农产品期权：农产品期权策略早报-20251124

1. Report Investment Rating - There is no information about the investment rating of the industry in the report. 2. Core Views - The agricultural products options market shows different trends. Oilseeds and oils are weakly volatile, while agricultural by - products and soft commodities have their own market conditions. For example, sugar has a slight fluctuation, and cotton is in a weak consolidation. Corn and starch in the cereal category are in a weak and narrow - range consolidation. [2] - The strategy is to construct an option portfolio strategy mainly based on sellers, and also use spot hedging or covered strategies to enhance returns. [2] 3. Summary of Each Section 3.1 Market Overview of Underlying Futures - Different agricultural product options have different price changes. For example, soybean No.1 (A2601) closed at 4,101, down 6 points or 0.15%; soybean No.2 (B2601) closed at 3,679, down 26 points or 0.70%. [3] - There are also changes in trading volume and open interest. For instance, the trading volume of soybean No.1 was 138,600 lots, a decrease of 25,400 lots, and the open interest was 218,200 lots, a decrease of 19,500 lots. [3] 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators of different options vary. For example, the volume PCR of soybean No.1 was 0.66, a decrease of 0.06; the open - interest PCR was 1.10, a decrease of 0.01. [4] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different options can be seen from the maximum open - interest strike prices. 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 options also shows different characteristics. For example, the at - the - money implied volatility of soybean No.1 was 11.99%, and the weighted implied volatility was 12.89%, an increase of 0.16%. [6] 3.5 Strategy and Suggestions 3.5.1 Oilseeds and Oils Options - Soybean No.1 - Fundamental analysis: China's purchase of US soybeans and the decline in the import cost of Brazilian soybeans have a slightly negative impact. The market trend has been in a rebound after a decline since August. [7] - Option factor research: The implied volatility of soybean No.1 options is below the historical average, and the open - interest PCR is above 1.00, indicating a volatile market. The pressure level is 4,200, and the support level is 3,900. [7] - Option strategy suggestions: Construct a neutral short call + put option combination strategy, and a long collar strategy for spot hedging. [7] 3.5.2 Meal Options - Soybean Meal - Fundamental analysis: The average daily trading volume and delivery volume of soybean meal in major domestic oil mills have increased, and the basis has also increased. The market trend has been a rebound after a decline. [9] - Option factor research: The implied volatility of soybean meal options is below the historical average, and the open - interest PCR is below 0.80, indicating a weak market. The pressure level is 2,950, and the support level is 2,800. [9] - Option strategy suggestions: Construct a short - biased call + put option combination strategy, and a long collar strategy for spot hedging. [9] 3.5.3 Oilseeds and Oils Options - Palm Oil - Fundamental analysis: Malaysia's palm oil production and inventory situation may lead to a high - level inventory at the end of the year. The market trend has been in a downward trend since November. [9] - Option factor research: The implied volatility of palm oil options is below the historical average, and the open - interest PCR is around 0.80, indicating a weak market. The pressure level is 9,500, and the support level is 9,000. [9] - Option strategy suggestions: Construct a bear spread strategy for put options, a short - biased call + put option combination strategy, and a long collar strategy for spot hedging. [9] 3.5.4 Agricultural By - product Options - Live Pigs - Fundamental analysis: The supply of live pigs has increased, and the demand has also been stimulated by the temperature drop. The market trend has been in a weak downward trend. [10] - Option factor research: The implied volatility of live - pig options is above the historical average, and the open - interest PCR is below 0.50, indicating a weak market. The pressure level is 14,000, and the support level is 11,000. [10] - Option strategy suggestions: Construct a short - biased call + put option combination strategy, and a covered call strategy for spot hedging. [10] 3.5.5 Agricultural By - product Options - Eggs - Fundamental analysis: The domestic egg price has declined, the supply is sufficient, and the demand is weak. The market trend has been in a volatile rebound. [11] - Option factor research: The implied volatility of egg options is at a high level, and the open - interest PCR is below 0.60. The pressure level is 4,000, and the support level is 2,800. [11] - Option strategy suggestions: Construct a neutral short call + put option combination strategy. [11] 3.5.6 Agricultural By - product Options - Apples - Fundamental analysis: The apple production in 2025 has decreased significantly compared with the previous season. The market trend has been in a rising and volatile state. [11] - Option factor research: The implied volatility of apple options is above the historical average, and the open - interest PCR is above 0.90, indicating strong support below. The pressure level is 10,000, and the support level is 8,000. [11] - Option strategy suggestions: Construct a long - biased short call + put option combination strategy, and a long collar strategy for spot hedging. [11] 3.5.7 Agricultural By - product Options - Red Dates - Fundamental analysis: The acquisition progress of red dates in Xinjiang is in the range of 4 - 80%. The market trend has been in a weak downward trend. [12] - Option factor research: The implied volatility of red - date options has risen rapidly to above the historical average, and the open - interest PCR is below 0.50. The pressure level is 12,600, and the support level is 10,000. [12] - Option strategy suggestions: Construct a short - biased wide - straddle option combination strategy, and a covered call strategy for spot hedging. [12] 3.5.8 Soft Commodity Options - Sugar - Fundamental analysis: The spot price of sugar in Guangxi has declined, and the basis and import profit have also weakened. The market trend has been in a weak downward trend. [12] - Option factor research: The implied volatility of sugar options is at a low level, and the open - interest PCR is around 0.60, indicating a range - bound market. The pressure level is 5,700, and the support level is 5,400. [12] - Option strategy suggestions: Construct a short - biased call + put option combination strategy, and a long collar strategy for spot hedging. [12] 3.5.9 Soft Commodity Options - Cotton - Fundamental analysis: The global cotton production in the 2025/26 season has increased. The market trend has been in a short - term weak state. [13] - Option factor research: The implied volatility of cotton options is at a low level, and the open - interest PCR is below 1.00, indicating a weak market. The pressure level is 13,600, and the support level is 13,000. [13] - Option strategy suggestions: Construct a short - biased call + put option combination strategy, and a covered call strategy with a put option for spot hedging. [13] 3.5.10 Cereal Options - Corn - Fundamental analysis: The national average price of corn has increased slightly. The market trend has been in a weak rebound. [13] - Option factor research: The implied volatility of corn options is at a low level, and the open - interest PCR is below 0.60, indicating a weak market. The pressure level is 2,200, and the support level is 2,000. [13] - Option strategy suggestions: Construct a neutral short call + put option combination strategy. [13]