农产品期权：农产品期权策略早报-20251229

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 in a weak and volatile state, oils, by - products maintain a volatile market, soft commodity sugar has a slight fluctuation, cotton is in a strong consolidation, and grains such as corn and starch are in a narrow - range bullish consolidation [2]. - It is recommended to construct an option portfolio strategy mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary According to Related Catalogs 3.1 Futures Market Overview - Different agricultural product options have different price changes, trading volumes, and open - interest changes. For example, soybean No. 1 (A2603) has a latest price of 4,105, a rise of 13, and a trading volume of 1.05 million lots [3]. 3.2 Option Factors - Volume and Open - Interest PCR - The volume and open - interest PCR of different option varieties are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the volume PCR of soybean No. 1 is 0.35, and the open - interest PCR is 0.93 [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 4,200, and the support level is 4,000 [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 10.81% [6]. 3.5 Strategy and Recommendations for Different Option Varieties 3.5.1 Oilseeds and Oils Options - Soybean No. 1: The fundamental situation is affected by factors such as Chinese soybean purchases and Brazilian soybean import costs. The option strategy includes constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - Palm Oil: The fundamentals show a production decline and an export increase. The option strategy includes constructing a short - delta neutral call + put option combination strategy and a long collar strategy for spot hedging [9]. - Peanut: The downstream consumption is weak. The option strategy includes a long collar strategy for spot hedging [10]. 3.5.2 By - products Options - Pig: The supply is reduced, and the demand is in the peak season. The option strategy includes constructing a short - delta call + put option combination strategy and a covered call strategy for spot hedging [10]. - Egg: The supply is sufficient, and the demand is relatively weak. The option strategy includes constructing a short - delta call + put option combination strategy [11]. - Apple: The cold - storage inventory is decreasing. The option strategy includes constructing a long - delta call + put option combination strategy and a long collar strategy for spot hedging [11]. - Jujube: The inventory is decreasing. The option strategy includes constructing a short - delta wide - straddle option combination strategy and a covered call strategy for spot hedging [12]. 3.5.3 Soft Commodities Options - Sugar: The sugar production in Thailand is declining, and the domestic industrial inventory is increasing. The option strategy includes constructing a short - delta call + put option combination strategy and a long collar strategy for spot hedging [12]. - Cotton: The cotton production in Xinjiang has increased. The option strategy includes constructing a bull - spread call option combination strategy, a short - delta neutral call + put option combination strategy, and a long collar strategy for spot hedging [13]. 3.5.4 Grains Options - Corn: The domestic corn oil market price is in a weak state. The option strategy includes constructing a short - delta neutral call + put option combination strategy [13].