农产品期权策略早报-20250522

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product options market shows a diversified trend. Oilseeds and oils are in a range - bound consolidation, with oils and beans showing a weak trend. Agricultural by - products maintain a volatile trend. Soft commodities like sugar face resistance in rising and then decline, while 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 According to Related Catalogs 3.1. Futures Market Overview - Different agricultural product futures have different price changes, trading volumes, and open interest changes. For example, the latest price of soybean No.1 (A2507) is 4,219, up 13 (0.31%), with a trading volume of 173,000 lots and an open interest of 159,500 lots [3]. 3.2. Option Factor - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options reflect the market sentiment and potential turning points of the underlying assets. For instance, the volume PCR of soybean No.1 is 0.33, down 0.08, and the open interest PCR is 0.55, down 0.05 [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 different agricultural product options are identified. For example, the pressure level of soybean No.1 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 shows different trends compared to historical averages. For example, the weighted implied volatility of soybean No.1 is 15.29%, up 0.46% compared to the previous period, and the difference between implied and historical volatility is - 2.22% [6]. 3.5. Option Strategies and Recommendations 3.5.1. Oilseeds and Oils Options - Soybean No.1 and No.2: With an oil mill operating rate of about 50.62%, soybean No.1 shows a high - level consolidation and decline recently. It is recommended to construct a neutral call + put option selling strategy and a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: The daily average trading volume of soybean meal has decreased, and the inventory has increased. It is recommended to construct a bear spread strategy for put options and a short - biased call + put option selling strategy, as well as a long collar strategy for spot hedging [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: Palm oil may continue to accumulate inventory. It is recommended to construct a neutral call + put option selling strategy and a long collar strategy for spot hedging [10]. - Peanuts: The spot price of peanuts shows different trends, and the oil mill operating rate has decreased. It is recommended to hold a long spot position + buy put options + sell out - of - the - money call options for spot hedging [11]. 3.5.2. Agricultural By - products Options - Pigs: The average price of pigs has decreased, and the consumption environment is weak. It is recommended to construct a neutral call + put option selling strategy and a covered call strategy for spot hedging [11]. - Eggs: The cost of eggs is low, and the inventory of laying hens has increased. It is recommended to construct a bear spread strategy for put options and a short - biased call + put option selling strategy [12]. - Apples: The cold - storage inventory of apples has decreased. It is recommended to construct a neutral call + put option selling strategy [12]. - Jujubes: The supply of jujubes is sufficient. It is recommended to construct a bear spread strategy for put options, a short - biased strangle option selling strategy, and a covered call strategy for spot hedging [13]. 3.5.3. Soft Commodities Options - Sugar: The export volume of Brazilian sugar to China has changed. It is recommended to construct a neutral call + put option selling strategy and a long collar strategy for spot hedging [13]. - Cotton: The US cotton production is expected to increase slightly. It is recommended to construct a neutral call + put option selling strategy and a covered call strategy for spot hedging [14]. 3.5.4. Grains Options - Corn and Starch: The new - season corn production in the US may increase, and the price of domestic corn has increased. It is recommended to construct a neutral call + put option selling strategy [14].