农产品期权策略早报-20250523

Report Overview - Report Date: May 23, 2025 [1] - Report Type: Agricultural Product Options Strategy Morning Report - Analysts: Lu Pinxian, Huang Kehan [2] Industry Investment Rating - Not provided in the report Core Viewpoints - Oilseeds and oils agricultural products are in a range-bound consolidation, with oils and beans showing a weak trend, while agricultural by-products maintain a volatile market. Soft commodities such as sugar face resistance in rising and then decline, and cotton consolidates at a high level after a rebound. Grains like corn and starch gradually recover and then consolidate in a narrow range [2]. - Strategies suggest constructing option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. Summary by Directory 1. Futures Market Overview - Various agricultural product futures show different price movements, trading volumes, and open interest changes. For example, soybean No.1 (A2507) is at 4,204 with no change, soybean No.2 (B2509) rises to 3,572 with a 0.45% increase, etc. [3] 2. Option Factors - Volume and Open Interest PCR - Different option varieties have varying volume and open interest PCR values and their changes, which are used to describe the strength of the option underlying market and the turning point of the underlying market [4]. 3. Option Factors - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of different option underlying are provided, such as the pressure level of soybean No.1 is 4,500 and the support level is 4,000 [5]. 4. Option Factors - Implied Volatility - Each option variety has different implied volatility indicators, including at-the-money implied volatility, weighted implied volatility, and their changes, as well as the difference between implied and historical volatility [6]. 5. Strategy and Recommendations 5.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The oil mill operating rate is about 50.62%. The soybean market has shown a high-level consolidation and decline recently. The implied volatility of soybean No.1 options remains at a relatively high level compared to historical averages. Recommendations include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: The average daily trading volume of soybean meal in mainstream oil mills has decreased. The market has shown a weakening trend. Recommendations include constructing a bear spread strategy for put options, a short-biased call + put option combination strategy, and a long collar strategy for spot hedging [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: Malaysian palm oil has significantly increased its inventory. The palm oil market has shown a decline after a high-level rebound. Recommendations include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [10]. - Peanut: The spot price of peanuts in some regions has changed, and the market has shown a rebound after a long - term weak trend. Recommendations include a long collar strategy for spot hedging [11]. 5.2 Agricultural By - product Options - Pig: The average price of pigs in some regions has decreased, and the market is in a wide - range consolidation. Recommendations include constructing a neutral short call + put option combination strategy and a covered call strategy for spot [11]. - Egg: The cost of eggs is relatively low, and the inventory of laying hens has increased. The egg market has shown a weakening trend. Recommendations include constructing a bear spread strategy for put options, a short - biased call + put option combination strategy [12]. - Apple: The cold storage inventory of apples has decreased, and the market has shown a significant decline recently. Recommendations include constructing a bear spread strategy for put options and a short - biased call + put option combination strategy [12]. - Jujube: The supply of jujube in the market is sufficient, and the market has shown a weakening trend. Recommendations include constructing a bear spread strategy for put options, a short - biased wide - straddle option combination strategy, and a covered call strategy for spot hedging [13]. 5.3 Soft Commodity Options - Sugar: The export and arrival volume of Brazilian sugar to China has changed, and the sugar market is in a range - bound consolidation. Recommendations include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [13]. - Cotton: The USDA's May supply - demand report shows a slight increase in the estimated US cotton production. The cotton market has shown a rebound after a decline. Recommendations include constructing a neutral short call + put option combination strategy and a covered call strategy for spot [14]. 5.4 Grain Options - Corn and Starch: The new - season US corn production is expected to increase, and the domestic corn market has shown a volatile upward trend. Recommendations include constructing a neutral short call + put option combination strategy [14].