农产品期权策略早报-20250514

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product options market shows diverse trends, with oilseeds and oils in a range - bound consolidation, some showing a weak trend, while agricultural by - products maintain a volatile pattern. Soft commodities like sugar face resistance in rising and then decline, and cotton continues a weak rebound. Grains such as corn and starch gradually recover and then consolidate in a narrow range [2]. - It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product futures have various price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2507) is 4,155, down 5 with a decline rate of 0.12%, and its trading volume is 13.38 million lots, down 4.06 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators of different agricultural product options vary. For instance, the volume PCR of soybean No.1 is 0.62 with a change of 0.10, and the open interest PCR is 0.68 with a change of 0.01 [4]. 3.3 Option Factors - Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure level of soybean No.1 (A2507) is 4,500 and the support level is 4,000 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different agricultural product options shows different characteristics. For example, the implied volatility of soybean No.1 is 12.69% for at - the - money, and the weighted implied volatility is 14.99%, down 0.49% [6]. 3.5 Option Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The future soybean supply is relatively sufficient. The soybean No.1 shows a high - level consolidation pattern. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: The basis of soybean meal has changed, and the inventory has increased week - on - week. The market shows a weak short - term trend. It is recommended to construct a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The production of palm oil in Malaysia has increased. Palm oil shows a downward trend after a rebound. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [10]. - Peanut: The peanut market shows a rebound after a long - term weak trend. It is recommended to use a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - Pig: The pig market shows a range - bound pattern after a rise. It is recommended to construct a neutral short call + put option combination strategy and a covered call strategy for spot [11]. - Egg: The egg market shows a weak rebound and then a decline. It is recommended to construct a short - biased call + put option combination strategy [12]. - Apple: The apple market shows a decline after a high - level breakthrough. It is recommended to construct a neutral short call + put option combination strategy [12]. - Jujube: The jujube market shows a continuous decline. It is recommended to construct a bear spread strategy for directional trading and a short strangle strategy for volatility trading, as well as a covered call strategy for spot hedging [13]. 3.5.3 Soft Commodity Options - Sugar: The sugar market shows a bullish volatile pattern. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [13]. - Cotton: The cotton market shows a rebound after a decline. It is recommended to construct a neutral short call + put option combination strategy and a covered call strategy for spot [14]. 3.5.4 Grain Options - Corn and Starch: The corn market shows a pattern of rising and then falling after a range - bound movement. It is recommended to construct a neutral short call + put option combination strategy [14].