农产品期权策略早报-20250905

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoint The overall trend of agricultural products shows that oilseeds and oils are weakly volatile, while agricultural by - products, soft commodities, and grains maintain a volatile or weakly volatile pattern. 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 Category 3.1 Futures Market Overview - Prices and Changes: Different agricultural product futures have different price changes. For example, the latest price of soybean No.1 (A2511) is 3,971, up 5 with a 0.13% increase; while the price of live hog (LH2511) is 13,365, down 185 with a 1.37% decrease [3]. - Volume and Open Interest: There are also differences in trading volume and open interest. For instance, the trading volume of soybean meal (M2511) is 7.72 million lots, with an increase of 2.12 million lots, and the open interest is 53.89 million lots, with an increase of 0.46 million lots [3]. 3.2 Option Factor Analysis - Volume and Open Interest PCR: These indicators reflect the sentiment and strength of the market. For example, the volume PCR of soybean No.1 is 0.51, with a change of 0.07, and the open - interest PCR is 0.42, with a change of - 0.01 [4]. - Pressure and Support Levels: Each option variety has corresponding pressure and support levels. For example, the pressure level of soybean No.1 is 4,500, and the support level is 3,900 [5]. - Implied Volatility: It shows the market's expectation of future price fluctuations. For example, the implied volatility of soybean No.1 is 10.69%, and the weighted implied volatility is 13.07%, with a change of 0.12 [6]. 3.3 Option Strategies and Recommendations - Oilseeds and Oils Options - Soybean No.1 and No.2: For soybean No.1, it is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: For soybean meal, a bear spread strategy of put options can be constructed, along with a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: For palm oil, a long - biased short call + put option combination strategy and a long collar strategy for spot hedging are recommended [10]. - Peanuts: A bear spread strategy of put options and a long collar strategy for spot hedging are suggested [11]. - Agricultural By - products Options - Live Hogs: A short - biased call + put option combination strategy and a covered call strategy for spot are recommended [11]. - Eggs: A bear spread strategy of put options, a short - biased call + put option combination strategy are recommended, and no spot hedging strategy is provided [12]. - Apples: A long - biased short call + put option combination strategy is recommended, and no spot hedging strategy is provided [12]. - Jujubes: A short - neutral strangle option combination strategy and a covered call strategy for spot hedging are recommended [13]. - Soft Commodities Options - Sugar: A short - biased call + put option combination strategy and a long collar strategy for spot hedging are recommended [13]. - Cotton: A long - biased short call + put option combination strategy and a covered call strategy for spot hedging are recommended [14]. - Grains Options - Corn and Starch: A short - biased call + put option combination strategy is recommended, and no spot hedging strategy is provided for corn [14].