农产品期权策略早报-20250716

Report Industry Investment Rating - Not provided in the document Core Viewpoints of the Report - The agricultural products market shows different trends: oilseeds and oils are weakening, oils and agricultural by - products are oscillating, soft commodities like sugar are rebounding and rising, cotton is rising moderately, and grains like corn and starch are in a weak and narrow - range consolidation. It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2] Summary by Relevant Catalogs 1. Futures Market Overview - Different agricultural product futures have different price changes, trading volumes, and open interest changes. For example, the latest price of soybean No.1 (A2509) is 4,159, up 16 with a 0.39% increase, trading volume is 10.56 million lots (down 2.19 million lots), and open interest is 18.77 million lots (down 1.04 million lots) [3] 2. Option Factors - Volume and Open Interest PCR - The PCR indicators of different agricultural product options vary. For instance, the volume PCR of soybean No.1 is 0.28 (down 0.05), and the open - interest PCR is 0.47 (down 0.00). These indicators are used to describe the strength of the option underlying market and the turning point of the underlying market [4] 3. Option Factors - Pressure and Support Levels - Each agricultural product option 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 [5] 4. Option Factors - Implied Volatility - The implied volatility of different agricultural product options also shows different characteristics. For example, the at - the - money implied volatility of soybean No.1 is 9%, and the weighted implied volatility is 10.69% (down 0.65) [6] 5. Strategies and Recommendations 5.1 Oils and Oilseeds Options - Soybean No.1 and No.2: The USDA July report adjusted the supply - demand data of US soybeans. The market of soybean No.1 has shown a weakening trend recently. Directional strategies suggest constructing bear - spread put option strategies; volatility strategies suggest selling a neutral combination of call and put options; and spot long - hedging strategies suggest constructing long - collar strategies [7] - Soybean Meal and Rapeseed Meal: The fundamentals of soybean meal show that domestic trading has improved slightly but is still at a weak level. The market of soybean meal has been in a weak consolidation recently. Volatility strategies suggest selling a bearish combination of call and put options, and spot long - hedging strategies suggest constructing long - collar strategies [9] - Palm Oil, Soybean Oil, and Rapeseed Oil: The MPOB June report shows the supply - demand situation of Malaysian palm oil. The palm oil market has shown a bullish trend recently. Volatility strategies suggest selling a bullish combination of call and put options, and spot long - hedging strategies suggest constructing long - collar strategies [10] - Peanuts: The peanut market has shown a weak downward trend recently. Directional strategies suggest constructing bear - spread put option strategies, and spot long - hedging strategies suggest holding spot long + buying put options + selling out - of - the - money call options [11] 5.2 Agricultural By - products Options - Pigs: The domestic pig price has stopped falling and stabilized recently. Volatility strategies suggest selling a neutral combination of call and put options, and spot long - covered strategies suggest holding spot long + selling out - of - the - money call options [11] - Eggs: The egg market has shown a weak downward trend recently. Directional strategies suggest constructing bear - spread put option strategies, and volatility strategies suggest selling a bearish combination of call and put options [12] - Apples: The apple market has shown a weak bearish trend with a gradual rebound recently. Volatility strategies suggest selling a neutral combination of call and put options [12] - Jujubes: The jujube market has shown a rebound and then a decline recently. Volatility strategies suggest selling a bearish wide - straddle option combination, and spot covered - hedging strategies suggest holding spot long + selling out - of - the - money call options [13] 5.3 Soft Commodities Options - Sugar: The sugar market has shown a rebound after a decline recently. Volatility strategies suggest selling a neutral combination of call and put options, and spot long - hedging strategies suggest constructing long - collar strategies [13] - Cotton: The cotton market has shown a rebound and rise recently. Directional strategies suggest constructing bull - spread call option strategies, volatility strategies suggest selling a neutral combination of call and put options, and spot covered strategies suggest holding spot long + selling out - of - the money call options [14] 5.4 Grains Options - Corn and Starch: The corn market has shown a weak bearish trend recently. Directional strategies suggest constructing bear - spread put option strategies, and volatility strategies suggest selling a bearish combination of call and put options [14]