农产品期权策略早报-20250717

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The agricultural product options market shows different trends: oilseeds and oils are weakening, fats and oils and agricultural by - products are oscillating, soft commodities like sugar are rebounding and rising, cotton is rising moderately, and grains such as corn and starch are weakly consolidating in a narrow range [2]. - It is recommended to construct option portfolio strategies 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 show various price changes and trading volumes. For example, the latest price of soybean No.1 (A2509) is 4,189, up 23 with a 0.55% increase, and its trading volume is 12.97 million lots [3]. 3.2 Option Factors 3.2.1 Volume - Position PCR - Each option variety has different volume - position PCR values and their changes, which reflect the strength of the market and the turning point of the underlying asset's market. For instance, the volume PCR of soybean No.1 is 0.38, with a change of 0.10, and the position PCR is 0.44, with a change of - 0.03 [4]. 3.2.2 Pressure and Support Levels - The pressure and support levels of each option variety are analyzed. For example, the pressure level of soybean No.1 is 4,500 and the support level is 4,050 [5]. 3.2.3 Implied Volatility - The implied volatility of each option variety shows different trends. For example, the implied volatility of soybean No.1 is 9.26% for at - the - money options, and the weighted implied volatility is 10.52%, with a change of - 0.16% [6]. 3.3 Option Strategies and Recommendations 3.3.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The USDA July report shows changes in the supply - demand situation of US soybeans. The option strategy includes constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: The domestic trading situation of soybean meal is analyzed. Option strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [8][9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The MPOB June report shows the production, export, and inventory situation of Malaysian palm oil. Option strategies include constructing a long - biased short call + put option combination strategy and a long collar strategy for spot hedging [10]. - Peanuts: The peanut market has a weak consolidation trend under the bearish pressure line. Option strategies include constructing a bearish spread strategy for put options and a long collar strategy for spot hedging [11]. 3.3.2 Agricultural By - product Options - Pigs: The domestic pig price has a weakening trend after rising. Option strategies include constructing a short - biased short call + put option combination strategy and a covered strategy for spot hedging [11]. - Eggs: The egg market is in a weak downward trend. Option strategies include constructing a bearish spread strategy for put options and a short - biased short call + put option combination strategy [12]. - Apples: The apple market shows a weak rebound trend. Option strategies include constructing a neutral short call + put option combination strategy [12]. - Jujubes: The jujube market rebounds and then falls back. Option strategies include constructing a short - biased wide - straddle option combination strategy and a covered hedging strategy for spot [13]. 3.3.3 Soft Commodity Options - Sugar: The Brazilian sugar export data is released. The sugar market shows a rebound after a decline. Option strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [13]. - Cotton: The cotton market shows a rebound and upward trend. Option strategies include constructing a bullish spread strategy for call options, a long - biased short call + put option combination strategy, and a covered strategy for spot [14]. 3.3.4 Grain Options - Corn and Starch: The corn market is under a bearish trend. Option strategies include constructing a bearish spread strategy for put options and a short - biased short call + put option combination strategy [14].