农产品期权策略早报：农产品期权-20251103

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints of the Report - The agricultural product sector is mainly divided into beans, oils, agricultural by - products, soft commodities, grains, and others. For each sector, some varieties are selected to provide option strategies and suggestions. Each option variety has an option strategy report written according to the underlying market analysis, option factor research, and option strategy suggestions [8] - Oilseed and oil - related agricultural products are in a weak and volatile state, oils and agricultural by - products maintain a volatile market, soft commodity sugar has a slight fluctuation, cotton is in a weak consolidation, and grains such as corn and starch are in a weak and narrow - range consolidation. The 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 According to Relevant Catalogs 3.1 Futures Market Overview - The document provides the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various agricultural product futures contracts such as soybeans, soybean meal, palm oil, etc. For example, the latest price of the A2601 soybean contract is 4,100, with a price increase of 5 and a price change rate of 0.12% [3] 3.2 Option Factor - Quantity and Position PCR - It shows the trading volume, volume change, open interest, open interest change, trading volume PCR, volume PCR change, open interest PCR, and open interest PCR change of various agricultural product options. For instance, the trading volume PCR of soybean No. 1 option is 0.81, with a change of - 0.01, and the open interest PCR is 1.14, with a change of 0.09 [4] 3.3 Option Factor - Pressure and Support Levels - The pressure points, pressure point offsets, support points, support point offsets, maximum call option positions, and maximum put option positions of various agricultural product options are presented. For example, the pressure point of soybean No. 1 option is 4,200, and the support point is 4,050 [5] 3.4 Option Factor - Implied Volatility - It includes the at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average implied volatility, call option implied volatility, put option implied volatility, 20 - day historical volatility, and the difference between implied and historical volatilities of various agricultural product options. For example, the at - the - money implied volatility of soybean No. 1 option is 12.235, and the weighted implied volatility is 12.72, with a change of - 0.67 [6] 3.5 Option Strategies for Different Varieties 3.5.1 Oilseed and Oil Options - Soybean No. 1: The fundamental price is stable with a slight upward trend. The market has shown a pattern of oversold rebound since October. The implied volatility is below the historical average, the position PCR is below 0.70, the pressure level is 4200, and the support level is 3900. Directional strategy: None; Volatility strategy: Construct a neutral - biased short call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [7] - Soybean Meal: As of October 31, the weekly soybean crushing volume decreased. The market has shown a weak rebound. The implied volatility is below the historical average, the position PCR is below 0.60, the pressure level is 2950, and the support level is 2800. Directional strategy: None; Volatility strategy: Construct a short - biased short call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [9] - Palm Oil: The production in October may face pressure, and the export growth rate has narrowed. The market is in a high - level volatile state. The implied volatility is below the historical average, the position PCR is above 1.00, the pressure level is 9500, and the support level is 9000. Directional strategy: None; Volatility strategy: Construct a short - biased short call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [9] - Peanut: The price of peanut oil is stable. The market is in a weak consolidation under the bearish pressure line. The implied volatility is at a relatively high historical level, the position PCR is below 0.60, the pressure level is 8000, and the support level is 7700. Directional strategy: None; Volatility strategy: None; Spot long - hedging strategy: Hold a long spot + buy a put option + sell an out - of - the - money call option [10] 3.5.2 Agricultural By - product Options - Pig: The average price in some regions has increased slightly. The market is in a weak downward trend. The implied volatility is above the historical average, the position PCR is below 0.50, the pressure level is 14000, and the support level is 11000. Directional strategy: Construct a bearish put option spread strategy; Volatility strategy: Construct a short - biased short call + put option combination strategy; Spot long - covered strategy: Hold a long spot + sell an out - of - the - money call option [10] - Egg: The inventory of laying hens at the end of October decreased. The market is in a weak bearish trend. The implied volatility is at a relatively high level, the position PCR is below 0.60, the pressure level is 4000, and the support level is 2800. Directional strategy: Construct a bearish put option spread strategy; Volatility strategy: Construct a short - biased short call + put option combination strategy; Spot hedging strategy: None [11] - Apple: The futures price has a higher center of gravity in October. The market is in a continuous upward trend with pressure. The implied volatility is above the historical average, the position PCR is above 0.90, the pressure level is 9300, and the support level is 8000. Directional strategy: None; Volatility strategy: Construct a long - biased short call + put option combination strategy; Spot hedging strategy: Construct a long collar strategy [11] - Jujube: The physical inventory has increased. The market is in a weak bearish trend. The implied volatility has rapidly risen above the historical average, the position PCR is below 0.50, the pressure level is 12600, and the support level is 10000. Directional strategy: None; Volatility strategy: Construct a short - biased short strangle option combination strategy; Spot covered hedging strategy: Hold a long spot + sell an out - of - the - money call option [12] 3.5.3 Soft Commodity Options - Sugar: The spot price in Guangxi has decreased, and the basis has weakened. The market is in a weak bearish state. The implied volatility is at a relatively low historical level, the position PCR is around 0.60, the pressure level is 5700, and the support level is 5400. Directional strategy: None; Volatility strategy: Construct a short - biased short call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [12] - Cotton: The China Cotton Price Index has increased. The market is in a short - term weak state. The implied volatility is at a low level, the position PCR is below 1.00, the pressure level is 13600, and the support level is 13000. Directional strategy: None; Volatility strategy: Construct a short - biased short call + put option combination strategy; Spot covered strategy: Hold a long spot + buy a put option + sell an out - of - the - money call option [13] 3.5.4 Grain Options - Corn: The supply in the origin has increased, and the trading enthusiasm of traders has decreased. The market is in a weak bearish rebound and then a downward weak consolidation. The implied volatility is at a relatively low historical level, the position PCR is below 0.60, the pressure level is 2200, and the support level is 2000. Directional strategy: None; Volatility strategy: Construct a short - biased short call + put option combination strategy; Spot long - hedging strategy: None [13]