农产品期权策略早报-20250609

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The agricultural product sector includes oilseeds and oils, agricultural by - products, soft commodities, and grains. Oilseeds and oils show a range - bound consolidation, agricultural by - products maintain a volatile trend, soft commodities like sugar are weak and cotton rebounds and then consolidates at a high level, and grains such as corn and starch gradually recover and then consolidate in a narrow range. It is recommended to construct option portfolio strategies mainly based on sellers and spot hedging or covered strategies to enhance returns [2] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product options have different price changes, trading volumes, and open interests. For example, the latest price of soybean A2507 is 4,147, up 5 with a 0.12% increase, trading volume of 11.73 million lots, and open interest of 8.79 million lots, a decrease of 2.03 million lots [3] 3.2 Option Factors - Volume and Open Interest PCR - PCR indicators are used to describe the strength of the option underlying market and the possible turning points. For instance, the open - interest PCR of soybean A is 0.57, a decrease of 0.01, and the volume PCR is 0.69, a decrease of 0.44 [4] 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels of option underlyings are determined by the strike prices with the largest open interests of call and put options. For example, the pressure level of soybean A is 4300 and the support level is 4000 [5] 3.4 Option Factors - Implied Volatility - Implied volatility reflects the market's expectation of future price fluctuations. For example, the implied volatility of soybean A's at - the - money option is 8.825%, and the weighted implied volatility is 12.07%, an increase of 0.15% [6] 3.5 Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean Options: The fundamental situation of soybeans shows that the shipment and sales of US soybeans to China are at a low level. The soybean market has a high - level consolidation pattern. Option strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [7] - Soybean Meal and Rapeseed Meal Options: The trading volume of soybean meal has increased, and the basis has decreased. The market shows a short - term bullish trend. Option strategies include constructing a bull spread strategy for call options, a neutral call + put option combination strategy, and a long collar strategy for spot hedging [9] - Palm Oil, Soybean Oil, and Rapeseed Oil Options: The domestic soybean crushing volume is expected to increase. The palm oil market shows a range - bound pattern. Option strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [10] - Peanut Options: The peanut spot market is in a strong - side consolidation, but the downstream consumption is weak. The market shows a rectangular - range consolidation. Option strategies include constructing a bull spread strategy for call options and a long collar strategy for spot hedging [11] 3.5.2 Agricultural By - products Options - Pig Options: The sales volume of major pig enterprises has decreased. The pig market shows a wide - range consolidation. Option strategies include constructing a bearish call + put option combination strategy and a covered call strategy for spot [11] - Egg Options: The egg supply is stable, and the price is expected to decline. The market shows a bearish trend. Option strategies include constructing a bear spread strategy for put options, a bearish call + put option combination strategy [12] - Apple Options: The cold - storage inventory of apples is at a low level. The market shows a weak recovery pattern. Option strategies include constructing a bear spread strategy for put options and a bearish call + put option combination strategy [12] - Jujube Options: The growth of jujube trees is good, and the market is in a weak bearish rebound. Option strategies include constructing a bear spread strategy for put options, a wide - straddle option combination strategy, and a covered call strategy for spot [13] 3.5.3 Soft Commodities Options - Sugar Options: The domestic sugar production and consumption are expected to increase. The sugar market shows a bearish consolidation. Option strategies include constructing a bearish call + put option combination strategy and a long collar strategy for spot hedging [13] - Cotton Options: The cotton market rebounds slightly. The market shows a recovery pattern under bearish pressure. Option strategies include constructing a neutral call + put option combination strategy and a covered call strategy for spot [14] 3.5.4 Grains Options - Corn and Starch Options: The corn starch inventory has increased, and the cost of raw corn is high. The corn market shows a rectangular - range consolidation. Option strategies include constructing a neutral call + put option combination strategy [14]