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 | A2601 | 4,063 | 13 | 0.32 | 15.14 | 1.27 | 21.97 | -0.09 | | 豆二 | B2512 | 3,609 | 26 | 0.73 | 0.91 | 0.31 | 4.06 | 0.05 | | 豆粕 | M2601 | 2,911 | 39 | 1.36 | 110.18 | 35.51 | 199.06 | 0.50 | | 菜籽粕 | RM2601 | 2,317 | 6 | 0.26 | 28.63 | 9.60 | 37.75 | -0.01 | | 棕榈油 | P2601 | 9,080 | -144 | -1.56 | 63.78 | 8.43 | 34.64 | 1.27 | | 豆油 | Y2601 | 8,204 | -42 | -0.51 | 32.88 | 7.98 | 49.86 | -0.83 | | 菜籽油 | OI2601 | 9,738 | -101 | -1.03 | 18.44 | -0.76 | 26.30 | -0.65 | | 鸡蛋 | JD2512 | 2,925.00 | -6.00 | -0.20 | 17.40 | -6.52 | 25.88 | 0.99 | | 生猪 | LH2601 | 12,220 | 100 | 0.83 | 8.06 | -5.21 | 10.36 | 0.04 | | 花生 | PK2601 | 7,838 | -62 | -0.78 | 12.42 | 2.18 | 18.69 | -1.30 | | 苹果 | AP2601 | 8,794 | -25 | -0.28 | 8.47 | -1.33 | 12.85 | -0.28 | | 红枣 | CJ2601 | 11,265 | -135 | -1.18 | 31.50 | 19.18 | 18.72 | -0.06 | | 白糖 | SR2601 | 5,408 | -8 | -0.15 | 21.16 | 8.41 | 41.73 | -0.44 | | 棉花 | CF2601 | 13,540.00 | 0.00 | 0.00 | 19.23 | -5.36 | 59.28 | -0.04 | | 玉米 | C2601 | 2,126 | -5 | -0.23 | 55.13 | -4.64 | 85.34 | 0.40 | | 淀粉 | CS2601 | 2,420 | -4 | -0.17 | 9.15 | -5.27 | 20.16 | 0.10 | | 原木 | LG2601 | 832 | -6 | -0.66 | 0.89 | -0.04 | 1.75 | 0.04 | [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 | 88,229 | 18,167 | 107,718 | -2,032 | 0.83 | 0.06 | 0.68 | -0.04 | | 豆二 | 116,208 | 52,730 | 50,462 | -1,596 | 1.23 | 0.43 | 0.76 | -0.04 | | 豆粕 | 382,970 | 157,190 | 1,063,716 | -3,020 | 0.90 | 0.06 | 0.55 | -0.01 | | 菜籽粕 | 29,639 | -4,525 | 127,877 | 325 | 1.15 | -0.00 | 1.05 | -0.01 | | 棕榈油 | 358,054 | 131,799 | 224,360 | 2,623 | 1.62 | 0.48 | 1.17 | -0.09 | | 豆油 | 70,909 | 21,272 | 118,247 | -1,874 | 1.32 | 0.44 | 0.82 | -0.02 | | 菜籽油 | 21,815 | 3,230 | 85,016 | -712 | 1.27 | -0.12 | 1.50 | -0.00 | | 鸡蛋 | 139,217 | -58,809 | 272,189 | 2,815 | 0.78 | 0.08 | 0.36 | -0.00 | | 生猪 | 39,464 | -14,918 | 93,059 | 1,510 | 0.56 | 0.01 | 0.33 | -0.02 | | 花生 | 71,089 | 7,678 | 121,253 | 1,890 | 0.35 | 0.00 | 0.34 | 0.02 | | 苹果 | 14,725 | -6,739 | 35,626 | -84 | 1.11 | 0.25 | 1.12 | 0.04 | | 红枣 | 37,728 | 13,973 | 108,320 | 4,622 | 0.49 | -0.00 | 0.31 | -0.01 | | 白糖 | 59,361 | 24,067 | 269,553 | 6,500 | 1.16 | 0.44 | 0.65 | 0.02 | | 棉花 | 83,598 | -27,001 | 425,766 | 12,035 | 0.74 | 0.13 | 0.74 | 0.02 | | 玉米 | 110,627 | -23,052 | 457,258 | 5,714 | 0.82 | 0.09 | 0.38 | -0.01 | | 淀粉 | 22,634 | -20,776 | 86,979 | -786 | 1.14 | 0.36 | 0.47 | -0.02 | | 原木 | 14,238 | 8,746 | 24,885 | 380 | 1.35 | 0.42 | 0.53 | -0.03 | [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 | A2601 | 4,050 | 4,100 | 0 | 3,900 | 0 | 2,285 | 4,142 | | 豆二 | B2512 | 3,600 | 3,700 | -50 | 3,600 | 0 | 3,681 | 3,201 | | 豆粕 | M2601 | 2,900 | 3,100 | 0 | 3,100 | 0 | 97,976 | 65,038 | | 菜籽粕 | RM2601 | 2,300 | 2,800 | 0 | 2,300 | 0 | 11,659 | 8,426 | | 棕榈油 | P2601 | 9,200 | 10,000 | 0 | 8,400 | 0 | 10,056 | 9,103 | | 豆油 | Y2601 | 8,200 | 8,600 | 0 | 8,000 | 0 | 4,653 | 5,534 | | 菜籽油 | OI2601 | 9,800 | 9,700 | 0 | 9,200 | 0 | 9,473 | 12,007 | | 鸡蛋 | JD2512 | 2,950 | 4,200 | 0 | 3,000 | 0 | 4,653 | 1,334 | | 生猪 | LH2601 | 12,200 | 14,000 | 0 | 11,000 | 0 | 5,064 | 1,837 | | 花生 | PK2601 | 7,800 | 8,000 | 0 | 7,600 | 0 | 11,488 | 3,032 | | 苹果 | AP2601 | 8,800 | 9,300 | 0 | 8,000 | 0 | 2,624 | 3,990 | | 红枣 | CJ2601 | 11,200 | 12,600 | 0 | 10,400 | 400 | 26,745 | 3,522 | | 白糖 | SR2601 | 5,400 | 5,700 | 0 | 5,400 | 0 | 26,025 | 21,471 | | 棉花 | CF2601 | 13,600 | 13,600 | 0 | 13,000 | 0 | 33,447 | 25,601 | | 玉米 | C2601 | 2,140 | 2,200 | 0 | 2,100 | 0 | 16,240 | 6,691 | | 淀粉 | CS2601 | 2,450 | 2,600 | 0 | 2,350 | 0 | 2,818 | 1,948 | | 原木 | LG2601 | 850 | 1,000 | 0 | 700 | 0 | 825 | 499 | [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 | 12.06 | 12.47 | 0.45 | 13.74 | 12.66 | 12.25 | 12.00 | 0.06 | | 豆二 | 13.52 | 15.24 | 1.68 | 15.63 | 14.42 | 15.91 | 13.17 | 0.35 | | 豆粕 | 12.67 | 16.01 | 0.57 | 17.03 | 15.56 | 16.51 | 14.58 | -1.91 | | 菜籽粕 | 19.83 | 21.23 | -0.27 | 23.87 | 22.67 | 19.99 | 20.90 | -1.07 | | 棕榈油 | 16.09 | 16.89 | 0.69 | 20.20 | 17.78 | 16.34 | 17.44 | -1.35 | | 豆油 | 11.54 | 12.87 | -0.54 | 15.04 | 13.64 | 12.28 | 13.79 | -2.25 | | 菜籽油 | 12.585 | 14.83 | -0.02 | 17.93 | 14.96 | 14.73 | 15.22 | -2.63 | | 鸡蛋 | 18.925 | 22.11 | 1.19 | 26.57 | 23.71 | 20.05 | 23.99 | -5.07 | | 生猪 | 20.415 | 24.75 | 0.57 | 21.09 | 25.38 | 23.65 | 25.60 | -5.19 | | 花生 | 12.65 | 16.83 | 0.31 | 14.27 | 17.86 | 13.83 | 16.09 | -3.44 | | 苹果 | 22.33 | 23.12 | 0.10 | 20.91 | 22.40 | 23.77 | 21.89 | 0.44 | | 红枣 | 30.295 | 31.60 | -0.48 | 26.40 | 32.10 | 30.56 | 30.89 | -0.59 | | 白糖 | 15.45 | 9.79 | -0.76 | 11.50 | 10.10 | 9.51 | 10.47 | 4.98 | | 棉花 | 7.835 | 10.92 | 0.39 | 14.08 | 10.60 | 11.36 | 11