农产品期权策略早报：农产品期权-20250926

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The agricultural product options market shows a mixed performance, with oilseeds and oils, agricultural by - products, soft commodities, and grains having different trends. The overall strategy is to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Different agricultural product futures have various price changes, trading volumes, and open interest changes. For example, the latest price of soybean No.1 (A2511) is 3,942, up 12 with a 0.31% increase, and its trading volume is 17.14 million lots with a change of 5.81 million lots, and open interest is 17.92 million lots with a change of - 2.25 million lots [3]. 3.2 Option Factors - Quantity and Position PCR - PCR indicators are used to describe the strength of the option underlying market and the turning point of the market. For instance, the volume PCR of soybean No.1 is 0.48 with a change of - 0.18, and the position PCR is 0.45 with a change of - 0.04 [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support levels of different underlying assets are determined. For example, the pressure level of soybean No.1 is 4,000 and the support level is 3,850 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility indicators, including at - the - money implied volatility and weighted implied volatility, are presented. For example, the at - the - money implied volatility of soybean No.1 is 12.31%, and the weighted implied volatility is 12.74% with a change of - 0.26% [6]. 3.5 Strategy and Recommendations - Oilseeds and Oils Options - Soybean No.1 and No.2: The soybean market has a complex trend. The implied volatility of soybean No.1 options is at a relatively high level compared to the historical average. Directional strategies are not recommended, while a short - biased call + put option combination strategy can be constructed for volatility strategies, and a long collar strategy can be used for spot long - hedging [7]. - Soybean Meal and Rapeseed Meal: The trading volume of soybean meal decreased. The implied volatility of soybean meal options is slightly above the historical average. A bear spread strategy of put options can be used for directional strategies, a short - biased call + put option combination strategy for volatility strategies, and a long collar strategy for spot long - hedging [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The domestic oil inventory is higher than last year. The implied volatility of palm oil options has declined to a level below the historical average. Directional strategies are not recommended, a short - biased call + put option combination strategy can be used for volatility strategies, and a long collar strategy for spot long - hedging [10]. - Peanuts: The price of imported peanuts is stable, and the demand is weak. The implied volatility of peanut options is at a relatively low historical level. A bear spread strategy of put options can be used for directional strategies, and a long collar strategy for spot long - hedging [11]. - Agricultural By - products Options - Pigs: The pig market is in a state of oversupply. The implied volatility of pig options has increased to a relatively high level compared to the historical average. Directional strategies are not recommended, a short - biased call + put option combination strategy can be used for volatility strategies, and a covered call strategy for spot long - hedging [11]. - Eggs: The inventory of laying hens is increasing. The implied volatility of egg options is at a relatively high level. A bear spread strategy of put options can be used for directional strategies, a short - biased call + put option combination strategy for volatility strategies [12]. - Apples: The apple inventory has decreased. The implied volatility of apple options is slightly above the historical average. A short - biased call + put option combination strategy with a long delta can be used for volatility strategies [12]. - Jujubes: The jujube inventory has decreased. The implied volatility of jujube options has risen rapidly to a level above the historical average. A short - biased wide - straddle option combination strategy can be used for volatility strategies, and a covered call strategy for spot long - hedging [13]. - Soft Commodities Options - Sugar: The sugar production in Brazil has increased, and China's sugar imports have also increased. The implied volatility of sugar options is at a relatively low level. Directional strategies are not recommended, a short - biased call + put option combination strategy can be used for volatility strategies, and a long collar strategy for spot long - hedging [13]. - Cotton: The cotton market shows a short - term weak trend. The implied volatility of cotton options has decreased to a relatively low level. Directional strategies are not recommended, a short - neutral call + put option combination strategy can be used for volatility strategies, and a covered call strategy for spot long - hedging [14]. - Grain Options - Corn and Starch: The corn auction has a certain turnover rate, and the domestic corn spot is weak. The implied volatility of corn options is at a relatively low level. Directional strategies are not recommended, a short - biased call + put option combination strategy can be used for volatility strategies [14].