农产品期权策略早报-20251027

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints of the Report - Oilseeds and oils - related agricultural products are in a weak and volatile state, while oils, agricultural by - products maintain a volatile market. Soft commodity sugar shows a slight fluctuation, cotton is in a weak consolidation, and 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] 3. Summary by Related Catalogs 3.1 Futures Market Overview - Different agricultural product futures have different price changes, trading volumes, and open - interest changes. For example, the latest price of soybean No.1 (A2601) is 4,098, down 12 (- 0.29%), with a trading volume of 143,100 lots (down 19,600 lots) and an open - interest of 257,700 lots (up 13,400 lots) [3] 3.2 Option Factors - Volume and Open - Interest PCR - PCR indicators 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 0.60 (down 0.15), and the open - interest PCR is 0.86 (up 0.10) [4] 3.3 Option Factors - Pressure and Support Levels - From the perspective of the strike prices with the largest open - interest of call and put options, the pressure and support levels of different option underlyings are determined. For example, the pressure level of soybean No.1 is 4,200 and the support level is 3,900 [5] 3.4 Option Factors - Implied Volatility - Implied volatility indicators of different option underlyings are provided, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of soybean No.1 is 12.125%, and the weighted implied volatility is 13.12% (down 1.33%) [6] 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean No.1: The fundamental situation of soybeans shows that the planting progress of new - crop Brazilian soybeans is fast, and the market has a weak and volatile trend. Option strategies include constructing a neutral call + put option selling combination strategy and a long collar strategy for spot hedging [7] - Soybean Meal: The daily average trading volume of soybean meal has decreased, and the market is in a weak trend. Option strategies include a bear spread strategy for call options, a short - biased call + put option selling combination strategy, and a long collar strategy for spot hedging [9] - Palm Oil: The production of palm oil has increased, and the market is in a high - level volatile state. Option strategies include a short - biased call + put option selling combination strategy and a long collar strategy for spot hedging [9] - Peanut: The trading volume of peanuts has increased, but the downstream consumption is still weak. Option strategies include a long collar strategy for spot hedging [10] 3.5.2 Agricultural By - product Options - Pig: The average price of pig slaughter has increased, but the market is still in a weak state. Option strategies include a bear spread strategy for call options, a short - biased call + put option selling combination strategy, and a covered call strategy for spot [10] - Egg: The number of newly - opened laying hens is expected to decrease, and the market is in a weak and bearish state. Option strategies include a bear spread strategy for call options and a short - biased call + put option selling combination strategy [11] - Apple: Affected by climate factors, the yield and high - quality fruit rate of apples have decreased, and the market is in a bullish state. Option strategies include a long - biased call + put option selling combination strategy and a long collar strategy for spot hedging [11] - Jujube: The ordering process in the main jujube - producing areas is fast, and the market is in a bullish state. Option strategies include a long - biased wide - straddle option selling combination strategy and a covered call strategy for spot hedging [12] 3.5.3 Soft Commodity Options - Sugar: The domestic sugar price is volatile, and the market is in a weak and bearish state. Option strategies include a short - biased call + put option selling combination strategy and a long collar strategy for spot hedging [12] - Cotton: The price of cotton has a slight change, and the market is in a short - term weak state. Option strategies include a short - biased call + put option selling combination strategy and a covered call strategy for spot [13] 3.5.4 Grain Options - Corn: The upstream and downstream of corn are in a game stage, and the market is in a weak and bearish state. Option strategies include a short - biased call + put option selling combination strategy [13]