农产品期权：农产品期权策略早报-20251114

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The agricultural products options market shows different trends. Oilseeds and oils are in a weak and volatile state, while other products like soft commodities and grains also have their own market trends. It is recommended to construct option portfolio strategies mainly as sellers and spot hedging or covered strategies to enhance returns [2] 3. Summary According to Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product options have various price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2601) is 4,168, up 46 with a 1.12% increase in price, and its trading volume is 8.85 million lots with an increase of 0.91 million 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 instance, the volume PCR of soybean No.1 is 0.45 with a change of -0.23, and the open interest PCR is 1.19 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 the option underlyings are analyzed. 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 - Implied volatility indicators include at - the - money implied volatility, weighted implied volatility, etc. For example, the at - the - money implied volatility of soybean No.1 is 11.01%, and the weighted implied volatility is 12.15% with a change of 0.19 [6] 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean No.1: Fundamentally, the CNF premium of Brazilian soybeans in January 2026 decreased weekly, the import cost increased, and the planting progress in Brazil slowed down. The market trend has shown a rebound after a decline. Option - wise, the implied volatility is below the historical average, and the open interest PCR is below 0.70. Strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [7] - Soybean Meal: Fundamentally, the average daily trading volume and pick - up volume of soybean meal decreased weekly, and the basis increased slightly. The market has shown a rebound after a decline. Option - wise, the implied volatility is below the historical average, and the open interest PCR is below 0.60. Strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [9] - Palm Oil: Fundamentally, the production in Malaysia is good, and the inventory at the end of the year will be at a relatively high historical level. The market has shown a low - level consolidation. Option - wise, the implied volatility is below the historical average, and the open interest PCR is above 1.00. Strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9] - Peanut: Fundamentally, the peanut oil market is in a contradictory state of high - quality resource support and loose supply - demand. The market has shown a weak downward trend. Option - wise, the implied volatility is at a relatively high historical level, and the open interest PCR is below 0.60. Strategies include a long collar strategy for spot hedging [10] 3.5.2 Agricultural By - product Options - Pig: Fundamentally, the national pig slaughter and pork production increased in the first three quarters of 2025. The market has shown a weak downward trend. Option - wise, the implied volatility is above the historical average, and the open interest PCR is below 0.50. Strategies include constructing a short - biased call + put option combination strategy and a covered call strategy for spot [10] - Egg: Fundamentally, the market has a pattern of high supply and weak demand. The market has shown a rebound after a decline. Option - wise, the implied volatility is at a relatively high level, and the open interest PCR is below 0.60. Strategies include constructing a neutral call + put option combination strategy [11] - Apple: Fundamentally, the apple production decreased this year, and the cold - storage inventory is expected to be low. The market has shown a continuous upward trend. Option - wise, the implied volatility is above the historical average, and the open interest PCR is above 0.90. Strategies include constructing a long - biased call + put option combination strategy and a long collar strategy for spot hedging [11] - Jujube: Fundamentally, the jujube market price is stable, and the supply is sufficient. The market has shown a weak downward trend. Option - wise, the implied volatility has risen rapidly above the historical average, and the open interest PCR is below 0.50. Strategies include constructing a short - biased strangle option combination strategy and a covered call strategy for spot hedging [12] 3.5.3 Soft Commodity Options - Sugar: Fundamentally, the weak external sugar market restricts the rebound of Zhengzhou sugar, but the expected decline in Brazilian sugar production may have a certain impact. The market has shown a weak downward trend. Option - wise, the implied volatility is at a relatively low historical level, and the open interest PCR is around 0.60. Strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [12] - Cotton: Fundamentally, the cotton harvest in Xinjiang is coming to an end, and the new - season supply will increase, putting pressure on cotton prices. The market has shown a short - term weak trend. Option - wise, the implied volatility is at a relatively low level, and the open interest PCR is below 1.00. Strategies include constructing a short - biased call + put option combination strategy and a covered call strategy for spot [13] 3.5.4 Grain Options - Corn: Fundamentally, the purchase price of domestic processing enterprises has decreased, and the market supply is relatively abundant. The market has shown a weak rebound. Option - wise, the implied volatility is at a relatively low historical level, and the open interest PCR is below 0.60. Strategies include constructing a neutral call + put option combination strategy [13]