农产品期权策略早报-20250918

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The agricultural product options market shows a mixed trend, with oilseeds and oils, and some agricultural by - products in a weak and volatile state, while soft commodities like sugar and cotton also present different degrees of weak fluctuations [2]. - 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 Relevant Catalogs 3.1 Futures Market Overview - Various agricultural product futures show different price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2511) decreased by 0.49% to 3,895, with a trading volume of 12.17 million lots and an open interest of 22.65 million lots [3]. 3.2 Option Factors 3.2.1 Volume - to - Open - Interest PCR - Different option varieties have different volume - to - open - interest PCR values and their changes. For instance, the volume PCR of soybean No.1 is 0.55 with a change of 0.13, and the open - interest PCR is 0.42 with a change of 0.01 [4]. 3.2.2 Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure level of soybean No.1 is 3,950 and the support level is 3,900 [5]. 3.2.3 Implied Volatility - The implied volatility of different option varieties also varies. For example, the at - the - money implied volatility of soybean No.1 is 10.555%, and the weighted implied volatility is 13.17% with a change of - 0.34% [6]. 3.3 Strategy and Recommendations 3.3.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The fundamentals of US soybeans have a neutral - to - negative impact. The implied volatility of soybean No.1 options remains at a relatively high level compared to historical averages. Directional strategies are not recommended, while a volatility strategy of selling a neutral call + put option combination is suggested, along with a spot long - hedging strategy of a long collar [7]. - Soybean Meal and Rapeseed Meal: For soybean meal, the daily提货 volume increased slightly, the basis decreased week - on - week, and the inventory increased week - on - week but decreased year - on - year. A bear - spread strategy for put options and a volatility strategy of selling a bearish call + put option combination are recommended, along with a long collar strategy for spot hedging [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The palm oil inventory in Malaysia reached a 20 - month high. A volatility strategy of selling a bullish call + put option combination and a long collar strategy for spot hedging are recommended for palm oil [10]. - Peanuts: The price of peanuts showed a weak consolidation pattern. A bear - spread strategy for put options and a long collar strategy for spot hedging are recommended [11]. 3.3.2 Agricultural By - products Options - Pigs: The supply pressure in September is large, and the market is in a weak consolidation state. A volatility strategy of selling a bearish call + put option combination and a covered call strategy for spot are recommended [11]. - Eggs: The inventory of laying hens is expected to increase. A bear - spread strategy for put options and a volatility strategy of selling a bearish call + put option combination are recommended [12]. - Apples: The consumption market of apples is gradually warming up. A volatility strategy of selling a bullish call + put option combination is recommended [12]. - Jujubes: The inventory of jujubes decreased slightly. A volatility strategy of selling a bearish strangle option combination and a covered call strategy for spot hedging are recommended [13]. 3.3.3 Soft Commodities Options - Sugar: The low inventory of domestic sugar supports the price, but the sales volume in August was lower than expected. A volatility strategy of selling a bearish call + put option combination and a long collar strategy for spot hedging are recommended [13]. - Cotton: The开机率 of spinning and weaving factories and the commercial inventory of cotton have different changes. A volatility strategy of selling a bullish call + put option combination and a covered call strategy for spot are recommended [14]. 3.3.4 Cereal Options - Corn and Starch: The corn production is expected to increase. A volatility strategy of selling a bearish call + put option combination is recommended for corn [14].