农产品期权策略早报-20250603

Report Investment Rating - No investment rating for the industry is provided in the report. 2. Core Viewpoints - The agricultural product options market shows diverse trends. Oilseeds and oils are in a range - bound consolidation, with some showing a weak trend. By - products maintain a volatile trend, soft commodities like sugar are weak and cotton is in a high - level consolidation after a rebound, and grains such as corn and starch are gradually warming up and then in a narrow - range consolidation. 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 Category 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 4,117, up 6 with a 0.15% increase, trading volume is 8.89 million lots (down 1.15 million lots), and open interest is 13.38 million lots (down 1.06 million lots) [3]. 3.2 Option Factors 3.2.1 Volume and Open Interest PCR - The volume PCR and open interest PCR of various agricultural product options are different, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For example, the volume PCR of soybean No.1 is 0.57 (down 0.44), and the open interest PCR is 0.51 (up 0.02) [4]. 3.2.2 Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support levels of option underlyings are analyzed. For example, the pressure level of soybean No.1 is 4300 and the support level is 4000 [5]. 3.2.3 Implied Volatility - The implied volatility of various agricultural product options also varies. For example, the at - the - money implied volatility of soybean No.1 is 9.92%, and the weighted implied volatility is 14.48% (up 0.98%) [6]. 3.3 Strategy and Recommendations 3.3.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The US soybean futures price is mainly in a downward trend. The soybean No.1 shows a high - level consolidation trend. It is recommended to construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: The trading volume of soybean meal has decreased. The market shows a rebound after a decline. It is recommended to construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The trading volume of oils is weak, and the inventory is sufficient. It is recommended to construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [10]. - Peanuts: The supply is abundant and the demand is weak. It is recommended to construct a bull call spread strategy for direction, and a long + put + short call option strategy for spot hedging [11]. 3.3.2 By - product Options - Pigs: The market shows a pattern of increasing supply and weak demand. It is recommended to construct a neutral call + put option combination strategy for volatility, and a covered call strategy for spot hedging [11]. - Eggs: The supply is sufficient and the demand is weak. It is recommended to construct a bear put spread strategy for direction, and a short - biased call + put option combination strategy for volatility [12]. - Apples: The de - stocking speed has slowed down. It is recommended to construct a bear put spread strategy for direction, and a short - biased call + put option combination strategy for volatility [12]. - Jujubes: It is in the off - season and the price is at a low level. It is recommended to construct a bear put spread strategy for direction, a short - strangle option combination strategy for volatility, and a covered call strategy for spot hedging [13]. 3.3.3 Soft Commodity Options - Sugar: The Brazilian sugar export situation has changed. The market shows a weak and volatile trend. It is recommended to construct a short - biased call + put option combination strategy for volatility, and a long collar strategy for spot hedging [13]. - Cotton: The Brazilian cotton export volume has decreased. The market shows a pattern of rebound and then decline. It is recommended to construct a neutral call + put option combination strategy for volatility, and a covered call strategy for spot hedging [14]. 3.3.4 Grain Options - Corn and Starch: The corn price is affected by factors such as traders' behavior and wheat price. The market shows a pattern of shock and then rise. It is recommended to construct a neutral call + put option combination strategy for volatility [14].