农产品期权：农产品期权策略早报-20251225

Report Summary 1. Investment Rating The document does not mention the industry investment rating. 2. Core View - The agricultural product options market shows different trends: oilseeds and oils are weakly volatile, oils and by - products maintain a volatile trend, soft commodities like sugar have small - scale fluctuations, cotton is strongly consolidating, and grains such as corn and starch are narrowly consolidating with a bullish bias [2]. - It is recommended to construct option portfolio strategies mainly by selling options, as well as spot hedging or covered call strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The futures prices of various agricultural products have different changes. For example, the latest price of soybean No.1 (A2603) is 4,077, up 1 (0.02%); soybean meal (M2603) is 3,006, down 1 (- 0.03%); and egg (JD2602) is 2,947, up 66 (2.29%) [3]. - The trading volume and open interest of different varieties also vary. For instance, the trading volume of soybean meal (M2603) is 16.79 million lots, an increase of 3.16 million lots; the open interest of corn (C2603) is 98.67 million lots, a decrease of 0.07 million lots [3]. 3.2 Option Factors - Quantity and Position PCR - The quantity and position PCR of different option varieties show different trends. For example, the quantity PCR of soybean No.1 is 0.65, down 0.28; the position PCR is 1.06, down 0.03 [4]. - Quantity PCR is mainly used to describe whether the underlying asset's market has a turning point, while position PCR is used to describe the strength of the underlying asset's market [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different option varieties are different. For example, the pressure level of soybean No.1 is 4,200, and the support level is 4,000; the pressure level of soybean meal is 3,100, and the support level is 3,000 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different option varieties also varies. For example, the at - the - money implied volatility of soybean No.1 is 9.88%, and the weighted implied volatility is 11.60%, up 0.19% [6]. 3.5 Strategy and Suggestions - Oils and Oilseeds Options: - Soybean No.1: The uncertainty of China's demand for US soybeans and the expected Brazilian harvest in early 2026 put pressure on the soybean market. The option strategy includes constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - Soybean Meal: The price of coastal 43% protein soybean meal has decreased. The market may continue to be under pressure, but the demand is expected to increase. The option strategy includes constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [9]. - Palm Oil: High production and low demand have pushed up Malaysia's December inventory. The price may rise if there is a successful production cut in the first quarter. The option strategy includes constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9]. - Peanut: The trading volume has increased, and the prices in different regions have different trends. The option strategy includes a long collar strategy for spot hedging [10]. - By - product Options: - Pig: The spot price has rebounded, and the futures curve has changed to a contango structure. The option strategy includes constructing a short - biased call + put option combination strategy and a covered call strategy for spot hedging [10]. - Egg: The存栏 of laying hens is expected to decrease. The option strategy includes constructing a short - biased call + put option combination strategy [11]. - Apple: The sales in different regions are different. The option strategy includes constructing a long - biased call + put option combination strategy and a long collar strategy for spot hedging [11]. - Jujube: The market price is stable, and the trading volume has increased. The option strategy includes constructing a short - biased wide - straddle option combination strategy and a covered call strategy for spot hedging [12]. - Soft Commodity Options: - Sugar: The new sugar - making season has increased production, but there are also factors such as import restrictions. The option strategy includes constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [12]. - Cotton: The inspection volume of new - season cotton has increased, and the downstream operating rate has decreased. The option strategy includes constructing a bullish call spread strategy, a neutral short call + put option combination strategy, and a long collar strategy for spot hedging [13]. - Grain Options: - Corn: The supply pressure may increase before the Spring Festival. The option strategy includes constructing a neutral short call + put option combination strategy [13].