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农产品期权策略早报-20250626
Wu Kuang Qi Huo·2025-06-26 00:51
  1. Report Industry Investment Rating No information provided 2. Core Viewpoints of the Report - The agricultural product sector mainly includes beans, oils, agricultural by - products, soft commodities, grains, and others. The overall trends are as follows: oilseeds and oils show a bullish upward trend, oils and agricultural by - products maintain a volatile 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 consolidate narrowly. [3][9] - 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 According to Related Catalogs 3.1 Futures Market Overview - Various agricultural product futures show different price changes, trading volumes, and open interest changes. For example, the latest price of soybean No.1 (A2509) is 4,160, down 26 (-0.62%), with a trading volume of 171,500 lots and an open interest of 198,300 lots. [4] 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the volume PCR of soybean No.1 is 0.68, and the open interest PCR is 0.58. [5] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different agricultural product options are analyzed from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure level of soybean No.1 is 4,500, and the support level is 4,100. [6] 3.4 Option Factors - Implied Volatility - The implied volatility of different agricultural product options is presented, including at - the - money implied volatility, weighted implied volatility, and their changes. For example, the at - the - money implied volatility of soybean No.1 is 10.09%, and the weighted implied volatility is 11.67% (-0.13%). [7] 3.5 Option Strategies and Recommendations 3.5.1 Oils and Oilseeds Options - Soybean No.1 and No.2: The US soybean weekly net sales are higher than expected. The soybean No.1 shows a pattern of rebound and then decline. It is recommended to construct a neutral 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 increase, and the basis rises. It is recommended to construct a bull call spread strategy, a neutral 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 decreases slightly in June, while the export data increases significantly. It is recommended to construct a bull call spread strategy, a bullish call + put option combination strategy, and a long collar strategy for spot hedging. [10] - Peanut: The downstream procurement is cautious, and the market is weak. It is recommended to construct a bear put spread strategy and a long + put + short call strategy for spot hedging. [11] 3.5.2 Agricultural By - products Options - Pig: The national average pig price rises slightly. It is recommended to construct a neutral call + put option combination strategy and a covered call strategy for spot. [11] - Egg: The egg inventory is expected to increase in the future, and the market is weak. It is recommended to construct a bearish call + put option combination strategy. [12] - Apple: The national cold - storage apple inventory is at a low level. It is recommended to construct a bear put spread strategy and a bearish call + put option combination strategy. [12] - Jujube: The jujube inventory decreases slightly. It is recommended to construct a neutral strangle option combination strategy and a covered call strategy for spot hedging. [13] 3.5.3 Soft Commodities Options - Sugar: The import volume of sugar decreases significantly. It is recommended to construct a bearish call + put option combination strategy and a long collar strategy for spot hedging. [13] - Cotton: The opening rates of spinning and weaving factories decrease, and the inventory increases. It is recommended to construct a neutral call + put option combination strategy and a covered call strategy for spot. [14] 3.5.4 Grains Options - Corn and Starch: The price of Northeast corn rises, and the North Port inventory decreases. It is recommended to construct a bull call spread strategy and a bullish call + put option combination strategy. [14]