农产品期权策略早报-20250729

1. Report Industry Investment Rating - No information provided in the document 2. Core Viewpoints of the Report - Oilseed and oil - related agricultural products show a strong - side oscillatory trend, while other agricultural products maintain an oscillatory pattern. Soft commodities like sugar rebound and cotton shows a bullish trend, and grains such as corn and starch are weakly and narrowly consolidating. It is recommended to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2] 3. Summary According to Relevant Catalogs 3.1 Futures Market Overview - Various agricultural product futures have different price changes, trading volumes, and open interest changes. For example, the latest price of soybean No.1 (A2509) is 4,140, down 43 with a decline of 1.03%, and its trading volume is 18.43 million lots and open interest is 14.76 million lots [3] 3.2 Option Factors - Volume and Open Interest PCR - Different option varieties have different volume and open interest PCR values and their changes, which are used to describe the strength of the option - underlying market and the turning point of the market [4] 3.3 Option Factors - Pressure and Support Levels - From the perspective of option maximum open interest at strike prices, the pressure and support levels of different option - underlying products are determined. For instance, the pressure level of soybean No.1 is 4300 and the support level is 4100 [5] 3.4 Option Factors - Implied Volatility - Different option varieties have different implied volatility values, including at - the - money implied volatility, weighted implied volatility, call and put implied volatility, and the difference between implied and historical volatility [6] 3.5 Option Strategies and Recommendations 3.5.1 Oilseed and Oil Options - Soybean No.1 and No.2: USDA's July report adjusted the supply - demand balance of soybeans. Soybean No.1 shows an oversold rebound pattern. It is recommended to construct a neutral short - call + short - put option combination strategy and a long - collar strategy for spot hedging [7] - Soybean Meal and Rapeseed Meal: Analyze the purchase volume of soybean meal and its market trend. It is recommended to construct a neutral short - call + short - put option combination strategy and a long - collar strategy for spot hedging [9] - Palm Oil, Soybean Oil, and Rapeseed Oil: Analyze the fundamentals and market trends of palm oil. It is recommended to construct a long - biased short - call + short - put option combination strategy and a long - collar strategy for spot hedging [10] - Peanuts: Analyze the fundamentals and market trends of peanuts. It is recommended to construct a bear - spread strategy with put options and a long - collar strategy for spot hedging [11] 3.5.2 Agricultural By - product Options - Pigs: Analyze the fundamentals and market trends of pigs. It is recommended to construct a short - biased short - call + short - put option combination strategy and a covered call strategy for spot hedging [11] - Eggs: Analyze the fundamentals and market trends of eggs. It is recommended to construct a bear - spread strategy with put options, a short - biased short - call + short - put option combination strategy [12] - Apples: Analyze the fundamentals and market trends of apples. It is recommended to construct a neutral short - call + short - put option combination strategy [12] - Jujubes: Analyze the fundamentals and market trends of jujubes. It is recommended to construct a short - biased short - strangle option combination strategy and a covered call strategy for spot hedging [13] 3.5.3 Soft Commodity Options - Sugar: Analyze the fundamentals and market trends of sugar. It is recommended to construct a neutral short - call + short - put option combination strategy and a long - collar strategy for spot hedging [13] - Cotton: Analyze the fundamentals and market trends of cotton. It is recommended to construct a bull - spread strategy with call options, a long - biased short - call + short - put option combination strategy, and a covered call strategy for spot hedging [14] 3.5.4 Grain Options - Corn and Starch: Analyze the fundamentals and market trends of corn. It is recommended to construct a bear - spread strategy with put options and a short - biased short - call + short - put option combination strategy [14]