农产品期权策略早报：农产品期权-20251016

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product sector mainly includes beans, oils, agricultural by - products, soft commodities, grains, and others [8]. - Each sector selects some varieties for option strategy and suggestions. Each option variety compiles an option strategy report according to underlying market analysis, option factor research, and option strategy suggestions [8]. - Oilseed and oil options, agricultural by - product options, soft commodity options, and grain options are analyzed, and corresponding option strategies and suggestions are given [7][11][13][14]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The report provides the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various agricultural product futures contracts, including soybean, soybean meal, palm oil, etc [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of various agricultural product options are presented, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure points, support points, and the maximum open interests of call and put options of various agricultural product options are given, which are obtained from the strike prices with the maximum open interests of call and put options [5]. 3.4 Option Factor - Implied Volatility - The at - the - money implied volatility, weighted implied volatility, its change, annual average, call implied volatility, put implied volatility, historical volatility, and the difference between implied and historical volatility of various agricultural product options are provided [6]. 3.5 Strategy and Suggestions 3.5.1 Oilseed and Oil Options - Soybean (Bean 1 and Bean 2): The开机 rate of oil mills is about 56.57%. The decline of soybean 1 has narrowed since July, and it has shown a weak shock pattern. The implied volatility of soybean 1 options is below the historical average. Suggestions include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal and Rapeseed Meal: The domestic supply of soybean meal has great pressure, and the market is weak. The implied volatility of soybean meal options is below the historical average. Suggestions include constructing a bear spread strategy of put options and a short - biased call + put option combination strategy [9]. - Palm Oil, Soybean Oil, and Rapeseed Oil: The export volume of palm oil from October 1 - 10 increased by 19.37% compared with the same period last month. Palm oil shows a high - level shock and weakening pattern. The implied volatility of palm oil options has decreased to below the historical average. Suggestions include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [10]. - Peanut: The market price of peanut is stable. The implied volatility of peanut options is at a relatively high historical level. Suggestions include a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - Pig: The planned slaughter volume in October increased by 5.14% month - on - month. The market is weak. The implied volatility of pig options is above the historical average. Suggestions include constructing a short - biased call + put option combination strategy and a covered call strategy for spot [11]. - Egg: The inventory of laying hens is increasing, and the market is weak. The implied volatility of egg options is at a high level. Suggestions include constructing a bear spread strategy of put options and a short - biased call + put option combination strategy [12]. - Apple: The inventory of apples in cold storage is 6.79 million tons. The market is rising. The implied volatility of apple options is above the historical average. Suggestions include constructing a long - biased call + put option combination strategy and a long collar strategy for spot hedging [12]. - Jujube: The new - season jujube is in a critical period. The market is rising. The implied volatility of jujube options has risen above the historical average. Suggestions include constructing a long - biased strangle option combination strategy and a covered call strategy for spot hedging [13]. 3.5.3 Soft Commodity Options - Sugar: Two typhoons have affected the sugarcane production area. The market is weak. The implied volatility of sugar options is at a low historical level. Suggestions include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [13]. - Cotton: As of October 8, 2025, 19.6 million tons of cotton have been inspected. The market is weak. The implied volatility of cotton options is at a low level. Suggestions include constructing a short - biased call + put option combination strategy and a covered call strategy for spot [14]. 3.5.4 Grain Options - Corn and Starch: The supply of corn is loose, and the market is weak. The implied volatility of corn options is at a low historical level. Suggestions include constructing a short - biased call + put option combination strategy [14].