农产品期权：农产品期权策略早报-20251218

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The agricultural product options market shows a mixed trend, with oilseeds and oils showing a weak and volatile pattern, agricultural by - products maintaining a volatile market, soft commodities like sugar slightly fluctuating, cotton showing a relatively strong consolidation, and grains such as corn and starch showing a narrow - range bullish consolidation [2]. - It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered call strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Multiple agricultural product futures contracts show different price movements, trading volumes, and open interest changes. For example, the latest price of soybean (A2603) is 4,059, down 41 with a decline of 1.00%, trading volume of 1.16 million lots (down 1.46 million lots), and open interest of 6.00 million lots (up 0.06 million lots) [3]. 3.2 Option Factors - PCR - The PCR indicators of various option varieties are presented. For instance, the trading volume PCR of soybean is 0.75 (down 0.17), and the open interest PCR is 0.99 (unchanged). These indicators are used to describe the strength of the option underlying market and the turning points of the underlying market [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different option varieties are given. For example, the pressure point of soybean (A2603) is 4,200 with an offset of 0, and the support point is 4,000 with an offset of 0 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility data of multiple option varieties are provided. For example, the at - the - money implied volatility of soybean is 10.31%, the weighted implied volatility is 11.04% (down 1.06%), and the historical average is 12.69% [6]. 3.5 Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean: - Fundamental analysis shows that Brazilian soybean planting is nearly completed, with changes in import costs and crushing margins. The market shows a weak pattern with pressure above. - Option factor research indicates that the implied volatility is around the historical average, the open interest PCR suggests a sideways market, and the pressure and support levels are 4200 and 4000 respectively. - Strategies include constructing a neutral short call + put option combination, and a long collar strategy for spot hedging [7]. - Palm oil: - The domestic palm oil market price is down, with weak fundamentals. The market shows a pattern of upward rebound with pressure above. - Option factor research shows that the implied volatility is below the historical average, the open interest PCR suggests a sideways market, and the pressure and support levels are 9000 and 8200 respectively. - Strategies include a bearish spread strategy for directional trading, a short bearish call + put option combination for volatility trading, and a long collar strategy for spot hedging [9]. - Peanut: - The price of peanuts is at a low level, with slow sales in the producing areas. The market shows a pattern of short - term bullishness followed by a rapid decline. - Option factor research indicates that the implied volatility is at a relatively high level, the open interest PCR suggests pressure above, and the pressure and support levels are 9000 and 7700 respectively. - A long collar strategy is recommended for spot hedging [10]. 3.5.2 Agricultural By - products Options - Pig: - The supply of pigs has a limited increase, and the demand has increased. The market shows a weak bearish pattern with pressure above. - Option factor research shows that the implied volatility is at the historical average, the open interest PCR suggests a weak market, and the pressure and support levels are 13000 and 11000 respectively. - Strategies include a short bearish call + put option combination for volatility trading and a covered call strategy for spot [10]. - Egg: - The inventory of laying hens is at a certain level. The market shows a pattern of upward rebound, large - scale oscillation, and then a rapid decline with pressure above. - Option factor research indicates that the implied volatility is at a high level, the open interest PCR suggests a weak market, and the pressure and support levels are 3150 and 3100 respectively. - A short bearish call + put option combination is recommended for volatility trading [11]. - Apple: - The sales in some apple - producing areas are slow. The market shows a pattern of continuous warming up, rising, and high - level oscillation with pressure above. - Option factor research shows that the implied volatility is above the historical average, the open interest PCR suggests a bullish market with support below, and the pressure and support levels are 10600 and 8500 respectively. - Strategies include a short bullish call + put option combination for volatility trading and a long collar strategy for spot hedging [11]. - Jujube: - The jujube market price is stable, with increased sales in the off - season. The market shows a weak bearish pattern with pressure above. - Option factor research indicates that the implied volatility is above the historical average, the open interest PCR suggests a weak market, and the pressure and support levels are 9800 and 9000 respectively. - Strategies include a short bearish wide - straddle option combination for volatility trading and a covered call strategy for spot hedging [12]. 3.5.3 Soft Commodities Options - Sugar: - The ICE sugar futures are in a low - level oscillation. The market shows a weak bearish pattern with pressure above. - Option factor research shows that the implied volatility is at a low level, the open interest PCR suggests a weak market, and the pressure and support levels are 5500 and 5400 respectively. - Strategies include a short bearish call + put option combination for volatility trading and a long collar strategy for spot hedging [12]. - Cotton: - The cotton production is expected to increase, with some hedging pressure on the market. The market shows a pattern of short - term bullishness followed by a decline. - Option factor research indicates that the implied volatility is at a low level, the open interest PCR suggests a weak market, and the pressure and support levels are 14000 and 13400 respectively. - Strategies include a short neutral call + put option combination for volatility trading and a long collar strategy for spot [13]. 3.5.4 Grains Options - Corn: - The grain sales progress in the main producing areas is stable, but the demand is not optimistic. The market shows a pattern of rebound with support below. - Option factor research shows that the implied volatility is at a low level, the open interest PCR suggests a strengthening market, and the pressure and support levels are 2140 and 2000 respectively. - A short neutral call + put option combination is recommended for volatility trading [13]. - Starch: - The starch market shows a certain pattern. The option factor research indicates that the implied volatility is at a certain level, and the pressure and support levels are analyzed. Specific strategies are not detailed in a unique way compared to the general framework [13]. 3.6 Option Charts - Multiple option charts for different agricultural products are presented, including price trend charts, trading volume and open interest charts, PCR charts, implied volatility charts, historical volatility cone charts, and pressure and support level charts, which visually show the market conditions of various agricultural product options [15][34][54] etc.