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，棉花偏强盘整，谷物类玉米和淀粉偏多窄幅盘整 [2] - 策略上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 | A2603 | 4,295 | -19 | -0.44 | 2.51 | 0.17 | 5.60 | -0.07 | [3] | 豆二 | B2602 | 3,783 | -18 | -0.47 | 0.78 | 0.17 | 1.56 | 0.01 | [3] | 豆粕 | M2603 | 3,095 | -21 | -0.67 | 20.59 | 2.12 | 55.13 | -1.60 | [3] | 菜籽粕 | RM2603 | 2,397 | 0 | 0.00 | 1.14 | -0.17 | 2.10 | -0.03 | [3] | 棕榈油 | P2602 | 8,736 | -28 | -0.32 | 0.99 | 0.23 | 0.85 | 0.00 | [3] | 豆油 | Y2603 | 8,156 | -30 | -0.37 | 1.15 | 0.47 | 4.61 | 0.11 | [3] | 菜籽油 | OI2603 | 9,360 | 11 | 0.12 | 2.68 | -0.98 | 9.54 | 0.25 | [3] | 鸡蛋 | JD2602 | 2,960.00 | -46.00 | -1.53 | 4.15 | 0.89 | 5.87 | -0.69 | [3] | 生猪 | LH2603 | 11,795 | 10 | 0.08 | 5.80 | -0.51 | 16.11 | -0.88 | [3] | 花生 | PK2603 | 7,862 | -6 | -0.08 | 7.15 | -6.91 | 15.81 | 0.55 | [3] | 苹果 | AP2603 | 9,883 | 151 | 1.55 | 0.37 | 0.23 | 0.39 | 0.03 | [3] | 红枣 | CJ2603 | 8,970 | -45 | -0.50 | 0.30 | 0.09 | 0.83 | -0.07 | [3] | 白糖 | SR2603 | 5,275 | 12 | 0.23 | 5.30 | 0.55 | 10.06 | 0.08 | [3] | 棉花 | CF2603 | 14,750.00 | -20.00 | -0.14 | 7.67 | -0.95 | 18.95 | 0.25 | [3] | 玉米 | C2603 | 2,281 | -7 | -0.31 | 47.60 | -13.29 | 109.92 | 0.64 | [3] | 淀粉 | CS2603 | 2,548 | -17 | -0.66 | 8.91 | -2.25 | 19.77 | -0.15 | [3] | 原木 | LG2603 | 775 | 1 | 0.06 | 0.27 | -0.07 | 1.17 | -0.03 | [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 | 53,451 | -6,114 | 80,390 | 3,819 | 0.33 | -0.32 | 0.91 | 0.01 | [4] | 豆二 | 82,478 | 40,604 | 69,938 | 6,890 | 0.52 | -0.23 | 0.69 | 0.16 | [4] | 豆粕 | 288,492 | 117,218 | 475,212 | 23,345 | 0.55 | 0.06 | 0.62 | 0.00 | [4] | 菜籽粕 | 109,569 | -11,815 | 201,714 | -453 | 1.18 | 0.05 | 1.55 | -0.13 | [4] | 棕榈油 | 317,329 | 85,054 | 164,015 | 11,740 | 0.41 | -0.09 | 0.77 | 0.05 | [4] | 豆油 | 31,177 | 6,118 | 65,928 | 469 | 0.66 | 0.08 | 0.81 | 0.02 | [4] | 菜籽油 | 24,172 | 3,443 | 38,670 | -57 | 0.58 | -0.25 | 0.88 | -0.04 | [4] | 鸡蛋 | 136,013 | 56,415 | 161,260 | 197 | 0.56 | 0.17 | 0.40 | 0.00 | [4] | 生猪 | 18,672 | -2,186 | 78,888 | 858 | 0.10 | -0.01 | 0.26 | 0.00 | [4] | 花生 | 40,037 | -41,575 | 131,294 | 4,304 | 0.52 | -0.07 | 0.49 | 0.02 | [4] | 苹果 | 28,307 | 15,944 | 40,768 | 948 | 0.45 | -0.32 | 1.27 | -0.03 | [4] | 红枣 | 15,354 | 1,490 | 69,093 | 837 | 0.09 | -0.06 | 0.26 | -0.01 | [4] | 白糖 | 90,722 | 7,698 | 249,278 | -18,705 | 0.59 | 0.27 | 0.55 | -0.01 | [4] | 棉花 | 267,665 | 1,023 | 527,229 | 10,857 | 0.35 | -0.28 | 0.86 | -0.01 | [4] | 玉米 | 146,464 | -70,568 | 381,651 | 14,863 | 0.47 | -0.07 | 0.58 | 0.01 | [4] | 淀粉 | 11,119 | -2,844 | 34,059 | 1,793 | 0.47 | 0.16 | 0.44 | 0.04 | [4] | 原木 | 2,469 | -304 | 10,904 | 349 | 0.15 | 0.01 | 0.37 | -0.00 | [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 | A2603 | 4,300 | 4,500 | 0 | 4,000 | 0 | 7,321 | 6,226 | [5] | 豆二 | B2602 | 3,800 | 3,850 | 0 | 3,700 | 0 | 7,895 | 3,863 | [5] | 豆粕 | M2603 | 3,100 | 3,300 | 0 | 3,100 | 0 | 18,163 | 12,401 | [5] | 菜籽粕 | RM2603 | 2,400 | 2,600 | 0 | 2,200 | 0 | 5,972 | 6,059 | [5] | 棕榈油 | P2602 | 8,800 | 9,000 | 0 | 8,300 | 300 | 14,458 | 6,798 | [5] | 豆油 | Y2603 | 8,200 | 6,600 | 0 | 7,800 | 0 | 5,101 | 1,357 | [5] | 菜籽油 | OI2603 | 9,400 | 11,200 | 0 | 8,500 | 0 | 1,761 | 3,359 | [5] | 鸡蛋 | JD2602 | 2,950 | 3,100 | 0 | 2,800 | 0 | 12,418 | 6,132 | [5] | 生猪 | LH2603 | 11,800 | 13,000 | 0 | 11,000 | 0 | 10,106 | 2,723 | [5] | 花生 | PK2603 | 7,900 | 8,500 | 0 | 7,900 | 0 | 16,325 | 6,147 | [5] | 苹果 | AP2603 | 9,900 | 11,000 | 0 | 8,500 | 0 | 1,858 | 2,792 | [5] | 红枣 | CJ2603 | 9,000 | 9,800 | 0 | 8,300 | 0 | 7,119 | 603 | [5] | 白糖 | SR2603 | 5,300 | 5,500 | 0 | 5,200 | 0 | 11,677 | 6,811 | [5] | 棉花 | CF2603 | 14,800 | 15,000 | -200 | 14,000 | 0 | 15,853 | 15,201 | [5] | 玉米 | C2603 | 2,280 | 2,300 | 0 | 2,140 | 0 | 33,745 | 19,846 | [5] | 淀粉 | CS2603 | 2,550 | 2,650 | 0 | 2,500 | 0 | 4,554 | 1,667 | [5] | 原木 | LG2603 | 750 | 950 | 0 | 750 | 0 | 2,313 | 569 | [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 | 13.395 | 15.46 | 0.45 | 12.78 | 15.92 | 14.07 | 11.31 | 2.08 | [6] | 豆二 | 12.04 | 14.65 | -1.19 | 14.45 | 14.43 | 15.07 | 12.06 | -0.02 | [6] | 豆粕 | 15.165 | 16.66 | 0.23 | 15.20 | 17.59 | 14.95 | 13.77 | 1.40 | [6] | 菜籽粕 | 22.975 | 25.15 | -2.39 | 22.71 | 25.95 | 24.47 | 17.21 | 5.76 | [6] | 棕榈油 | 21.28 | 22.42 | -0.45 | 19.77 | 23.12 | 20.73 | 17.34 | 3.94 | [6] | 豆油 | 12.76 | 14.60 | -0.59 | 14.25 | 14.90 | 14.14 | 11.28 | 1.48 | [6] | 菜籽油 | 18.26 | 20.70 | -0.53 | 17.21 | 20.36 | 21.28 | 15.57 | 2.69 | [6] | 鸡蛋 | 20.825 | 25.63 | -0.61 | 25.59 | 26.83 | 23.49 | 20.74 | 0.09 | [6] | 生猪 | 21.35 | 27.70 | 0.12 | 24.31 | 28.37 | 21.23 | 23.94 | -2.59 | [6] | 花生 | 11.93 | 16.06 | -0.03 | 15.19 | 17.83 | 12.65 | 12.21 | -0.28 | [6] | 苹果 | 24.655 | 31.46 | 0.80 | 23.83 | 30.98 | 32.52 | 25.67 | -1.01 | [6] | 红枣 | 19.2 | 30.26 | 2.04 | 28.02 | 31.07 | 20.9