农产品期权策略早报-20250916

Group 1: Report Overview - Report Title: Agricultural Product Options Strategy Morning Report [1][2] - Report Date: September 16, 2025 [1] - Core Viewpoint: Oilseed and oil agricultural products are weakly volatile, while oils, agricultural by - products maintain a volatile market. Soft commodity sugar shows a slight fluctuation, cotton is weakly consolidating, and grains such as corn and starch are weakly and narrowly consolidating. Construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2] Group 2: Target Futures Market Overview - Multiple agricultural product options are covered, including soybean, soybean meal, palm oil, etc. For each option, details such as the underlying contract, latest price, change, change rate, trading volume, volume change, open interest, and open interest change are provided [3] Group 3: Option Factor Analysis Volume and Open Interest PCR - Analyze the volume PCR and open interest PCR of various agricultural product options, including their values and changes, which are used to describe the strength of the option underlying market and whether the underlying market has a turning point [4] Pressure and Support Levels - Determine the pressure and support levels of each option underlying from the perspective of the strike prices with the largest open interest of call and put options [5] Implied Volatility - Provide data on the at - the - money implied volatility, weighted implied volatility, its change, annual average, call implied volatility, put implied volatility, HISV20, and the difference between implied and historical volatility for each option [6] Group 4: Strategy and Recommendations Oilseed and Oil Options - Soybean (Bean 1 and Bean 2): The fundamentals of US soybeans are neutral to bearish. The implied volatility of soybean options remains at a relatively high level compared to historical averages, and the open interest PCR indicates a weak market. Directional strategy: None; Volatility strategy: Construct a short - neutral call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [7] - Soybean Meal and Rapeseed Meal: For soybean meal, the fundamentals show changes in daily提货 volume, basis, and inventory. The implied volatility of soybean meal options remains slightly above the historical average, and the open interest PCR is below 0.60. Directional strategy: Construct a bearish call option spread strategy; Volatility strategy: Construct a short - bearish call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [9] - Palm Oil, Soybean Oil, and Rapeseed Oil: The fundamentals of palm oil show changes in inventory. The implied volatility of palm oil options continues to decline to a level below the historical average, and the open interest PCR is above 1.00. Directional strategy: None; Volatility strategy: Construct a short - bullish call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [10] - Peanut: The fundamentals are affected by factors such as weather and market supply. The implied volatility of peanut options remains at a relatively low level, and the open interest PCR is below 0.60. Directional strategy: Construct a bearish call option spread strategy; Volatility strategy: None; Spot long - hedging strategy: Hold a long spot + buy a put option + sell an out - of - the - money call option [11] Agricultural By - product Options - Pig: The supply pressure in September is large, and the market is in a weak state. The implied volatility of pig options continues to rise to a relatively high level compared to historical averages, and the open interest PCR is below 0.50. Directional strategy: None; Volatility strategy: Construct a short - bearish call + put option combination strategy; Spot long - covered strategy: Hold a long spot + sell an out - of - the - money call option [11] - Egg: The inventory of laying hens is expected to increase. The implied volatility of egg options remains at a high level, and the open interest PCR is below 0.60. Directional strategy: Construct a bearish call option spread strategy; Volatility strategy: Construct a short - bearish call + put option combination strategy; Spot hedging strategy: None [12] - Apple: The market is gradually warming up. The implied volatility of apple options remains slightly above the historical average, and the open interest PCR is below 0.60. Directional strategy: None; Volatility strategy: Construct a short - bullish call + put option combination strategy; Spot hedging strategy: None [12] - Jujube: The inventory shows a slight decline. The implied volatility of jujube options quickly rises to a level above the historical average, and the open interest PCR is below 0.50. Directional strategy: None; Volatility strategy: Construct a short - bearish wide - straddle option combination strategy; Spot covered hedging strategy: Hold a long spot + sell an out - of - the - money call option [13] Soft Commodity Options - Sugar: The domestic sugar low - inventory supports the price, but the sales data is lower than expected. The implied volatility of sugar options remains at a relatively low level, and the open interest PCR is around 0.60. Directional strategy: None; Volatility strategy: Construct a short - bearish call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [13] - Cotton: The开机 rate of spinning and weaving factories and the commercial inventory show certain changes. The implied volatility of cotton options continues to decline and is currently at a low level, and the open interest PCR is below 1.00. Directional strategy: None; Volatility strategy: Construct a short - bullish call + put option combination strategy; Spot covered strategy: Hold a long spot + buy a put option + sell an out - of - the - money call option [14] Grain Options - Corn and Starch: The corn supply is affected by factors such as planting area and yield. The implied volatility of corn options remains at a relatively low level, and the open interest PCR is below 0.60. Directional strategy: None; Volatility strategy: Construct a short - bearish call + put option combination strategy; Spot long - hedging strategy: None [14] Group 5: Option Charts - Multiple option charts are provided for various agricultural products, including price trend charts, option volume and open interest charts, open interest - PCR charts, implied volatility charts, etc., to visually present the market conditions of each option [16][33][51]