农产品期权策略早报-20250509

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural products sector includes beans, oils, agricultural by - products, soft commodities, grains, and others. Each sector has options strategies and suggestions for selected varieties. The overall market shows different trends: oils and fats are in a range - bound or weakening trend, soft commodities like sugar and cotton have their own fluctuations, and grains like corn and starch are gradually warming up and then moving in a narrow range. It is recommended to construct option combination strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2][8]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various agricultural product futures have different price changes, trading volumes, and open interest changes. For example, the price of soybean A2507 is 4,171 with a 0.05% increase, and its trading volume is 22.73 million lots; the price of palm oil P2506 is 8,128 with a 0.99% increase, and its trading volume is 1.12 million lots [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the volume PCR of soybean A is 0.67 with a 0.31 change, and the open interest PCR is 0.66 with a 0.04 change [4]. 3.3 Option Factor - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of option underlyings are analyzed. For example, the pressure level of soybean A2507 is 4,500 and the support level is 4,000 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility of different agricultural product options is presented, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of soybean A is 15.05%, and the weighted implied volatility is 17.37% with a - 0.33 change [6]. 3.5 Option Strategies and Suggestions 3.5.1 Oils and Fats Options - Beans (Soybean A, Soybean B): In May, the supply of domestic soybeans is expected to improve. The soybean A market has been in a high - level consolidation recently. It is recommended to construct a neutral call + put option combination strategy to obtain time value and a long collar strategy for spot hedging [7]. - Bean Meal and Rapeseed Meal: The domestic bean meal spot price has fallen during the holiday. The short - term US soybeans are under pressure due to the trade war. It is recommended to construct a bearish call + put option combination strategy and a long collar strategy for spot hedging [9]. - Palm Oil, Soybean Oil, Rapeseed Oil: The domestic oil supply is relatively sufficient. The palm oil market has been falling recently. It is recommended to construct a bear spread strategy, a neutral call + put option combination strategy, and a long collar strategy for spot hedging [10]. - Peanuts: The domestic peanut price has been weak. It is recommended to use a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - Pigs: The pig price has been fluctuating in April. It is recommended to construct a neutral call + put option combination strategy and a covered call strategy for spot [11]. - Eggs: The egg supply is expected to be in surplus in the future. The market has been in a weak downward trend recently. It is recommended to construct a bearish call + put option combination strategy [12]. - Apples: The apple market has been highly volatile recently. It is recommended to construct a neutral call + put option combination strategy [12]. - Jujubes: The jujube market has been in a downward trend recently. It is recommended to construct a put bear spread strategy, a wide - straddle option combination strategy, and a covered call strategy for spot [13]. 3.5.3 Soft Commodity Options - Sugar: The sugar production in Brazil has increased. The sugar market has been in a bullish consolidation recently. It is recommended to construct a neutral call + put option combination strategy and a long collar strategy for spot hedging [13]. - Cotton: The spinning and weaving factory operating rates are lower than last year. The cotton market has been in a low - level consolidation recently. It is recommended to construct a neutral call + put option combination strategy and a covered call strategy for spot [14]. 3.5.4 Grain Options - Corn and Starch: The long - position and short - position holdings of CBOT corn futures have decreased. The corn market has been rising recently. It is recommended to construct a bullish call + put option combination strategy [14].