农产品期权策略早报-20250620

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The agricultural product sector shows different trends: oilseeds and oils are trending upwards, oils and agricultural by - products are in a volatile range, soft commodities like sugar are weakening, cotton is consolidating at a high level after a rebound, and grains such as corn and starch are gradually warming up and then trading in a narrow range [3]. - It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [3]. 3. Summary by Relevant 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 (A2509) is 4,246, up 19 with a 0.45% increase, trading volume of 17.04 million lots, and open interest of 21.37 million lots [4]. 3.2 Option Factors 3.2.1 Volume and Open - Interest PCR - Different option varieties have different 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 [5]. 3.2.2 Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure level of soybean No.1 is 4,600 and the support level is 4,100 [6]. 3.2.3 Implied Volatility - Different option varieties have different implied volatility values, including at - the - money implied volatility, weighted implied volatility, and their changes, which are used to measure the market's expectation of future price fluctuations [7]. 3.3 Strategies and Recommendations 3.3.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The USDA's forecast of soybean and wheat inventories affects the market. The soybean No.1 has shown a rebound since June. Option strategies include bull spread for directional trading, selling neutral call + put option combinations for volatility trading, and long collar strategies for spot hedging [8]. - Soybean Meal and Rapeseed Meal: With sufficient future soybean supply, the soybean meal has shown a short - term upward trend. Option strategies are similar to those of soybean No.1, including bull spread, selling long - biased call + put option combinations, and long collar strategies [10]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The EPA's draft on biofuel demand affects the market. Palm oil has shown an upward trend. Option strategies include bull spread, selling long - biased call + put option combinations, and long collar strategies [11]. - Peanut: The peanut market is in a weak and volatile state. Option strategies include bear spread for directional trading and long collar strategies for spot hedging [12]. 3.3.2 Agricultural By - product Options - Pig: The sow inventory affects the market. The pig price has shown a warming - up trend. Option strategies include selling neutral call + put option combinations for volatility trading and covered call strategies for spot hedging [12]. - Egg: The egg inventory is expected to increase, and the price has shown a rebound after a decline. Option strategies include selling short - biased call + put option combinations for volatility trading [13]. - Apple: The apple cold - storage inventory is at a low level, and the price is in a weak state. Option strategies include bear spread for directional trading and selling short - biased call + put option combinations for volatility trading [13]. - Jujube: The jujube inventory has decreased slightly, and the price is in a weak state. Option strategies include selling neutral strangle option combinations for volatility trading and covered call strategies for spot hedging [14]. 3.3.3 Soft Commodity Options - Sugar: The sugar price has shown a weak trend. Option strategies include selling short - biased call + put option combinations for volatility trading and long collar strategies for spot hedging [14]. - Cotton: The cotton supply and demand situation has changed, and the price has shown a warming - up trend. Option strategies include selling neutral call + put option combinations for volatility trading and covered call strategies for spot hedging [15]. 3.3.4 Grain Options - Corn and Starch: The global corn production and inventory situation has changed, and the corn price has shown an upward trend. Option strategies include selling long - biased call + put option combinations for volatility trading [15].