农产品期权策略早报-20250718

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The agricultural product sector includes beans, oils, agricultural by - products, soft commodities, grains, and others. The overall trend is that oilseeds and oils are in a strong - side oscillation, oils and agricultural by - products are in a sideways movement, soft commodities like sugar are rebounding and rising, cotton is on a bullish trend, and grains such as corn and starch are in a weak and narrow - range consolidation. It is recommended to construct option combination strategies mainly based on sellers and spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Various agricultural product futures show different price changes, trading volumes, and open interest changes. For example, the latest price of soybean No.1 (A2509) is 4,215, up 21 with a 0.50% increase, trading volume of 11.04 million lots (down 1.93 million lots), and open interest of 18.23 million lots (up 0.23 million lots) [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR of different option varieties are presented. For instance, the volume PCR of soybean No.1 is 0.44 (up 0.06), and the open interest PCR is 0.45 (up 0.01) [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of different option varieties are given. For example, the pressure level of soybean No.1 is 4500, and the support level is 4100 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility data of different option varieties are provided. For example, the at - the - money implied volatility of soybean No.1 is 8.69%, and the weighted implied volatility is 10.18% (down 0.34%) [6]. 3.5 Option Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The USDA July report adjusted the supply - demand balance of US soybeans. The implied volatility of soybean No.1 is at a relatively high level compared to historical averages. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: The domestic soybean meal market has shown a slight improvement in trading volume. The implied volatility of soybean meal is slightly above the historical average. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The MPOB June report shows the supply - demand situation of Malaysian palm oil. The implied volatility of palm oil is declining. It is recommended to construct a bullish short call + put option combination strategy and a long collar strategy for spot hedging [10]. - Peanuts: The peanut market has a weak downstream consumption. The implied volatility of peanuts is at a relatively low historical level. It is recommended to construct a bearish put option spread strategy and a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - products Options - Pigs: The domestic pig price has stabilized after a decline. The implied volatility of pig options is at a relatively high level compared to historical averages. It is recommended to construct a bearish short call + put option combination strategy and a covered call strategy for spot hedging [11]. - Eggs: The inventory of laying hens is expected to increase. The implied volatility of egg options is at a relatively high level. It is recommended to construct a bearish put option spread strategy and a bearish short call + put option combination strategy [12]. - Apples: The cold - storage inventory of apples is at a low level in the past five years. The implied volatility of apple options is below the historical average. It is recommended to construct a neutral short call + put option combination strategy [12]. - Red Dates: The inventory of red dates has decreased slightly. The implied volatility of red dates is declining. It is recommended to construct a bearish short strangle option combination strategy and a covered call strategy for spot hedging [13]. 3.5.3 Soft Commodities Options - Sugar: Brazil's sugar exports have increased. The implied volatility of sugar options is at a relatively low historical level. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [13]. - Cotton: The operating rates of spinning and weaving mills have declined, and the commercial inventory of cotton has decreased. The implied volatility of cotton options is at a relatively low level. It is recommended to construct a bullish call option spread strategy, a bullish short call + put option combination strategy, and a covered call strategy for spot hedging [14]. 3.5.4 Grains Options - Corn and Starch: The corn market is affected by import auctions, and the price is in a weak trend. The implied volatility of corn options is at a relatively low historical level. It is recommended to construct a bearish put option spread strategy and a bearish short call + put option combination strategy [14].