农产品期权策略早报-20250612

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product options market shows diverse trends: 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 continue to be weak, while cotton consolidates at a high level after a 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 Related 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 soybeans No. 1 (A2507) is 4,181, down 7 (- 0.17%), with a trading volume of 8.01 million lots (down 4.50 million lots) and an open interest of 4.18 million lots (down 2.13 million lots) [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options vary. For instance, the volume PCR of soybeans No. 1 is 0.55 (up 0.09), and the open interest PCR is 0.55 (down 0.01), which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of different agricultural product options are different. For example, the pressure level of soybeans No. 1 is 4,300, and the support level is 4,100 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility of different agricultural product options shows different characteristics. For example, the at - the - money implied volatility of soybeans No. 1 is 9.84%, and the weighted implied volatility is 14.02% (up 0.69%) [6]. 3.5 Strategy and Recommendations 3.5.1 Oils and Oilseeds Options - Soybeans No. 1 and No. 2: - Fundamental analysis shows that the shipment and sales of US soybeans to China are at a low level in the expected range. The market trend of soybeans No. 1 is that it rebounds after a decline and then consolidates at a high level. - Option factor research indicates that the implied volatility of soybeans No. 1 is at a relatively high level, the open interest PCR is below 0.70, and the pressure and support levels are 4,300 and 4,100 respectively. - Option strategies include a bull spread strategy for call options, a neutral call + put option combination selling strategy, and a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: - For soybean meal, the daily average trading volume of mainstream oil mills has increased, and the basis has decreased week - on - week. The market shows a short - term upward trend. - Option factor research shows that the implied volatility of soybean meal is above the historical average, the open interest PCR is below 0.80, and the pressure and support levels are 3,300 and 2,700 respectively. - Option strategies include a bull spread strategy for call options, a long - biased call + put option combination selling strategy, and a long collar strategy for spot hedging [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: - The soybean crushing volume and operating rate of domestic oil mills are expected to increase. Palm oil shows a range - bound consolidation trend. - Option factor research indicates that the implied volatility of palm oil is below the historical average, the open interest PCR is below 1.00, and the pressure and support levels are 8,500 and 7,500 respectively. - Option strategies include a neutral call + put option combination selling strategy and a long collar strategy for spot hedging [10]. - Peanuts: - The peanut spot market is in a strong - biased and volatile state, but the downstream consumption is not as expected. The market shows a weak - biased and volatile trend. - Option factor research shows that the implied volatility of peanuts is at a relatively low level, the open interest PCR is below 0.80, and the pressure and support levels are 9,000 and 7,200 respectively. - Option strategies include a bear spread strategy for put options and a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - products Options - Pigs: - The sales volume of three major pig enterprises has decreased month - on - month. The market shows a wide - range consolidation and downward trend. - Option factor research indicates that the implied volatility of pigs is above the historical average, the open interest PCR is below 0.50, and the pressure and support levels are 14,000 and 12,800 respectively. - Option strategies include a short - biased call + put option combination selling strategy and a covered call strategy for spot [11]. - Eggs: - The supply of eggs is stable, but the short - term price center is expected to decline. The market shows a weak - biased and downward trend. - Option factor research shows that the implied volatility of eggs is at a high level, the open interest PCR is below 0.60, and the pressure and support levels are 3,100 and 2,800 respectively. - Option strategies include a bear spread strategy for put options and a short - biased call + put option combination selling strategy [12]. - Apples: - The cold - storage inventory of apples is at a low level in the past five years. The market shows a weak - biased and recovering trend. - Option factor research indicates that the implied volatility of apples is below the historical average, the open interest PCR is below 0.60, and the pressure and support levels are 8,900 and 7,000 respectively. - Option strategies include a bear spread strategy for put options and a short - biased call + put option combination selling strategy [12]. - Red Dates: - The growth of jujube trees in the main producing areas is good, but the trading atmosphere has weakened after the Dragon Boat Festival. The market shows a weak - biased and rebounding trend. - Option factor research indicates that the implied volatility of red dates is at a low level, the open interest PCR is below 0.50, and the pressure and support levels are 11,400 and 8,600 respectively. - Option strategies include a neutral strangle option combination selling strategy and a covered call strategy for spot hedging [13]. 3.5.3 Soft Commodities Options - Sugar: - The domestic sugar production in the 24/25 and 25/26 crushing seasons is expected to increase. The market shows a weak - biased and volatile trend. - Option factor research shows that the implied volatility of sugar is at a relatively low level, the open interest PCR is around 0.80, and the pressure and support levels are 6,000 and 5,700 respectively. - Option strategies include a short - biased call + put option combination selling strategy and a long collar strategy for spot hedging [13]. - Cotton: - Affected by the external market, cotton rebounds slightly. The market shows a recovering trend under bearish pressure. - Option factor research indicates that the implied volatility of cotton is at a low level, the open interest PCR is below 1.00, and the pressure and support levels are 14,000 and 13,000 respectively. - Option strategies include a neutral call + put option combination selling strategy and a covered call strategy for spot [14]. 3.5.4 Grains Options - Corn and Starch: - The inventory of corn starch has increased, and the cost of raw material corn is high. Corn shows a rising and consolidating trend. - Option factor research shows that the implied volatility of corn is at a relatively low level, the open interest PCR is around 0.80, and the pressure and support levels are 2,400 and 2,240 respectively. - Option strategies include a long - biased call + put option combination selling strategy [14].