农产品期权策略早报：农产品期权-20251029

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - The agricultural product options market shows diversified trends, with oilseeds and oils, agricultural by - products, soft commodities, and grains each having their own market characteristics. - It is recommended to construct option combination 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 4,129, up 37 with a 0.90% increase, and its trading volume is 12.84 million lots, a decrease of 3.11 million lots compared to the previous period [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open - interest PCR of various agricultural product options reflect the market sentiment and potential turning points. For instance, the volume PCR of soybean No.1 is 0.78, a decrease of 0.18, and the open - interest PCR is 1.05, an increase of 0.07 [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the maximum open - interest of call and put options, the pressure and support levels of each agricultural product option are determined. For example, the pressure level of soybean No.1 is 4200, and the support level is 3900 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of each agricultural product option is at different levels and shows different trends. For example, the at - the - money implied volatility of soybean No.1 is 13.095%, and the weighted implied volatility is 13.55%, an increase of 0.94% [6]. 3.5 Option Strategies and Recommendations - Oilseeds and Oils Options: - Soybean No.1: Construct a short neutral call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal: Build a bearish spread combination strategy of put options and a short bearish call + put option combination strategy, as well as a long collar strategy for spot hedging [9]. - Palm Oil: Construct a short bearish call + put option combination strategy and a long collar strategy for spot hedging [9]. - Peanut: Adopt a long collar strategy for spot hedging [10]. - Agricultural By - product Options: - Pig: Build a bearish spread combination strategy of put options, a short bearish call + put option combination strategy, and a long covered strategy [10]. - Egg: Build a bearish spread combination strategy of put options and a short bearish call + put option combination strategy [11]. - Apple: Construct a short bullish call + put option combination strategy and a long collar strategy for spot hedging [11]. - Jujube: Build a short bullish strangle option combination strategy and a long covered hedging strategy [12]. - Soft Commodity Options: - Sugar: Construct a short bearish call + put option combination strategy and a long collar strategy for spot hedging [12]. - Cotton: Build a short bearish call + put option combination strategy and a long covered strategy [13]. - Grain Options: - Corn: Construct a short bearish call + put option combination strategy [13].