农产品期权策略早报-20250725

1. Report's Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural products sector includes beans, oils, agricultural by - products, soft commodities, grains, and others. The market trends vary among different product categories. For example, oilseeds and oils show a strong and volatile trend, while grains like corn and starch are in a weak and narrow - range consolidation. [2][8] - It is recommended to construct option portfolio strategies mainly based on sellers, along with spot hedging or covered strategies to enhance returns. [2] 3. Summary According to the Directory 3.1 Futures Market Overview - Different agricultural product futures have different price changes, trading volumes, and open interest changes. For instance, the latest price of soybean No.1 (A2509) is 4,221, with an increase of 15 and a rise - fall rate of 0.36%, and the trading volume is 124,500 lots with a decrease of 14,600 lots. [3] 3.2 Option Factor - Volume and Open Interest PCR - The volume and open - interest PCR of various agricultural product options are different, which can be used to analyze the strength of the option underlying market and the turning point of the market. For example, the volume PCR of soybean No.1 option is 0.35, and the open - interest PCR is 0.46. [4] 3.3 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 determined. For example, the pressure level of soybean No.1 is 4300, and the support level is 4100. [5] 3.4 Option Factor - Implied Volatility - The implied volatility of different agricultural product options has different characteristics, including the average implied volatility at the money, weighted implied volatility, and its changes. For example, the at - the - money implied volatility of soybean No.1 is 10.36%, and the weighted implied volatility is 12.62% with a decrease of 0.67%. [6] 3.5 Strategy 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 soybean No.1 market showed a rebound after a sharp decline. It is recommended to construct a neutral selling 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 market shows a rebound after a weak consolidation. Similar to soybean No.1, a neutral selling option combination strategy and a long collar strategy for spot hedging are recommended. [9] - Palm Oil, Soybean Oil, and Rapeseed Oil: The MPOB June report shows the supply - demand situation of palm oil. The palm oil market is in a bullish trend. A bullish selling call + put option combination strategy and a long collar strategy for spot hedging are recommended. [10] - Peanuts: The peanut market is in a weak consolidation under the bearish pressure line. A bearish spread strategy of put options and a long collar strategy for spot hedging are recommended. [11] 3.5.2 Agricultural By - products Options - Pigs: The pig market is in a weak trend after a rebound. A bearish selling option combination strategy and a covered call strategy for spot are recommended. [11] - Eggs: The egg market is in a weak downward trend. A bearish spread strategy of put options and a bearish selling option combination strategy are recommended. [12] - Apples: The apple market shows a weak rebound. A neutral selling option combination strategy is recommended. [12] - Red Dates: The red date market shows a rebound and then a decline. A bearish wide - straddle option combination strategy and a covered call strategy for spot hedging are recommended. [13] 3.5.3 Soft Commodities Options - Sugar: The sugar market shows a rebound after a sharp decline. A neutral selling option combination strategy and a long collar strategy for spot hedging are recommended. [13] - Cotton: The cotton market shows a rebound at a low level. A bullish spread strategy of call options, a bullish selling option combination strategy, and a covered call strategy for spot are recommended. [14] 3.5.4 Grains Options - Corn and Starch: The corn market is in a weak downward trend. A bearish spread strategy of put options and a bearish selling option combination strategy are recommended. [14]