农产品期权策略早报-20250624

Report Overview - The report is an agricultural product options strategy morning report dated June 24, 2025, providing an analysis of various agricultural product options and offering corresponding strategies and suggestions [2] Core Viewpoint - Oilseeds and oils are showing a bullish upward trend, while oils, agricultural by - products are in a sideways market. Soft commodity sugar continues to be weak, cotton consolidates at a high level after a rebound, and grains such as corn and starch gradually recover and then trade in a narrow range. The recommended strategy is to construct an option portfolio strategy mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [3] Industry Investment Rating - Not provided in the report Summary by Category 1. Futures Market Overview - The report presents the latest prices, price changes, trading volumes, and open interest of various agricultural product futures contracts, including soybeans, soybean meal, palm oil, etc. For example, the latest price of A2509 soybean is 4,250, down 6 points or 0.14% [4] 2. Option Factor - Volume and Open Interest PCR - It shows the volume and open interest PCR of different option varieties, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the volume PCR of soybean option is 0.37, with a change of - 0.09 [5] 3. Option Factor - 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 the option underlying are analyzed. For example, the pressure level of soybean is 4,500 and the support level is 4,100 [6] 4. Option Factor - Implied Volatility - It provides the implied volatility data of different option varieties, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of soybean is 10.525% [7] 5. Strategy and Suggestions 5.1 Oilseeds and Oils Options - Soybeans (Soybean 1 and Soybean 2): The US soybean sales data is better than expected. The soybean market has shown a rebound. Suggested strategies include a bull spread strategy for call options, a neutral short call + put option combination strategy, and a long collar strategy for spot hedging [8] - Soybean Meal and Rapeseed Meal: The trading volume and delivery volume of soybean meal have increased, and the market has shown a short - term bullish trend. Suggested strategies are similar to those of soybeans, including a bull spread strategy for call options, a short call + put option combination strategy, and a long collar strategy for spot hedging [10] - Palm Oil, Soybean Oil, and Rapeseed Oil: The production of Malaysian palm oil has decreased slightly, and exports have increased significantly, which is beneficial to palm oil. Suggested strategies include a bull spread strategy for call options, a short call + put option combination strategy with a bullish bias, and a long collar strategy for spot hedging [10] - Peanuts: The downstream market procurement is cautious. The peanut market has shown a weak downward trend. Suggested strategies include a bear spread strategy for put options and a long collar strategy for spot hedging [11] 5.2 Agricultural By - products Options - Pigs: The pig price has stopped falling and rebounded. Suggested strategies include a short call + put option combination strategy with a neutral bias and a covered call strategy for spot [11] - Eggs: The egg inventory is expected to increase, and the market has shown a weak bearish trend. Suggested strategies include a short call + put option combination strategy with a bearish bias [12] - Apples: The apple inventory is at a low level in recent years. The market has shown a weak bearish trend. Suggested strategies include a bear spread strategy for put options and a short call + put option combination strategy with a bearish bias [12] - Jujubes: The jujube inventory has decreased slightly. The market has shown a weak bearish trend with a rebound. Suggested strategies include a short straddle option combination strategy and a covered call strategy for spot hedging [13] 5.3 Soft Commodity Options - Sugar: The sugar import volume has decreased. The market has shown a weak bearish trend. Suggested strategies include a short call + put option combination strategy with a bearish bias and a long collar strategy for spot hedging [13] - Cotton: The operating rates of spinning and weaving mills have decreased, and the cotton inventory has increased slightly. The market has shown a rebound and then consolidation. Suggested strategies include a short call + put option combination strategy with a neutral bias and a covered call strategy for spot [14] 5.4 Grain Options - Corn and Starch: The corn price has risen, and the market has shown a bullish trend. Suggested strategies include a bull spread strategy for call options and a short call + put option combination strategy with a bullish bias [14]