郑棉震荡上涨美棉小幅下跌棉花期权平值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20230206 内容要点标的分析：上周，大宗商品节后开局普涨，期棉尤其受到中国强预期的支撑震荡。上周四USDA发布美棉周度出口数据显示，1月26日止当周，2022/23年度美国陆地棉出口销售净增17.12万包，较前周减少20%，但较前四周均值增加28%。2023/24年度美国棉花出口销售2.02万包，由于美棉出口销售强于预期，使得美棉周四收升。但由于美联储如期加息25个基点同时表示将继续提高率来对抗通胀，ICE美棉随之震荡收低。预计下周ICE美棉或将维持震荡运行态势。国内方面，上周郑棉震荡上行，投资者对棉纺产业仍保持乐观。截至2月3日，全国轧花企业开工率为22.54%，周环比上涨11.27%，目前大部分轧花厂逐步复工复产，开工率小幅增加。下游纯棉纱企业也已复工，截至2月3日，主流地区纺企开机负荷为72.3%，周环比增幅206.3%。随着开机率的提高，节前原料库存逐步降低，采购需求将逐渐增加。期权策略：上周棉花期权平值IV区间震荡下行，棉花CF303系列合约已到期。棉花主力合约CF305平值IV最新值为18.82%。整体来看，国内棉花供应充足，市场情绪乐观。美联储加息落地，符合市场预期，全球经济放缓趋势依旧明显。因此预计郑棉短期将维持震荡运行态势，后续需关注消费端的情况和本周即将发布的USDA供需报告。在趋势策略建议做多波动率策略。 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15275元/吨，最低触及14855元/吨，最终收盘于15045元/吨，周涨幅1.31%（+195）；ICE美棉期货小幅下跌，最高上探87.40美分/磅，最低84.50美分/磅，最终收报于86.39美分/磅，周跌幅0.74%（-0.64美分/磅），主因或受累于美联储加息落地和美元指数走强，预计本周ICE期棉或将维持震荡态势。60.000070.000080.000090.0000100.0000110.0000120.0000130.0000140.0000150.0000160.000010000.000012000.000014000.000016000.000018000.000020000.000022000.000024000.0000郑棉vs 美棉价格走势图CZCE棉花CF.CZCICE2号棉花CT.NYB 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713093手，环比增加75876手，最新持仓量为183745手，环比减少86258手，交易活跃度小幅增加。从PCR指标来看，上周成交量PCR震荡上行，最新值0.71，持仓量PCR先高后降，当前值0.64，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%0500001000001500002000002500002022-03-012022-03-082022-03-152022-03-222022-03-292022-04-072022-04-142022-04-212022-04-282022-05-102022-05-172022-05-242022-05-312022-06-082022-06-152022-06-222022-06-292022-07-062022-07-132022-07-202022-07-272022-08-032022-08-102022-08-172022-08-242022-08-312022-09-072022-09-152022-09-222022-09-292022-10-132022-10-202022-10-272022-11-032022-11-102022-11-172022-11-242022-12-012022-12-082022-12-152022-12-222022-12-292023-01-062023-01-132023-01-202023-02-03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PCR0%20%40%60%80%100%120%140%160%0500001000001500002000002500003000003500004000002022-03-012022-03-092022-03-172022-03-252022-04-062022-04-142022-04-222022-05-052022-05-132022-05-232022-05-312022-06-092022-06-172022-06-272022-07-052022-07-132022-07-212022-07-292022-08-082022-08-162022-08-242022-09-012022-09-092022-09-202022-09-282022-10-132022-10-212022-10-312022-11-082022-11-162022-11-242022-12-022022-12-122022-12-202022-12-282023-01-062023-01-162023-01-31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CF305合约系列。上周总成交313644手，环比增加15319手，最新持仓量159856手，交易活跃度小幅增加。CF305合约系列成交量PCR小幅增加，最新值为0.77，持仓量PCR小幅增加，最新值0.57，期权投资者市场情绪偏空。0.00%10.00%20.00%30.00%40.00%50.00%60.00%70.00%80.00%90.00%100.00%110.00%120.00%130.00%140.00%150.00%160.00%170.00%180.00%190.00%200.00%210.00%220.00%230.00%240.00%0200004000060000800001000001200001400001600002022-10-132022-10-172022-10-192022-10-212022-10-252022-10-272022-10-312022-11-022022-11-042022-11-082022-11-102022-11-142022-11-162022-11-182022-11-222022-11-242022-11-282022-11-302022-12-022022-12-062022-12-082022-12-122022-12-142022-12-162022-12-202022-12-222022-12-262022-12-282022-12-302022-01-042022-01-062022-01-102022-01-122022-01-162022-01-182022-01-202022-01-312022-02-02CF305期权成交量&PCR走势CF305看涨期权成交量CF305看跌期权成交量CF305期权成交量PCR30%35%40%45%50%55%60%65%70%75%80%85%90%95%100%105%110%115%120%125%130%135%140%145%150%155%160%165%170%175%180%185%0200004000060000800001000001200001400001600001800002022-10-132022-10-172022-10-192022-10-212022-10-252022-10-272022-10-312022-11-022022-11-042022-11-082022-11-102022-11-142022-11-162022-11-182022-11-222022-11-242022-11-282022-11-302022-12-022022-12-062022-12-082022-12-122022-12-142022-12-162022-12-202022-12-222022-12-262022-12-282022-12-302022-01-042022-01-062022-01-102022-01-122022-01-162022-01-182022-01-202022-01-312022-02-02CF305期权持仓量&PCR走势CF305看涨期权持仓量CF305看跌期权持仓量CF305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小幅增加。10日历史波动率最新值为14.75%，与前值小幅增加；中长期30日、60日、120日历史波动率持平。从波动率锥来看，目前10日历史波动率至10分位数下上方，与中期历史波动率持平，明显低于长期历史波动率。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%2023-02-062023-01-202023-01-122023-01-042022-12-262022-12-162022-12-082022-11-302022-11-222022-