农产品期权策略早报：农产品期权-20250929

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 in a weak and volatile state, while some agricultural by - products and soft commodities are in a volatile or weak - consolidating situation. - It is recommended to construct option portfolio strategies mainly as sellers, along with 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. For example, the latest price of soybean A2511 is 3,938, down 2 (-0.05%); the price of soybean meal M2511 is 2,903, down 13 (-0.45%); and the price of palm oil P2511 is 9,224, up 16 (0.17%) [3]. 3.2 Option Factors - Volume and Open Interest PCR - Different option varieties have different volume and open - interest PCR values and their changes. For instance, the volume PCR of soybean A is 0.42, down 0.06; the open - interest PCR is 0.47, up 0.02 [4]. 3.3 Option Factors - Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure level of soybean A is 4000, and the support level is 3900; the pressure level of soybean meal is 3100, and the support level is 3050 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility varies among different option varieties. For example, the weighted implied volatility of soybean A is 13.00, up 0.26; the weighted implied volatility of soybean meal is 16.37, up 0.45 [6]. 3.5 Option Strategies for Different Product Categories 3.5.1 Oilseeds and Oils Options - Soybean A: The implied volatility is below the historical average. The recommended strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [8]. - Soybean Meal: The implied volatility is below the historical average. Directional strategy: construct a bear - spread put option combination; volatility strategy: construct a short - biased call + put option combination; spot hedging: use a long collar strategy [10]. - Palm Oil: The implied volatility is falling below the historical average. Volatility strategy: construct a short - biased call + put option combination; spot hedging: use a long collar strategy [11]. - Peanut: The implied volatility is at a relatively high historical level. Directional strategy: construct a bear - spread put option combination; spot hedging: hold a long position in the spot + buy a put option + sell an out - of - the - money call option [12]. 3.5.2 Agricultural By - products Options - Pig: The implied volatility is above the historical average. Volatility strategy: construct a short - biased call + put option combination; spot covered strategy: hold a long position in the spot + sell an out - of - the - money call option [12]. - Egg: The implied volatility is relatively high. Directional strategy: construct a bear - spread put option combination; volatility strategy: construct a short - biased call + put option combination [13]. - Apple: The implied volatility is above the historical average. Volatility strategy: construct a long - biased call + put option combination [13]. - Jujube: The implied volatility is rising above the historical average. Volatility strategy: construct a short - biased strangle option combination; spot covered hedging strategy: hold a long position in the spot + sell an out - of - the - money call option [14]. 3.5.3 Soft Commodities Options - Sugar: The implied volatility is at a relatively low historical level. Volatility strategy: construct a short - biased call + put option combination; spot hedging: use a long collar strategy [14]. - Cotton: The implied volatility is at a low level. Volatility strategy: construct a short - biased call + put option combination; spot covered strategy: hold a long position in the spot + buy a put option + sell an out - of - the - money call option [15]. 3.5.4 Grains Options - Corn: The implied volatility is at a relatively low historical level. Volatility strategy: construct a short - biased call + put option combination [15].