农产品期权策略早报-20250707

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The agricultural products sector includes beans, oils, agricultural by - products, soft commodities, grains, and others. The sector shows different trends, with oilseeds and oils weakening, oils and agricultural by - products fluctuating, soft commodity sugar remaining weak, cotton rising moderately, and grains like corn and starch having a weak and narrow - range consolidation. The recommended strategy is 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 table shows 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 No.1) is 4,103, with a decrease of 30 and a decline rate of 0.73% [3] 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators of different option varieties are presented, including volume PCR and open - interest PCR. These indicators are used to describe the strength of the option underlying market and the turning point of the underlying market. For instance, the volume PCR of soybean No.1 is 0.31, and the open - interest PCR is 0.48 [4] 3.3 Option Factors - 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 option underlyings are analyzed. For example, the pressure level of soybean No.1 is 4,500, and the support level is 4,100 [5] 3.4 Option Factors - Implied Volatility - The implied volatility data of different option varieties are provided, 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 9.65%, and the weighted implied volatility is 12.06% [6] 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The fundamentals of US soybeans are neutral. The soybean No.1 market has a weak trend. Options' implied volatility is at a relatively high level, and the open - interest PCR indicates a weak market. Strategies include constructing a short neutral call + put option combination and a long collar strategy for spot hedging [7] - Soybean Meal and Rapeseed Meal: Soybean meal trading volume has increased, and the market has a weak downward trend. Options' implied volatility is slightly above the historical average, and the open - interest PCR is around 0.80. Strategies include constructing a short neutral call + put option combination and a long collar strategy for spot hedging [9] - Palm Oil, Soybean Oil, and Rapeseed Oil: The fundamentals of palm oil are affected by production, exports, and inventory. The palm oil market has a bullish - then - bearish trend. Options' implied volatility is decreasing, and the open - interest PCR indicates intense long - short competition. Strategies include constructing a short neutral call + put option combination and a long collar strategy for spot hedging [10] - Peanuts: The peanut market price is stable, and the market has a weak and volatile trend. Options' implied volatility is at a low level, and the open - interest PCR indicates a weak market. The recommended strategy is a long collar strategy for spot hedging [11] 3.5.2 Agricultural By - products Options - Pigs: The supply of pigs is tight at the beginning of the month, and the demand is decreasing. The pig market has a bullish - then - bearish trend. Options' implied volatility is at a relatively high level, and the open - interest PCR indicates a weak market. Strategies include constructing a short neutral call + put option combination and a covered call strategy for spot [11] - Eggs: The egg inventory is expanding, and the market has a weak downward trend. Options' implied volatility is at a high level, and the open - interest PCR is below 0.60. Strategies include constructing a short bearish call + put option combination [12] - Apples: The apple inventory is decreasing, and the market has a weak and bullish - rebound trend. Options' implied volatility is below the historical average, and the open - interest PCR is below 0.60. Strategies include constructing a short neutral call + put option combination [12] - Jujubes: The jujube inventory is slightly decreasing, and the market has a bullish - then - bearish trend. Options' implied volatility is decreasing, and the open - interest PCR is below 0.50. Strategies include constructing a short bearish strangle option combination and a covered call strategy for spot hedging [13] 3.5.3 Soft Commodities Options - Sugar: The sugar market has a weak and then - rebounding trend. Options' implied volatility is at a low level, and the open - interest PCR indicates a range - bound market. Strategies include constructing a short neutral call + put option combination and a long collar strategy for spot hedging [13] - Cotton: The cotton market has a low - level rebound trend. Options' implied volatility is decreasing, and the open - interest PCR indicates that the long - side strength is increasing. Strategies include constructing a bull call spread strategy, a short neutral call + put option combination, and a covered call strategy for spot [14] 3.5.4 Grains Options - Corn and Starch: The corn market has a weak and bearish trend. Options' implied volatility is at a low level, and the open - interest PCR indicates a range - bound market. Strategies include constructing a short neutral call + put option combination [14]