Report Summary 1. Investment Rating The provided content does not mention the industry investment rating. 2. Core Viewpoint The overall trend of agricultural product options shows that oilseeds and oils are weakly volatile, oils and by - products maintain a volatile market, soft commodity sugar slightly fluctuates, cotton is weakly consolidating, and grains such as corn and starch are weakly and narrowly consolidating. The recommended strategy is to construct an option portfolio strategy mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Category 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 options' underlying futures contracts are presented. For example, the latest price of soybean (A2601) is 4,115, with a price increase of 34 and a price change rate of 0.83%. The trading volume is 16.27 million lots, and the open interest is 24.43 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of various agricultural product options are given. For instance, the volume PCR of soybean is 0.75, with a change of - 0.08; the open interest PCR is 0.76, with a change of 0.09 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of various agricultural product options are analyzed. For example, the pressure level of soybean is 4,600, and the support level is 3,900 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility data of various agricultural product options are provided, including at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average implied volatility, call implied volatility, put implied volatility, historical 20 - day volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of soybean is 12.54% [6]. 3.5 Strategy and Recommendations - Soybean Options: The global soybean supply is abundant, and the price of domestic soybeans shows a pattern of oversold rebound. The implied volatility of soybean options is below the historical average. It is recommended to construct a neutral call + put option selling combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal Options: The domestic soybean meal spot is weak, and the futures price is also under pressure. The implied volatility of soybean meal options is below the historical average. It is recommended to construct a bearish spread strategy for put options, a short - biased call + put option selling combination strategy, and a long collar strategy for spot hedging [9]. - Palm Oil Options: The Malaysian palm oil inventory has accumulated. The price of palm oil shows a high - level volatile pattern. The implied volatility of palm oil options is below the historical average. It is recommended to construct a short - biased call + put option selling combination strategy and a long collar strategy for spot hedging [9]. - Peanut Options: The peanut price in the spot market is weak. The implied volatility of peanut options is at a relatively high historical level. It is recommended to hold a long position in the spot + buy put options + sell out - of - the - money call options for spot hedging [10]. - Pork Options: The overall supply of pork is abundant, and the price shows a weak downward trend. The implied volatility of pork options is above the historical average. It is recommended to construct a bearish spread strategy for put options, a short - biased call + put option selling combination strategy, and a covered call strategy for spot hedging [10]. - Egg Options: The inventory of laying hens is expected to increase, and the egg price shows a weak downward trend. The implied volatility of egg options is at a relatively high level. It is recommended to construct a bearish spread strategy for put options, a short - biased call + put option selling combination strategy [11]. - Apple Options: The opening price of new - season apples is higher than last year, and the price shows a continuous upward trend. The implied volatility of apple options is above the historical average. It is recommended to construct a long - biased call + put option selling combination strategy and a long collar strategy for spot hedging [11]. - Jujube Options: The new - season jujubes in Xinjiang are about to be harvested. The price shows a bullish upward trend. The implied volatility of jujube options has rapidly risen above the historical average. It is recommended to construct a long - biased wide - straddle option selling combination strategy and a covered call strategy for spot hedging [12]. - Sugar Options: The number of ships waiting to load sugar in Brazilian ports has increased. The sugar price shows a weak downward trend. The implied volatility of sugar options is at a relatively low historical level. It is recommended to construct a short - biased call + put option selling combination strategy and a long collar strategy for spot hedging [12]. - Cotton Options: The China Cotton Price Index has declined, and the cotton price shows a short - term weak trend. The implied volatility of cotton options is at a relatively low level. It is recommended to construct a short - biased call + put option selling combination strategy and a covered call strategy for spot hedging [13]. - Corn Options: The national average corn price has declined. The corn price shows a weak downward trend after a rebound. The implied volatility of corn options is at a relatively low historical level. It is recommended to construct a short - biased call + put option selling combination strategy [13].
农产品期权策略早报：农产品期权-20251024
Wu Kuang Qi Huo·2025-10-24 01:39