农产品期权策略早报-20250908

Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The agricultural product option market shows different trends. Oilseeds and oils are in a weak - oscillating state, while oils, agricultural by - products maintain an oscillating trend. Soft commodities like sugar show a slight oscillation, cotton is in a weak consolidation, and grains such as corn and starch are in a weak and narrow - range consolidation [2]. - It is recommended to construct option combination strategies mainly based on sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary According to Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product futures have varying price changes, trading volumes, and open interests. For example, the price of soybean No.1 (A2511) decreased by 0.30% to 3,963, with a trading volume of 7.84 million lots and an open interest of 19.66 million lots [3]. 3.2 Option Factors - PCR - The volume PCR and open interest PCR of different agricultural product options are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the volume PCR of soybean No.1 is 0.41 with a change of - 0.10, and the open interest PCR is 0.41 with a change of - 0.00 [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 agricultural product options are determined. For example, the pressure level of soybean No.1 is 4100 and the support level is 3900 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different agricultural product options shows different trends. For example, the implied volatility of soybean No.1 has a weighted implied volatility of 12.97% with a change of - 0.10%, and the difference between implied and historical volatility is - 2.34% [6]. 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The fundamental data of soybeans show changes in the US soybean good - rate and Brazilian soybean import costs. The soybean No.1 market shows a pattern of small - range consolidation. Option strategies include constructing a neutral call + put option combination for volatility strategies and a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: The supply of soybean meal is abundant, and the price is under pressure. Option strategies include a bear spread strategy for direction and a short - biased call + put option combination for volatility, along with a long collar strategy for spot hedging [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The palm oil market shows a pattern of high - level and large - range oscillation. Option strategies include a long - biased call + put option combination for volatility and a long collar strategy for spot hedging [10]. - Peanut: The peanut market is in a weak consolidation. Option strategies include a bear spread strategy for direction and a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - Pig: The pig market is in a weak consolidation. Option strategies include a short - biased call + put option combination for volatility and a covered call strategy for spot [11]. - Egg: The egg market is in a weak and bearish trend. Option strategies include a bear spread strategy for direction, a short - biased call + put option combination for volatility [12]. - Apple: The apple market shows a continuous upward trend with pressure. Option strategies include a long - biased call + put option combination for volatility [12]. - Jujube: The jujube market shows a short - term decline. Option strategies include a short - biased strangle option combination for volatility and a covered call strategy for spot [13]. 3.5.3 Soft Commodity Options - Sugar: The sugar market is in a weak and bearish trend. Option strategies include a short - biased call + put option combination for volatility and a long collar strategy for spot hedging [13]. - Cotton: The cotton market is in a short - term weak trend. Option strategies include a long - biased call + put option combination for volatility and a covered call strategy for spot [14]. 3.5.4 Grain Options - Corn and Starch: The corn market is in a weak and bearish rebound. Option strategies include a short - biased call + put option combination for volatility [14].