Report Industry Investment Rating - No relevant content provided Core Viewpoints of the Report - The agricultural products options market shows a complex situation, with different product sectors presenting diverse trends. Oilseeds and oils, as well as agricultural by - products, are in a weak and volatile state, while soft commodities like sugar are slightly volatile, and cotton is in a weak consolidation phase. Grains such as corn and starch are in a narrow - range weak consolidation. The overall strategy is to construct option portfolio strategies mainly for sellers and spot hedging or covered strategies to enhance returns [2]. Summary According to Related Catalogs 1. Futures Market Overview - Multiple agricultural product futures show different price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2601) is 4,202 with a 0.36% increase, trading volume of 15.07 million lots (a decrease of 10.20 million lots), and open interest of 27.88 million lots (a decrease of 0.87 million lots). The price of soybean No.2 (B2601) is 3,781 with a 0.48% increase, trading volume of 14.61 million lots (an increase of 2.14 million lots), and open interest of 14.53 million lots (a decrease of 1.06 million lots) [3]. 2. Option Factors - Volume and Open Interest PCR - Different option varieties have different volume and open interest PCR values and their changes. For instance, the volume PCR of soybean No.1 is 0.41 (an increase of 0.06), and the open interest PCR is 1.08 (an increase of 0.01). The volume PCR of soybean No.2 is 0.78 (an increase of 0.30), and the open interest PCR is 0.82 (a decrease of 0.13) [4]. 3. Option Factors - Pressure and Support Levels - From the perspective of option factors, different option varieties have corresponding pressure and support levels. For example, the pressure level of soybean No.1 is 4,200, and the support level is 4,050. The pressure level of soybean No.2 is 3,800, and the support level is 3,650 [5]. 4. Option Factors - Implied Volatility - Different option varieties have different implied volatility values and their changes. For example, the at - the - money implied volatility of soybean No.1 is 11.68%, the weighted implied volatility is 13.08% (a decrease of 1.01%), and the historical average is 13.01%. The at - the - money implied volatility of soybean No.2 is 12.56%, the weighted implied volatility is 13.95% (a decrease of 2.69%), and the historical average is 14.91% [6]. 5. Strategy and Recommendations 5.1 Oilseeds and Oils Options - Soybean No.1: Fundamentally, the CNF premium of Brazilian soybeans in February 2026 decreased slightly week - on - week, the import cost increased, and the planting progress was slow. The option implied volatility is below the historical average, the open interest PCR is below 0.70, and the pressure and support levels are 4,200 and 3,900 respectively. The recommended strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal: Fundamentally, the average daily trading volume and提货 volume increased, the basis decreased, and the inventory decreased week - on - week but increased year - on - year. The option implied volatility is below the historical average, the open interest PCR is below 0.60, and the pressure and support levels are 2,950 and 2,800 respectively. The recommended strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [9]. - Palm Oil: Fundamentally, the spot basis of oils increased slightly, and the total inventory continued to decline. The option implied volatility is below the historical average, the open interest PCR is above 1.00, and the pressure and support levels are 9,500 and 9,000 respectively. The recommended strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9]. - Peanut: Fundamentally, the price of peanut oil remained stable, and the price of peanuts was affected by factors such as farmers' reluctance to sell. The option implied volatility is at a relatively high historical level, the open interest PCR is below 0.60, and the pressure and support levels are 8,000 and 7,700 respectively. The recommended strategy is a long collar strategy for spot hedging [10]. 5.2 Agricultural By - products Options - Pig: Fundamentally, the spot price of pigs decreased, the second - fattening volume decreased significantly, and the slaughter volume did not improve significantly. The option implied volatility is above the historical average, the open interest PCR is below 0.50, and the pressure and support levels are 14,000 and 11,000 respectively. The recommended strategies include constructing a short - biased call + put option combination strategy and a covered call strategy for spot [10]. - Egg: Fundamentally, the inventory of laying hens in October decreased slightly month - on - month and increased year - on - year, and the estimated inventory in November increased slightly. The option implied volatility is at a relatively high level, the open interest PCR is below 0.60, and the pressure and support levels are 4,000 and 2,800 respectively. The recommended strategy is to construct a neutral short call + put option combination strategy [11]. - Apple: Fundamentally, the apple storage is coming to an end, the inventory is lower than in previous years, and the price in cold storage may be higher. The option implied volatility is above the historical average, the open interest PCR is above 0.90, and the pressure and support levels are 10,000 and 8,000 respectively. The recommended strategies include constructing a long - biased call + put option combination strategy and a long collar strategy for spot hedging [11]. - Jujube: Fundamentally, the acquisition price in different regions of jujubes has changed, and the acquisition progress has accelerated. The option implied volatility has risen rapidly to above the historical average, the open interest PCR is below 0.50, and the pressure and support levels are 12,600 and 10,000 respectively. The recommended strategies include constructing a short - biased wide - straddle option combination strategy and a covered call strategy for spot hedging [12]. 5.3 Soft Commodities Options - Sugar: Fundamentally, the sugar production in the central - southern region of Brazil increased in the second half of October, and India allowed 1.5 million tons of sugar exports. The option implied volatility is at a relatively low historical level, the open interest PCR is around 0.60, and the pressure and support levels are 5,700 and 5,400 respectively. The recommended strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [12]. - Cotton: Fundamentally, the picking, delivery, and processing progress of new cotton is relatively fast, and the sales rate is 18.3%. The option implied volatility is at a relatively low level, the open interest PCR is below 1.00, and the pressure and support levels are 13,600 and 13,000 respectively. The recommended strategies include constructing a short - biased call + put option combination strategy and a covered call strategy for spot [13]. 5.4 Grains Options - Corn: Fundamentally, the average price of corn in the country increased. The option implied volatility is at a relatively low historical level, the open interest PCR is below 0.60, and the pressure and support levels are 2,200 and 2,000 respectively. The recommended strategy is to construct a neutral short call + put option combination strategy [13].
农产品期权：农产品期权策略早报-20251118
Wu Kuang Qi Huo·2025-11-18 02:20