农产品期权：农产品期权策略早报-20251203

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The agricultural product options market shows different trends: oilseeds and oils are weakly oscillating, oils and by - products maintain an oscillating market, soft commodity sugar has a slight oscillation, cotton is strongly consolidating, and grains such as corn and starch are narrowly consolidating with a bullish bias. The strategy is to construct an option portfolio strategy mainly composed of sellers, as well as a spot hedging or covered strategy to enhance returns [2] 3. Summary According to Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product futures have different price changes, trading volumes, and open - interest changes. For example, the latest price of soybean No.1 (A2601) is 4,121, down 6 with a decline of 0.15%, trading volume of 8.92 million lots, and open interest of 18.78 million lots [3] 3.2 Option Factors - Quantity and Open - Interest PCR - The quantity and open - interest PCR of various agricultural product options are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market. For instance, the open - interest PCR of soybean No.1 option is 0.92, down 0.05 [4] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of various agricultural product options are analyzed from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure point of soybean No.1 is 4200 and the support point is 4000 [5] 3.4 Option Factors - Implied Volatility - The implied volatility data of various agricultural product options are presented, including at - the - money implied volatility, weighted implied volatility, and its changes, etc. For example, the at - the - money implied volatility of soybean No.1 is 9.995%, and the weighted implied volatility is 11.87%, down 0.05 [6] 3.5 Option Strategies and Recommendations for Different Products 3.5.1 Oilseeds and Oils Options - Soybean No.1: The fundamental situation shows that China's soybean purchases have advanced, and the domestic soybean and soybean meal inventories are at a high level. The market trend is a rebound after a decline. Option strategies include constructing a neutral call + put option selling combination strategy and a long collar strategy for spot hedging [7] - Soybean meal: The oil mill's operating rate is about 61.41%. The market shows a weak rebound after a decline. Option strategies involve constructing a bearish call + put option selling combination strategy and a long collar strategy for spot hedging [9] - Palm oil: Malaysian palm oil production has increased, and exports have decreased. The market is in a weak bearish trend. Option strategies include constructing a bearish put option spread strategy, a bearish call + put option selling combination strategy, and a long collar strategy for spot hedging [9] - Peanut: The peanut market is in a high - level consolidation stage. The market shows a short - term bullish trend. The option strategy is to construct a long collar strategy for spot hedging [10] 3.5.2 By - product Options - Live pig: The average weight of live pig slaughter has increased. The market is in a weak bearish trend. Option strategies include constructing a bearish call + put option selling combination strategy and a covered call strategy for spot hedging [10] - Egg: The domestic egg price has a slight increase, and the supply is sufficient. The market shows a volatile rebound. Option strategies involve constructing a neutral call + put option selling combination strategy [11] - Apple: The new - season apple storage is coming to an end, and the storage volume is less than last year. The market is in a high - level oscillation. Option strategies include constructing a bullish call + put option selling combination strategy and a long collar strategy for spot hedging [11] - Jujube: The new - season jujube has a strong expected production cut, and the inventory pressure is large. The market is in a weak bearish trend. Option strategies include constructing a bearish wide - straddle option selling combination strategy and a covered call strategy for spot hedging [12] 3.5.3 Soft Commodity Options - Sugar: The number of sugar mills in Guangxi that have started production has decreased. The market is in a weak bearish trend. Option strategies involve constructing a bearish call + put option selling combination strategy and a long collar strategy for spot hedging [12] - Cotton: The spinning mill's operating rate is stable, and the cotton commercial inventory has increased. The market shows a short - term bullish trend. Option strategies include constructing a bullish call + put option selling combination strategy and a covered call strategy for spot hedging [13] 3.5.4 Grain Options - Corn: The corn inventory in northern ports is accumulating, and the trading volume is light. The market shows a weak rebound. Option strategies involve constructing a bullish call + put option selling combination strategy [13]