农产品期权：农产品期权策略早报-20260114

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 in a weak and volatile state, while agricultural by - products and soft commodities have their own characteristics. For example, sugar shows a slight fluctuation, cotton is in a strong consolidation, and corn and starch in the cereal category are in a narrow - range bullish consolidation. The recommended strategy is 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 Relevant Catalogs 3.1 Futures Market Overview - The report provides the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open - interest changes of various agricultural product option underlying futures contracts, including soybeans, soybean meal, palm oil, etc. For example, the latest price of soybean No.1 (A2603) is 4,295, with a decrease of 19 and a decline rate of 0.44%, a trading volume of 2.51 million lots, and an open interest of 5.60 million lots [3]. 3.2 Option Factors - Volume and Open - Interest PCR - The report presents the trading volume, volume change, open interest, open - interest change, trading - volume PCR, volume - PCR change, open - interest PCR, and open - interest PCR change of various agricultural product options. For instance, the trading - volume PCR of soybean No.1 option is 0.33, with a change of - 0.32, and the open - interest PCR is 0.91, with a change of 0.01 [4]. 3.3 Option Factors - Pressure and Support Levels - It shows the underlying contracts, at - the - money strike prices, pressure points, pressure - point offsets, support points, support - point offsets, maximum call - option open interests, and maximum put - option open interests of various agricultural product options. For example, the at - the - money strike price of soybean No.1 (A2603) is 4,300, the pressure point is 4,500, and the support point is 4,000 [5]. 3.4 Option Factors - Implied Volatility - The report provides the at - the - money implied volatility, weighted implied volatility, weighted - implied - volatility change, annual average implied volatility, call - option implied volatility, put - option implied volatility, historical 20 - day volatility, and implied - historical volatility difference of various agricultural product options. For example, the at - the - money implied volatility of soybean No.1 option is 13.395, and the weighted implied volatility is 15.46, with a change of 0.45 [6]. 3.5 Strategy and Recommendations - Oilseeds and Oils Options: - Soybean No.1: The fundamental situation shows that from January 5th to January 9th, the cumulative large - order sales volume of US soybeans to China was about 666,000 tons. The market trend is a short - term bullish rebound with pressure above. The implied volatility of the option is around the historical average. The open - interest PCR is around 0.90, indicating a volatile market. The pressure point is 4,200, and the support point is 4,000. The recommended strategies include constructing a neutral call + put option selling combination 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 also decreased slightly. The market shows an oversold rebound. The implied volatility of the option is slightly below the historical average. The open - interest PCR is below 0.80, indicating a volatile market. The pressure point is 3,100, and the support point is 3,050. Recommended strategies are similar to those of soybean No.1 [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 shows a rebound with pressure above. The implied volatility of the option is slightly below the historical average. The open - interest PCR is around 1.00, indicating a volatile market. The pressure point is 9,000, and the support point is 8,200. Recommended strategies include constructing a neutral call + put option selling combination strategy and a long - collar strategy for spot hedging [9]. - Peanuts: The market price of peanut oil is stable, but the peak - season demand is lower than expected. The market shows a short - term bullish rise followed by a rapid decline. The implied volatility of the option is at a relatively high historical level. The open - interest PCR is below 0.60, indicating pressure above. The pressure point is 9,000, and the support point is 7,700. The recommended strategy is a long - collar strategy for spot hedging [10]. - Agricultural By - product Options: - Hogs: The average slaughter weight has increased slightly. The market shows an oversold rebound under a weak bearish trend. The implied volatility of the option is at the historical average. The open - interest PCR is below 0.50, indicating a weak market. The pressure point is 13,000, and the support point is 11,000. Recommended strategies include constructing a neutral call + put option selling combination strategy and a covered - call strategy for spot hedging [10]. - Eggs: The inventory of laying hens decreased slightly month - on - month and increased year - on - year. The market shows a rebound with pressure above. The implied volatility of the option is at a relatively high level. The open - interest PCR is below 0.60, indicating a weak market. The pressure point is 3,150, and the support point is 3,100. Recommended strategies include constructing a bearish call + put option selling combination strategy [11]. - Apples: The total sales volume has decreased significantly compared with last year. The market shows a continuous warming - up and high - level volatility with pressure above. The implied volatility of the option is slightly above the historical average. The open - interest PCR is above 1.00, indicating support below. The pressure point is 10,600, and the support point is 8,500. Recommended strategies include constructing a bullish call + put option selling combination strategy and a long - collar strategy for spot hedging [11]. - Red Dates: The raw - material purchase in Xinjiang is almost completed. The market shows a weak bearish trend with pressure above. The implied volatility of the option is slightly above the historical average. The open - interest PCR is below 0.50, indicating a weak market. The pressure point is 9,800, and the support point is 9,000. Recommended strategies include constructing a bearish wide - straddle option selling combination strategy and a covered - call strategy for spot hedging [12]. - Soft Commodity Options: - Sugar: The domestic processing cost is high, and the external market shows signs of bottoming out. The market shows a weak bearish oversold rebound with pressure above. The implied volatility of the option is at a relatively low historical level. The open - interest PCR is below 0.60, indicating a weak market. The pressure point is 5,500, and the support point is 5,000. Recommended strategies include constructing a bearish call + put option selling combination strategy and a long - collar strategy for spot hedging [12]. - Cotton: The domestic cotton inventory has increased. The market shows a short - term bullish rise. The implied volatility of the option is at a relatively low level. The open - interest PCR is above 0.60, indicating a weak market. The pressure point is 15,200, and the support point is 14,000. The recommended strategy is a long - collar strategy for spot hedging [13]. - Cereal Options: - Corn: The inventory in northern ports has not formed a significant accumulation. The market shows a rebound with support below. The implied volatility of the option is at a relatively low historical level. The open - interest PCR is above 0.60, indicating a strengthening market. The pressure point is 2,140, and the support point is 2,000. Recommended strategies include constructing a neutral call + put option selling combination strategy [13].