农产品期权策略早报-20250813

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - The agricultural products options market shows different trends. Oilseeds and oils are in a strong and volatile state, while other categories such as agricultural by - products, soft commodities, and grains have various forms of volatile or weak market conditions. - It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Market Overview of Underlying Futures - Different agricultural product options have different price changes, trading volumes, and open interest changes. For example, rapeseed meal (RM2511) had a significant price increase of 6.13% with a price of 2,736, while eggs (JD2510) decreased by 0.47% to 3,197.00 [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different options vary, which can be used to describe the strength of the option underlying market and whether there is a turning point in the underlying market. For instance, the volume PCR of soybean meal (M2511) is 0.76, and the open interest PCR is 0.59 [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of different option underlyings are obtained. For example, the pressure level of soybean (A2511) is 4,300, and the support level is 4,050 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different options shows different trends and relationships with historical volatility. For example, the implied volatility of rapeseed meal (RM2511) has a relatively large increase, with the weighted implied volatility increasing by 4.45% to 31.65% [6]. 3.5 Option Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - Soybeans (A2511): Directional strategy: None; Volatility strategy: Construct a neutral - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [7]. - Soybean Meal (M2511): Similar to soybeans, with specific option contracts recommended [9]. - Palm Oil (P2510): Directional strategy: None; Volatility strategy: Construct a long - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [10]. - Peanuts (PK2510): Directional strategy: Construct a bearish spread combination strategy of put options; Volatility strategy: None; Spot long - hedging strategy: Hold a long spot position + buy put options + sell out - of - the - money call options [11]. 3.5.2 Agricultural By - products Options - Pigs (LH2511): Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - covered strategy: Hold a long spot position + sell out - of - the - money call options [11]. - Eggs (JD2510): Directional strategy: Construct a bearish spread combination strategy of put options; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot hedging strategy: None [12]. - Apples (AP2510): Directional strategy: None; Volatility strategy: Construct a neutral - biased call + put option combination strategy; Spot hedging strategy: None [12]. - Jujubes (CJ2601): Directional strategy: Construct a bullish spread combination strategy of call options; Volatility strategy: Construct a long - biased wide - straddle option combination strategy; Spot covered - hedging strategy: Hold a long spot position + sell out - of - the - money call options [13]. 3.5.3 Soft Commodities Options - Sugar (SR2511): Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [13]. - Cotton (CF2511): Directional strategy: None; Volatility strategy: Construct a long - biased call + put option combination strategy; Spot covered strategy: Hold a long spot position + buy put options + sell out - of - the - money call options [14]. 3.5.4 Grains Options - Corn (C2511): Directional strategy: Construct a bearish spread combination strategy of put options; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - hedging strategy: None [14].