农产品期权策略早报-20250627

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints of the Report - The agricultural products sector includes beans, oils, agricultural by - products, soft commodities, grains, and others. The overall market shows that oilseeds and oils tend to rise, oils and agricultural by - products maintain a volatile trend, 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. It is recommended to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The report provides the latest prices, price changes, trading volumes, and open interest changes of various agricultural product futures such as soybeans, bean meal, palm oil, etc. For example, the latest price of soybean No.1 (A2509) is 4,150, down 2 points or 0.05% [3] 3.2 Option Factor Analysis 3.2.1 Volume and Open Interest PCR - Volume PCR and open - interest PCR are used to describe the strength of the option underlying market and the turning point of the market. For example, the volume PCR of soybean No.1 is 0.70 with a change of 0.02, and the open - interest PCR is 0.57 with a change of - 0.01 [4] 3.2.2 Pressure and Support Levels - The pressure and support levels of each option variety are analyzed. For instance, the pressure level of soybean No.1 is 4,500, and the support level is 4,100 [5] 3.2.3 Implied Volatility - The implied volatility of each option variety is presented, 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 No.1 is 9.965, and the weighted implied volatility is 11.62 with a change of - 0.04 [6] 3.3 Strategy and Recommendations for Different Option Varieties 3.3.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The current annual net sales of US soybeans are higher than expected. Soybean No.1 has shown a pattern of rising after a rebound and then falling back. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7] - Bean Meal and Rapeseed Meal: The trading volume and delivery volume of bean meal have increased, and the basis has risen. Bean meal has rebounded and then consolidated at a high level. Similar to soybean No.1, a neutral short call + put option combination strategy and a long collar strategy are recommended [9] - Palm Oil, Soybean Oil, and Rapeseed Oil: The production of Malaysian palm oil has decreased, and exports have increased. Palm oil has risen and then consolidated at a high level. A long - biased short call + put option combination strategy and a long collar strategy are recommended [10] - Peanuts: The downstream market is cautious in purchasing. Peanuts have shown a weak and volatile trend. A bear spread strategy for put options and a long collar strategy are recommended [11] 3.3.2 Agricultural By - products Options - Pigs: The average price of live pigs has increased. Pigs have shown a trend of falling and then rebounding. A neutral short call + put option combination strategy and a covered call strategy for spot are recommended [11] - Eggs: The inventory of laying hens is expected to increase, and eggs have shown a weak and volatile trend. A short - biased short call + put option combination strategy is recommended [12] - Apples: The cold - storage inventory of apples is at a low level. Apples have shown a weak and volatile trend. A short - biased short call + put option combination strategy is recommended [12] - Jujubes: The inventory of jujubes has decreased slightly. Jujubes have shown a trend of falling and then rebounding. A long - biased short strangle option combination strategy and a covered call strategy for spot are recommended [13] 3.3.3 Soft Commodities Options - Sugar: The import volume of sugar has decreased. Sugar has shown a weak and volatile trend. A short - biased short call + put option combination strategy and a long collar strategy for spot are recommended [13] - Cotton: The operating rates of spinning and weaving mills have decreased, and the commercial inventory of cotton has increased. Cotton has shown a trend of falling and then rebounding. A bull spread strategy for call options, a neutral short call + put option combination strategy, and a covered call strategy for spot are recommended [14] 3.3.4 Grains Options - Corn and Starch: The price of Northeast corn has risen, and the inventory of northern ports has decreased. Corn has shown a trend of rising and then falling back. A long - biased short call + put option combination strategy is recommended [14]