农产品期权：农产品期权策略早报-20260112

Report Summary 1. Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints - The agricultural products options market shows a mixed trend. Oilseeds and oils are weakly volatile, while some agricultural by - products and soft commodities are also in a volatile range. For example, sugar has a slight fluctuation, cotton is in a strong consolidation, and corn and starch are in a narrow - range bullish consolidation. [2] - The recommended strategy is to construct an option portfolio strategy mainly composed of sellers, as well as spot hedging or covered call strategies to enhance returns. [2] 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The report provides the latest prices, price changes, trading volumes, and open interest changes of various agricultural product futures contracts. For instance, the latest price of soybean No.1 (A2603) is 4,305, with a decrease of 29 and a decline rate of 0.67%. [3] 3.2 Option Factors - Volume and Open Interest PCR - The PCR indicators (volume PCR and open - interest PCR) of different option varieties are presented. These indicators 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, with a change of - 0.02, and the open - interest PCR is 0.95, with a change of 0.01. [4] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different option varieties are analyzed. For example, the pressure level of soybean No.1 is 4,500, and the support level is 4,000. [5] 3.4 Option Factors - Implied Volatility - The implied volatility of different option varieties is given, including at - the - money implied volatility, weighted implied volatility, and their changes. For example, the at - the - money implied volatility of soybean No.1 is 14.17%, and the weighted implied volatility is 15.99%, with a change of 0.60%. [6] 3.5 Strategy and Recommendations - Oilseeds and Oils Options: For soybean No.1, the market shows a short - term bullish rebound with pressure. The recommended strategies include constructing a neutral short call + put option combination strategy, and a long collar strategy for spot hedging. [7] - Meal Options: For soybean meal, the market is in a rebound after an over - decline. The recommended strategies are similar to those of soybean No.1, such as constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging. [9] - Agricultural By - product Options: For example, for live pigs, the market is in a weak bearish rebound with pressure. The recommended strategies include constructing a neutral short call + put option combination strategy and a covered call strategy for spot. [10] - Soft Commodity Options: For sugar, the market is in a weak bearish rebound with pressure. The recommended strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging. [12] - Grain Options: For corn, the market is in a rebound with support. The recommended strategies include constructing a neutral short call + put option combination strategy. [13]