1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The agricultural products sector includes beans, oils, agricultural by - products, soft commodities, grains, and others. Oilseeds and oils show a relatively strong and volatile trend, while oils, agricultural by - products maintain a volatile market. Soft commodity sugar rebounds and fluctuates upward, cotton shows a bullish trend, and grains such as corn and starch are weakly and narrowly consolidated. It is recommended to construct option combination strategies mainly based on 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 various price changes, trading volumes, and open interest changes. For example, the latest price of soybean A2509 is 4,241, with a rise of 28 and a rise rate of 0.66%, trading volume of 14.61 million lots (a decrease of 3.65 million lots), and open interest of 18.11 million lots (an increase of 0.81 million lots) [3]. 3.2 Option Factors - Quantity and Position PCR - The quantity and position PCR of different option varieties vary, which can be used to describe the strength of the option underlying market and the turning point of the underlying market. For instance, the volume PCR of soybean A is 0.23 (a decrease of 0.11), and the position PCR is 0.48 (an increase of 0.02) [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of different option varieties are determined. For example, the pressure level of soybean A is 4,500, and the support level is 4,100 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different option varieties also shows differences. For example, the at - the - money implied volatility of soybean A is 10.525, the weighted implied volatility is 11.72 (an increase of 0.33), and the difference between implied and historical volatility is - 0.40 [6]. 3.5 Option Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean A and B**: The USDA July report adjusted the supply - demand data of US soybeans. Soybean A showed a rebound after a decline in June and July. The implied volatility of soybean A options is at a relatively high level, the position PCR is below 0.70, and the pressure and support levels are 4,500 and 4,100 respectively. It is recommended to construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The purchase volume of soybean meal from March to September is different. Soybean meal showed a rebound after a decline in June and July. The implied volatility of soybean meal options is slightly above the historical average, the position PCR is around 0.80, and the pressure and support levels are 3,450 and 2,900 respectively. Similar to soybean A, it is recommended to construct a neutral call + put option combination strategy for volatility and a long collar strategy for spot hedging [8][9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The export and production data of Malaysian palm oil in June are different. Palm oil showed a bullish trend. The implied volatility of palm oil options is decreasing to below the historical average, the position PCR is around 1.00, and the pressure and support levels are 10,000 and 8,000 respectively. It is recommended to construct a bullish call + put option combination strategy for volatility and a long collar strategy for spot hedging [10]. - **Peanuts**: The price of peanuts in Henan and the northeast shows different trends. Peanuts showed a weak consolidation trend. The implied volatility of peanut options is at a relatively low level, the position PCR is below 0.80, and the pressure and support levels are 9,000 and 7,200 respectively. It is recommended to construct a bearish spread strategy for direction and a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - products Options - **Pigs**: The domestic pig price showed a decline last week. Pigs showed a weak trend after a rebound. The implied volatility of pig options is above the historical average, the position PCR is below 0.50, and the pressure and support levels are 18,000 and 13,800 respectively. It is recommended to construct a bearish call + put option combination strategy for volatility and a covered call strategy for spot [11]. - **Eggs**: The domestic egg price rebounded last week. Eggs showed a weak bearish trend. The implied volatility of egg options is at a relatively high level, the position PCR is below 0.60, and the pressure and support levels are 3,500 and 2,800 respectively. It is recommended to construct a bearish spread strategy for direction and a bearish call + put option combination strategy for volatility [12]. - **Apples**: The inventory of apples in cold storage is at a low level. Apples showed a weak rebound trend. The implied volatility of apple options is below the historical average, the position PCR is below 0.60, and the pressure and support levels are 8,900 and 7,000 respectively. It is recommended to construct a neutral call + put option combination strategy for volatility [12]. - **Red Dates**: The inventory of red dates decreased slightly. Red dates showed a rebound and then a decline. The implied volatility of red date options is decreasing and is above the average, the position PCR is below 0.50, and the pressure and support levels are 14,000 and 8,600 respectively. It is recommended to construct a bearish strangle option combination strategy for volatility and a covered call strategy for spot [13]. 3.5.3 Soft Commodities Options - **Sugar**: The number of ships waiting to load sugar in Brazilian ports decreased. Sugar showed a rebound after a decline. The implied volatility of sugar options is at a relatively low level, the position PCR is around 0.80, and the pressure and support levels are 6,100 and 5,700 respectively. It is recommended to construct a neutral call + put option combination strategy for volatility and a long collar strategy for spot hedging [13]. - **Cotton**: The开机 rate of spinning and weaving factories decreased, and the commercial inventory of cotton decreased. Cotton showed a rebound trend. The implied volatility of cotton options is decreasing and is at a low level, the position PCR is below 1.00, and the pressure and support levels are 14,000 and 13,000 respectively. It is recommended to construct a bullish spread strategy for direction, a bullish call + put option combination strategy for volatility, and a covered call strategy for spot [14]. 3.5.4 Grains Options - **Corn and Starch**: The spot price of corn showed a weak trend, and the futures market was also weak. Corn showed a bearish trend. The implied volatility of corn options is at a relatively low level, the position PCR is around 0.80, and the pressure and support levels are 2,400 and 2,240 respectively. It is recommended to construct a bearish spread strategy for direction and a bearish call + put option combination strategy for volatility [14].

2025 年 7 月 22 日 金 融 衍 生 品 研 究 股票股指期权：上行升波，ETF 期权临近到 期，注意末日风险。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【正文】 表 1：期权市场数据统计 | 标的市场统计 | 收盘价 | 涨跌 | 成交量(亿 | 成交变化 | 当月 | | 次月 | 次月基差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | 手) | (亿手) | 合成期货 | 当月基差 | 合成期货 | | | 上证50指数 | 2792.18 | 19.94 | 68.31 | 18.36 | 2795.07 | 2.88 | 2796.47 | 4.28 | | 沪深300指数 | 4118.96 | 33.35 | 257.60 | 34.33 | 4117.27 | -1.69 | 4107.00 | -11.96 | | 中证1000指数 | 6637.10 | 24.84 | 301.66 | 25.07 | 6587.00 | -50.1 ...

股指期权日报 | 2025-07-22 股指期权日报 股指期权市场概况 期权成交量 2025-07-21，上证50ETF期权成交量为119.44万张；沪深300ETF期权（沪市）成交量为124.34万张； 中证500ETF期权（沪市）成交量为141.63万张；深证100ETF期权成交量为8.76万张； 创业板ETF期权成交量为153.80万张；上证50股指期权成交量为2.59万张； 沪深300股指期权成交量为7.91万张；中证1000期权总成交量为16.70万张。 | 一、期权成交量 3 | | --- | | 二、期权PCR 5 | | 三、期权VIX 7 | 期权PCR 上证50ETF期权成交额PCR报0.43，环比变动为-0.04；持仓量PCR报1.12，环比变动为-0.01； 沪深300ETF期权（沪市）成交额PCR报0.36，环比变动为-0.04；持仓量PCR报1.18，环比变动为+0.07； 中证500ETF期权（沪市）成交额PCR报0.52，环比变动为-0.03；持仓量PCR报1.27，环比变动为+0.02 ； 深圳100ETF期权成交额PCR报0.29 ，环比变动为-0.04；持仓量PCR报1 ...

能源化工期权 2025-07-23 能源化工期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | 能源化工期权策略早报概要：能源类：原油、LPG；聚烯烃类期权：聚丙烯、聚氯乙烯、塑料、苯乙烯；聚酯类期 权：对二甲苯、PTA、短纤、瓶片；碱化工类：烧碱、纯碱；其他能源化工类：橡胶等。 策略上：构建卖方为主的期权组合策略以及现货套保或备兑策略增强收益。 表1：标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | -- ...

1. Report Industry Investment Rating - Not provided in the given content 2. Core Views of the Report - For non - ferrous metals, which are experiencing a fluctuating decline, it is recommended to construct a seller neutral volatility strategy [2]. - For the black - series, which are gradually consolidating in a range, a seller option neutral portfolio strategy is suitable [2]. - For precious metals, specifically gold, which is consolidating at a high level and showing a weak decline, a spot hedging strategy is proposed [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Copper (CU2509) is priced at 79,770, up 510 (0.64%) with a trading volume of 8.75 million lots (up 3.27 million) and an open interest of 15.69 million lots (up 1.52 million) [3]. - Aluminum (AL2509) is at 20,860, up 115 (0.55%), volume 22.07 million lots (up 9.16 million), open interest 31.69 million lots (up 3.43 million) [3]. - Zinc (ZN2509) is at 22,875, up 90 (0.39%), volume 25.14 million lots (up 10.03 million), open interest 13.33 million lots (up 1.73 million) [3]. - And so on for other metals including lead, nickel, tin, etc. 3.2 Option Factors - Volume and Open Interest PCR - For copper, the volume PCR is 0.30 (down 0.24), and the open interest PCR is 0.65 (up 0.05) [4]. - For aluminum, the volume PCR is 0.49 (down 0.21), and the open interest PCR is 0.89 (down 0.04) [4]. - Similar data is provided for other metals such as zinc, lead, etc. 3.3 Option Factors - Pressure and Support Levels - For copper, the pressure level is 82,000 and the support level is 78,000 [5]. - For aluminum, the pressure level is 20,600 and the support level is 20,000 [5]. - For other metals like zinc, lead, etc., their respective pressure and support levels are also given. 3.4 Option Factors - Implied Volatility - For copper, the at - the - money implied volatility is 13.25%, the weighted implied volatility is 17.34% (up 2.66%), and the difference between implied and historical volatility is - 1.57% [6]. - For aluminum, the at - the - money implied volatility is 11.32%, the weighted implied volatility is 14.28% (up 2.05%), and the difference between implied and historical volatility is 0.57% [6]. - Similar implied volatility data is presented for other metals. 3.5 Strategy and Recommendations for Different Metals 3.5.1 Non - ferrous Metals - **Copper Option**: Directional strategy: None; Volatility strategy: Construct a short - volatility seller option portfolio; Spot long - hedging strategy: Hold spot long + buy put option + sell out - of - the - money call option [8]. - **Aluminum/Alumina Option**: Directional strategy: Bull spread call option strategy; Volatility strategy: Sell a combination of call and put options with a long - biased position; Spot long - hedging strategy: Construct a spot collar strategy [9]. - **Zinc/Lead Option**: Directional strategy: Bull spread call option strategy; Volatility strategy: Sell a combination of call and put options with a long - biased position; Spot long - hedging strategy: Construct a spot collar strategy [9]. - **Nickel Option**: Directional strategy: None; Volatility strategy: Sell a combination of call and put options with a short - biased position; Spot long - hedging strategy: Hold spot long + buy put option [10]. - **Tin Option**: Directional strategy: None; Volatility strategy: Short - volatility strategy; Spot long - hedging strategy: Construct a spot collar strategy [10]. - **Carbonate Lithium Option**: Directional strategy: None; Volatility strategy: Sell a combination of call and put options with a long - biased position; Spot long - hedging strategy: Hold spot long + buy put option + sell call option [12]. 3.5.2 Precious Metals - **Gold/Silver Option**: Directional strategy: None; Volatility strategy: Construct a neutral short - volatility option seller portfolio; Spot long - hedging strategy: Hold spot long + buy put option + sell out - of - the - money call option [13]. 3.5.3 Black - series - **Rebar Option**: Directional strategy: Construct a bull spread call option strategy; Volatility strategy: Sell a combination of call and put options with a long - biased position; Spot long - hedging strategy: Hold spot long + sell call option [14]. - **Iron Ore Option**: Directional strategy: Bull spread call option strategy; Volatility strategy: Sell a combination of call and put options with a long - biased position; Spot long - hedging strategy: Construct a long collar strategy [14]. - **Ferroalloy Option**: Directional strategy: None; Volatility strategy: Short - volatility strategy; Spot long - hedging strategy: None [15]. - **Industrial Silicon/Polysilicon Option**: Directional strategy: Construct a bull spread call option strategy; Volatility strategy: Sell a combination of call and put options with a long - biased position; Spot long - hedging strategy: Hold spot long + buy put option + sell call option [15]. - **Glass Option**: Directional strategy: Bull spread call option strategy; Volatility strategy: Short - volatility strategy; Spot long - hedging strategy: Construct a long collar strategy [16].

金属期权策略早报概要：（1）有色金属震荡回落，构建卖方中性波动率策略策略；（2）黑色系区间盘整震荡逐 渐，适合构建卖方期权中性组合策略；（3）贵金属黄金高位盘整弱势回落，构建现货避险策略。 | 表1：标的期货市场概况 | | --- | 金属期权 2025-07-21 金属期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） ...

能源化工期权 2025-07-21 能源化工期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | 能源化工期权策略早报概要：能源类：原油、LPG；聚烯烃类期权：聚丙烯、聚氯乙烯、塑料、苯乙烯；聚酯类期 权：对二甲苯、PTA、短纤、瓶片；碱化工类：烧碱、纯碱；其他能源化工类：橡胶等。 策略上：构建卖方为主的期权组合策略以及现货套保或备兑策略增强收益。 表1：标的期货市场概况 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | -- ...

农产品期权 2025-07-21 农产品期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | | 李仁君 | 产业服务 | 从业资格号：F03090207 | 交易咨询号：Z0016947 | 邮箱：lirj@wkqh.cn | 农产品期权策略早报概要：油料油脂类农产品偏强震荡，油脂类，农副产品维持震荡行情，软商品白糖反弹回升震 荡上行，棉花多头上涨，谷物类玉米和淀粉弱势窄幅盘整。 | 期权品种 | 标的合约 | 最新价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 持仓量 | 仓变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万手) | | (万手) | | | 豆一 | A2509 | 4,17 ...

Market Review - The closing prices of SSE 50, CSI 300, and CSI 1000 were 2744.2604, 4034.491, and 6535.6713 respectively, with changes of 0.12%, 0.68%, and 1.14% [4]. - The trading volumes of SSE 50, CSI 300, and CSI 1000 were 36.15 billion, 161.25 billion, and 227.83 billion respectively, and the turnovers were 746.46 billion yuan, 3255.17 billion yuan, and 3259.84 billion yuan respectively [4]. - In the CFFEX stock index options trading, the option trading volumes of SSE 50, CSI 300, and CSI 1000 were 3.97 million contracts, 9.93 million contracts, and 27.30 million contracts respectively, and the option open - interests were 7.76 million contracts, 20.16 million contracts, and 28.66 million contracts respectively [4]. Volatility Analysis - Historical volatility and implied volatility curves are provided for SSE 50, CSI 300, and CSI 1000, including maximum, minimum, percentile values, and current values [8][9]. Overall Market Situation - The Shanghai Composite Index rose 0.37% to 3516.83 points, the Shenzhen Component Index rose 1.43%, the ChiNext Index rose 1.75%, the Beijing Stock Exchange 50 rose 0.86%, the STAR 50 rose 0.8%, the Wind All - A rose 0.94%, the Wind A500 rose 0.83%, and the CSI A500 rose 0.9% [9]. - A - share trading volume was 1.56 trillion yuan for the day, compared with 1.46 trillion yuan the previous day [9]

Report Industry Investment Rating - No relevant content provided Core Viewpoints - No relevant content provided Summary by Directory Option Trading Volume - On July 17, 2025, the trading volume of SSE 50 ETF options was 1.113 million contracts; CSI 300 ETF options (Shanghai) was 1.4456 million contracts; CSI 500 ETF options (Shanghai) was 1.6467 million contracts; Shenzhen 100 ETF options was 0.087 million contracts; ChiNext ETF options was 1.537 million contracts; SSE 50 index options was 0.0397 million contracts; CSI 300 index options was 0.0993 million contracts; and CSI 1000 options was 0.273 million contracts [1] - The table shows the call, put, and total trading volumes of various index ETF options on the same day [20] Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.63, with a month - on - month change of - 0.20; the position PCR was 1.04, with a month - on - month change of + 0.02. Similar data for other options are also provided, including CSI 300 ETF options (Shanghai), CSI 500 ETF options (Shanghai), Shenzhen 100 ETF options, ChiNext ETF options, SSE 50 index options, CSI 300 index options, and CSI 1000 index options [2] - A table presents the turnover PCR, its month - on - month change, position PCR, and its month - on - month change for various index ETF options [29] Option VIX - The VIX of SSE 50 ETF options was reported at 15.05%, with a month - on - month change of + 0.06%; CSI 300 ETF options (Shanghai) was 15.43%, with a month - on - month change of + 0.23%; CSI 500 ETF options (Shanghai) was 19.41%, with a month - on - month change of - 0.32%; Shenzhen 100 ETF options was 18.17%, with a month - on - month change of - 0.47%; ChiNext ETF options was 22.74%, with a month - on - month change of - 0.36%; SSE 50 index options was 17.23%, with a month - on - month change of + 0.49%; CSI 300 index options was 16.98%, with a month - on - month change of + 0.33%; and CSI 1000 index options was 20.27%, with a month - on - month change of - 0.54% [3] - A table shows the VIX and its month - on - month change for various index ETF options [43]