Group 1: Report Industry Investment Rating - Not provided in the given content Group 2: Core Viewpoints of the Report - The report conducts fundamental, market, and volatility analyses of various agricultural product options and provides corresponding strategic operations and suggestions [1] Group 3: Summary by Related Catalogs 1. Beans and Meal Sector - Soybean Meal Options - Fundamental: As of March 25, cumulative purchases for March, April, May, and June shipments were 10.859 million tons, 9.822 million tons, 6.965 million tons, and 4.865 million tons respectively [1] - Market: Soybean meal has been in a weak and volatile downward trend in the past two weeks [1] - Volatility: Implied volatility of soybean meal options fluctuates below the average level [1] - Strategy: Construct a volatility strategy by selling neutral put and call options to gain time - value returns, such as S_M2505P2750 and S_M2505C2900 [1] - Rapeseed Meal Options - Fundamental: According to the latest supply - demand forecast from the Canadian Ministry of Agriculture on March 21, if the recently imposed tariffs in China persist throughout the year, the ending stocks of Canadian rapeseed and peas at the end of the 2025/26 season may be much higher than initially expected. The inventory of imported rapeseed last weekend was 500,000 tons, an increase of 10,000 tons from the previous week and 110,000 tons from last year [1] - Market: Rapeseed meal has been in a volatile and upward trend in the past two months, with significant fluctuations in the high - level range, followed by a sharp rise and then a rapid decline in the past two weeks, showing a highly volatile market pattern [1] - Volatility: Implied volatility of rapeseed meal options rises rapidly and then falls back, fluctuating above the historical average [1] - Strategy: Construct an option portfolio strategy to short volatility and obtain time - value returns, such as S_RM2505P2500 and S_RM2505C2650 [1] - Soybean 1/Soybean 2 Options - Fundamental: According to the USDA export sales report, in the week of March 20, the export shipment of US soybeans in the 2024/25 season was about 920,000 tons, a week - on - week increase of about 56%. The cumulative export shipment was about 40.06 million tons, a year - on - year increase of about 11%. The shipment to China was about 470,000 tons, and the cumulative shipment to China was about 20.88 million tons (compared to about 22.58 million tons in the same period last year) [2] - Market: Since February, Soybean 1 has risen rapidly, then declined from the high level, and formed an inverted "V" pattern in the past two weeks, showing a weak bearish market pattern with pressure above [2] - Volatility: Implied volatility of Soybean 1 options fluctuates slightly around the average level, then rises rapidly and then drops sharply [2] - Strategy: Construct a bearish directional strategy by buying put options and selling call options to obtain directional returns, such as B_A2505P3850 and S_A2505C3950 [2] 2. Oilseeds Sector - Soybean Oil Options - Fundamental: According to Steel Union estimates (125 oil mills), as of the week of March 28, the weekly soybean crushing volume in China was about 1.2 million tons (1.41 million tons in the previous week and 1.52 million tons in the same period last year), with an operating rate of about 34% (40% in the previous week and 44% in the same period last year). The estimated soybean crushing volume for the next week (March 29 - April 4) is about 1.05 million tons (1.49 million tons in the same period last year), with an operating rate of 29% (43% in the same period last year) [2] - Market: In February, soybean oil first rose and then fell, breaking through the upper limit of the one - month oscillation range in the first ten days, then oscillating and falling from the high level. In the past two weeks, it rose after a decline and then rebounded, showing a bullish - biased high - level oscillating market pattern [2] - Volatility: Implied volatility of soybean oil options fluctuates at a relatively low historical level [2] - Strategy: (1) Implement a spot collar strategy by holding spot long positions, buying put options, and selling out - of - the - money call options; (2) Construct a strategy of selling neutral call and put options to obtain directional and time - value returns, adjust the position delta dynamically to keep it neutral, and close the position if the market rebounds and breaks through the break - even point, such as S_Y2505P7800 and S_Y2505C8100 [2] - Palm Oil Options - Fundamental: At the end of January, the palm oil inventory in Indonesia was 2.936 million tons, a month - on - month increase of 13.93%. According to SPPOMA data, the yield of Malaysian palm oil from March 1 - 25 increased by 5.10% month - on - month. As the Ramadan is coming to an end, the producing areas may officially enter the production - increasing cycle. According to Steel Union data, as of March 21, the commercial inventory of palm oil in key regions across the country was 388,300 tons [5] - Market: Palm oil rebounded after a sharp decline, rising continuously and breaking through the resistance level. In March, it first declined and then rose, followed by significant oscillations in the range. In the past two weeks, it first fell and then rose, continuing to oscillate within the previous range, showing a bullish - biased high - level oscillating and then strongly rebounding market pattern [5] - Volatility: Implied volatility of palm oil options fluctuates around the historical average [5] - Strategy: Construct a strategy of selling neutral call and put options to obtain time - value and directional returns, such as S_P2505P8800, S_P2505P8900, S_P2505C9200, and S_P2505C9300 [5] - Rapeseed Oil Options - Fundamental: From January to February, the cumulative import of rapeseed oil was 387,600 tons, a year - on - year increase of 19.12%. Due to the traditional consumption off - season in the first quarter and large imports of rapeseed and rapeseed oil, the domestic rapeseed oil inventory continued to accumulate. As of March 21, the total inventory of rapeseed oil in major regions across the country was 775,700 tons, an increase of 38,200 tons from the previous week [5] - Market: Rapeseed oil oscillated in the range and then rose bullishly, showing a short - term bullish breakthrough and rising market pattern [5] - Volatility: Implied volatility of rapeseed oil options fluctuates at a relatively low average level [5] - Strategy: Construct a bullish call spread option strategy to obtain directional returns, such as B_OI2505C9100 and S_OI2505C9400 [5] 3. Soft Commodities and Agricultural By - products Sector - Sugar Options - Fundamental: As of the week of March 26, the number of ships waiting to load sugar at Brazilian ports was 38, compared to 50 in the previous week. The quantity of sugar waiting to be loaded was 1.5554 million tons, a decrease of 356,200 tons or 18.63% from the previous week. As of March 23 in the 2024/25 sugar - crushing season, 182 sugar mills in Maharashtra, India, had completed crushing, with a cumulative sugar production of 7.974 million tons, a year - on - year decrease of 2.701 million tons or 25.3% [6] - Market: In March, sugar rose gradually and then oscillated at a high level in the past two weeks, showing a short - term bullish high - level oscillating market pattern with support below [6] - Volatility: Implied volatility of sugar options fluctuates at a relatively low level [6] - Strategy: Implement a bullish collar hedging strategy by holding spot long positions, buying put options, and selling out - of - the - money call options, such as LONG SR2505 + BUY SR2505P6000 + SELL SR2505C6300 [6] - Cotton Options - Fundamental: Factories in Xinjiang are operating at about 90% capacity, while spinning mills in inland areas adjust their operating rates according to order receipts, with an overall operating rate of 60% - 80%. According to Mysteel agricultural product data monitoring, as of March 27, the operating load of spinning mills in mainstream regions was 76%, a month - on - month decrease of 0.3% [6] - Market: Cotton has been oscillating weakly in a narrow range for about a month and a half, then rebounded and rose, but then declined rapidly after hitting resistance. It rebounded slightly last week but lacked momentum, showing a wide - range oscillating market pattern with pressure above [6] - Volatility: Implied volatility of cotton options continues to fluctuate in a narrow range and is currently at a relatively low historical level [6] - Strategy: Implement a covered call strategy by holding spot long positions and selling out - of - the - money call options, such as LONG CF2505 + SELL CF2505C13800 [6] - Corn Options - Fundamental: As of March 27, according to the statistics of Mysteel's corn team, the grain - selling progress of farmers in 13 provinces across the country was 87%, 9% faster than the same period last year. The grain - selling progress of farmers in 7 major producing provinces was 86%, 10% faster than the same period last year [6] - Market: Since December last year, corn has rebounded and risen, then continued to rise moderately for about two months, and then oscillated at a high level. Since March, it has declined after reaching a peak and then continued to decline weakly, showing a short - term bearish market pattern with pressure above [6] - Volatility: Implied volatility of corn options fluctuates in a narrow range [6] - Strategy: Implement a hedging strategy by holding spot long positions, buying put options, and selling out - of - the - money call options. If the market rises slightly, adjust the out - of - the - money call options dynamically; if the market rises sharply, sell the spot and close the call option positions, such as LONG C2505 + BUY_C2505P2240 + SELL C2505C2280 [6]
农产品期权策略早报-2025-03-31
Wu Kuang Qi Huo·2025-03-31 03:56