农产品期权：农产品期权策略早报-20251219

1. Report's Investment Rating for the Industry - No information provided regarding the industry investment rating. 2. Core Views of the Report - Oilseed and oil - related agricultural products are in a weak and volatile state, while oils, by - products, and soft commodities like sugar show a slight oscillation. Cotton is in a strong consolidation phase, and grains such as corn and starch are in a narrow and bullish consolidation [2]. - It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary According to Relevant Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, trading volumes, and open interest of various agricultural futures contracts including soybeans, soybean meal, palm oil, etc. For example, the latest price of soybean No.1 (A2603) is 4,054 with a decrease of 6 and a decline rate of 0.15%, and its trading volume is 3.32 million lots with a change of 2.16 million lots, and open interest is 5.73 million lots with a change of - 0.28 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators (volume PCR and open - interest PCR) of different option varieties are provided. These indicators are used to describe the strength of the option underlying market and the potential turning points of the market. For instance, the volume PCR of soybean No.1 is 1.76 with a change of 1.02, and the open - interest PCR is 1.03 with a change of 0.04 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different option varieties are analyzed from the perspective of 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 4000 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different option varieties is presented, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of soybean No.1 is 10.195%, and the weighted implied volatility is 11.08% with a change of 0.05% [6]. 3.5 Strategy and Recommendations - Oilseed and Oil Options: - Soybean No.1: Based on fundamental and market analysis, it is recommended to construct a neutral call + put option selling strategy for volatility, and a long collar strategy for spot hedging [7]. - Soybean Meal: A neutral call + put option selling strategy for volatility and a long collar strategy for spot hedging are suggested [9]. - Palm Oil: A bearish spread strategy for directional trading, a bearish call + put option selling strategy for volatility, and a long collar strategy for spot hedging are recommended [9]. - Peanut: A long collar strategy for spot hedging is proposed [10]. - By - product Options: - Pig: A bearish call + put option selling strategy for volatility and a covered call strategy for spot are recommended [10]. - Egg: A bearish call + put option selling strategy for volatility is suggested [11]. - Apple: A bullish call + put option selling strategy for volatility and a long collar strategy for spot hedging are recommended [11]. - Jujube: A wide - straddle option selling strategy for volatility and a covered call strategy for spot hedging are proposed [12]. - Soft Commodity Options: - Sugar: A bearish call + put option selling strategy for volatility and a long collar strategy for spot hedging are recommended [12]. - Cotton: A neutral call + put option selling strategy for volatility and a long collar strategy for spot are suggested [13]. - Grain Options: - Corn: A neutral call + put option selling strategy for volatility is recommended [13].