农产品期权策略早报-20250728

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product sector includes beans, oils, agricultural by - products, soft commodities, grains, and others. The overall market shows that oil and fat - related agricultural products are in a strong - biased oscillatory state, oils and agricultural by - products maintain an oscillatory trend, soft commodity sugar rebounds and rises in an oscillatory manner, cotton shows a bullish upward trend, and grains such as corn and starch are in a weak and narrow - range consolidation state. [2][8] - Strategies suggest constructing option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns. [2] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The table presents the latest prices, price changes, trading volumes, and open interest changes of various agricultural product futures contracts. For example, the latest price of soybean No.1 (A2509) is 4,208, with a decline of 15 and a decline rate of 0.36%, trading volume of 10.13 million lots, and an increase in open interest of 0.29 million lots. [3] 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators of volume and open interest for different option varieties are provided. For instance, the volume PCR of soybean No.1 is 0.53 with a change of 0.19, and the open interest PCR is 0.46 with a change of - 0.00. These indicators are used to describe the strength of the option underlying market and the turning point of the underlying market. [4] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different option varieties are analyzed. For example, the pressure level of soybean No.1 is 4300 and the support level is 4100, which are determined from the strike prices of the maximum open interest of call and put options. [5] 3.4 Option Factors - Implied Volatility - The implied volatility data of different option varieties are given, including at - the - money implied volatility, weighted implied volatility, and its changes, average annual implied volatility, call and put implied volatility, historical volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of soybean No.1 is 10.86%, and the weighted implied volatility is 13.59% with a change of 0.97%. [6] 3.5 Option Strategies and Suggestions 3.5.1 Oil and Oilseed Options - Soybean No.1 and No.2: - Fundamentals: USDA's July report maintains the soybean production in the 25/26 season at about 118 million tons, with an increase in crushing volume and a decrease in exports, resulting in an increase in inventory and the inventory - to - sales ratio. - Market Analysis: Soybean No.1 shows an oversold rebound pattern. - Option Factors: Implied volatility is at a relatively high level, open interest PCR is below 0.60, and the pressure and support levels are 4300 and 4100 respectively. - Strategies: Construct a neutral call + put option combination for volatility strategies; for spot hedging, build a long collar strategy. [7] - Soybean Meal and Rapeseed Meal: - Fundamentals: The purchase volume of soybean meal in different months is provided. - Market Analysis: Soybean meal shows a pattern of decline, consolidation, and then rebound. - Option Factors: Implied volatility is slightly above the historical average, open interest PCR is below 0.60, and the pressure and support levels are 3100 and 2900 respectively. - Strategies: Construct a neutral call + put option combination for volatility strategies; for spot hedging, build a long collar strategy. [9] - Palm Oil, Soybean Oil, and Rapeseed Oil: - Fundamentals: Malaysian palm oil exports are expected to decline, and production is increasing. - Market Analysis: Palm oil shows a bullish upward trend. - Option Factors: Implied volatility of palm oil is decreasing to below the historical average, open interest PCR is above 1.00, and the pressure and support levels are 10000 and 8000 respectively. - Strategies: Construct a bull - biased call + put option combination for volatility strategies; for spot hedging, build a long collar strategy. [10] - Peanuts: - Fundamentals: The spot price of peanuts in the Northeast is stable, imports are decreasing, and the inventory is still high. - Market Analysis: Peanuts show a pattern of weak consolidation under bearish pressure. - Option Factors: Implied volatility is at a relatively low level, open interest PCR is below 0.60, and the pressure and support levels are 9000 and 8000 respectively. - Strategies: Construct a bearish spread strategy for directional trading; for spot hedging, hold a long position + buy put options + sell out - of - the - money call options. [11] 3.5.2 Agricultural By - product Options - Hogs: - Fundamentals: The spot price of hogs is falling, slaughter volume is high, and demand is average. - Market Analysis: Hogs show a pattern of small - scale upward movement under bearish pressure. - Option Factors: Implied volatility is rising to above the historical average, open interest PCR is below 0.50, and the pressure and support levels are 18000 and 13600 respectively. - Strategies: Construct a bear - biased call + put option combination for volatility strategies; for spot hedging, hold a long position + sell out - of - the - money call options. [11] - Eggs: - Fundamentals: Egg prices are rising and then stabilizing, affected by high - temperature weather. - Market Analysis: Eggs show a pattern of weak consolidation with upper pressure. - Option Factors: Implied volatility is at a high level, open interest PCR is below 0.60, and the pressure and support levels are 4000 and 3400 respectively. - Strategies: Construct a bearish spread strategy for directional trading; construct a bear - biased call + put option combination for volatility strategies. [12] - Apples: - Fundamentals: The estimated apple production is increasing, and the inventory in cold storage is decreasing. - Market Analysis: Apples show a pattern of weak bearishness gradually rebounding. - Option Factors: Implied volatility is slightly above the historical average, open interest PCR is below 0.60, and the pressure and support levels are 8900 and 7000 respectively. - Strategies: Construct a neutral call + put option combination for volatility strategies. [12] - Jujubes: - Fundamentals: The arrival volume and price of jujubes in the market are provided. - Market Analysis: Jujubes show a pattern of rebound, rise, and then decline. - Option Factors: Implied volatility is rising to above the historical average, open interest PCR is below 0.50, and the pressure and support levels are 11400 and 9000 respectively. - Strategies: Construct a bear - biased strangle option combination for volatility strategies; for spot hedging, hold a long position + sell out - of - the - money call options. [13] 3.5.3 Soft Commodity Options - Sugar: - Fundamentals: The number of ships waiting to load sugar in Brazilian ports and the quantity of sugar are provided. - Market Analysis: Sugar shows a pattern of oversold rebound. - Option Factors: Implied volatility is at a relatively low level, open interest PCR is around 0.60, and the pressure and support levels are 5900 and 5700 respectively. - Strategies: Construct a neutral call + put option combination for volatility strategies; for spot hedging, build a long collar strategy. [13] - Cotton: - Fundamentals: The growth conditions of American cotton are provided. - Market Analysis: Cotton shows a pattern of rebound and then consolidation. - Option Factors: Implied volatility is decreasing to a low level, open interest PCR is below 1.00, and the pressure and support levels are 15000 and 13000 respectively. - Strategies: Construct a bullish spread strategy for directional trading; construct a bull - biased call + put option combination for volatility strategies; for spot hedging, hold a long position + buy put options + sell out - of - the - money call options. [14] 3.5.4 Grain Options - Corn and Starch: - Fundamentals: The price and inventory conditions of corn in different regions are provided. - Market Analysis: Corn shows a pattern of bearish downward movement. - Option Factors: Implied volatility is at a relatively low level, open interest PCR is below 0.60, and the pressure and support levels are 2320 and 2300 respectively. - Strategies: Construct a bearish spread strategy for directional trading; construct a bear - biased call + put option combination for volatility strategies. [14]