在选择策略时需避免在标的方向和波动率上均出现亏损 本文分析了白糖行业上游企业在价格波动市场中，利用期权进行套期保值的策略。通过2023—2024年白糖市场行 情的数据，分析白糖上游企业在大幅行情波动中使用不同期权策略以增厚利润并对冲市场风险的效果，重点对比了备 兑开仓和买入看跌期权策略的优缺点及适用情境。研究发现，在低波动率时宜选择买权，以获更佳保护；白糖期权的 波动率具非对称性，需避免标的方向和波动率均出现亏损。此外，白糖期货价格波动较大，使用虚值期权更能减少成 本损耗。 [策略对比] 作为郑商所上市的期权品种，白糖期权的非线性损益特征为企业运用衍生品进行风险管理提供了更多思路，有助 于提升企业的稳健生产经营能力。白糖期权自上市以来，随着市场机制的不断成熟，合约流动性稳步提升，产业参与 度不断扩大。2023年，白糖期权日均成交量为18万手、持仓量为42万手，市场规模足以满足各类企业的套期保值需 求。2023—2024年，白糖价格受到诸多因素的冲击波动较大，呈现冲高回落的态势，白糖主连最低点一度来到了5500 元/吨、最高点达到7202元/吨。面对这种跨越牛熊的行情，白糖的上游企业如何有效地利用期权增厚利润为 ...

Group 1: Sugar Market Dynamics - As of April 30, 2025, Hainan has cumulatively sold 15,200 tons of sugar, with sales of 5,400 tons this month, a decrease of 24,800 tons compared to the same period last season [1] - The sales-to-production ratio is 27.59%, down by 26.17 percentage points [1] - The sales tax-inclusive factory price ranges from 5,431 to 6,547 RMB per ton, with sugar inventory at 39,900 tons, an increase of 550 tons compared to the same period last season [1] Group 2: Cotton Market Dynamics - ICE cotton prices fell by 0.63%, closing at 67.4 cents per pound, while CF509 rose by 0.9%, closing at 12,900 RMB per ton [1] - The main contract positions decreased by 10,843 lots to 576,600 lots [1] - The cotton arrival price in Xinjiang is 13,839 RMB per ton, down by 7 RMB from the previous day, and the China Cotton Price Index 3128B is at 14,113 RMB per ton, down by 70 RMB from the previous day [1] Group 3: Market Sentiment and Future Outlook - The Federal Reserve's May meeting maintained the current interest rate, leading to a slight adjustment in the market's June rate cut expectations, which has put pressure on cotton prices [1] - Domestic cotton futures prices have slightly increased due to positive macroeconomic news, boosting market sentiment [1] - The fundamental drivers remain relatively weak, with attention on upcoming weather changes, and short-term expectations indicate continued range-bound trading [1]

Core Viewpoint - The Guangxi Zhuang Autonomous Region is focusing on addressing bottlenecks in the sugar industry through enhanced supervision and support for technological upgrades, ensuring the sustainable development of the sugarcane sector [1][2][3]. Group 1: Industry Development and Supervision - The local government is actively monitoring key technological upgrades in sugar production to identify and resolve challenges faced by sugar enterprises [2]. - The region's political supervision has intensified, with actions taken to support the development of agricultural parks and address corruption in infrastructure projects related to the sugar industry [3][4]. - The Guangxi region has seen an increase in sugarcane planting area by 110,000 acres for the 2024/25 sugar season, indicating a positive trend in the sugarcane industry [6][15]. Group 2: Financial Support and Subsidies - There was a significant delay in the disbursement of subsidies for sugarcane seeds and farming methods, amounting to 1.21 billion yuan across 11 cities, which affected farmers' motivation [5]. - Following the intervention of the supervisory bodies, all overdue subsidies were paid out by the end of August last year, benefiting 1.15 million households involved in sugarcane farming [5][6]. - The implementation of financial support has encouraged farmers to increase their sugarcane cultivation, with many expressing gratitude for timely subsidies that have improved their livelihoods [4][6]. Group 3: Technological Advancements - The introduction of smart irrigation and fertilization systems has significantly improved sugarcane yields, with irrigated fields producing up to 8 tons per acre compared to only 4 tons for rain-fed fields [8]. - The establishment of a mechanized harvesting station has reduced costs for farmers, demonstrating the benefits of technological integration in sugarcane production [10][11]. - The local government is promoting the mechanization of sugarcane production, with a total of 323 sugarcane harvesters and 101 mechanized harvesting stations currently operational in the region [11]. Group 4: Addressing Corruption and Governance - The local authorities are committed to tackling corruption within the sugar industry, with significant actions taken against officials involved in malpractice related to water conservancy projects [12][14]. - A comprehensive approach combining investigation, correction, and governance is being implemented to ensure accountability and enhance the integrity of the sugar industry [12][13]. - The establishment of a three-party coordination mechanism among farmers, sugar industry departments, and local authorities aims to improve the management of subsidies and enhance transparency [14].

研究员：王海峰 021-60635728 wanghaifeng@ccb.ccbfutures.com 期货从业资格号：F0230741 021-60635740 linzhenlei@ccb.ccbfutures.com 期货从业资格号：F3055047 021-60635732 yulanlan@ccb.ccbfutures.com 期货从业资格号：F0301101 021-60635732 hongchenliang@ccb.ccbfutures .com 期货从业资格号：F3076808 研究员：刘悠然 021-60635570 liuyouran@ccb.ccbfutures.com 期货从业资格号：F03094925 农产品研究团队 研究员：林贞磊 研究员：余兰兰 研究员：洪辰亮 行业 白糖日报 日期 2025 年 5 月 8 日 请阅读正文后的声明 ＃summary＃ 每日报告 一、行情回顾与操作建议 | 表1：期货行情 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | | 合约 | 收盘价（元/吨 | 美分/磅） | 涨跌 | ...

Group 1: Report Information - Report Name: Sugar Daily Report [1] - Date: May 7, 2025 [2] - Researcher: Wang Haifeng, Lin Zhenlei, Yu Lanlan, Hong Chenliang, Liu Youran [3] Group 2: Investment Rating - No investment rating information provided Group 3: Core View - New season sugar in Brazil is gradually coming to the market, putting pressure on the market. The 5 - month contract delivery volume is expected to reach about 2 million tons, which may indicate weak spot sales. Uncertain factors mainly lie in the India - Pakistan conflict [7]. - Zhengzhou sugar is expected to face import pressure in the third quarter due to the opening of the profit window for out - of - quota imports. Zhengzhou sugar is regarded as bearish [8]. Group 4: Market Review and Operation Suggestions Futures Market - SR505 closed at 6073 yuan/ton, down 52 yuan or 0.85%, with a position of 13,644 contracts, a decrease of 2,518 contracts. SR509 closed at 5890 yuan/ton, up 1 yuan or 0.02%, with a position of 305,344 contracts, a decrease of 858 contracts. US sugar 05 closed at 17.38 cents/pound, down 0.24 cents or 1.36%, with a position of 30,343 contracts, a decrease of 14,074 contracts. US sugar 07 closed at 17.24 cents/pound, down 0.30 cents or 1.71%, with a position of 348,504 contracts, an increase of 2,994 contracts [7]. Market Analysis - New York raw sugar futures weakened on Friday, with the main July contract down 1.71% to 17.24 cents/pound. London ICE white sugar futures were closed for the UK public holiday. During the May Day holiday, foreign raw sugar maintained a weakening trend. The new season sugar in Brazil is gradually coming to the market, and the 5 - month contract delivery volume is expected to reach about 2 million tons, which may indicate weak spot sales. Uncertain factors mainly lie in the India - Pakistan conflict [7]. - Zhengzhou sugar's main contract showed a weak shock. The 09 contract closed at 5890 yuan/ton, up 1 yuan or 0.02%, with a reduction of 858 contracts. The spot prices in domestic production areas declined. After the rainfall in Guangxi, the market lost the impetus for speculation. The weak foreign raw sugar also dragged down Zhengzhou sugar, and the profit window for out - of - quota imports in China opened, so the import pressure in the third quarter is expected to be large. Zhengzhou sugar is regarded as bearish [8]. Group 5: Industry News - As of April 30, India had produced 25.69 million tons of sugar, and about 19 sugar mills were still in operation. About 10 sugar mills in Uttar Pradesh were still operating, and 8 of them were in western Uttar Pradesh. These sugar mills are expected to continue operating for 7 - 10 days. The increase in sugarcane production has improved the sugarcane supply in Uttar Pradesh, allowing some sugar mills to continue operating. In addition, the increase in sugar recovery rate in the second half of the season has also increased sugar production [9]. - From the Brazilian foreign trade secretariat's export data on April 28, Brazil exported 1,281,866.53 tons of sugar in the first four weeks of April, with an average daily export volume of 75,403.91 tons, a 12% decrease compared to the average daily export volume of 85,875.17 tons in the whole of April last year. The total export volume in April last year was 1,889,253.72 tons [9]. - Ukraine will reduce its sugar beet planting area by 17% this year, resulting in a significant decline in sugar production and a sharp drop in exports, especially to the EU. It is expected that Ukraine's sugar production will drop to 1.5 million tons this year, down from 1.8 million tons last year, and the export volume will be reduced to 180,511 tons, compared with 746,000 tons in 2024 [9]. - According to a survey of 23 analysts by S&P Global Commodity Insights, the sugar production in the central - southern main producing area of Brazil in the first half of April is expected to be 694,000 tons, a 3.8% decrease compared to the same period last year [9]. - According to the latest forecast of the US Department of Agriculture, Brazil's sugarcane production in the 2025/26 season may reach 671 million tons, of which 618 million tons will come from the central - southern region accounting for 91% of the country's production, and 53 million tons will come from the northeast and north regions. Brazil will continue to be the world's largest sugarcane and sugar producer in the next season [9][10]. Group 6: Data Overview - The report provides multiple data charts, including spot price trends, 2509 contract basis, SR5 - 9 spread, Brazilian raw sugar import profit, Zhengzhou Commodity Exchange warehouse receipts, Brazilian real exchange rate, and the trading and holding positions of the top 20 seats in the main contract of Zhengzhou sugar [11][13][16][20].

Core Insights - The USDA forecasts that rainfall will contribute to a 26% increase in India's sugar production for the 2025-26 planting season [1] Group 1 - The anticipated increase in sugar production is significant, indicating a positive outlook for the Indian sugar industry [1]

Core Insights - The USDA forecasts that rainfall will contribute to a 26% increase in India's sugar production for the 2025-26 planting season [1] Group 1 - The expected increase in sugar production is significant, indicating a potential boost in supply [1] - This growth in production may impact global sugar prices and trade dynamics [1] - The forecast highlights the importance of weather conditions in agricultural output [1]

此外，郑州商品交易所专家孙元瑞对我国商品期权市场的创新成果进行深度解析，重点阐述了国内首个 商品短期期权产品——白糖系列期权的创新规则体系。该期权产品以"低成本、短周期、高弹性" 为核 心优势，通过灵活的合约设计与交易机制，构建起精准化、定制化的短期风险管理框架，为农业生产者 和中小微企业量身打造了高效的风险对冲工具，其创新性的产品特性与显著的服务实体经济效能，在现 场引发热烈反响与广泛讨论。 会议现场，行业精英们带来了精彩纷呈的分享。中信期货研究所农业组负责人李青凭借深厚的专业功 底，对国内外宏观经济形势以及白糖产业供需格局展开了深入剖析。她表示，当下市场环境复杂多变， 白糖产业正面临着较为显著的价格波动风险。在乡村振兴战略的大背景下，实现白糖产业的稳定生产与 供应，已然成为一项极为紧迫的任务。李青研究员的深度分析，为与会者清晰呈现出当前白糖产业的发 展现状与潜在风险。 云南农垦糖业集团总经理助理刘明才在《衍生工具助力云南白糖产业高质量发展案例分享及市场展望》 中，结合企业实践分享宝贵经验。作为集种植、加工、销售于一体的全产业链企业，云南农垦糖业通过 深化垦地合作机制，持续完善蔗糖产业链条。面对白糖市场价格 ...

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