农产品期权策略早报-20250710

Group 1: Report Summary - The report is an agricultural product options strategy morning report dated July 10, 2025 [1] - The overall market situation is that oilseeds and oils have weakened, while agricultural by - products and soft commodities show mixed trends such as sugar being weak and cotton rising moderately, and grains like corn and starch having a weak and narrow - range consolidation [2] - The recommended strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2] Group 2: Underlying Futures Market Overview - The table shows the latest prices, price changes, trading volumes, and open interest changes of various agricultural product futures contracts [3] - For example, the latest price of soybean No.1 (A2509) is 4,108, down 4 with a decline of 0.10%, and its trading volume is 9.71 million lots, a decrease of 4.50 million lots [3] Group 3: Option Factor - Volume and Open Interest PCR - The table presents the volume and open interest PCR of different agricultural product options, which are used to describe the strength of the option underlying market and the turning point of the underlying market [4] - For instance, the volume PCR of soybean No.1 options is 0.25, a decrease of 0.22, and the open interest PCR is 0.44, a decrease of 0.02 [4] Group 4: Option Factor - Pressure and Support Levels - The table shows the pressure and support levels of different agricultural product options based on the strike prices of the maximum open interest of call and put options [5] - For example, the pressure point of soybean No.1 (A2509) is 4,500 and the support point is 4,100 [5] Group 5: Option Factor - Implied Volatility - The table provides the implied volatility data of different agricultural product options, including at - the - money implied volatility, weighted implied volatility, and its change compared with the annual average [6] - For example, the at - the - money implied volatility of soybean No.1 is 9.335%, and the weighted implied volatility is 11.53%, a decrease of 0.25% compared with the previous period [6] Group 6: Strategy and Recommendations for Different Agricultural Product Options Oilseeds and Oils Options - Soybean No.1 and No.2: Based on the fundamental and market analysis, it is recommended to construct bear spread strategies for directional trading, neutral call + put option selling strategies for volatility trading, and long collar strategies for spot hedging [7] - Soybean Meal and Rapeseed Meal: For soybean meal, considering its fundamentals and market trends, selling call + put option combinations with a short - biased delta is recommended for volatility trading, and long collar strategies for spot hedging [9] - Palm Oil, Soybean Oil, and Rapeseed Oil: Palm oil's strategy includes selling neutral call + put option combinations for volatility trading and long collar strategies for spot hedging [10] - Peanut: It is recommended to construct bear spread strategies for directional trading and long collar strategies for spot hedging [11] Agricultural By - product Options - Pig: The strategy includes selling neutral call + put option combinations for volatility trading and covered call strategies for spot hedging [11] - Egg: It is recommended to construct bear spread strategies for directional trading, sell short - biased call + put option combinations for volatility trading [12] - Apple: Selling neutral call + put option combinations for volatility trading is recommended [12] - Jujube: Selling short - biased wide - straddle option combinations for volatility trading and covered call strategies for spot hedging are recommended [13] Soft Commodity Options - Sugar: Selling neutral call + put option combinations for volatility trading and long collar strategies for spot hedging are recommended [13] - Cotton: Constructing bull spread strategies for directional trading, selling neutral call + put option combinations for volatility trading, and covered call strategies for spot hedging are recommended [14] Grain Options - Corn and Starch: Selling neutral call + put option combinations for volatility trading is recommended [14] Group 7: Option Charts - There are various option charts for different agricultural products, including price trend charts, volume and open interest charts, PCR charts, implied volatility charts, and historical volatility cone charts, which help in analyzing the market trends and option factors of each agricultural product [15][34][53]