农产品期权：农产品期权策略早报-20251212

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 weakly volatile, fats and oils, and agricultural by - products maintain a volatile market, soft commodity sugar fluctuates slightly, cotton consolidates strongly, and grains such as corn and starch are narrowly bullish [2]. - It is recommended to construct option combination strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summaries Based on 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 (A2603) is 4,144, down 9 with a decline of 0.22%, trading volume is 1.09 million lots (down 1.18 million lots), and open - interest is 5.59 million lots (down 0.03 million lots) [3]. 3.2 Option Factors - Volume and Open - Interest PCR - The volume and open - interest PCR of different agricultural product options vary. For instance, the volume PCR of soybean No.1 option is 0.69 (down 0.02), and the open - interest PCR is 1.09 (up 0.07) [4]. 3.3 Option Factors - Pressure and Support Levels - Different agricultural product options have different pressure and support levels. For example, the pressure point of soybean No.1 option is 4,250 and the support point is 4,100 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different agricultural product options is different. For example, the at - the - money implied volatility of soybean No.1 option is 11.69%, and the weighted implied volatility is 13.51% (up 1.04%) [6]. 3.5 Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean No.1: - Fundamentals: China purchased 462,000 tons of US soybeans on December 5, 2025, and the import cost of Brazilian soybeans increased slightly week - on - week, with a neutral - to - bullish impact [7]. - Market Analysis: Since August, it has shown a weak upward trend with pressure above [7]. - Option Factors: The implied volatility of soybean No.1 option fluctuates around the historical average, the open - interest PCR is around 0.90, indicating a volatile market, and the pressure and support levels are 4,250 and 4,050 respectively [7]. - Option Strategies: Construct a short neutral call + put option combination strategy, a long collar strategy for spot hedging [7]. 3.5.2 Meal Options - Soybean Meal: - Fundamentals: The average daily trading volume of soybean meal in major domestic oil mills increased week - on - week, and the delivery volume decreased slightly [9]. - Market Analysis: It has shown a bottom - rebound trend since August [9]. - Option Factors: The implied volatility of soybean meal option fluctuates below the historical average, the open - interest PCR is below 0.80, indicating a weak market, and the pressure and support levels are both 3,100 [9]. - Option Strategies: Construct a short neutral call + put option combination strategy, a long collar strategy for spot hedging [9]. 3.5.3 Agricultural By - products Options - Live Pigs: - Fundamentals: The supply is relatively loose, and the demand has increased after the temperature drop [10]. - Market Analysis: It has shown a weak downward trend since August [10]. - Option Factors: The implied volatility of live pig option fluctuates around the historical average, the open - interest PCR is below 0.50, indicating a weak market, and the pressure and support levels are 13,000 and 11,000 respectively [10]. - Option Strategies: Construct a short bearish call + put option combination strategy, a covered call strategy for spot [10]. 3.5.4 Soft Commodity Options - Sugar: - Fundamentals: The sugar production ratio in Brazil has decreased, and the domestic sugar production has increased, but the import of syrups and premixes has been tightened [12]. - Market Analysis: It has shown a weak downward trend since August [12]. - Option Factors: The implied volatility of sugar option fluctuates at a relatively low historical level, the open - interest PCR is below 0.60, indicating a weak market, and the pressure and support levels are 5,500 and 5,400 respectively [12]. - Option Strategies: Construct a short bearish call + put option combination strategy, a long collar strategy for spot hedging [12]. 3.5.5 Grain Options - Corn: - Fundamentals: The national average price of corn has increased, and the prices in North China have fluctuated [13]. - Market Analysis: It has shown a bottom - rebound trend since August [13]. - Option Factors: The implied volatility of corn option fluctuates at a relatively low historical level, the open - interest PCR is above 0.60, indicating a strengthening market, and the pressure and support levels are 2,180 and 2,000 respectively [13]. - Option Strategies: Construct a short neutral call + put option combination strategy [13].