农产品期权策略早报：农产品期权-20250922

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The agricultural products options market shows diverse trends, with oilseeds and oils, agricultural by - products, soft commodities, and grains each having their own market conditions. Strategies mainly focus on constructing option combination strategies based on sellers and spot hedging or covered strategies to enhance returns [2] 3. Summary by Related Catalogs 3.1 Market Overview of Underlying Futures - Different agricultural product options have various price changes, trading volumes, and open interest changes. For example, the latest price of soybean No.1 (A2511) is 3,901, down 5 with a decline of 0.13%, and its trading volume is 10.47 million lots, down 0.52 million lots [3] 3.2 Option Factors - Volume and Open Interest PCR - The volume and open - interest PCR of different options are used to describe the strength of the option underlying market and the turning point of the underlying market. For instance, the volume PCR of soybean No.1 is 0.39, down 0.18, and the open - interest PCR is 0.43, with no change [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 option underlyings are determined. For example, the pressure level of soybean No.1 is 4000, and the support level is 3900 [5] 3.4 Option Factors - Implied Volatility - The implied volatility of different options is calculated, including at - the - money implied volatility and weighted implied volatility. For example, the at - the - money implied volatility of soybean No.1 is 10.17%, and the weighted implied volatility is 13.00%, up 0.81% [6] 3.5 Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean No.1 and No.2: The fundamental situation of soybeans shows the arrival volume of domestic oil mills. The market of soybean No.1 is in a weak shock. Option strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [7] - Soybean Meal and Rapeseed Meal: The trading volume of soybean meal has decreased. The market of soybean meal is in a weak shock with pressure. Option strategies include constructing a bear spread strategy for call options and a long collar strategy for spot hedging [9] - Palm Oil, Soybean Oil, and Rapeseed Oil: The total inventory of domestic oils is higher than last year. The market of palm oil is in a high - level shock. Option strategies include constructing a long - biased call + put option combination strategy and a long collar strategy for spot hedging [10] - Peanuts: The import volume of peanuts has decreased, and the market is in a weak shock. Option strategies include constructing a bear spread strategy for call options and a long collar strategy for spot hedging [11] 3.5.2 Agricultural By - products Options - Pigs: The pig market is in a supply - exceeding - demand situation, and the price is in a weak shock. Option strategies include constructing a short - biased call + put option combination strategy and a covered call strategy for spot hedging [11] - Eggs: The inventory of laying hens is expected to increase. The egg market is in a weak bearish trend. Option strategies include constructing a bear spread strategy for call options and a short - biased call + put option combination strategy [12] - Apples: The cold - storage inventory of apples has decreased. The apple market is in a warming - up upward trend. Option strategies include constructing a long - biased call + put option combination strategy [12] - Jujubes: The physical inventory of jujubes has decreased. The jujube market is in a large - amplitude shock. Option strategies include constructing a short - biased strangle option combination strategy and a covered call strategy for spot hedging [13] 3.5.3 Soft Commodities Options - Sugar: The sugar production in Brazil has increased, and the import volume in China has also increased. The sugar market is in a weak bearish trend. Option strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [13] - Cotton: The开机 rate of spinning and weaving factories and the commercial inventory of cotton have changed. The cotton market is in a short - term weak trend. Option strategies include constructing a long - biased call + put option combination strategy and a covered call strategy for spot hedging [14] 3.5.4 Grains Options - Corn and Starch: The auction volume and成交 rate of corn have certain characteristics, and the corn market is in a weak shock. Option strategies include constructing a short - biased call + put option combination strategy [14]