农产品期权策略早报-20250722

1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints of the Report - The agricultural product options market shows diversified trends, with oilseeds and oils fluctuating strongly, fats and oils and agricultural by - products maintaining a volatile market, soft commodities like sugar rebounding and rising, cotton rising bullishly, and grains such as corn and starch 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 options have different price trends, trading volumes, and open - interest changes. For example, the price of soybean No.1 (A2509) is 4,188, up 12 with a 0.29% increase, trading volume is 18.26 million lots, and open - interest is 17.30 million lots with a decrease of 0.23 million lots [3]. 3.2 Option Factors - Volume and Open - Interest PCR - The volume and open - interest PCR of each option variety are different, which can be used to describe the strength of the option underlying market and whether the underlying market has a turning point. For example, the volume PCR of soybean No.1 is 0.34, down 0.23, and the open - interest PCR is 0.46, down 0.02 [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the maximum open - interest of call and put options, the pressure and support levels of each option underlying are determined. For example, the pressure level of soybean No.1 is 4,500 and the support level is 4,100 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of each option variety has different characteristics, including changes in weighted implied volatility, differences between implied and historical volatilities. For example, the weighted implied volatility of soybean No.1 is 11.39, up 0.53, and the difference between implied and historical volatilities is - 0.63 [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 soybeans. The implied volatility of soybean No.1 options is at a relatively high level, and the open - interest PCR indicates a weak market. It is recommended to construct a neutral call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: The purchase volume of soybean meal in different months is different. The implied volatility of soybean meal options is slightly above the historical average, and the open - interest PCR is around 0.80. It is recommended to construct a neutral call + put option combination strategy and a long collar strategy for spot hedging [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The export and production of palm oil in Malaysia are different from expectations. The implied volatility of palm oil options is declining, and the open - interest PCR indicates intense long - short competition. It is recommended to construct a long - biased call + put option combination strategy and a long collar strategy for spot hedging [10]. - Peanuts: The price of peanuts shows a weak consolidation pattern. The implied volatility of peanut options is at a relatively low level, and the open - interest PCR indicates a weak and volatile market. It is recommended to construct a bear spread strategy for put options and a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - Pigs: The domestic pig price is weak. The implied volatility of pig options is at a relatively high level, and the open - interest PCR indicates a weak market. It is recommended to construct a short - biased call + put option combination strategy and a covered call strategy for spot hedging [11]. - Eggs: The domestic egg price rebounds seasonally. The implied volatility of egg options is at a high level, and the open - interest PCR indicates a weak market. It is recommended to construct a bear spread strategy for put options and a short - biased call + put option combination strategy [12]. - Apples: The inventory of apples in cold storage is at a low level. The implied volatility of apple options is below the historical average, and the open - interest PCR indicates a weak market. It is recommended to construct a neutral call + put option combination strategy [12]. - Jujubes: The inventory of jujubes is slightly decreasing. The implied volatility of jujube options is declining, and the open - interest PCR indicates a weak market. It is recommended to construct a short - biased wide - straddle option combination strategy and a covered call strategy for spot hedging [13]. 3.5.3 Soft Commodity Options - Sugar: The number of ships waiting to load sugar in Brazilian ports is decreasing. The implied volatility of sugar options is at a relatively low level, and the open - interest PCR indicates a range - bound market. It is recommended to construct a neutral call + put option combination strategy and a long collar strategy for spot hedging [13]. - Cotton: The开机 rate of spinning and weaving mills is decreasing, and the commercial inventory of cotton is decreasing. The implied volatility of cotton options is at a low level, and the open - interest PCR indicates an increasing long - side force. It is recommended to construct a bull spread strategy for call options, a long - biased call + put option combination strategy, and a covered call strategy for spot hedging [14]. 3.5.4 Grain Options - Corn and Starch: The spot price of corn is weak, and the futures market is also under pressure. The implied volatility of corn options is at a relatively low level, and the open - interest PCR indicates a range - bound market. It is recommended to construct a bear spread strategy for put options and a short - biased call + put option combination strategy [14].