农产品期权策略早报-20250714

Report Summary 1. Investment Rating The document 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 oils, 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 are in a weak and narrow - range 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 Category 3.1 Futures Market Overview - Different agricultural product futures have different price trends, trading volumes, and open interest changes. For example, the latest price of soybean No.1 (A2509) is 4,110, up 12 (0.29%), with a trading volume of 13.66 million lots and an open interest of 19.98 million lots [3]. 3.2 Option Factors - Volume 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 example, the volume PCR of soybean No.1 is 0.40, with a change of 0.03, and the open interest PCR is 0.49, with a change of 0.01 [4]. - Pressure and Support Levels: Determined from the strike prices of the maximum open interest of call and put options. For example, the pressure level of soybean No.1 is 4,500, and the support level is 4,100 [5]. - Implied Volatility: The weighted implied volatility of different agricultural products shows different trends. For example, the weighted implied volatility of soybean No.1 is 11.61%, with a change of 0.26% [6]. 3.3 Option Strategies for Different Products 3.3.1 Oilseeds and Oils - Soybean No.1 and No.2: The USDA July report adjusted the supply - demand balance of US soybeans. The option strategies include constructing a bearish option bear - spread combination, selling a neutral call + put option combination, and a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: The domestic soybean meal market has a weak recovery, and the option strategies include selling a bearish call + put option combination and a long collar strategy for spot hedging [8][9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The Malaysian palm oil market has changes in export and inventory. The option strategies include selling a bullish call + put option combination and a long collar strategy for spot hedging [10]. - Peanut: The peanut market has a weak downward trend. The option strategies include constructing a bearish option bear - spread combination and a long collar strategy for spot hedging [11]. 3.3.2 Agricultural By - products - Pig: The pig price has a recovery trend. The option strategies include selling a neutral call + put option combination and a covered call strategy for spot [11]. - Egg: The egg market is in a weak downward trend. The option strategies include constructing a bearish option bear - spread combination, selling a bearish call + put option combination [12]. - Apple: The apple market has a weak rebound. The option strategy is to sell a neutral call + put option combination [12]. - Jujube: The jujube market has a rebound and then a decline. The option strategies include selling a bearish wide - straddle option combination and a covered call strategy for spot hedging [13]. 3.3.3 Soft Commodities - Sugar: The sugar market has a super - bearish rebound. The option strategies include selling a neutral call + put option combination and a long collar strategy for spot hedging [13]. - Cotton: The cotton market has a moderate upward trend. The option strategies include constructing a bullish option bull - spread combination, selling a neutral call + put option combination, and a covered call strategy for spot [14]. 3.3.4 Grains - Corn and Starch: The corn market is in a weak downward trend. The option strategies include constructing a bearish option bear - spread combination, selling a bearish call + put option combination [14].