农产品期权：农产品期权策略早报-20260113

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The agricultural product options market shows different trends: oilseeds and oils are weakly volatile, oils and by - products maintain a volatile market, soft commodity sugar fluctuates slightly, cotton consolidates strongly, and grains such as corn and starch are narrowly bullish [2]. - Strategies suggest constructing option portfolio strategies mainly as sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Different agricultural product options have different price changes, trading volumes, and open interest changes. For example, the latest price of soybean No.1 (A2603) is 4,336, up 29 with a 0.67% increase, trading volume is 2.35 million lots (up 0.50 million lots), and open interest is 5.67 million lots (down 0.16 million lots) [3]. 3.2 Option Factors - Volume and Open Interest PCR - PCR indicators are used to describe the strength of the option underlying market and turning points. For instance, the trading volume PCR of soybean No.1 is 0.65 (up 0.30), and the open interest PCR is 0.91 (down 0.05) [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support levels of option underlyings 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 - Implied volatility reflects market expectations. For example, the at - the - money implied volatility of soybean No.1 is 13.035%, and the weighted implied volatility is 15.01% (down 0.97%) [6]. 3.5 Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - Soybean No.1: The fundamental situation shows that the US sold about 666,000 tons of soybeans to China in the week from January 5th to January 9th. The market has shown a short - term bullish rebound. Option strategies include constructing a neutral call + put option selling strategy and a long collar strategy for spot hedging [7]. - Soybean Meal: The average daily提货量 of major oil mills decreased slightly week - on - week, and the basis decreased slightly. The market has shown an oversold rebound. Option strategies include constructing a neutral call + put option selling strategy and a long collar strategy for spot hedging [9]. - Palm Oil: The inventory in Malaysia in December is expected to exceed 3 million tons, suppressing the rebound of the oil sector. The market has shown a rebound with upper pressure. Option strategies include constructing a neutral call + put option selling strategy and a long collar strategy for spot hedging [9]. - Peanut: The market price is stable, but the peak - season demand is lower than expected. The market has shown a short - term bullish rise followed by a rapid decline. The strategy is a long collar strategy for spot hedging [10]. 3.5.2 By - product Options - Live Pig: The average slaughter weight increased slightly, and the supply is expected to increase in March 2026. The market has shown a weak bearish oversold rebound. Option strategies include constructing a neutral call + put option selling strategy and a covered call strategy for spot [10]. - Egg: The inventory of laying hens decreased slightly month - on - month in December 2025. The market has shown a rebound with upper pressure. Option strategies include constructing a bearish call + put option selling strategy [11]. - Apple: The total sales volume decreased significantly compared with last year. The market has shown a continuous upward and high - level volatile trend with upper pressure. Option strategies include constructing a bullish call + put option selling strategy and a long collar strategy for spot hedging [11]. - Jujube: The raw material acquisition in Xinjiang is completed, and the market is priced according to quality. The market has shown a weak bearish trend. Option strategies include constructing a wide - straddle option selling strategy and a covered call strategy for spot hedging [12]. 3.5.3 Soft Commodity Options - Sugar: The domestic processing cost is high, and the external market shows signs of bottoming. The market has shown a weak bearish oversold rebound. Option strategies include constructing a bearish call + put option selling strategy and a long collar strategy for spot hedging [12]. - Cotton: The national new - season cotton inspection volume increased year - on - year, and the inventory further rebounded. The market has shown a short - term bullish rise. The strategy is a long collar strategy for spot hedging [13]. 3.5.4 Grain Options - Corn: The inventory in northern ports has not yet accumulated, and the inventory in Guangdong ports is at a certain level. The market has shown a rebound with lower support. Option strategies include constructing a neutral call + put option selling strategy [13].