报告核心观点 - 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] - 建议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] 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 | 4,086 | -2 | -0.05 | 15.95 | 1.64 | 25.52 | -0.26 | | 豆二 | B2512 | 3,680 | 34 | 0.93 | 1.22 | 0.38 | 4.03 | -0.04 | | 豆粕 | M2601 | 2,973 | 39 | 1.33 | 91.40 | -3.93 | 172.97 | -2.92 | | 菜籽粕 | RM2601 | 2,353 | 13 | 0.56 | 25.67 | 1.18 | 36.88 | -0.27 | | 棕榈油 | P2601 | 9,016 | -94 | -1.03 | 46.24 | 0.71 | 35.65 | 0.68 | | 豆油 | Y2601 | 8,224 | -2 | -0.02 | 27.13 | -1.11 | 47.81 | -1.95 | | 菜籽油 | OI2601 | 9,712 | -42 | -0.43 | 15.28 | -5.96 | 24.34 | -0.76 | | 鸡蛋 | JD2512 | 3,134.00 | 87.00 | 2.86 | 56.05 | 2.93 | 24.04 | 0.62 | | 生猪 | LH2601 | 12,330 | 205 | 1.69 | 9.23 | -0.99 | 10.95 | -0.29 | | 花生 | PK2601 | 7,820 | 10 | 0.13 | 8.14 | -1.03 | 18.30 | -0.67 | | 苹果 | AP2601 | 8,936 | 124 | 1.41 | 15.06 | 5.40 | 14.30 | 1.22 | | 红枣 | CJ2601 | 10,390 | -570 | -5.20 | 37.74 | 6.59 | 18.55 | -0.23 | | 白糖 | SR2601 | 5,444 | 11 | 0.20 | 16.04 | 1.26 | 40.16 | -0.66 | | 棉花 | CF2601 | 13,580.00 | 5.00 | 0.04 | 18.33 | -3.76 | 58.53 | -0.56 | | 玉米 | C2601 | 2,112 | -5 | -0.24 | 62.13 | 25.22 | 90.25 | 1.40 | | 淀粉 | CS2601 | 2,413 | -14 | -0.58 | 11.00 | -1.20 | 21.16 | -0.00 | | 原木 | LG2601 | 787 | -43 | -5.12 | 5.83 | 4.70 | 1.66 | -0.22 | [3] 期权因子分析 量仓PCR | 期权品种 | 成交量PCR | 量PCR变化 | 持仓量PCR | 仓PCR变化 | | --- | --- | --- | --- | --- | | 豆一 | 0.96 | 0.36 | 0.97 | 0.11 | | 豆二 | 0.72 | -0.21 | 0.75 | -0.08 | | 豆粕 | 0.80 | 0.02 | 0.61 | 0.02 | | 菜籽粕 | 0.61 | -0.22 | 0.96 | -0.02 | | 棕榈油 | 1.56 | 0.40 | 1.42 | -0.07 | | 豆油 | 1.08 | -0.38 | 0.92 | 0.02 | | 菜籽油 | 1.44 | -0.67 | 1.56 | 0.03 | | 鸡蛋 | 0.52 | -0.02 | 0.51 | 0.07 | | 生猪 | 0.44 | -0.18 | 0.37 | 0.00 | | 花生 | 0.32 | 0.11 | 0.36 | -0.00 | | 苹果 | 0.75 | -0.56 | 1.24 | 0.05 | | 红枣 | 0.48 | -0.06 | 0.29 | -0.01 | | 白糖 | 0.66 | -0.59 | 0.65 | -0.00 | | 棉花 | 0.73 | -0.01 | 0.73 | -0.02 | | 玉米 | 0.54 | 0.07 | 0.29 | -0.00 | | 淀粉 | 0.52 | 0.20 | 0.54 | -0.01 | | 原木 | 1.37 | 0.58 | 0.87 | 0.29 | [4] 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 | 4,100 | 4,200 | 0 | 3,900 | 0 | 3,590 | 5,429 | | 豆二 | B2512 | 3,650 | 3,900 | 250 | 3,550 | -50 | 1,668 | 1,005 | | 豆粕 | M2601 | 2,950 | 3,100 | 0 | 3,100 | 0 | 100,779 | 65,390 | | 菜籽粕 | RM2601 | 2,325 | 2,800 | 0 | 2,300 | 0 | 11,728 | 8,390 | | 棕榈油 | P2601 | 9,100 | 10,000 | 0 | 9,000 | 0 | 8,984 | 9,290 | | 豆油 | Y2601 | 8,200 | 8,600 | 0 | 8,200 | 0 | 4,716 | 5,611 | | 菜籽油 | OI2601 | 9,700 | 9,700 | 0 | 9,200 | 0 | 9,298 | 12,065 | | 鸡蛋 | JD2512 | 3,150 | 4,200 | 0 | 3,000 | 0 | 5,078 | 1,611 | | 生猪 | LH2601 | 12,400 | 14,000 | 0 | 11,000 | 0 | 5,488 | 1,968 | | 花生 | PK2601 | 7,800 | 8,000 | 0 | 7,600 | 0 | 12,023 | 6,097 | | 苹果 | AP2601 | 8,900 | 9,300 | 0 | 8,000 | 0 | 2,642 | 5,245 | | 红枣 | CJ2601 | 10,400 | 12,600 | 0 | 10,000 | 0 | 27,131 | 4,129 | | 白糖 | SR2601 | 5,400 | 5,700 | 0 | 5,400 | 0 | 27,350 | 22,182 | | 棉花 | CF2601 | 13,600 | 13,600 | 0 | 13,000 | 0 | 34,474 | 25,204 | | 玉米 | C2601 | 2,120 | 2,200 | 0 | 2,100 | 0 | 22,785 | 7,492 | | 淀粉 | CS2601 | 2,450 | 2,600 | 0 | 2,400 | 50 | 3,390 | 2,835 | | 原木 | LG2601 | 800 | 1,000 | 0 | 700 | 0 | 999 | 1,502 | [5] 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 | 11.92 | 12.62 | -0.51 | 13.57 | 12.82 | 12.41 | 11.97 | -0.05 | | 豆二 | 13.255 | 14.83 | -1.23 | 15.45 | 15.20 | 14.32 | 13.27 | -0.01 | | 豆粕 | 12.825 | 14.84 | -0.02 | 16.75 | 15.41 | 14.12 | 14.51 | -1.68 | | 菜籽粕 | 19.945 | 21.52 | -0.10 | 23.71 | 22.84 | 19.33 | 20.27 | -0.32 | | 棕榈油 | 15.775 | 17.49 | 0.29 | 19.99 | 17.82 | 17.28 | 17.10 | -1.32 | | 豆油 | 11.465 | 13.30 | 0.60 | 14.88 | 13.45 | 13.16 | 13.34 | -1.87 | | 菜籽油 | 12.945 | 15.21 | 0.33 | 17.79 | 14.88 | 15.44 | 13.97 | -1.03 | | 鸡蛋 | 20.915 | 23.03 | 0.25 | 26.42 | 22.25 | 24.52 | 22.92 | -2.00 | | 生猪 | 20.865 | 23.43 | -0.31 | 21.12 | 24.52 | 20.97 | 24.63 | -3.76 | | 花生 | 11.855 | 15.86 | -0.43 | 14.31 | 16.86 | 12.71 | 16.34 | -4.49 | | 苹果 | 21.39 | 22.57 | -0.56 | 20.94 | 22.10 | 23.20 | 21.95 | -0.56 | | 红枣 | 32.71 | 34.76 | 2.31 | 26.64 | 36.99 | 30.07 | 30.80 | 1.91 | | 白糖 | 14.76 | 10.32 | 0.51 | 11.42 | 10.77 | 9.65 | 9.93 | 4.83 | | 棉花 | 7.46 | 10.09 | -0.07 | 13.89 | 10.34 | 9.74 | 10.24 | -2.78 | | 玉米 | 10.13 | 11.25 | -0.01 | 11.26 | 11.78 | 10.27 | 11.43 | -1.30 | | 淀粉 | 9.815 | 13.24 | -0.84 | 11.76 | 14.79 | 10.26 | 12.88 | -3.07 | | 原木 | 18.11 | 20.12 | 1.86 | 22.30 | 21.30 | 19.27 | 17.76 | 0.35 | [6] 期权策略建议 油脂油料期权 - 豆一：构建卖出偏中性的看涨+看跌期权组合策略，构建多头领口策略 [7] - 豆粕：构建看跌期权熊市价差组合策略，构建卖出偏空头的看涨+看跌期权组合策略，构建多头领口策略 [9] - 棕榈油：构建卖出偏空头的看涨+看跌期权组合策略，构建多头领口策略 [9] - 花生：持有现货多头+买入看跌期权+卖出虚值看涨期权 [10] 农副产品期权 - 生猪：构建看跌期权熊市价差组合策略，构建卖出偏空头的看涨+看跌期权组合策略，持有现货多头+卖出虚值看涨期权 [10] - 鸡蛋：构建看跌期权熊市价差组合策略，构建卖出偏空头的看涨+看跌期权组合策略 [11] - 苹果：构建卖出偏多头的看涨+看跌期权组合策略，构建多头领口策略 [11] - 红枣：构建卖出偏多头的宽跨式期权组合策略，持有现货多头+卖出虚值看涨期权 [12] 软商品类期权 - 白糖：构建卖出偏空头的看涨+看跌期权组合策略，构建多头领口策略 [12] - 棉花：构建卖出偏空头的看涨+看跌期权组合策略，持有现货多头+买入看跌期权+卖出虚值看涨期权 [13] 谷物类期权 - 玉米：构建卖出偏空头的看涨+看跌期权组合策略 [13]