农产品期权策略早报：农产品期权-20251107

1. Report Industry Investment Rating - No information provided regarding the industry investment rating 2. Core Viewpoints of the Report - The agricultural product options market shows a mixed trend, with oilseeds and oils fluctuating weakly, agricultural by - products and soft commodities like sugar and cotton having their own specific oscillating patterns, and grains such as corn and starch also 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 Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product futures show various price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2601) is 4,149, up 8 with a 0.19% increase, and its trading volume is 20.98 million lots with a decrease of 0.74 million lots compared to the previous period [3] 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options are presented, which are used to describe the strength of the option underlying market and the turning point of the underlying market. For instance, the volume PCR of soybean No.1 is 0.55 with a change of - 0.30, and the open interest PCR is 1.16 with a change of - 0.04 [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 different agricultural product options are determined. For example, the pressure level of soybean No.1 is 4,200 and the support level is 4,050 [5] 3.4 Option Factors - Implied Volatility - The implied volatility of different agricultural product options is 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 11.805%, and the weighted implied volatility is 12.70% with a change of 0.12 [6] 3.5 Strategy and Recommendations for Different Agricultural Product Options 3.5.1 Oilseeds and Oils Options - Soybean No.1: The soybean price is stable with a slight upward trend. The option implied volatility is below the historical average, and the open interest PCR indicates a weak market. It is recommended to construct a neutral call + put option selling strategy and a long collar strategy for spot hedging [7] - Soybean Meal: The soybean meal market has a weak rebound. The option implied volatility is below the historical average, and the open interest PCR shows a weak market. A bearish call + put option selling strategy and a long collar strategy for spot hedging are recommended [9] - Palm Oil: The palm oil market is in a high - level oscillation. The option implied volatility is below the historical average, and the open interest PCR indicates some support at the bottom. A bearish call + put option selling strategy and a long collar strategy for spot hedging are recommended [9] - Peanut: The peanut market is in a weak consolidation. The option implied volatility is at a relatively high historical level, and the open interest PCR shows a weak and oscillating market. A long collar strategy for spot hedging is recommended [10] 3.5.2 Agricultural By - products Options - Pig: The pig market is in a weak downward trend. The option implied volatility is above the historical average, and the open interest PCR indicates a weak market. A bearish spread strategy for put options, a bearish call + put option selling strategy, and a covered call strategy for spot are recommended [10] - Egg: The egg market is in a weak and bearish trend. The option implied volatility is at a high level, and the open interest PCR shows a weak market. A bearish spread strategy for put options, a bearish call + put option selling strategy, and no spot hedging strategy are recommended [11] - Apple: The apple market is in a continuous upward trend with some pressure. The option implied volatility is above the historical average, and the open interest PCR indicates strong support at the bottom. A bullish call + put option selling strategy and a long collar strategy for spot hedging are recommended [11] - Jujube: The jujube market is in a weak and bearish trend. The option implied volatility has risen rapidly to above the historical average, and the open interest PCR shows a weak market. A wide - straddle option selling strategy and a covered call strategy for spot hedging are recommended [12] 3.5.3 Soft Commodities Options - Sugar: The sugar market is in a weak and bearish trend. The option implied volatility is at a low historical level, and the open interest PCR indicates a range - bound market. A bearish call + put option selling strategy and a long collar strategy for spot hedging are recommended [12] - Cotton: The cotton market is in a short - term weak trend. The option implied volatility is at a low level, and the open interest PCR indicates a weak market. A bearish call + put option selling strategy and a covered call strategy for spot hedging are recommended [13] 3.5.4 Grains Options - Corn: The corn market is in a weak and bearish trend with a rebound and then a decline. The option implied volatility is at a low historical level, and the open interest PCR indicates a weak market. A bearish call + put option selling strategy and no spot hedging strategy are recommended [13]