农产品期权策略早报-20250828

Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The agricultural product options market shows a mixed trend, with oilseeds and oils being weakly volatile, while other sectors such as by - products, soft commodities, and grains are in a state of shock. 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 Futures Market Overview - The report provides the latest prices, price changes, trading volumes, and open interest of various agricultural product futures, including soybeans, soybean meal, palm oil, etc. For example, the latest price of soybean No.1 (A2511) is 3,940, down 16 points or 0.40% [3] 3.2 Option Factors 3.2.1 Volume and Open Interest PCR - It presents the volume PCR and open - interest PCR of different agricultural product options, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the volume PCR of soybean No.1 is 0.68, with a change of 0.31 [4] 3.2.2 Pressure and Support Levels - The pressure and support levels of various agricultural product options are given, determined by the strike prices of the maximum open interest of call and put options. For example, the pressure level of soybean No.1 is 4,500, and the support level is 3,900 [5] 3.2.3 Implied Volatility - The implied volatility data of different agricultural product options are provided, including at - the - money implied volatility, weighted implied volatility, and its changes. For example, the at - the - money implied volatility of soybean No.1 is 11.46, and the weighted implied volatility is 13.09, down 0.52 [6] 3.3 Option Strategies and Recommendations 3.3.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The fundamental situation of soybeans is analyzed, and it is recommended to construct a neutral call + put option selling strategy and a long collar strategy for spot hedging [7] - Soybean Meal and Rapeseed Meal: Based on the fundamental and market analysis, it is recommended to construct a bear spread strategy for put options, a short - biased call + put option selling strategy, and a long collar strategy for spot hedging [9] - Palm Oil, Soybean Oil, and Rapeseed Oil: Considering the supply and demand situation of oils, it is recommended to construct a bull spread strategy for call options, a long - biased call + put option selling strategy, and a long collar strategy for spot hedging [10] - Peanuts: Given the price decline and market situation of peanuts, it is recommended to construct a bear spread strategy for put options and a long collar strategy for spot hedging [11] 3.3.2 By - product Options - Pigs: Based on the supply and demand and market trends of pigs, it is recommended to construct a short - biased call + put option selling strategy and a covered call strategy for spot hedging [11] - Eggs: Considering the egg inventory and market situation, it is recommended to construct a bear spread strategy for put options and a short - biased call + put option selling strategy [12] - Apples: According to the apple inventory and market trends, it is recommended to construct a neutral call + put option selling strategy [12] - Red Dates: Based on the red date inventory and market situation, it is recommended to construct a neutral wide - straddle option selling strategy and a covered call strategy for spot hedging [13] 3.3.3 Soft Commodity Options - Sugar: Given the domestic sugar price and market situation, it is recommended to construct a short - biased call + put option selling strategy and a long collar strategy for spot hedging [13] - Cotton: Considering the cotton inventory and market trends, it is recommended to construct a long - biased call + put option selling strategy and a covered call strategy for spot hedging [14] 3.3.4 Grain Options - Corn and Starch: Based on the corn import and market situation, it is recommended to construct a bear spread strategy for put options and a short - biased call + put option selling strategy [14]