Report Summary 1. Investment Rating The report does not provide an investment rating for the industry. 2. Core Viewpoint The overall trend of agricultural products shows that oilseeds and oils have weakened, while agricultural by - products and soft commodities are in a volatile state. For example, sugar continues to be weak, cotton rises moderately, and corn and starch in the cereal category are in a narrow - range weak consolidation. The recommended strategy is to construct an option portfolio strategy mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant 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 4,096, down 14 points with a decline of 0.34%, while soybean No.2 (B2509) is up 29 points with an increase of 0.81% [3]. - There are also changes in trading volume and open interest. For instance, the trading volume of soybean meal (M2509) is 108.70 million lots, an increase of 19.15 million lots, and the open interest is 207.58 million lots, a decrease of 4.46 million lots [3]. 3.2 Option Factors 3.2.1 Volume and Open Interest PCR - Different option varieties have different volume and open interest PCR values and their changes. For example, the volume PCR of soybean No.1 is 0.37, an increase of 0.12, and the open interest PCR is 0.48, an increase of 0.04 [4]. - These values are used to describe the strength of the option underlying market and the turning point of the underlying market [4]. 3.2.2 Pressure and Support Levels - The pressure and support levels of different option varieties are different. For example, the pressure level of soybean No.1 is 4,500 and the support level is 4,100 [5]. - These levels are determined from the exercise prices of the maximum open interest of call and put options [5]. 3.2.3 Implied Volatility - The implied volatility of different option varieties also varies. For example, the at - the - money implied volatility of soybean No.1 is 8.57, and the weighted implied volatility is 11.36, a decrease of 0.17 [6]. - The at - the - money implied volatility is the arithmetic average of the implied volatilities of at - the - money call and put options, and the weighted implied volatility uses volume - weighted average [6]. 3.3 Strategy and Recommendations 3.3.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The fundamental situation of soybeans is that the net sales of US soybeans increased week - on - week, which is neutral. The price of soybean No.1 has shown a weakening trend recently. The recommended strategies include constructing a bear spread combination strategy of put options, selling a neutral call + put option combination strategy, and constructing a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: The daily average trading volume of soybean meal in mainstream oil mills increased, but the提货 volume decreased. The price of soybean meal has shown a weakening trend. The recommended strategies include selling a bearish call + put option combination strategy and constructing a long collar strategy for spot hedging [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The production, export, and inventory of palm oil in Malaysia are expected to change. The price of palm oil has shown a trend of rising and then falling. The recommended strategies include selling a neutral call + put option combination strategy and constructing a long collar strategy for spot hedging [10]. - Peanuts: The market price of peanut kernels is stable, and the trading is light. The price of peanuts has shown a weakening trend. The recommended strategies include constructing a bear spread combination strategy of put options and constructing a long collar strategy for spot hedging [11]. 3.3.2 Agricultural By - product Options - Pigs: The supply of pigs is tight at the beginning of the month, and the demand has decreased. The price of pigs has shown a trend of rising and then fluctuating. The recommended strategies include selling a neutral call + put option combination strategy and a covered call strategy for spot [11]. - Eggs: The inventory of laying hens has increased, and the price of eggs has shown a weakening trend. The recommended strategies include constructing a bear spread combination strategy of put options, selling a bearish call + put option combination strategy [12]. - Apples: The cold - storage inventory of apples has decreased. The price of apples has shown a trend of rebounding after a decline. The recommended strategy is to sell a neutral call + put option combination strategy [12]. - Red Dates: The inventory of red dates has decreased slightly, and the price has shown a trend of rising and then falling. The recommended strategies include selling a bearish wide - straddle option combination strategy and a covered call strategy for spot [13]. 3.3.3 Soft Commodity Options - Sugar: The spot price of sugar in Guangxi has shown a trend of rising after a decline, and the sales volume in the off - season is limited. The price of sugar has shown a trend of rebounding after a decline. The recommended strategies include selling a neutral call + put option combination strategy and constructing a long collar strategy for spot hedging [13]. - Cotton: The price of Zhengzhou cotton has fluctuated, and the basis in Xinjiang remains high. The price of cotton has shown a trend of rebounding. The recommended strategies include constructing a bull spread combination strategy of call options, selling a neutral call + put option combination strategy, and a covered call strategy for spot [14]. 3.3.4 Cereal Options - Corn and Starch: The planting of corn is completed, and the price of US corn is at the bottom. The price of domestic corn has shown a trend of rising and then falling. The recommended strategy is to sell a neutral call + put option combination strategy [14].
农产品期权策略早报-20250711
Wu Kuang Qi Huo·2025-07-11 06:38