报告行业投资评级 未提及相关内容 报告的核心观点 - 油料油脂类农产品偏强震荡，油脂类和农副产品维持震荡行情，软商品白糖反弹回升震荡上行，棉花多头上涨，谷物类玉米和淀粉弱势窄幅盘整 [2] - 构建卖方为主的期权组合策略以及现货套保或备兑策略增强收益 [2] 根据相关目录分别进行总结 标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅（%） | 成交量（万手） | 量变化 | 持仓量（万手） | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 豆一 | A2509 | 4,140 | -43 | -1.03 | 18.43 | 8.30 | 14.76 | -3.29 | | 豆二 | B2509 | 3,625 | -7 | -0.19 | 10.88 | 0.13 | 10.78 | -0.48 | | 豆粕 | M2509 | 2,977 | -24 | -0.80 | 102.06 | 12.65 | 156.03 | -6.33 | | 菜籽粕 | RM2509 | 2,635 | -29 | -1.09 | 28.82 | -1.28 | 46.83 | -1.52 | | 棕榈油 | P2509 | 8,924 | 8 | 0.09 | 60.44 | -6.91 | 45.00 | -0.65 | | 豆油 | Y2509 | 8,150 | 36 | 0.44 | 28.12 | -10.08 | 49.03 | -1.43 | | 菜籽油 | OI2509 | 9,450 | 38 | 0.40 | 25.88 | -5.05 | 20.13 | -0.94 | | 鸡蛋 | JD2509 | 3,576.00 | -54.00 | -1.49 | 29.54 | 17.47 | 25.13 | 1.16 | | 生猪 | LH2509 | 14,125 | -310 | -2.15 | 6.39 | 0.69 | 6.14 | -0.09 | | 花生 | PK2510 | 8,142 | 4 | 0.05 | 11.92 | 9.16 | 10.17 | 0.46 | | 苹果 | AP2510 | 8,052 | 51 | 0.64 | 24.94 | 21.49 | 12.73 | 3.24 | | 红枣 | CJ2601 | 10,695 | 230 | 2.20 | 50.98 | 41.70 | 13.80 | 1.21 | | 白糖 | SR2509 | 5,867 | 10 | 0.17 | 20.89 | 3.07 | 32.48 | -1.89 | | 棉花 | CF2509 | 14,150.00 | -40.00 | -0.28 | 47.64 | 18.72 | 46.90 | -3.58 | | 玉米 | C2509 | 2,304 | -9 | -0.39 | 74.69 | 34.37 | 80.56 | -4.65 | | 淀粉 | CS2509 | 2,671 | -3 | -0.11 | 16.63 | 6.54 | 17.34 | -1.71 | | 原木 | LG2509 | 831 | 4 | 0.42 | 4.29 | 2.63 | 2.42 | -0.02 | [3] 期权因子—量仓PCR | 期权品种 | 成交量 | 量变化 | 持仓量 | 仓变化 | 成交量PCR | 量PCR变化 | 持仓量PCR | 仓PCR变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 豆一 | 59,464 | 16,482 | 74,530 | 6,736 | 0.37 | -0.16 | 0.41 | -0.05 | | 豆二 | 18,653 | 831 | 31,847 | 2,060 | 0.57 | -0.13 | 0.52 | -0.08 | | 豆粕 | 306,557 | 48,614 | 983,413 | 5,542 | 0.51 | -0.09 | 0.52 | -0.02 | | 菜籽粕 | 102,509 | 14,946 | 178,724 | 5,489 | 0.59 | -0.05 | 1.12 | -0.14 | | 棕榈油 | 174,830 | 17,349 | 275,523 | 2,057 | 0.84 | -0.13 | 1.19 | 0.02 | | 豆油 | 58,631 | -34,084 | 188,473 | 1,768 | 0.72 | 0.20 | 0.75 | -0.00 | | 菜籽油 | 55,980 | -25,806 | 138,177 | 5,488 | 0.57 | -0.16 | 0.96 | -0.03 | | 鸡蛋 | 113,464 | 59,360 | 136,384 | 13,602 | 0.31 | -0.05 | 0.36 | -0.01 | | 生猪 | 33,582 | 5,675 | 43,088 | 2,811 | 0.24 | 0.01 | 0.30 | -0.02 | | 花生 | 68,443 | 42,406 | 83,343 | 6,637 | 0.23 | -0.42 | 0.46 | -0.07 | | 苹果 | 76,198 | 60,750 | 46,203 | 8,411 | 0.17 | -0.23 | 0.40 | -0.11 | | 红枣 | 279,057 | 250,804 | 114,066 | 27,024 | 0.30 | 0.07 | 0.34 | 0.00 | | 白糖 | 170,044 | 23,991 | 287,026 | 8,592 | 0.29 | 0.02 | 0.59 | -0.03 | | 棉花 | 312,701 | 106,963 | 457,633 | 13,658 | 0.43 | 0.07 | 0.90 | -0.03 | | 玉米 | 209,829 | 95,725 | 488,528 | 27,634 | 0.40 | -0.06 | 0.50 | -0.02 | | 淀粉 | 45,466 | 20,281 | 60,534 | 4,898 | 0.41 | -0.11 | 0.82 | -0.13 | | 原木 | 27,229 | 17,802 | 28,764 | 2,429 | 0.24 | 0.00 | 0.50 | -0.05 | [4] 期权因子—压力位和支撑位 | 期权品种 | 标的合约 | 平值行权价 | 压力点 | 压力点偏移 | 支撑点 | 支撑点偏移 | 购最大持仓 | 沽最大持仓 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 豆一 | A2509 | 4,150 | 4,300 | 0 | 4,100 | 0 | 7,994 | 4,213 | | 豆二 | B2509 | 3,600 | 3,650 | 0 | 3,600 | 0 | 3,197 | 1,545 | | 豆粕 | M2509 | 3,000 | 3,100 | 0 | 2,900 | 0 | 62,648 | 52,629 | | 菜籽粕 | RM2509 | 2,650 | 2,800 | 0 | 2,500 | 0 | 20,133 | 10,753 | | 棕榈油 | P2509 | 8,900 | 10,000 | 0 | 8,000 | 0 | 18,888 | 16,226 | | 豆油 | Y2509 | 8,100 | 8,200 | 0 | 7,900 | 0 | 18,026 | 14,268 | | 菜籽油 | OI2509 | 9,400 | 10,000 | 0 | 9,000 | 0 | 6,736 | 4,621 | | 鸡蛋 | JD2509 | 3,600 | 4,000 | 0 | 3,400 | 0 | 22,651 | 4,349 | | 生猪 | LH2509 | 14,200 | 18,000 | 0 | 13,600 | 0 | 5,669 | 1,182 | | 花生 | PK2510 | 8,100 | 9,000 | 0 | 8,000 | 0 | 7,632 | 5,171 | | 苹果 | AP2510 | 8,100 | 8,900 | 0 | 7,000 | 0 | 7,809 | 2,951 | | 红枣 | CJ2601 | 10,600 | 11,400 | 0 | 9,600 | 600 | 17,647 | 3,039 | | 白糖 | SR2509 | 5,800 | 5,900 | 0 | 5,700 | 0 | 24,916 | 19,395 | | 棉花 | CF2509 | 14,000 | 15,000 | 0 | 13,000 | 0 | 24,974 | 17,101 | | 玉米 | C2509 | 2,320 | 2,320 | 0 | 2,300 | 0 | 26,550 | 21,892 | | 淀粉 | CS2509 | 2,700 | 2,700 | 0 | 2,700 | 0 | 6,292 | 11,617 | | 原木 | LG2509 | 850 | 900 | 0 | 775 | 25 | 4,969 | 1,582 | [5] 期权因子—隐含波动率(%) | 期权品种 | 平值隐波率 | 加权隐波率 | 加权隐波率变化 | 年平均 | 购隐波率 | 沽隐波率 | HISV20 | 隐历波动率差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 豆一 | 9.36 | 14.37 | 0.77 | 14.34 | 15.79 | 10.51 | 10.80 | -1.44 | | 豆二 | 13.025 | 16.80 | 0.69 | 17.69 | 18.29 | 14.17 | 12.22 | 0.81 | | 豆粕 | 14.435 | 18.59 | 0.18 | 20.10 | 20.79 | 14.28 | 14.03 | 0.41 | | 菜籽粕 | 24.595 | 27.84 | 0.45 | 25.46 | 29.56 | 24.92 | 19.19 | 5.40 | | 棕榈油 | 20.89 | 23.90 | 0.26 | 21.09 | 25.53 | 21.96 | 17.00 | 3.89 | | 豆油 | 13.005 | 16.02 | 0.06 | 15.88 | 17.67 | 13.73 | 12.51 | 0.49 | | 菜籽油 | 14.965 | 19.58 | 0.33 | 18.94 | 20.58 | 17.82 | 14.47 | 0.50 | | 鸡蛋 | 25.325 | 30.79 | 2.08 | 22.79 | 33.64 | 21.59 | 21.81 | 3.52 | | 生猪 | 22.09 | 30.16 | -2.47 | 18.53 | 32.74 | 19.20 | 14.16 | 7.93 | | 花生 | 13.075 | 17.25 | 1.86 | 12.90 | 18.16 | 13.20 | 11.33 | 1.74 | | 苹果 | 21.06 | 25.72 | 3.76 | 22.27 | 26.21 | 22.89 | 17.85 | 3.21 | | 红枣 | 27.8 | 45.82 | 10.04 | 23.95 | 50.93 | 28.81 | 23.87 | 3.94 | | 白糖 | 8.855 | 14.15 | 0.27 | 12.00 | 15.20 | 10.56 | 9.47 | -0.61 | | 棉花 | 13.94 | 19