF301看跌期权成交量CF301期权成交量PCR40%90%140%190%240%290%340%0500001000001500002000002500003000003500002022-05-052022-05-112022-05-172022-05-232022-05-272022-06-022022-06-092022-06-152022-06-212022-06-272022-07-012022-07-072022-07-132022-07-192022-07-252022-07-292022-08-042022-08-102022-08-162022-08-222022-08-262022-09-012022-09-072022-09-142022-09-202022-09-262022-09-302022-10-132022-10-192022-10-252022-10-312022-11-04CF301期权持仓量&PCR走势CF301看涨期权持仓量CF301看跌期权持仓量CF301期权持仓量PCR 2.2 波动率分析期权行情回顾郑棉主连短期历史波动率震荡上行。10日历史波动率最新值为25.44%，与前值大幅增加；中长期30日、60日、120日历史波动率环比持平。从波动率锥来看，目前10日历史波动率至均值附近，高于近月波动率，低于中长期历史波动率。0.005000.0010000.0015000.0020000.0025000.0030000.0035000.0040000.0045000.0050000.0055000.0060000.0065000.0070000.0075000.0080000.0085000.0090000.000.00%10.00%20.00%30.00%40.00%50.00%60.00%70.00%80.00%2022-11-072022-10-282022-10-202022-10-122022-09-272022-09-192022-09-082022-08-312022-08-232022-08-152022-08-052022-07-282022-07-202022-07-122022-07-042022-06-242022-06-162022-06-082022-05-302022