农产品期权策略早报-20250731

Report Summary 1. Investment Rating The report does not provide an investment rating for the agricultural products options industry. 2. Core Viewpoints - The agricultural products options market shows different trends across various sectors. Oilseeds and oils are in a relatively strong and volatile state, while other sectors such as by - products, soft commodities, and grains have their own specific trends like range - bound trading or short - term weakness [2]. - The recommended strategy is to construct 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 - Various agricultural product futures show different price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2509) dropped by 0.63% to 4,126, with a trading volume of 11.89 million lots and a decrease of 1.99 million lots compared to the previous period, and an open interest of 12.87 million lots with a decrease of 0.47 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 can be used to analyze the strength and turning points of the underlying asset market. For example, the volume PCR of soybean No.1 is 0.38, a decrease of 0.16, and the open interest PCR is 0.39, a decrease of 0.01 [4]. - Pressure and Support Levels: From the perspective of the maximum open interest of call and put options, the pressure and support levels of the underlying assets are analyzed. For example, the pressure level of soybean No.1 is 4,300 and the support level is 4,100 [5]. - Implied Volatility: Each option variety has different implied volatility values, changes, and differences compared to historical volatility, which can be used to measure the market's expectation of future price fluctuations. For example, the weighted implied volatility of soybean No.1 is 12.36%, a decrease of 0.72% [6]. 3.3 Strategies and Recommendations - Oilseeds and Oils Options - Soybean No.1 and No.2: The USDA July report adjusted the supply - demand balance of soybeans. The market of soybean No.1 shows a pattern of small - range consolidation with pressure above. Recommended strategies include constructing a neutral short 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 shows a certain pattern. The market of soybean meal shows a pattern of weak consolidation with support below followed by a rebound and then a decline. Recommended strategies are similar to those of soybean No.1 [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The palm oil market is affected by export and production factors, showing a pattern of long - position high - level consolidation. Recommended strategies include constructing a long - biased short call + put option combination strategy and a long collar strategy for spot hedging [10]. - Peanuts: The peanut market is affected by factors such as supply and demand, showing a pattern of weak consolidation under bearish pressure. Recommended strategies include constructing a bearish spread strategy of put options and a long collar strategy for spot hedging [11]. - By - product Options - Pigs: The pig market is affected by factors such as supply and demand, showing a pattern of small - range consolidation under bearish pressure. Recommended strategies include constructing a short - biased short call + put option combination strategy and a covered call strategy for spot [11]. - Eggs: The egg market is affected by factors such as weather and supply and demand, showing a pattern of weak consolidation with pressure above. Recommended strategies include constructing a bearish spread strategy of put options and a short - biased short call + put option combination strategy [12]. - Apples: The apple market is affected by factors such as production and inventory, showing a pattern of gradual rebound with pressure above. Recommended strategies include constructing a neutral short call + put option combination strategy [12]. - Jujubes: The jujube market shows a pattern of rebound and then decline with pressure above. Recommended strategies include constructing a short - biased wide - straddle option combination strategy and a covered call strategy for spot hedging [13]. - Soft Commodity Options - Sugar: The sugar market shows a pattern of rebound after a decline with support below. Recommended strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [13]. - Cotton: The cotton market shows a short - term weak pattern. Recommended strategies include constructing a long - biased short call + put option combination strategy and a covered call strategy for spot [14]. - Grain Options - Corn and Starch: The corn market shows a pattern of weak decline with pressure above. Recommended strategies include constructing a bearish spread strategy of put options and a short - biased short call + put option combination strategy [14].