农产品期权：农产品期权策略早报-20251117

1. Report Industry Investment Rating - Not available in the provided content 2. Core Viewpoints of the Report - Oilseeds and oils - related agricultural products are in a weak and volatile state; oils, agricultural by - products maintain a volatile market; soft commodity sugar shows a slight fluctuation, cotton is weakly consolidating, and grains such as corn and starch are in a weak and narrow - range consolidation. It is recommended 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 latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open - interest changes of various agricultural product futures such as soybeans, soybean meal, palm oil, etc. are provided. For example, the latest price of soybean No.1 (A2601) is 4,196, with a price increase of 14 and a price change percentage of 0.33%; the trading volume is 252,700 lots, and the volume increases by 164,200 lots; the open interest is 287,500 lots, and the open interest increases by 41,500 lots [3] 3.2 Option Factors - Volume and Open - Interest PCR - The volume, volume change, open interest, open - interest change, volume PCR, volume PCR change, open - interest PCR, and open - interest PCR change of various agricultural product options are presented. For instance, the volume of soybean No.1 options is 139,420, the volume change is 111,699; the open interest is 93,750, the open - interest change is 6,070; the volume PCR is 0.35, with a change of - 0.10; the open - interest PCR is 1.07, with a change of - 0.12 [4] 3.3 Option Factors - Pressure and Support Levels - The pressure points, pressure - point offsets, support points, support - point offsets, maximum call - option holdings, and maximum put - option holdings of various agricultural product options are given. For example, the pressure point of soybean No.1 options is 4,200 with an offset of 0, and the support point is 4,050 with an offset of 0 [5] 3.4 Option Factors - Implied Volatility - 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 are shown. For example, the at - the - money implied volatility of soybean No.1 options is 13.18%, the weighted implied volatility is 14.09%, with a change of 1.94% [6] 3.5 Strategy and Suggestions - Soybean No.1 Options: The fundamental situation of soybeans is analyzed, including the CNF premium of Brazilian soybeans, import costs, and planting progress. The option implied volatility is below the historical average. The option open - interest PCR is below 0.70, indicating a weak market. Pressure and support levels are 4200 and 3900 respectively. 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 Options: The fundamental situation of soybean meal, such as trading volume,提货 volume, basis, and inventory, is analyzed. The option implied volatility is below the historical average. The option open - interest PCR is below 0.60, showing a weak market. Pressure and support levels are 2950 and 2800 respectively. Directional strategy: None; Volatility strategy: Construct a neutral - biased short call + put option combination strategy; Spot long - hedging strategy: Construct a long - collar strategy [9] - Palm Oil Options: The fundamental situation of oils, including spot basis and inventory, is analyzed. The option implied volatility is below the historical average. The option open - interest PCR is above 1.00, indicating some support below. Pressure and support levels are 9500 and 9000 respectively. Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long - collar strategy [9] - Peanut Options: The fundamental situation of peanuts, such as market price and supply - demand relationship, is analyzed. The option implied volatility is at a relatively high historical level. The option open - interest PCR is below 0.60, indicating a weak and volatile market. Pressure and support levels are 8000 and 7700 respectively. Directional strategy: None; Volatility strategy: None; Spot long - hedging strategy: Hold a long spot position + buy a put option + sell an out - of - the - money call option [10] - Live Pig Options: The fundamental situation of live pigs, such as spot price and market supply - demand, is analyzed. The option implied volatility is above the historical average. The option open - interest PCR is below 0.50, indicating a weak market. Pressure and support levels are 14000 and 11000 respectively. Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - covered strategy: Hold a long spot position + sell an out - of - the - money call option [10] - Egg Options: The fundamental situation of eggs, such as laying - hen inventory, is analyzed. The option implied volatility is at a relatively high level. The option open - interest PCR is below 0.60. Pressure and support levels are 4000 and 2800 respectively. Directional strategy: None; Volatility strategy: Construct a neutral - biased short call + put option combination strategy; Spot hedging strategy: None [11] - Apple Options: The fundamental situation of apples, such as inventory and price, is analyzed. The option implied volatility is above the historical average. The option open - interest PCR is above 0.90, indicating strong support below. Pressure and support levels are 10000 and 8000 respectively. 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 Options: The fundamental situation of jujubes, such as market price and acquisition progress, is analyzed. The option implied volatility rapidly rises above the historical average. The option open - interest PCR is below 0.50. Pressure and support levels are 12600 and 10000 respectively. Directional strategy: None; Volatility strategy: Construct a short - biased wide - straddle option combination strategy; Spot covered - hedging strategy: Hold a long spot position + sell an out - of - the - money call option [12] - Sugar Options: The fundamental situation of sugar, such as production in Brazil and India's export policy, is analyzed. The option implied volatility is at a relatively low historical level. The option open - interest PCR is around 0.60, indicating a range - bound market. Pressure and support levels are 5700 and 5400 respectively. Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long - collar strategy [12] - Cotton Options: The fundamental situation of cotton, such as picking, delivery, and processing progress, is analyzed. The option implied volatility is at a relatively low level. The option open - interest PCR is below 1.00, indicating a weak market. Pressure and support levels are 13600 and 13000 respectively. Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot covered strategy: Hold a long spot position + buy a put option + sell an out - of - the - money call option [13] - Corn Options: The fundamental situation of corn, such as price, is analyzed. The option implied volatility is at a relatively low historical level. The option open - interest PCR is below 0.60, indicating a weak market. Pressure and support levels are 2200 and 2000 respectively. Directional strategy: None; Volatility strategy: Construct a neutral - biased short call + put option combination strategy; Spot long - hedging strategy: None [13]