Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report - The agricultural products options market shows a mixed trend, with oilseeds and oils, and some agricultural by - products in a weak and volatile state, while soft commodities like sugar have a slight fluctuation, and cotton is in a weak consolidation. Grains such as corn and starch are in a weak and narrow - range consolidation. It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. Summary According to Relevant Catalogs 1. Futures Market Overview - The futures prices of different agricultural products show various trends. For example, the price of soybean No.1 (A2601) increased by 0.32% to 4,063, while the price of palm oil (P2601) decreased by 1.56% to 9,080. The trading volume and open interest of each variety also changed differently [3]. 2. Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of different agricultural product options are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the volume PCR of soybean No.1 is 0.83 with a change of 0.06, and the open interest PCR is 0.68 with a change of - 0.04 [4]. 3. Option Factor - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of different agricultural product options are determined. For example, the pressure level of soybean No.1 is 4100 and the support level is 3900 [5]. 4. Option Factor - Implied Volatility - The implied volatility of different agricultural product options shows different levels and changes. For example, the average implied volatility of soybean No.1 is 12.47 with a change of 0.45, and the difference between implied and historical volatility is 0.06 [6]. 5. Strategy and Recommendations 5.1 Oilseeds and Oils Options - Soybean No.1: The fundamental situation of soybeans shows that the global supply is abundant, and the price of soybean No.1 has a rebound after a decline. The implied volatility of options is below the historical average, and the open interest PCR indicates a weak market. It is recommended to construct a neutral call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal: The domestic soybean meal spot is weak, and the price shows a downward trend. The implied volatility of options is below the historical average, and the open interest PCR indicates a weak market. It is recommended to construct a bear - spread strategy for call options, a short - biased call + put option combination strategy, and a long collar strategy for spot hedging [9]. - Palm Oil: The inventory of Malaysian palm oil has accumulated. The price of palm oil shows a high - level oscillation. The implied volatility of options is below the historical average, and the open interest PCR indicates some support at the bottom. It is recommended to construct a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9]. - Peanut: The spot price of peanuts is weak, and the supply pressure is expected to increase. The implied volatility of options is at a relatively high historical level, and the open interest PCR indicates a weak and volatile market. It is recommended to use a long collar strategy for spot hedging [10]. 5.2 Agricultural By - products Options - Pig: The overall supply of pigs is abundant, and the price shows a downward trend. The implied volatility of options is above the historical average, and the open interest PCR indicates a weak market. It is recommended to construct a bear - spread strategy for call options, a short - biased call + put option combination strategy, and a covered call strategy for spot hedging [10]. - Egg: The inventory of laying hens is expected to increase, and the price shows a downward trend. The implied volatility of options is at a relatively high level, and the open interest PCR indicates a weak market. It is recommended to construct a bear - spread strategy for call options, a short - biased call + put option combination strategy [11]. - Apple: The price of new - season apples is stable and firm. The price shows an upward trend. The implied volatility of options is above the historical average, and the open interest PCR indicates strong support at the bottom. It is recommended to construct a long - biased call + put option combination strategy and a long collar strategy for spot hedging [11]. - Jujube: The new - season jujube is about to be harvested. The price shows an upward trend. The implied volatility of options has rapidly increased to above the historical average, and the open interest PCR is below 0.5. It is recommended to construct a long - biased wide - straddle option combination strategy and a covered call strategy for spot hedging [12]. 5.3 Soft Commodities Options - Sugar: The number of ships waiting to load sugar in Brazilian ports has increased. The price of sugar shows a downward trend. The implied volatility of options is at a relatively low historical level, and the open interest PCR indicates a range - bound market. It is recommended to construct a short - biased call + put option combination strategy and a long collar strategy for spot hedging [12]. - Cotton: The price of cotton shows a weak trend. The implied volatility of options is at a low level, and the open interest PCR indicates a weak market. It is recommended to construct a short - biased call + put option combination strategy and a covered call strategy for spot hedging [13]. 5.4 Grains Options - Corn: The average price of corn has decreased. The price of corn shows a weak and volatile trend. The implied volatility of options is at a relatively low historical level, and the open interest PCR indicates a weak market. It is recommended to construct a short - biased call + put option combination strategy [13].
农产品期权策略早报：农产品期权-20251023
Wu Kuang Qi Huo·2025-10-23 02:20