报告行业投资评级 未提及 报告的核心观点 - 油料油脂类农产品偏弱震荡，油脂类、农副产品维持震荡行情，软商品白糖小幅震荡，棉花弱势盘整，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 | A2511 | 3,991 | -7 | -0.18 | 8.17 | -1.78 | 20.82 | 0.21 | | 豆二 | B2511 | 3,827 | 12 | 0.31 | 10.02 | -0.14 | 11.58 | 0.06 | | 豆粕 | M2511 | 3,083 | 3 | 0.10 | 9.26 | -3.57 | 56.01 | 0.02 | | 菜籽粕 | RM2511 | 2,586 | -6 | -0.23 | 1.04 | 0.01 | 3.37 | -0.05 | | 棕榈油 | P2510 | 9,530 | -74 | -0.77 | 1.19 | 0.12 | 0.97 | 0.01 | | 豆油 | Y2511 | 8,538 | 38 | 0.45 | 0.62 | 0.04 | 1.42 | -0.01 | | 菜籽油 | OI2511 | 9,980 | 32 | 0.32 | 4.20 | 0.02 | 7.42 | -0.04 | | 鸡蛋 | JD2510 | 3,021.00 | -5.00 | -0.17 | 40.78 | -11.85 | 46.25 | 2.83 | | 生猪 | LH2511 | 13,910 | 25 | 0.18 | 2.96 | -0.72 | 7.00 | -0.32 | | 花生 | PK2510 | 7,990 | -14 | -0.17 | 1.88 | -0.09 | 5.92 | -0.29 | | 苹果 | AP2510 | 8,141 | 51 | 0.63 | 5.24 | 2.25 | 7.77 | 0.30 | | 红枣 | CJ2601 | 11,410 | 65 | 0.57 | 13.03 | -5.69 | 13.28 | -0.14 | | 白糖 | SR2511 | 5,666 | 1 | 0.02 | 2.48 | 0.04 | 5.77 | 0.05 | | 棉花 | CF2511 | 14,060.00 | 40.00 | 0.29 | 3.67 | 1.09 | 9.72 | 0.01 | | 玉米 | C2511 | 2,158 | -6 | -0.28 | 54.29 | -9.29 | 98.41 | 2.88 | | 淀粉 | CS2511 | 2,492 | 1 | 0.04 | 10.91 | -7.90 | 19.93 | -0.35 | | 原木 | LG2511 | 820 | 3 | 0.31 | 0.88 | 0.24 | 1.24 | 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 | 27,795 | 5,184 | 53,009 | 5,605 | 0.47 | -0.15 | 0.37 | -0.04 | | 豆二 | 15,411 | -2,791 | 29,825 | 1,999 | 0.45 | -0.50 | 0.58 | -0.01 | | 豆粕 | 170,752 | -5,220 | 677,916 | 21,346 | 0.68 | -0.16 | 0.68 | -0.01 | | 菜籽粕 | 39,093 | -6,585 | 120,733 | 71 | 0.68 | -0.23 | 1.02 | -0.00 | | 棕榈油 | 191,043 | 13,561 | 153,696 | 12,375 | 0.69 | -0.18 | 1.51 | 0.06 | | 豆油 | 28,401 | -4,847 | 67,410 | 2,660 | 0.67 | 0.01 | 0.69 | 0.02 | | 菜籽油 | 16,852 | -3,831 | 85,840 | 789 | 0.69 | 0.18 | 1.13 | -0.00 | | 鸡蛋 | 138,120 | -91,328 | 300,465 | 16,567 | 0.55 | -0.14 | 0.29 | 0.00 | | 生猪 | 6,856 | -5,091 | 27,015 | 468 | 0.25 | 0.08 | 0.32 | -0.01 | | 花生 | 48,151 | 6,342 | 116,801 | 2,692 | 0.59 | 0.01 | 0.47 | -0.04 | | 苹果 | 58,208 | 27,498 | 66,185 | 5,492 | 0.60 | 0.06 | 0.55 | 0.02 | | 红枣 | 10,891 | -3,440 | 43,803 | -569 | 0.35 | -0.14 | 0.34 | 0.02 | | 白糖 | 45,082 | 5,298 | 175,029 | 7,633 | 0.68 | 0.05 | 0.49 | 0.01 | | 棉花 | 67,120 | 20,475 | 241,506 | 5,155 | 0.65 | 0.00 | 0.76 | -0.01 | | 玉米 | 94,041 | -2,731 | 263,230 | 16,188 | 0.70 | -0.20 | 0.42 | -0.00 | | 淀粉 | 12,257 | -12,301 | 39,682 | 1,376 | 0.46 | -0.74 | 0.83 | -0.03 | | 原木 | 2,582 | -1,793 | 11,487 | 346 | 0.83 | 0.01 | 0.78 | -0.02 | [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 | A2511 | 4,000 | 4,500 | 0 | 4,000 | 100 | 5,096 | 1,972 | | 豆二 | B2511 | 3,800 | 3,800 | 0 | 3,650 | 0 | 3,168 | 1,272 | | 豆粕 | M2511 | 3,100 | 3,500 | 300 | 3,050 | 0 | 16,228 | 12,108 | | 菜籽粕 | RM2511 | 2,600 | 2,900 | 0 | 2,400 | 0 | 4,455 | 2,601 | | 棕榈油 | P2510 | 9,600 | 9,800 | 0 | 9,000 | 0 | 6,916 | 13,360 | | 豆油 | Y2511 | 8,500 | 8,200 | 0 | 8,000 | 0 | 4,183 | 2,140 | | 菜籽油 | OI2511 | 10,000 | 11,000 | 0 | 9,000 | -200 | 3,029 | 1,143 | | 鸡蛋 | JD2510 | 3,000 | 3,600 | 0 | 2,800 | 0 | 34,217 | 10,835 | | 生猪 | LH2511 | 14,000 | 16,400 | 0 | 13,200 | 0 | 5,142 | 879 | | 花生 | PK2510 | 8,000 | 9,000 | 0 | 8,000 | 0 | 8,686 | 6,003 | | 苹果 | AP2510 | 8,100 | 8,500 | 0 | 7,900 | 100 | 10,176 | 2,647 | | 红枣 | CJ2601 | 11,400 | 12,600 | 0 | 10,400 | 0 | 8,131 | 2,128 | | 白糖 | SR2511 | 5,700 | 6,000 | 0 | 5,600 | 0 | 10,387 | 3,662 | | 棉花 | CF2511 | 14,000 | 15,400 | 0 | 13,800 | 0 | 8,666 | 4,443 | | 玉米 | C2511 | 2,160 | 2,300 | 0 | 2,200 | 0 | 24,354 | 7,923 | | 淀粉 | CS2511 | 2,500 | 3,000 | 0 | 2,450 | 0 | 4,155 | 4,661 | | 原木 | LG2511 | 800 | 1,050 | 0 | 725 | 0 | 1,735 | 737 | [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 | 11.51 | 14.55 | 0.68 | 14.32 | 16.12 | 11.22 | 12.36 | -0.85 | | 豆二 | 14.73 | 15.76 | 0.57 | 16.90 | 16.48 | 14.16 | 14.17 | 0.56 | | 豆粕 | 13.89 | 14.96 | 0.42 | 18.85 | 15.85 | 13.66 | 14.67 | -0.78 | | 菜籽粕 | 22.005 | 23.22 | -0.00 | 25.14 | 25.22 | 20.24 | 23.66 | -1.65 | | 棕榈油 | 20.87 | 21.93 | -1.00 | 21.03 | 22.94 | 20.46 | 21.54 | -0.67 | | 豆油 | 11.91 | 13.38 | -0.47 | 15.66 | 14.06 | 12.37 | 14.50 | -2.59 | | 菜籽油 | 15.7 | 16.84 | -0.62 | 18.18 | 18.22 | 14.82 | 16.37 | -0.67 | | 鸡蛋 | 30.74 | 36.07 | 1.51 | 24.42 | 38.21 | 32.17 | 28.81 | 1.93 | | 生猪 | 17.845 | 21.64 | -0.32 | 18.74 | 23.01 | 16.21 | 21.25 | -3.41 | | 花生 | 10.73 | 16.41 | 0.27 | 13.01 | 17.71 | 14.18 | 15.22 | -4.49 | | 苹果 | 18.745 | 24.67 | 0.57 | 21.65 | 26.73 | 21.25 | 22.61 | -3.87 | | 红枣 | 25.8 | 27.45 | -0.98 | 24.19 | 27.45 | 27.43 | 27.07 | -1.27 | | 白糖 | 17.21 | 10.68 | 0.38 | 11.50 | 11.54 | 9.39 | 10.24 | 6.97 | | 棉花 | 10.36 | 12.92 | 0.67 | 13.52 | 13.74 | 11.65 | 12.50 | -2.14 | | 玉米 | 10.72 | 12.28 | 0.88 | 11.0