农产品期权：农产品期权策略早报-20251127

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The agricultural product options market shows a mixed trend, with oilseeds and oils, as well as some agricultural by - products, experiencing weak oscillations, while soft commodities like sugar and cotton have their own specific trends. - It is recommended to construct option portfolio strategies mainly based on sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product futures have various price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2601) is 4,098, down 5 with a decline of 0.12%, and its trading volume is 10.87 million lots, down 0.75 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options vary, which can be used to analyze the strength and turning points of the underlying asset market. For instance, the volume PCR of soybean No.1 is 0.74, with a change of 0.16, and the open interest PCR is 1.01, with a change of 0.00 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different agricultural product options are determined by the strike prices with the largest open interest of call and put options. For example, the pressure level of soybean No.1 is 4200, and the support level is 4050 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different agricultural product options shows different levels and changes. For example, the at - the - money implied volatility of soybean No.1 is 11.145%, and the weighted implied volatility is 12.42%, down 0.25% [6]. 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean No.1: The fundamental situation is affected by factors such as China's purchase of US soybeans and the decline in Brazilian soybean import costs. The market shows a rebound after a decline. Option strategies include constructing a neutral call + put option selling combination and a long collar strategy for spot hedging [7]. - Soybean Meal: The average daily trading volume and delivery volume of soybean meal have increased, and the basis has also risen. The market shows a rebound after a decline. Option strategies include constructing a bearish call + put option selling combination and a long collar strategy for spot hedging [9]. - Palm Oil: Malaysia's palm oil production and inventory situation may lead to a weak bearish market. Option strategies include constructing a bearish spread of put options, a bearish call + put option selling combination, and a long collar strategy for spot hedging [9]. - Peanut: The spot price of peanuts is weak, and the supply pressure is gradually releasing. The market shows a weak bearish trend. The option strategy is to hold a long spot + buy put options + sell out - of - the - money call options [10]. 3.5.2 Agricultural By - products Options - Pig: The supply and demand of pigs have changed, and the market shows a weak bearish trend. Option strategies include constructing a bearish call + put option selling combination and a covered call strategy for spot [10]. - Egg: The domestic egg price has declined, and the market shows a volatile rebound. Option strategies include constructing a neutral call + put option selling combination [11]. - Apple: The apple production has decreased significantly this year, and the market shows a continuous rebound and high - level oscillation. Option strategies include constructing a bullish call + put option selling combination and a long collar strategy for spot hedging [11]. - Jujube: The jujube acquisition progress in Xinjiang varies by region, and the market shows a weak bearish trend. Option strategies include constructing a bearish wide - straddle option selling combination and a covered call strategy for spot [12]. 3.5.3 Soft Commodities Options - Sugar: The spot price of sugar has declined, and the market shows a weak bearish trend. Option strategies include constructing a bearish call + put option selling combination and a long collar strategy for spot hedging [12]. - Cotton: The global cotton production has increased, and the market shows a short - term weak trend. Option strategies include constructing a bearish call + put option selling combination and a covered call strategy for spot [13]. 3.5.4 Grains Options - Corn: The national average corn price has increased, and the market shows a weak rebound. Option strategies include constructing a bullish call + put option selling combination [13].