农产品期权策略早报-20250801

Industry Investment Rating - No industry investment rating is provided in the report. Core Viewpoints - The agricultural product options market shows different trends. Oilseeds and oils are in a strong - oscillating state, while by - products, soft commodities, and grains have their own market trends. The report suggests constructing option combination strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. Summary by Related Catalogs 1. Market Overview of Underlying Futures - Different agricultural product futures have different price changes, trading volumes, and open interest changes. For example, the latest price of soybeans (A2509) is 4,133, down 4 with a decline rate of 0.10%, the trading volume is 10.27 million lots, and the open interest is 12.22 million lots [3]. 2. Option Factors - Volume and Open Interest PCR - The PCR indicators of different agricultural product options vary. For instance, the volume PCR of soybean (A2509) is 0.55 with a change of 0.17, and the open interest PCR is 0.39 with no change [4]. 3. Option Factors - Pressure and Support Levels - Each option variety has its own pressure and support levels. For example, the pressure level of soybean (A2509) is 4,300, and the support level is 4,100 [5]. 4. Option Factors - Implied Volatility - The implied volatility of different agricultural product options also shows different characteristics. For example, the at - the - money implied volatility of soybean (A2509) is 9.31%, and the weighted implied volatility is 12.04% with a change of - 0.32% [6]. 5. Strategies and Recommendations 5.1 Oilseeds and Oils Options - Soybeans (A2509, B2509): The US soybean supply - demand situation in the 25/26 period has changed. The market shows a small - range consolidation and oscillation pattern. It is recommended to construct option combination strategies such as selling neutral call + put options and long collar strategies for spot hedging [7]. - Soybean Meal (M2509), Rapeseed Meal (RM2509): The market shows a pattern of weak consolidation and then a rebound. It is recommended to construct selling neutral call + put option combination strategies and long collar strategies for spot hedging [9]. - Palm Oil (P2509), Soybean Oil (Y2509), Rapeseed Oil (OI2509): The palm oil market is affected by production and demand. It is recommended to construct selling long - biased call + put option combination strategies and long collar strategies for spot hedging [10]. - Peanuts (PK2510): The market shows a pattern of weak consolidation under bearish pressure. It is recommended to construct a bearish spread strategy of put options and long collar strategies for spot hedging [11]. 5.2 By - product Options - Pigs (LH2509): The spot price of pigs has declined, and the market shows a pattern of small - range consolidation under bearish pressure. It is recommended to construct selling short - biased call + put option combination strategies and covered strategies for spot hedging [11]. - Eggs (JD2509): The egg price has risen and then stabilized. It is recommended to construct a bearish spread strategy of put options and selling short - biased call + put option combination strategies [12]. - Apples (AP2510): The apple market shows a pattern of gradual rebound. It is recommended to construct selling neutral call + put option combination strategies [12]. - Jujubes (CJ2601): The jujube market shows a pattern of rebound and then a decline. It is recommended to construct selling short - biased strangle option combination strategies and covered strategies for spot hedging [13]. 5.3 Soft Commodity Options - Sugar (SR2509): The sugar market shows a pattern of rebound after a decline. It is recommended to construct selling neutral call + put option combination strategies and long collar strategies for spot hedging [13]. - Cotton (CF2509): The cotton market shows a short - term weak pattern. It is recommended to construct selling long - biased call + put option combination strategies and covered strategies for spot hedging [14]. 5.4 Grain Options - Corn (C2509), Starch (CS2509): The corn market shows a pattern of weak decline. It is recommended to construct a bearish spread strategy of put options and selling short - biased call + put option combination strategies [14].