玉米期权周报：玉米期价高位震荡 隐波继续回落

玉米期价高位震荡隐波继续回落研究员：张翠萍投资咨询编号：Z0016574Email：zhangcp@zxqh.net玉米期权周报20240408 内容要点标的分析：本周玉米高位震荡。国外，上周美玉米出口净销售95.94万吨符合预期，不过新季美玉米产区天气有利，叠加全球玉米供应充足，美玉米周度震荡走低。国内供应方面，今年基层售粮进度整体偏慢，不过当前基层粮源基本转移至渠道；目前东北余粮基本为自然干粮，北港晨间汽运量偏少；华北深加工门前到车辆较多。不过市场传闻保税区进口玉米限量，或将减少今年进口玉米数量，对盘面形成支撑。需求方面，饲用领域谷物替代仍存，饲企对玉米随用随采，饲用玉米库存处于历史同期低位；加工企业按需采购，收购价格小幅走低；东北第三次收储持续，国储支撑仍存。策略：全球玉米炒作逐步转向新季美玉米，天气良好下盘面承压运行；国内玉米上量虽慢于往年，但保税区进口玉米限量炒作及国储采购支撑，短期玉米或将震荡偏强。期权策略：国内玉米主力平值期权VIX最新值为8.45%，处于历史较低水平,较前一周回落。考虑到短中长期波动率均在均值以下，且短中长期波动率依次递增排列，后续升波的概率较大，建议波动率交易者继续持有双买期权组合。 目录PPT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/ 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，玉米主力合约C2405高位震荡，周初开盘价2410元/吨，周度上涨13元/吨，涨幅0.54%，周中最高触及2443元/吨，最低跌至2407元/吨，周度收盘价为2428元/吨。2250230023502400245025002550260026502700C2405C24074004204404604805005205405605802300240025002600270028002900中国玉米（元/吨）美国玉米（美分/蒲式耳） 2.1期权成交持仓分析期权行情回顾上周，玉米期权总成交250082手，日均成交83361手，最新持仓量为456534手，环比减少16085手，交易活跃度环比微幅下降。从PCR指标来看，成交量PCR大幅上升，最新值1.03，持仓量PCR小幅上升，整体情绪中性偏空。0%60%120%180%240%300%360%420%480%540%600%660%0500001000001500002000002500003000003500004000002023-01-032023-01-122023-01-302023-02-082023-02-172023-02-282023-03-092023-03-202023-03-292023-04-102023-04-192023-04-282023-05-122023-05-232023-06-012023-06-122023-06-212023-07-042023-07-132023-07-242023-08-022023-08-112023-08-222023-08-312023-09-112023-09-202023-10-092023-10-182023-10-272023-11-072023-11-162023-11-272023-12-062023-12-152023-12-262024-01-052024-01-162024-01-252024-02-052024-02-222024-03-042024-03-132024-03-222024-04-02玉米期权总成交量&PCR走势玉米看涨期权总成交量玉米看跌期权总成交量玉米期权总成交量PCR50%70%90%110%130%150%170%190%210%01000002000003000004000005000006000007000002023-01-032023-01-122023-01-302023-02-082023-02-172023-02-282023-03-092023-03-202023-03-292023-04-102023-04-192023-04-282023-05-122023-05-232023-06-012023-06-122023-06-212023-07-042023-07-132023-07-242023-08-022023-08-112023-08-222023-08-312023-09-112023-09-202023-10-092023-10-182023-10-272023-11-072023-11-162023-11-272023-12-062023-12-152023-12-262024-01-052024-01-162024-01-252024-02-052024-02-222024-03-042024-03-132024-03-222024-04-02玉米期权总持仓量&PCR走势玉米看涨期权总持仓量玉米看跌期权总持仓量玉米期权总持仓量PCR 2.1 期权成交持仓分析期权行情回顾上周，玉米期权主力合约C2405合约系列，总成交188390手，日度均值环比大幅下降；最新持仓量361105手，环比减少14715手。C2405合约系列成交量PCR大幅上升，最新值为0.84，持仓量PCR小幅上升，最新值1.04，期权投资者市场情绪中性偏空。30%80%130%180%230%280%0200004000060000800001000001200001400002023-12-082023-12-122023-12-142023-12-182023-12-202023-12-222023-12-262023-12-282024-01-022024-01-042024-01-082024-01-102024-01-122024-01-162024-01-182024-01-222024-01-242024-01-262024-01-302024-02-012024-02-052024-02-072024-02-192024-02-212024-02-232024-02-272024-02-292024-03-042024-03-062024-03-082024-03-122024-03-142024-03-182024-03-202024-03-222024-03-262024-03-282024-04-012024-04-03C2405期权成交量&PCR走势C2405看涨期权成交量C2405看跌期权成交量C2405期权成交量PCR0%50%100%150%200%250%0500001000001500002000002500003000003500004000004500002023-12-082023-12-122023-12-142023-12-182023-12-202023-12-222023-12-262023-12-282024-01-022024-01-042024-01-082024-01-102024-01-122024-01-162024-01-182024-01-222024-01-242024-01-262024-01-302024-02-012024-02-052024-02-072024-02-192024-02-212024-02-232024-02-272024-02-292024-03-042024-03-062024-03-082024-03-122024-03-142024-03-182024-03-202024-03-222024-03-262024-03-282024-04-012024-04-03C2405期权持仓量&PCR走势C2405看涨期权持仓量C2405看跌期权持仓量C2405期权持仓量PCR 2.2 波动率分析期权行情回顾上周，玉米主连短期历史波动率小幅回落，中长期历史波动率大幅回落。10日历史波动率最新值8.20%，较前值8.79%小幅回落；中长期30日、60日历史波动率环比大幅回落，目前最新值分别为8.97%和10.77%。从波动率锥来看，当前短中长期历史波动率低于均值，且短中长期波动率依次递增排列。0.00%2.00%4.00%6.00%8.00%10.00%12.00%14.00%16.00%18.00%20.00%2024-04-032024-03-262024-03-182024-03-082024-02-292024-02-212024-02-052024-01-262024-01-182024-01-102024-01-022023-12-222023-12-142023-12-062023-11-282023-11-202023-11-102023-11-022023-10-252023-10-172023-10-092023-09-212023-09-132023-09-052023-08-282023-08-182023-08-102023-08-022023-07-252023-07-172023-07-072023-06-292023-06-192023-06-092023-06-012023-05-242023-05-162023-05-082023-04-252023-04-172023-04-072023-03-29历史波动率走势10日HV30日HV60日HV120日HV0.00%2.00%4.00%6.00%8.00%10.00%12.00%14.00%16.00%18.00%20.00%103060120玉米主连波动率锥最大值90分位数均值10分位数最小值最新 期权策略推荐3 期权策略推荐本周玉米高位震荡。国外，上周美玉米出口净销售95.94万吨符合预期，不过新季美玉米产区天气有利，叠加全球玉米供应充足，美玉米周度震荡走低。国内供应方面，今年基层售粮进度整体偏慢，不过当前基层粮源基本转移至渠道；目前东北余粮基本为自然干粮，北港晨间汽运量偏少；华北深加工门前到车辆较多。不过市场传闻保税区进口玉