农产品期权策略早报-20251121

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product options market shows different trends. Oilseeds and oils are in a weak and volatile state, while other sectors like by - products, soft commodities, and grains also have their own market trends. For example, soft commodity sugar has a slight fluctuation, and cotton is in a weak consolidation state [2]. - 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 Related Catalogs 3.1 Futures Market Overview - Different agricultural product futures have different price changes. For example, the latest price of soybean No.1 (A2601) is 4,108, down 2 with a decline of 0.05%; the latest price of soybean meal (M2601) is 3,017, up 4 with an increase of 0.13% [3]. 3.2 Option Factors - Volume and Open Interest PCR - Volume and open interest PCR of different options vary. For example, the volume PCR of soybean No.1 is 0.72 with a change of 0.24, and the open interest PCR is 1.12 with a change of - 0.05 [4]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels of different options are different. For example, the pressure point of soybean No.1 is 4,200 and the support point is 4,050 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility of different options shows different characteristics. For example, the at - the - money implied volatility of soybean No.1 is 11.38, and the weighted implied volatility is 12.73 with a change of - 0.10 [6]. 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean No.1: Fundamentally, Brazilian soybean planting progress is slow, and the market has shown a rebound after a decline. Option - wise, implied volatility is below the historical average, and the open interest PCR indicates a weak market. Strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal: Fundamentally, trading volume,提货量, and inventory have changed. The market has shown a rebound after a decline. Option - wise, implied volatility is below the historical average, and the open interest PCR indicates a weak market. Strategies are similar to those of soybean No.1 [9]. - Palm Oil: Fundamentally, the spot basis of oils has risen slightly, and inventory is decreasing. The market is in a low - level consolidation state. Option - wise, implied volatility is below the historical average, and the open interest PCR indicates support at the bottom. Strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9]. - Peanut: Fundamentally, the price is affected by factors such as farmers' reluctance to sell. The market is in a weak and downward state. Option - wise, implied volatility is at a relatively high historical level, and the open interest PCR indicates a weak and volatile market. The strategy is to hold a long spot + buy a put option + sell an out - of - the - money call option [10]. 3.5.2 By - product Options - Pig: Fundamentally, the spot price has declined, and the market is in a weak state. Option - wise, implied volatility is above the historical average, and the open interest PCR indicates a weak market. Strategies include constructing a short - biased call + put option combination strategy and a covered call strategy for spot [10]. - Egg: Fundamentally, the laying hen inventory has changed. The market has shown a rebound after a decline. Option - wise, implied volatility is at a relatively high level, and the open interest PCR indicates a weak market. Strategies include constructing a neutral short call + put option combination strategy [11]. - Apple: Fundamentally, the supply has decreased in quality and quantity, and the price has increased. The market is in a high - level consolidation state. Option - wise, implied volatility is above the historical average, and the open interest PCR indicates strong support at the bottom. Strategies include constructing a long - biased call + put option combination strategy and a long collar strategy for spot hedging [11]. - Jujube: Fundamentally, the purchase price in the production area has changed. The market is in a weak and downward state. Option - wise, implied volatility has risen rapidly above the historical average, and the open interest PCR indicates a weak market. Strategies include constructing a short - biased wide - straddle option combination strategy and a covered call strategy for spot hedging [12]. 3.5.3 Soft Commodity Options - Sugar: Fundamentally, sugar production and exports in Brazil and India have changed. The market is in a weak and downward state. Option - wise, implied volatility is at a relatively low historical level, and the open interest PCR indicates a range - bound market. Strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [12]. - Cotton: Fundamentally, the progress of cotton picking, delivery, processing, and sales has changed. The market is in a short - term weak state. Option - wise, implied volatility is at a relatively low level, and the open interest PCR indicates a weak market. 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 average price of corn has increased. The market is in a weak rebound state. Option - wise, implied volatility is at a relatively low historical level, and the open interest PCR indicates a weak market. Strategies include constructing a neutral short call + put option combination strategy [13].