农产品期权策略早报-20250702

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The agricultural products sector is divided into beans, oils, agricultural by - products, soft commodities, grains, and others. Oils and fats, and agricultural by - products are in a volatile market, soft commodity sugar continues to be weak, cotton rises moderately, and grains such as corn and starch recover and then consolidate in a narrow range. It is recommended to construct option combination strategies mainly as sellers, and spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Different agricultural product futures have different price changes. For example, the latest price of soybean No.1 (A2509) is 4,126, down 3 with a decline rate of 0.07%; the latest price of sugar (SR2509) is 5,716, down 65 with a decline rate of 1.12% [3]. 3.2 Option Factor - Volume and Position PCR - Different option varieties have different volume and position PCR values and their changes. For instance, the volume PCR of soybean No.1 is 0.41 with a change of 0.07, and the position PCR is 0.49 with a change of - 0.03 [4]. 3.3 Option Factor - Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure level of soybean No.1 is 4,500 and the support level is 4,100; the pressure level of soybean meal is 3,100 and the support level is 2,900 [5]. 3.4 Option Factor - Implied Volatility - Implied volatility varies among different option varieties. For example, the at - the - money implied volatility of soybean No.1 is 9.575, and the weighted implied volatility is 11.66 with a change of - 0.24 [6]. 3.5 Strategy and Recommendations 3.5.1 Oils and Fats Options - Beans (Soybean No.1, Soybean No.2): As of June 24, the purchase volume of soybeans from December to September is known. Soybean No.1 has a weak market. Its implied volatility is at a relatively high level, and the position PCR is below 0.7. The recommended strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal, Rapeseed Meal: The cost of distant - month soybean meal is in the range of 2,850 - 3,020 yuan/ton. The market shows a weak decline with support below. The implied volatility is slightly above the historical average, and the position PCR fluctuates around 0.8. Recommended strategies are similar to those for soybeans [9]. - Palm Oil, Soybean Oil, Rapeseed Oil: The fundamentals of oils are affected by multiple factors. Palm oil shows a pattern of rising and then falling. Its implied volatility is below the historical average, and the position PCR is around 1.0. Recommended strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [10]. - Peanuts: The peanut market has a weak supply - demand pattern. The implied volatility is at a low level, and the position PCR is below 0.8. The recommended strategies are a bearish spread strategy for put options and a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - Pigs: The pig price fluctuates upward. The implied volatility is above the historical average, and the position PCR is below 0.5. Recommended strategies include constructing a neutral short call + put option combination strategy and a covered call strategy for spot [11]. - Eggs: The egg inventory is expected to increase, and the market shows a weak downward trend. The implied volatility is high, and the position PCR is below 0.6. The recommended strategy is a short - biased bearish call + put option combination strategy [12]. - Apples: The apple inventory is decreasing, and the market shows a weak rebound. The implied volatility is below the historical average, and the position PCR is below 0.6. The recommended strategy is a neutral short call + put option combination strategy [12]. - Red Dates: The red date inventory is slightly decreasing, and the market rebounds. The implied volatility is above the average and decreasing, and the position PCR is below 0.5. The recommended strategies are a short - biased long strangle option combination strategy and a covered call strategy for spot [13]. 3.5.3 Soft Commodity Options - Sugar: The supply of Brazilian sugar is affected. The sugar market shows a weak rebound. The implied volatility is at a low level, and the position PCR is around 0.8. Recommended strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [13]. - Cotton: The cotton market shows a mild upward trend. The implied volatility is at a low level and decreasing, and the position PCR is below 1.0. Recommended strategies are a bullish spread strategy for call options, a neutral short call + put option combination strategy, and a covered call strategy for spot [14]. 3.5.4 Grain Options - Corn, Starch: The corn market is in a narrow - range consolidation. The implied volatility is at a low level, and the position PCR is around 0.8. The recommended strategy is a neutral short call + put option combination strategy [14].