农产品期权策略早报-20251215

Report Summary - The report is an early morning report on agricultural product options dated December 15, 2025 [1] - The overall market shows that oilseeds and oils are weakly volatile, while agricultural by - products and soft commodities have mixed trends. The strategy suggests constructing an option portfolio mainly composed of sellers, along with spot hedging or covered strategies to enhance returns [2] 1. Report Industry Investment Rating - Not provided in the report 2. Report's Core View - Market Trends: Oilseeds and oils are in a weakly volatile state, agricultural by - products and soft commodities maintain a volatile market, and grains show a slightly bullish and narrow - range consolidation [2] - Strategies: Construct an option portfolio mainly with sellers, and use spot hedging or covered strategies to increase returns [2] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The report shows the latest prices, price changes, trading volumes, and open interest changes of various agricultural product options, including soybeans, soybean meal, palm oil, etc. For example, the latest price of soybean No. 1 (A2603) is 4,126, down 20 with a decline rate of 0.48%, and the trading volume is 1.25 million lots [3] 3.2 Option Factors 3.2.1 Volume - to - Open Interest PCR - It provides information on the volume - to - open interest PCR (Put - to - Call Ratio) of different option varieties, which helps to analyze the strength and potential turning points of the option underlying markets. For instance, the volume PCR of soybean No. 1 is 0.74 with a change of 0.06, and the open interest PCR is 1.08 with a change of - 0.01 [4] 3.2.2 Pressure and Support Levels - The pressure and support levels of each option variety are presented. For example, the pressure level of soybean No. 1 is 4,250, and the support level is 4,100 [5] 3.2.3 Implied Volatility - The implied volatility data of various option varieties are given, including at - the - money implied volatility, weighted implied volatility, and their changes compared to the annual average. For example, the at - the - money implied volatility of soybean No. 1 is 11.62%, and the weighted implied volatility is 13.72% with a change of 0.21% [6] 3.3 Strategies and Recommendations for Different Option Varieties 3.3.1 Oilseeds and Oils Options - Soybean No. 1: Based on fundamental and market analysis, it suggests constructing a short neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [7] - Soybean Meal: With the analysis of fundamentals and market trends, it recommends constructing a short neutral call + put option combination strategy for volatility and a long collar strategy for spot hedging [9] - Palm Oil: Considering the market situation, it proposes a bearish call spread strategy for direction, a short bearish call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9] - Peanut: Given the current situation, it suggests a long collar strategy for spot hedging [10] 3.3.2 Agricultural By - products Options - Live Hogs: Based on the analysis, it recommends a short bearish call + put option combination strategy for volatility and a covered call strategy for spot [10] - Eggs: It suggests a short bearish call + put option combination strategy for volatility [11] - Apples: It recommends a short bullish call + put option combination strategy for volatility and a long collar strategy for spot hedging [11] - Jujubes: It suggests a short bearish wide - straddle option combination strategy for volatility and a covered call strategy for spot hedging [12] 3.3.3 Soft Commodities Options - Sugar: It recommends a short bearish call + put option combination strategy for volatility and a long collar strategy for spot hedging [12] - Cotton: It suggests a short neutral call + put option combination strategy for volatility and a long collar strategy for spot [13] 3.3.4 Grains Options - Corn: It recommends a short neutral call + put option combination strategy for volatility [13] - Starch: Although not detailed in the summary part, relevant data and analysis are provided for it in the report [300 - 316] 3.3.5 Other Options - Log: The report provides relevant data and analysis, but specific strategy recommendations are not emphasized [317 - 336]