农产品期权策略早报：农产品期权-20251031

Report Summary 1. Investment Rating The document does not mention the industry investment rating. 2. Core Viewpoint The overall trend of agricultural products shows that oilseeds and oils are weakly volatile, while other categories such as agricultural by - products, soft commodities, and grains maintain a volatile or weakly volatile pattern. The strategy suggests constructing option portfolio strategies 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, trading volumes, and open interest changes of various agricultural product futures are presented, including soybeans, soybean meal, palm oil, etc. For example, the latest price of soybeans (A2601) is 4,092, with a decrease of 12 and a decline rate of 0.29% [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume 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 soybeans is 0.82, and the open interest PCR is 1.05 [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of various agricultural product options are analyzed. For example, the pressure level of soybeans is 4,200, and the support level is 4,050 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility of various agricultural product options is given, including at - the - money implied volatility, weighted implied volatility, etc. For example, the at - the - money implied volatility of soybeans is 12.545% [6]. 3.5 Strategy and Recommendations - Oilseeds and Oils Options - Soybeans: The fundamental situation of soybeans shows that the CNF premium of Brazilian soybeans has decreased, and the planting progress of new - crop Brazilian soybeans is relatively fast. The option strategy includes constructing a neutral call + put option 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 option strategy includes constructing a bear spread strategy for directional trading and a short neutral call + put option combination strategy for volatility trading, as well as a long collar strategy for spot hedging [9]. - Palm Oil: The production of palm oil has increased. The option strategy includes constructing a short bearish call + put option combination strategy and a long collar strategy for spot hedging [9]. - Peanuts: The trading volume of peanuts has increased, but the downstream consumption is still weak. The option strategy includes a long collar strategy for spot hedging [10]. - Agricultural By - products Options - Pigs: The average price of pig slaughter has increased, but the market is still in a weak state. The option strategy includes constructing a bear spread strategy for directional trading, a short bearish call + put option combination strategy for volatility trading, and a covered call strategy for spot hedging [10]. - Eggs: The number of newly - hatched laying hens is expected to decrease. The option strategy includes constructing a bear spread strategy for directional trading, a short bearish call + put option combination strategy for volatility trading [11]. - Apples: The yield and high - quality fruit rate of apples have decreased, and the price has increased. The option strategy includes constructing a short bullish call + put option combination strategy and a long collar strategy for spot hedging [11]. - Jujubes: The ordering process of jujubes in Xinjiang is progressing rapidly. The option strategy includes constructing a short bullish strangle option combination strategy and a covered call strategy for spot hedging [12]. - Soft Commodities Options - Sugar: The price of sugar has fluctuated. The option strategy includes constructing a short bearish call + put option combination strategy and a long collar strategy for spot hedging [12]. - Cotton: The price of cotton has shown a short - term weak trend. The option strategy includes constructing a short bearish call + put option combination strategy and a covered call strategy for spot hedging [13]. - Grains Options - Corn: The upstream and downstream of the corn market are in a game state. The option strategy includes constructing a short bearish call + put option combination strategy [13].