农产品期权策略早报：农产品期权-20251020

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The overall trend of agricultural product options shows that oilseeds and oils are in a weak and volatile state, while oils, agricultural by - products maintain a volatile market. Soft commodities like sugar have a slight fluctuation, cotton is in a weak consolidation, and grains such as corn and starch are in a weak and narrow - range consolidation. The recommended strategy is to construct an option portfolio strategy mainly based on sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various agricultural product futures are presented, including soybeans, soybean meal, palm oil, eggs, etc. For example, the latest price of soybean (A2511) is 4,008, with a decrease of 4 and a decline rate of 0.10%, and its trading volume is 4.32 million lots with a decrease of 1.14 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume PCR and open interest PCR of various agricultural product options are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the volume PCR of soybean is 0.71 with a change of 0.35, and the open interest PCR is 0.68 with a change of 0.14 [4]. 3.3 Option Factors - 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. For example, the pressure point of soybean (A2511) is 4,500, and the support point is 3,900 [5]. 3.4 Option Factors - 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. For example, the at - the - money implied volatility of soybean is 10.25, and the weighted implied volatility is 12.93 with a change of 0.35 [6]. 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean: The global soybean supply is abundant, and the domestic import cost is in a weak and volatile state. The option implied volatility is below the historical average, and the open interest PCR indicates a weak market. Directional strategy: none; Volatility strategy: construct a neutral call + put option selling combination; Spot long - hedging strategy: construct a long collar strategy [7]. - Soybean Meal: The domestic soybean meal spot is weak, and the futures is also in a weak state. The option implied volatility is below the historical average, and the open interest PCR indicates a weak market. Directional strategy: construct a bearish spread combination of put options; Volatility strategy: construct a bearish call + put option selling combination; Spot long - hedging strategy: construct a long collar strategy [9]. - Palm Oil: The Malaysian palm oil inventory has accumulated. The option implied volatility is below the historical average, and the open interest PCR indicates support at the bottom. Directional strategy: none; Volatility strategy: construct a bearish call + put option selling combination; Spot long - hedging strategy: construct a long collar strategy [9]. - Peanut: The spot price of peanuts is weak, and the supply pressure is expected to be released. The option implied volatility is at a relatively high historical level, and the open interest PCR indicates a weak and volatile market. Directional strategy: none; Volatility strategy: none; Spot long - hedging strategy: hold a long spot + buy put options + sell out - of - the - money call options [10]. 3.5.2 Agricultural By - products Options - Pig: The overall supply of pigs is abundant, and the market is in a weak downward trend. The option implied volatility is above the historical average, and the open interest PCR indicates a weak market. Directional strategy: construct a bearish spread combination of put options; Volatility strategy: construct a bearish call + put option selling combination; Spot long - covered strategy: hold a long spot + sell out - of - the - money call options [10]. - Egg: The inventory of laying hens is expected to increase, and the market is in a weak and bearish state. The option implied volatility is at a high level, and the open interest PCR indicates a weak market. Directional strategy: construct a bearish spread combination of put options; Volatility strategy: construct a bearish call + put option selling combination; Spot hedging strategy: none [11]. - Apple: The new - season apples have a stable price, and the market is in a bullish and volatile state. The option implied volatility is above the historical average, and the open interest PCR indicates strong support at the bottom. Directional strategy: none; Volatility strategy: construct a bullish call + put option selling combination; Spot hedging strategy: construct a long collar strategy [11]. - Jujube: The new - season jujubes are about to be harvested, and the market is in a bullish upward trend. The option implied volatility has risen rapidly to above the historical average, and the open interest PCR is below 0.5. Directional strategy: none; Volatility strategy: construct a bullish wide - straddle option selling combination; Spot covered - hedging strategy: hold a long spot + sell out - of - the - money call options [12]. 3.5.3 Soft Commodities Options - Sugar: The number of ships waiting to load sugar in Brazilian ports has increased. The market is in a weak and bearish state. The option implied volatility is at a relatively low historical level, and the open interest PCR indicates a range - bound market. Directional strategy: none; Volatility strategy: construct a bearish call + put option selling combination; Spot long - hedging strategy: construct a long collar strategy [12]. - Cotton: The cotton price index has declined, and the market is in a short - term weak state. The option implied volatility is at a low level, and the open interest PCR indicates a weak market. Directional strategy: none; Volatility strategy: construct a bearish call + put option selling combination; Spot covered strategy: hold a long spot + buy put options + sell out - of - the - money call options [13]. 3.5.4 Grains Options - Corn: The national average corn price has declined, and the market is in a weak and bearish state. The option implied volatility is at a relatively low historical level, and the open interest PCR indicates a weak market. Directional strategy: none; Volatility strategy: construct a bearish call + put option selling combination; Spot long - hedging strategy: none [13].