Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The agricultural product sector mainly includes beans, oils, agricultural by - products, soft commodities, grains, and others. The overall market shows different trends: oilseeds and oils are in a strong - side shock, oils and agricultural by - products are in a shock, soft commodities like sugar are in a rebound and shock upward, cotton is in a bullish rise, and grains like corn and starch are in a weak and narrow - range consolidation. The strategy is to construct option portfolio strategies mainly as sellers, as well as spot hedging or covered strategies to enhance returns [2][8] Summary According to Relevant Catalogs 1. Futures Market Overview - Different agricultural product futures have different price changes, trading volumes, and open interests. For example, the latest price of soybean No.1 (A2509) is 4,176, down 22 with a decline rate of 0.52%, and its trading volume is 16.04 million lots with a change of 4.99 million lots, and open interest is 17.53 million lots with a change of - 0.70 million lots [3] 2. Option Factor - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options show different trends. For example, the volume PCR of soybean No.1 option is 0.57 with a change of 0.12, and the open interest PCR is 0.49 with a change of 0.04 [4] 3. Option Factor - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of different agricultural product options are different. For example, the pressure level of soybean No.1 is 4500 and the support level is 4100 [5] 4. Option Factor - Implied Volatility - The implied volatility of different agricultural product options also varies. For example, the at - the - money implied volatility of soybean No.1 is 8.81%, and the weighted implied volatility is 10.87% with a change of 0.69% [6] 5. Strategies and Recommendations for Different Agricultural Product Options 5.1 Oils and Oilseeds Options - Beans (Soybean No.1, Soybean No.2): The USDA July report adjusted the supply - demand balance of US soybeans. Soybean No.1 showed a rebound after over - decline. The implied volatility of soybean No.1 option is at a relatively high level compared to the historical average. The recommended strategies include constructing a neutral call + put option selling combination strategy and a long collar strategy for spot hedging [7] - Bean Meal, Rapeseed Meal: The purchase volume of bean meal in different months is different. Bean meal showed a rebound after a weak consolidation. The implied volatility of bean meal option is slightly above the historical average. The recommended strategies include constructing a neutral call + put option selling combination strategy and a long collar strategy for spot hedging [9] - Palm Oil, Soybean Oil, Rapeseed Oil: The MPOB June report showed the supply - demand situation of palm oil. Palm oil showed a bullish rise. The implied volatility of palm oil option is declining to a level below the historical average. The recommended strategies include constructing a bullish call + put option selling combination strategy and a long collar strategy for spot hedging [10] - Peanuts: The price of peanuts showed a weak consolidation. The implied volatility of peanut option is at a relatively low level. The recommended strategies include constructing a bearish put option spread strategy and a long collar strategy for spot hedging [11] 5.2 Agricultural By - product Options - Pigs: The domestic pig price was in a downward trend. The implied volatility of pig option is at a relatively high level compared to the historical average. The recommended strategies include constructing a bearish call + put option selling combination strategy and a covered call strategy for spot hedging [11] - Eggs: The domestic egg price rebounded. Eggs showed a weak - side shock. The implied volatility of egg option is at a relatively high level. The recommended strategies include constructing a bearish put option spread strategy and a bearish call + put option selling combination strategy [12] - Apples: The inventory of apples in cold storage is at a low level. Apples showed a weak rebound. The implied volatility of apple option is below the historical average. The recommended strategies include constructing a neutral call + put option selling combination strategy [12] - Jujubes: The inventory of jujubes decreased slightly. Jujubes showed a rebound and then a decline. The implied volatility of jujube option is declining. The recommended strategies include constructing a bearish wide - straddle option selling combination strategy and a covered call strategy for spot hedging [13] 5.3 Soft Commodity Options - Sugar: The shipping data of Brazilian sugar showed a change. Sugar showed a rebound after a decline. The implied volatility of sugar option is at a relatively low level. The recommended strategies include constructing a neutral call + put option selling combination strategy and a long collar strategy for spot hedging [13] - Cotton: The operating rates of spinning and weaving mills decreased, and cotton inventory decreased. Cotton showed a rebound. The implied volatility of cotton option is at a relatively low level. The recommended strategies include constructing a bullish call option spread strategy, a bullish call + put option selling combination strategy, and a covered call strategy for spot hedging [14] 5.4 Grain Options - Corn, Starch: The spot price of corn was weak, and the futures market was also weak. Corn showed a downward trend. The implied volatility of corn option is at a relatively low level. The recommended strategies include constructing a bearish put option spread strategy and a bearish call + put option selling combination strategy [14]
农产品期权策略早报-20250721
Wu Kuang Qi Huo·2025-07-21 03:17