| 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。 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 农产品期权 2025-07-25 农产品期权策略早报 2025-7-25 2 农产品期权研究 | 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 | | --- | --- | --- | --- | --- | --- | --- | ...

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The agricultural product sector mainly includes beans, oils, agricultural by - products, soft commodities, grains, and others. The overall market shows different trends: oilseeds and oils are in a strong - side shock, oils and agricultural by - products are in a shock, soft commodities like sugar are in a rebound and shock upward, cotton is in a bullish rise, and grains like corn and starch are in a weak and narrow - range consolidation. The strategy is to construct option portfolio strategies mainly as sellers, as well as spot hedging or covered strategies to enhance returns [2][8] Summary According to Relevant Catalogs 1. Futures Market Overview - Different agricultural product futures have different price changes, trading volumes, and open interests. For example, the latest price of soybean No.1 (A2509) is 4,176, down 22 with a decline rate of 0.52%, and its trading volume is 16.04 million lots with a change of 4.99 million lots, and open interest is 17.53 million lots with a change of - 0.70 million lots [3] 2. Option Factor - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options show different trends. For example, the volume PCR of soybean No.1 option is 0.57 with a change of 0.12, and the open interest PCR is 0.49 with a change of 0.04 [4] 3. Option Factor - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of different agricultural product options are different. For example, the pressure level of soybean No.1 is 4500 and the support level is 4100 [5] 4. Option Factor - Implied Volatility - The implied volatility of different agricultural product options also varies. For example, the at - the - money implied volatility of soybean No.1 is 8.81%, and the weighted implied volatility is 10.87% with a change of 0.69% [6] 5. Strategies and Recommendations for Different Agricultural Product Options 5.1 Oils and Oilseeds Options - **Beans (Soybean No.1, Soybean No.2)**: The USDA July report adjusted the supply - demand balance of US soybeans. Soybean No.1 showed a rebound after over - decline. The implied volatility of soybean No.1 option is at a relatively high level compared to the historical average. The recommended strategies include constructing a neutral call + put option selling combination strategy and a long collar strategy for spot hedging [7] - **Bean Meal, Rapeseed Meal**: The purchase volume of bean meal in different months is different. Bean meal showed a rebound after a weak consolidation. The implied volatility of bean meal option is slightly above the historical average. The recommended strategies include constructing a neutral call + put option selling combination strategy and a long collar strategy for spot hedging [9] - **Palm Oil, Soybean Oil, Rapeseed Oil**: The MPOB June report showed the supply - demand situation of palm oil. Palm oil showed a bullish rise. The implied volatility of palm oil option is declining to a level below the historical average. The recommended strategies include constructing a bullish call + put option selling combination strategy and a long collar strategy for spot hedging [10] - **Peanuts**: The price of peanuts showed a weak consolidation. The implied volatility of peanut option is at a relatively low level. The recommended strategies include constructing a bearish put option spread strategy and a long collar strategy for spot hedging [11] 5.2 Agricultural By - product Options - **Pigs**: The domestic pig price was in a downward trend. The implied volatility of pig option is at a relatively high level compared to the historical average. The recommended strategies include constructing a bearish call + put option selling combination strategy and a covered call strategy for spot hedging [11] - **Eggs**: The domestic egg price rebounded. Eggs showed a weak - side shock. The implied volatility of egg option is at a relatively high level. The recommended strategies include constructing a bearish put option spread strategy and a bearish call + put option selling combination strategy [12] - **Apples**: The inventory of apples in cold storage is at a low level. Apples showed a weak rebound. The implied volatility of apple option is below the historical average. The recommended strategies include constructing a neutral call + put option selling combination strategy [12] - **Jujubes**: The inventory of jujubes decreased slightly. Jujubes showed a rebound and then a decline. The implied volatility of jujube option is declining. The recommended strategies include constructing a bearish wide - straddle option selling combination strategy and a covered call strategy for spot hedging [13] 5.3 Soft Commodity Options - **Sugar**: The shipping data of Brazilian sugar showed a change. Sugar showed a rebound after a decline. The implied volatility of sugar option is at a relatively low level. The recommended strategies include constructing a neutral call + put option selling combination strategy and a long collar strategy for spot hedging [13] - **Cotton**: The operating rates of spinning and weaving mills decreased, and cotton inventory decreased. Cotton showed a rebound. The implied volatility of cotton option is at a relatively low level. The recommended strategies include constructing a bullish call option spread strategy, a bullish call + put option selling combination strategy, and a covered call strategy for spot hedging [14] 5.4 Grain Options - **Corn, Starch**: The spot price of corn was weak, and the futures market was also weak. Corn showed a downward trend. The implied volatility of corn option is at a relatively low level. The recommended strategies include constructing a bearish put option spread strategy and a bearish call + put option selling combination strategy [14]

Group 1: US Dollar Index - The US Dollar Index showed a downward trend last Friday, with a high of 98.647 and a low of 98.067, closing at 98.466 [1] - The index is currently operating within a weekly resistance and daily support range, with a key focus on breaking these levels for future movement [1] - The mid-term outlook suggests a bearish trend, with a critical support level at 97.80, indicating a potential for upward movement if maintained above this level [1][3] Group 2: Gold Market - Gold prices experienced an upward trend last Friday, reaching a high of 3361.1 and a low of 3331.67, closing at 3350.44 [3] - The market is currently in a consolidation phase, with key resistance levels to watch at 3366 and 3377, and a support level at 3345 [4][6] - The overall sentiment remains cautiously bullish, pending a breakout from the current range [4] Group 3: Euro/USD Pair - The Euro/USD pair showed an upward movement last Friday, with a low of 1.1586 and a high of 1.1671, closing at 1.1621 [6] - The price is currently under pressure from daily resistance levels, with a focus on the 1.1680-90 range for potential short positions [6][8] - Long-term outlook remains bullish, supported by a monthly low of 1.0950, while short-term strategies should consider resistance levels for potential downward corrections [6]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The agricultural product options market shows different trends: oilseeds and oils are weakening, fats and oils and agricultural by - products are oscillating, soft commodities like sugar are rebounding and rising, cotton is rising moderately, and grains such as corn and starch are weakly consolidating in a narrow range [2]. - It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product futures show various price changes and trading volumes. For example, the latest price of soybean No.1 (A2509) is 4,189, up 23 with a 0.55% increase, and its trading volume is 12.97 million lots [3]. 3.2 Option Factors 3.2.1 Volume - Position PCR - Each option variety has different volume - position PCR values and their changes, which reflect the strength of the market and the turning point of the underlying asset's market. For instance, the volume PCR of soybean No.1 is 0.38, with a change of 0.10, and the position PCR is 0.44, with a change of - 0.03 [4]. 3.2.2 Pressure and Support Levels - The pressure and support levels of each option variety are analyzed. For example, the pressure level of soybean No.1 is 4,500 and the support level is 4,050 [5]. 3.2.3 Implied Volatility - The implied volatility of each option variety shows different trends. For example, the implied volatility of soybean No.1 is 9.26% for at - the - money options, and the weighted implied volatility is 10.52%, with a change of - 0.16% [6]. 3.3 Option Strategies and Recommendations 3.3.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The USDA July report shows changes in the supply - demand situation of US soybeans. The option strategy includes constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The domestic trading situation of soybean meal is analyzed. Option strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [8][9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The MPOB June report shows the production, export, and inventory situation of Malaysian palm oil. Option strategies include constructing a long - biased short call + put option combination strategy and a long collar strategy for spot hedging [10]. - **Peanuts**: The peanut market has a weak consolidation trend under the bearish pressure line. Option strategies include constructing a bearish spread strategy for put options and a long collar strategy for spot hedging [11]. 3.3.2 Agricultural By - product Options - **Pigs**: The domestic pig price has a weakening trend after rising. Option strategies include constructing a short - biased short call + put option combination strategy and a covered strategy for spot hedging [11]. - **Eggs**: The egg market is in a weak downward trend. Option strategies include constructing a bearish spread strategy for put options and a short - biased short call + put option combination strategy [12]. - **Apples**: The apple market shows a weak rebound trend. Option strategies include constructing a neutral short call + put option combination strategy [12]. - **Jujubes**: The jujube market rebounds and then falls back. Option strategies include constructing a short - biased wide - straddle option combination strategy and a covered hedging strategy for spot [13]. 3.3.3 Soft Commodity Options - **Sugar**: The Brazilian sugar export data is released. The sugar market shows a rebound after a decline. Option strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [13]. - **Cotton**: The cotton market shows a rebound and upward trend. Option strategies include constructing a bullish spread strategy for call options, a long - biased short call + put option combination strategy, and a covered strategy for spot [14]. 3.3.4 Grain Options - **Corn and Starch**: The corn market is under a bearish trend. Option strategies include constructing a bearish spread strategy for put options and a short - biased short call + put option combination strategy [14].

Core Insights - The Consumer Price Index (CPI) data has been released, indicating potential market movements and analysis opportunities [1] Market Analysis - Short-term analysis following the CPI release is crucial for understanding market dynamics [1] - The support and resistance levels for gold have been identified, which are essential for traders to make informed decisions [1] - There is speculation on when the market will break out of its current range-bound movement [1]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The energy and chemical options market involves various sectors such as energy, polyolefins, polyesters, and alkali chemicals. - Strategies suggest constructing option - combination strategies mainly as sellers and spot hedging or covered strategies to enhance returns [3]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, trading volumes, and open interest of various energy and chemical futures contracts. For example, the latest price of crude oil (SC2508) is 520, with a price increase of 4 and a rise - fall rate of 0.85%. The trading volume is 12.89 million lots, and the open interest is 2.45 million lots [4]. 3.2 Option Factors - Volume and Open Interest PCR - Volume and open interest PCR are used to analyze the strength of the option underlying market and the turning points of the market. For instance, the volume PCR of crude oil is 0.81 with a change of 0.08, and the open - interest PCR is 0.69 with a change of 0.06 [6]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels are determined based on the strike prices with the largest open interest of call and put options. For example, the pressure level of crude oil is 660, and the support level is 450 [7]. 3.4 Option Factors - Implied Volatility - Implied volatility includes at - the - money implied volatility and volume - weighted implied volatility. For example, the at - the - money implied volatility of crude oil is 27.63%, and the weighted implied volatility is 33.49% with a change of 0.60 [8]. 3.5 Strategy and Recommendations - **Energy - related Options (Crude Oil)**: - Fundamental analysis shows that US crude inventories and production have specific changes. The market trend of crude oil has been fluctuating since May. - Option factors indicate that the implied volatility is around the average, and the open - interest PCR below 0.80 suggests increasing short - selling power. - Strategies include constructing a neutral call + put option - selling combination for volatility, and a long - collar strategy for spot hedging [9]. - **Liquefied Petroleum Gas (LPG) Options**: - Fundamental factors such as geopolitical concerns and inventory situations affect the market. The LPG market has shown a short - term bearish trend. - Option factors show that the implied volatility is around the historical average, and the open - interest PCR below 0.60 indicates increasing short - selling power. - Strategies are similar to crude oil, including option - selling combinations and long - collar strategies [11]. - **Methanol Options**: - Fundamental analysis focuses on port inventories and MTO device utilization rates. The methanol market has shown short - term narrow - range fluctuations. - Option factors indicate that the implied volatility is around the historical average, and the open - interest PCR around 0.80 suggests a weak - oscillating market. - Strategies involve option - selling combinations and long - collar strategies [11]. - **Ethylene Glycol Options**: - The market price of ethylene glycol has shown a weak - bearish oscillating pattern. - Option factors show that the implied volatility is around the historical average, and the open - interest PCR around 0.70 indicates a weak market. - Strategies include a short - volatility strategy and a long - collar strategy for spot hedging [12]. - **Polyolefin Options (Polypropylene, Polyvinyl Chloride, Plastic, Styrene)**: - Fundamental analysis focuses on production and supply changes. The polyolefin market has shown different trends, generally with bearish pressure. - Option factors indicate that the implied volatility is around the historical average, and the decreasing open - interest PCR suggests a weakening market. - Strategies mainly involve spot - hedging strategies such as long - collar strategies [12]. - **Rubber Options**: - The rubber market has shown a low - level consolidation pattern. - Option factors show that the implied volatility is around the average, and the open - interest PCR below 0.60 indicates a bearish market. - Strategies include constructing a neutral call + put option - selling combination [13]. - **Polyester Options (Para - xylene, PTA, Short - fiber, Bottle - chip)**: - The PTA market has shown significant fluctuations. - Option factors indicate that the implied volatility is around the average, and the open - interest PCR around 0.80 suggests a weakening market. - Strategies involve constructing a neutral call + put option - selling combination [14]. - **Caustic Soda Options**: - Fundamental analysis focuses on inventory and profit changes. The caustic soda market has shown a trend of first falling and then rising. - Option factors show that the implied volatility is decreasing and around the average, and the open - interest PCR rising to 0.80 suggests a strengthening market. - Strategies include a bear - spread strategy for directional trading and a covered - call strategy for spot hedging [15]. - **Soda Ash Options**: - The soda ash market has shown a long - term weak - bearish trend. - Option factors indicate that the implied volatility is around the historical average, and the open - interest PCR below 0.50 suggests a weak - oscillating market. - Strategies include a bear - spread strategy, a short - bearish call + put option - selling combination, and a long - collar strategy for spot hedging [15]. - **Urea Options**: - The urea market has shown an oscillating pattern under bearish pressure. - Option factors show that the implied volatility is slightly below the historical average, and the open - interest PCR below 0.80 suggests a weak market. - Strategies include constructing a neutral call + put option - selling combination and a long - collar strategy for spot hedging [16].

Group 1 - The core viewpoint of the article indicates that gold prices are experiencing fluctuations due to the latest tariff escalations, with a notable test of intraday highs [1] - Gold prices initially surged but then retreated to $3325, where support was found before testing intraday highs again [1] - The VIP monitoring tool shows a neutral to bearish order ratio for gold, suggesting a potential turning point around $3340 [1] Group 2 - Support levels are identified, with significant buying interest at $3326, indicating strong short-term support [1] - Resistance levels are highlighted, with the strongest support at $3321, suggesting that if this level holds, further upward movement is possible [1]

Group 1 - The core viewpoint indicates that the gold market is facing strong resistance, making upward movement difficult [1] - Current market sentiment is bearish, with a higher ratio of short positions in the gold market [1] - Significant capital is exiting the market, as indicated by the "fund bomb" alert [1] Group 2 - The support level is identified at 3316, where there is substantial buying interest, providing short-term support [1] - The strongest resistance level is at 3328, and failure to break above this level may lead to a potential pullback [1]

Report Summary 1. Report Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - The metal sector is divided into non - ferrous metals, precious metals, and black metals. Different options strategies and suggestions are provided for selected varieties in each sector based on the analysis of underlying market conditions, option factor research, and option strategy recommendations [7]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - For various metal options, information such as the latest price, price change, percentage change, trading volume, volume change, open interest, and open interest change of the underlying contracts is presented. For example, the latest price of copper (CU2508) is 78,330, with a decrease of 580 and a decline rate of 0.74% [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR data of different metal options are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market. For instance, the volume PCR of copper is 0.75 with a change of - 0.12, and the open interest PCR is 0.61 with a change of - 0.06 [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of different metal options are determined from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure level of copper is 82,000 and the support level is 78,000 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility data of different metal options are provided, including at - the - money implied volatility, weighted implied volatility, and its change. For example, the at - the - money implied volatility of copper is 12.67%, and the weighted implied volatility is 17.79% with a change of 2.24% [6]. 3.5 Strategy and Suggestions - **Non - ferrous Metals** - **Copper Options**: Based on the analysis of copper fundamentals, market conditions, option factors, directional strategies (constructing a bull - spread combination of call options), volatility strategies (constructing a short - volatility seller option combination), and spot long - hedging strategies are proposed [8]. - **Aluminum/Alumina Options**: Analyze the fundamentals and market conditions of aluminum and alumina, and suggest directional strategies (bull - spread combination of call options), volatility strategies (constructing a short - position call + put option combination), and spot long - hedging strategies [9]. - **Zinc/Lead Options**: Provide strategies for zinc and lead options, including volatility strategies (constructing a short - neutral call + put option combination) and spot long - hedging strategies [9]. - **Nickel Options**: Suggest volatility strategies (constructing a short - bearish call + put option combination) and spot long - hedging strategies for nickel options [10]. - **Tin Options**: Propose volatility strategies (short - volatility strategy) and spot long - hedging strategies for tin options [10]. - **Lithium Carbonate Options**: Suggest volatility strategies (constructing a short - neutral call + put option combination) and spot long - covered call strategies for lithium carbonate options [11]. - **Precious Metals** - **Gold/Silver Options**: Analyze the fundamentals and market conditions of gold and silver, and suggest volatility strategies (constructing a long - biased short - volatility option seller combination) and spot long - hedging strategies [12]. - **Black Metals** - **Rebar Options**: Provide volatility strategies (constructing a short - neutral call + put option combination) and spot long - covered call strategies for rebar options [13]. - **Iron Ore Options**: Suggest volatility strategies (constructing a short - bullish call + put option combination) and spot long - hedging strategies for iron ore options [13]. - **Ferroalloy Options**: Propose volatility strategies (short - volatility strategy) for ferroalloy options [14]. - **Industrial Silicon/Polysilicon Options**: Provide volatility strategies (constructing a short - neutral call + put option combination) and spot long - covered call strategies for industrial silicon and polysilicon options [14]. - **Glass Options**: Suggest volatility strategies (constructing a short - volatility call + put option combination) and spot long - hedging strategies for glass options [15].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - For non - ferrous metals showing a volatile decline, construct a seller's neutral volatility strategy [2]. - For the black - series with a gradual range - bound consolidation, it is suitable to construct a seller's option neutral combination strategy [2]. - For precious metals like gold with a high - level consolidation and a weak decline, construct a spot hedging strategy [2]. 3. Summary According to the Directory 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest changes of various metal futures contracts are presented, including copper, aluminum, zinc, etc. For example, the latest price of copper (CU2508) is 80,030, with a price increase of 550 and a trading volume of 6.13 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of various metal options are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the open interest PCR of copper options is 0.67, with a change of - 0.01 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of various metal options are analyzed from the perspective of the maximum open interest of call and put options. For example, the pressure point of copper options is 82,000 and the support point is 78,000 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of various metal options 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 copper options is 11.20% [6]. 3.5 Strategy and Recommendations for Different Metal Categories 3.5.1 Non - Ferrous Metals - **Copper Options**: The copper market shows a high - level range - bound shock and then an upward breakthrough followed by a continuous decline. Construct a bullish option bull - spread strategy, a short - volatility option combination strategy, and a spot long - hedging strategy [8]. - **Aluminum/Alumina Options**: The aluminum market shows a bullish rise, high - level shock, and then a decline. Construct a bullish option bull - spread strategy, a short - option combination strategy, and a spot collar strategy [9]. - **Zinc/Lead Options**: The zinc market shows a bullish upward and high - level range - bound shock. Construct a short - option combination strategy and a spot collar strategy [9]. - **Nickel Options**: The nickel market shows a weak rebound. Construct a short - option combination strategy with a short bias and a spot long - hedging strategy [10]. - **Tin Options**: The tin market shows a short - term weak shock. Construct a short - volatility strategy and a spot collar strategy [10]. - **Lithium Carbonate Options**: The lithium carbonate market shows an oversold rebound. Construct a short - option combination strategy with a neutral bias and a spot covered - call strategy [11]. 3.5.2 Precious Metals - **Gold/Silver Options**: The gold market shows a short - term weak shock. Construct a short - volatility option seller's combination strategy with a bullish bias and a spot hedging strategy [12]. 3.5.3 Black - Series - **Rebar Options**: The rebar market shows an oversold rebound with strong upward momentum. Construct a short - option combination strategy and a spot covered - call strategy [13]. - **Iron Ore Options**: The iron ore market shows a bullish upward trend. Construct a short - option combination strategy with a bullish bias and a spot collar strategy [13]. - **Ferroalloy Options**: The manganese silicon market shows a weak rebound. Construct a short - volatility strategy [14]. - **Industrial Silicon/Polysilicon Options**: The industrial silicon market shows a rebound and then a range - bound shock. Construct a short - option combination strategy and a spot covered - call strategy [14]. - **Glass Options**: The glass market shows a rebound from a weak bearish trend. Construct a short - volatility option combination strategy and a spot collar strategy [15].