投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2025-11-21 股市哑铃应对，债市表现分化 股指期货：哑铃结构应对市场。 股指期权：备兑防御为主。 国债期货：资⾦⾯因素或对多头情绪形成⼀定⽀撑。 股指期货方面，哑铃结构应对市场。周四权益市场延续弱势，煤炭、 电新、石化领跌，涨价链保持一天领涨一天领跌的状态，显示在涨价链量 能占比进入高位之后，资金的分歧心理加剧。故在主线明晰之前，股指期 货市场预计承压稳固为主。量能方面，全天成交额在1.7万亿附近，市场 换手率进入底部显示参与度降低，尤其是在隔夜美股以及日股反弹之后， 市场偏好延续下行隐含止盈需求强烈。对于后市，12月中下旬或是潜在变 盘点，一是重要会议临近，存在政策炒作的基础，二是美联储议息会议结 束，届时针对降息放缓的担忧存在弱化可能，三是临近传统春躁启动时 点，存在资金提前布局的可能性。短期，以哑铃结构应对市场。 股指期权方面，备兑防御为主。昨日权益指数震荡走弱，沪指收跌0. 40%。期权方面，各个品种成交额加总回落6.70%，虽然整体变动有限，但 昨日最新期权流动性位于10月以来的21.80%偏低分位水平。正如我 ...

1. Report Investment Rating - No investment rating for the industry is provided in the report. 2. Core Viewpoints - The agricultural products sector includes beans, oils, agricultural by - products, soft commodities, grains, and others. The overall performance shows that oilseeds and oils are weakly volatile, oils and agricultural by - products maintain a volatile market, soft commodity sugar has a slight fluctuation, cotton is weakly consolidating, and grains such as corn and starch are weakly and narrowly consolidating. 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 by Relevant Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various agricultural product futures contracts, including soybeans, soybean meal, palm oil, etc. For example, the latest price of the A2601 soybean contract is 4,083, with a price change of - 9 and a change rate of - 0.22% [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options are provided. Volume PCR and open interest PCR are used to describe the strength of the option underlying market and the turning point of the market respectively. For instance, the volume PCR of soybean option is 1.16, with a change of 0.34, and the open interest PCR is 1.14, with a change of 0 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of each agricultural product option are analyzed from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure level of soybean option is 4,200, and the support level is 4,050 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility data of different agricultural product options are presented, including at - the - money implied volatility, weighted implied volatility, and its change, annual average implied volatility, call and put implied volatility, historical volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of soybean option is 11.535, and the weighted implied volatility is 12.26, with a change of - 0.46 [6]. 3.5 Option Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean**: The soybean price is stable with a slight upward trend. The implied volatility of soybean option is below 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]. - **Soybean Meal**: The domestic soybean weekly crushing volume has decreased. The implied volatility of soybean meal option is below the historical average. The recommended strategies include constructing a bearish call + put option selling combination strategy and a long collar strategy for spot hedging [9]. - **Palm Oil**: The production of Malaysian palm oil is expected to face pressure, and the export growth rate has narrowed. The implied volatility of palm oil option is below the historical average. The recommended strategies include constructing a bearish call + put option selling combination strategy and a long collar strategy for spot hedging [9]. - **Peanut**: The peanut oil price is stable. The implied volatility of peanut option is at a relatively high historical level. The recommended strategy is a long collar strategy for spot hedging [10]. 3.5.2 Agricultural By - product Options - **Pig**: The average price of pigs in some regions has increased slightly, but the market may face downward pressure in the future. The implied volatility of pig option is above the historical average. The recommended strategies include constructing a bearish put spread strategy, a bearish call + put option selling combination strategy, and a covered call strategy for spot [10]. - **Egg**: The inventory of laying hens has decreased. The implied volatility of egg option is at a relatively high level. The recommended strategies include constructing a bearish put spread strategy and a bearish call + put option selling combination strategy [11]. - **Apple**: The price of apple futures has increased due to poor fruit quality. The implied volatility of apple option is above the historical average. The recommended strategies include constructing a bullish call + put option selling combination strategy and a long collar strategy for spot hedging [11]. - **Jujube**: The physical inventory of jujube has increased. The implied volatility of jujube option has rapidly risen above the historical average. The recommended strategies include constructing a bearish wide - straddle option selling combination strategy and a covered call strategy for spot hedging [12]. 3.5.3 Soft Commodity Options - **Sugar**: The spot price of sugar in Guangxi has decreased, and the basis has weakened. The implied volatility of sugar option is at a relatively low historical level. The recommended strategies include constructing a bearish call + put option selling combination strategy and a long collar strategy for spot hedging [12]. - **Cotton**: The China Cotton Price Index has increased, and the basis is volatile. The implied volatility of cotton option is at a relatively low level. The recommended strategies include constructing a bearish call + put option selling combination strategy and a covered call strategy for spot hedging [13]. 3.5.4 Grain Options - **Corn**: The supply of corn in the origin is increasing, and the trading enthusiasm of traders is weakening. The implied volatility of corn option is at a relatively low historical level. The recommended strategy is a bearish call + put option selling combination strategy [13].

1. Report Industry Investment Rating There is no information provided in the document regarding the industry investment rating. 2. Core Viewpoints of the Report - The energy - chemical sector includes energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each sector, options strategies and suggestions are provided for selected varieties. Each option variety's strategy report includes target market analysis, option factor research, and option strategy suggestions [9]. - The overall strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [3]. 3. Summary by Related Catalogs 3.1 Target Futures Market Overview - The document provides the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of various energy - chemical futures contracts, such as crude oil, liquefied petroleum gas (LPG), methanol, etc. For example, the latest price of crude oil (SC2512) is 465, with a price increase of 6 and a price change percentage of 1.28% [4]. 3.2 Option Factors - Volume and Open Interest PCR - The volume PCR and open interest PCR of various energy - chemical options are presented. These indicators are used to describe the strength of the option target market and the turning point of the target market. For example, the open interest PCR of crude oil options is 0.77, with a change of - 0.04 [5]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of various energy - chemical options are given, which are determined by the strike prices with the largest open interest of call and put options. For example, the pressure level of crude oil options is 500 and the support level is 450 [6]. 3.4 Option Factors - Implied Volatility - The implied volatility of various energy - chemical options is provided, including at - the - money implied volatility, weighted implied volatility, changes in weighted implied volatility, annual average implied volatility, call implied volatility, put implied volatility, 20 - day historical volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of crude oil options is 28.075, and the weighted implied volatility is 29.38 with a change of - 0.93 [7]. 3.5 Option Strategies and Suggestions 3.5.1 Energy Options - **Crude Oil**: The fundamental situation shows that US refinery demand is picking up, shale oil production reduction is small, OPEC exports are increasing but mostly absorbed by China, and European refined product inventories are in a low - level destocking state. The market has shown a trend of decline, followed by consolidation, and then a rebound. Option strategies include constructing a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [8]. - **LPG**: The US market has high - production and high - inventory pressure, and extreme winter weather and Sino - US trade trends may affect prices. The market has experienced a decline, followed by a rebound and then a fall. Option strategies are similar to those of crude oil, including constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [10]. 3.5.2 Alcohol Options - **Methanol**: Port and enterprise inventories are at certain levels, and the market shows a weak upward - pressured trend. Option strategies include constructing a bearish call + put option combination strategy for volatility and a long collar strategy for spot hedging [10]. - **Ethylene Glycol**: The load and inventory situation is complex, and the market is in a weak trend. Option strategies include constructing a bearish spread strategy for direction and a short - volatility strategy for volatility, along with a long collar strategy for spot hedging [11]. 3.5.3 Polyolefin Options - **Polypropylene**: The inventory pressure of PP is higher than that of PE, and the market is in a weak trend. Option strategies include a long collar strategy for spot hedging [11]. 3.5.4 Rubber Options - **Rubber**: The import market price is rising, but downstream demand is weak. The market is in a weak consolidation state. Option strategies include constructing a bearish call + put option combination strategy for volatility [12]. 3.5.5 Polyester Options - **PTA**: The load is at a certain level, and the market is in a weak bearish trend. Option strategies include constructing a bearish call + put option combination strategy for volatility [12]. 3.5.6 Alkali Options - **Caustic Soda**: The spot market has issues such as lack of restocking and weakening cost support, and the market is in a weak bearish trend. Option strategies include constructing a bearish spread strategy for direction and a long collar strategy for spot hedging [13]. - **Soda Ash**: The inventory situation is given, and the market is in a low - level weak consolidation state. Option strategies include constructing a short - volatility combination strategy for volatility and a long collar strategy for spot hedging [13]. 3.5.7 Other Options - **Urea**: The enterprise inventory is at a high level, and the market is in a low - level weak consolidation state. Option strategies include constructing a neutral call + put option combination strategy for volatility and a long collar strategy for spot hedging [14].

1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - Stock index options are experiencing an upward trend with decreasing volatility, and the bearish sentiment is declining. A covered call strategy can be considered [2] 3. Summary by Relevant Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and other indices all rose, while the trading volumes decreased. For example, the Shanghai Composite 50 Index closed at 3001.35, up 40.25, with a trading volume of 63.38 billion hands, a decrease of 22.81 billion hands [3] - **Option Market Statistics**: The trading volumes of most options decreased, while the positions of some options increased. For example, the trading volume of Shanghai Composite 50 Index options was 55,008, a decrease of 13,785, and the position was 77,675, an increase of 183 [3] 3.2 Option Volatility Statistics - **Near - Month Options**: The implied volatility (ATM - IV) of most options decreased. For example, the ATM - IV of Shanghai Composite 50 Index options was 14.62%, a decrease of 2.70% [6] - **Next - Month Options**: The ATM - IV of most options also decreased. For example, the ATM - IV of Shanghai Composite 50 Index options was 16.06%, a decrease of 1.87% [6] 3.3 Option Indicator Data Statistics - **PCR and Skew**: The report provides the PCR (volume and position) and skew data of various options, which can be used to analyze market sentiment and risk [3][6] 3.4 Option Charts - **Volatility Charts**: Include the volatility trends of the main contracts of various options, such as the Shanghai Composite 50 Index option, CSI 300 Index option, etc., which can help investors understand the volatility changes of options [10][12][14] - **PCR Charts**: Show the volume and position PCR trends of all contracts of various options, reflecting the market's bullish and bearish sentiment [10][17][20] - **Volatility Cone and Term Structure Charts**: Present the volatility cone and term structure of various options, helping investors analyze the volatility characteristics and term structure of options [10][16][24]

Group 1: Report Overview - The report is an early morning strategy report on energy and chemical options dated August 26, 2025 [2] - The energy and chemical options covered include energy (crude oil, LPG), polyolefins (PP, PVC, plastic, styrene), polyesters (PX, PTA, short - fiber, bottle chips), alkali chemicals (caustic soda, soda ash), and others (rubber) [3] - 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 [3] Group 2: Underlying Futures Market Overview - The latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various underlying futures contracts are presented, such as the SC2510 crude oil contract with a latest price of 499, a price increase of 6, and a price change rate of 1.16% [4] Group 3: Option Factor - Volume and Open Interest PCR - Volume and open interest PCR data for various option varieties are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively [5] Group 4: Option Factor - Pressure and Support Levels - Pressure and support levels for various option varieties are analyzed from the perspective of the strike prices with the largest open interest of call and put options, for example, the pressure level of crude oil is 600 and the support level is 415 [6] Group 5: Option Factor - Implied Volatility - Implied volatility data for various option varieties are given, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility [7] Group 6: Option Strategies and Recommendations for Different Categories Energy - related Options - **Crude Oil**: OPEC + will increase supply by 550,000 barrels per day in September, and Russia will cut production. The market shows short - term recovery受阻. Implied volatility is near the average, and the open interest PCR indicates a weak shock. Recommended strategies include constructing a neutral call + put option combination and a long collar strategy [8] - **LPG**: Factory inventory is decreasing slightly but still high, and port inventory is at a high level. The market shows short - term recovery. Implied volatility has dropped to near the average, and the open interest PCR indicates strong short - side power. Recommended strategies are similar to those for crude oil [10] Alcohol - related Options - **Methanol**: Port and enterprise inventories are rising. The market is in a weak trend. Implied volatility is below the average, and the open interest PCR indicates a weak shock. Recommended strategies include constructing a short - biased call + put option combination and a long collar strategy [10] - **Ethylene Glycol**: Port inventory is decreasing, and the market is in a weak and wide - range shock. Implied volatility is below the average, and the open interest PCR indicates strong short - side power. Recommended strategies include constructing a short - volatility strategy and a long collar strategy [11] Polyolefin - related Options - **Polypropylene**: PE and PP inventories have different trends, and the market is in a weak trend. Implied volatility is below the average, and the open interest PCR indicates a weakening trend. Recommended strategies include a long collar strategy [11] Rubber - related Options - **Rubber**: Tire production has different trends. The market is in a short - term weak trend. Implied volatility is near the average, and the open interest PCR indicates a weak trend. Recommended strategies include constructing a neutral call + put option combination [12] Polyester - related Options - **PTA**: Social inventory is decreasing, and the market shows a recovery. Implied volatility is above the average, and the open interest PCR indicates a weak shock. Recommended strategies include constructing a neutral call + put option combination [13] Other Options - **Caustic Soda**: Production capacity utilization is decreasing, and the market shows a recovery. Implied volatility is high, and the open interest PCR indicates strong long - side power. Recommended strategies include a long collar strategy [14] - **Soda Ash**: Supply is at a high level, and the market is in a shock. Implied volatility is high, and the open interest PCR indicates strong short - side power. Recommended strategies include constructing a short - volatility combination and a long collar strategy [14] - **Urea**: Inventory is rising, and the market is in a low - level shock. Implied volatility is near the average, and the open interest PCR indicates strong short - side power. Recommended strategies include constructing a short - biased call + put option combination and a long collar strategy [15] Group 7: Option Charts - Charts of price trends, trading volumes, open interests, open interest PCR, implied volatility, etc. for various option varieties such as crude oil, LPG, methanol, etc. are provided [17][36][57]

Group 1: Report Overview - The report is a metal options strategy morning report dated August 22, 2025 [1] - The core view is to provide option strategy suggestions for different metal sectors, including non - ferrous metals, precious metals, and black metals [2] Group 2: Market Overview Futures Market - Copper (CU2510) latest price is 78,710, up 140 (0.18%), volume 3.60 million lots, open interest 14.34 million lots [3] - Aluminum (AL2510) latest price is 20,720, up 120 (0.58%), volume 12.45 million lots, open interest 23.39 million lots [3] - And so on for other metals like zinc, lead, nickel, etc. Option Factors Volume and Open Interest PCR - Copper: volume PCR is 0.77, down 0.16; open interest PCR is 0.87, down 0.01 [4] - Aluminum: volume PCR is 0.79, down 0.47; open interest PCR is 0.93, up 0.02 [4] Pressure and Support Levels - Copper: pressure point is 82,000, support point is 78,000 [5] - Aluminum: pressure point is 20,800, support point is 20,000 [5] Implied Volatility - Copper: flat - implied volatility is 8.46%, weighted implied volatility is 14.67%, up 1.67% [6] - Aluminum: flat - implied volatility is 8.86%, weighted implied volatility is 12.10%, up 0.03% [6] Group 3: Strategy and Suggestions Non - Ferrous Metals Copper - Fundamental: three major exchanges' copper inventory increased by 0.7 million tons [7] - Market analysis: since June, it has been in a high - level consolidation [7] - Option strategy: build a short - volatility seller option portfolio and a spot hedging strategy [7] Aluminum/Alumina - Fundamental: domestic aluminum ingot inventory increased, while保税区 inventory decreased [9] - Market analysis: showed a high - level shock and decline [9] - Option strategy: build a neutral short - volatility option combination and a spot collar strategy [9] Other Non - Ferrous Metals - Similar analysis and strategy suggestions are provided for zinc, lead, nickel, tin, and lithium carbonate [9][10][11] Precious Metals Gold/Silver - Fundamental: US CPI data is provided [12] - Market analysis: gold showed a short - term consolidation and decline [12] - Option strategy: build a neutral short - volatility option seller combination and a spot hedging strategy [12] Black Metals Rebar - Fundamental: rebar social inventory and factory inventory increased [13] - Market analysis: showed a downward trend with pressure [13] - Option strategy: build a bearish option spread strategy and a short - volatility option combination [13] Other Black Metals - Similar analysis and strategy suggestions are provided for iron ore, ferroalloys, industrial silicon, polysilicon, and glass [13][14][15]

General Information - The report date is August 11, 2025 [1] - The core view is that for stock index options, with the upward movement and decreasing volatility, a covered call strategy can be considered [1] Market Data Statistics Underlying Market Statistics - The closing price of the Shanghai Stock Exchange 50 Index was 2789.90, up 0.72, with a trading volume of 43.48 billion hands, an increase of 4.56 billion hands. The current - month synthetic futures price was 2790.47, with a basis of 0.57, and the next - month synthetic futures price was 2793.13, with a basis of 3.24 [2] - The closing price of the CSI 300 Index was 4122.51, up 17.54, with a trading volume of 190.44 billion hands, an increase of 17.27 billion hands. The current - month synthetic futures price was 4119.40, with a basis of - 3.11, and the next - month synthetic futures price was 4109.87, with a basis of - 12.64 [2] - The closing price of the CSI 1000 Index was 6943.94, up 105.81, with a trading volume of 260.97 billion hands, an increase of 9.50 billion hands. The current - month synthetic futures price was 6926.33, with a basis of - 17.60, and the next - month synthetic futures price was 6860.13, with a basis of - 83.80 [2] Option Market Statistics - For the Shanghai Stock Exchange 50 Index Option, the trading volume was 44922, an increase of 15604, the open interest was 78144, an increase of 3462, VL - PCR was 59.91%, OI - PCR was 53.47%, the C - maximum open interest (near - month) was 2800, and the P - maximum open interest (near - month) was 2750 [2] - For the CSI 300 Index Option, the trading volume was 116426, an increase of 37090, the open interest was 211865, an increase of 2426, VL - PCR was 55.35%, OI - PCR was 75.11%, the C - maximum open interest (near - month) was 4150, and the P - maximum open interest (near - month) was 4100 [2] - For the CSI 1000 Index Option, the trading volume was 321756, an increase of 105966, the open interest was 294708, an increase of 1052, VL - PCR was 77.77%, OI - PCR was 115.94%, the C - maximum open interest (near - month) was 7000, and the P - maximum open interest (near - month) was 6500 [2] Option Volatility Statistics Near - Month - The ATM - IV of the Shanghai Stock Exchange 50 Index Option was 11.76%, with an IV change of 0.07%, the same - term HV was 3.67%, with an HV change of - 3.47%, Skew was 3.19%, with a Skew change of 4.83%, and VIX was 17.79, with a VIX change of 0.750 [5] - The ATM - IV of the CSI 300 Index Option was 11.12%, with an IV change of - 0.13%, the same - term HV was 4.46%, with an HV change of - 2.43%, Skew was 3.96%, with a Skew change of 15.32%, and VIX was 17.71, with a VIX change of 0.081 [5] - The ATM - IV of the CSI 1000 Index Option was 16.44%, with an IV change of - 0.36%, the same - term HV was 13.83%, with an HV change of 3.68%, Skew was 0.27%, with a Skew change of 6.94%, and VIX was 22.28, with a VIX change of 0.321 [5] Next - Month - The ATM - IV of the Shanghai Stock Exchange 50 Index Option was 14.13%, with an IV change of 0.11%, the same - term HV was 8.00%, with an HV change of - 0.01%, and Skew was 9.40%, with a Skew change of 5.12% [5] - The ATM - IV of the CSI 300 Index Option was 14.25%, with an IV change of - 0.14%, the same - term HV was 8.70%, with an HV change of 0.04%, and Skew was 7.35%, with a Skew change of 3.52% [5] - The ATM - IV of the CSI 1000 Index Option was 18.15%, with an IV change of 0.13%, the same - term HV was 10.81%, with an HV change of 0.66%, and Skew was 0.20%, with a Skew change of 1.21% [5] Option Types and Related Charts Shanghai Stock Exchange 50 Index Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [9] CSI 300 Index Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [13] CSI 1000 Index Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [17] Shanghai Stock Exchange 50ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [21] Huatai - Peregrine 300ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [28] Southern CSI 500ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [38] ChinaAMC STAR 50ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [43] E Fund STAR 50ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [53] Harvest 300ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [57] Harvest CSI 500ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [59] ChiNext ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [66] Shenzhen 100ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [68]

Group 1 - The stock market is experiencing high-level fluctuations, with the Shanghai Composite Index, large-cap blue chips, mid and small-cap stocks, and the ChiNext board all showing volatility [1] - Implied volatility in financial options is gradually decreasing to a relatively low average level [1] - Strategy recommendations include using ETF options for constructing covered call strategies, neutral double selling strategies, and vertical spread combination strategies; index options are suitable for neutral double selling strategies and arbitrage strategies involving synthetic futures [1]

Group 1 - The stock market is experiencing high-level fluctuations, with the Shanghai Composite Index, large-cap blue chips, mid and small-cap stocks, and the ChiNext showing similar trends [1] - Implied volatility in financial options is gradually decreasing, remaining at a relatively low average level [1] Group 2 - Recommendations for ETF options include constructing covered call strategies, neutral double selling strategies, and vertical spread combination strategies [1] - For index options, suitable strategies include neutral double selling strategies and arbitrage strategies involving synthetic futures long or short positions with futures [1]

1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core Viewpoints of the Report - The agricultural product sector is divided into beans, oils, agricultural by - products, soft commodities, grains, and others. For each sector, options strategies and suggestions are provided for selected varieties. The overall market shows different trends for each product type, such as the oil - bearing and oil - related agricultural products showing a strong - side shock, while grains like corn and starch are in a weak and narrow - range consolidation [2][8] 3. Summary by Related Catalogs 3.1 Futures Market Overview - The latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various agricultural product futures contracts are presented. For example, the latest price of bean one (A2509) is 4,133, with a price increase of 7 and a price change rate of 0.17% [3] 3.2 Option Factors - Volume and Open Interest PCR - Volume PCR and open interest PCR are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For instance, the volume PCR of bean one is 0.41, with a change of - 0.14, and the open interest PCR is 0.38, with a change of - 0.01 [4] 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of each option variety are analyzed from the perspective of the strike prices with the largest open interests of call and put options. For example, the pressure level of bean one is 4300, and the support level is 4100 [5] 3.4 Option Factors - Implied Volatility - The implied volatility of each option variety is presented, including at - the - money implied volatility, weighted implied volatility, and its change, annual average implied volatility, call and put implied volatility, historical volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of bean one is 8.295, and the weighted implied volatility is 13.57, with a change of 1.53 [6] 3.5 Option Strategies and Suggestions 3.5.1 Oil - Bearing and Oil Options - **Beans (Bean One, Bean Two)**: For bean one, the implied volatility is at a relatively high level compared to the historical average. The open interest PCR is below 0.60, indicating a weak - side shock. Directional strategy: None; Volatility strategy: Construct a short - neutral call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [7] - **Bean Meal, Rapeseed Meal**: For bean meal, the daily average提货量 of major oil mills increased week - on - week, and the basis also increased. The implied volatility is at a relatively high level compared to the historical average. Directional strategy: None; Volatility strategy: Construct a short - neutral call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [9] - **Palm Oil, Soybean Oil, Rapeseed Oil**: For palm oil, the yield increased in July, but the export volume decreased. The implied volatility is at a relatively low level compared to the historical average. Directional strategy: None; Volatility strategy: Construct a short - bullish call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [10] - **Peanut**: The peanut market is in the off - season, with low downstream demand. The implied volatility is at a relatively low level. Directional strategy: Construct a bearish put spread strategy; Volatility strategy: None; Spot long - hedging strategy: Hold spot long + buy put option + sell out - of - the - money call option [11] 3.5.2 Agricultural By - product Options - **Pig**: The average weight of pig slaughter increased last week, and the cold - storage capacity rate increased. The implied volatility is at a relatively high level compared to the historical average. Directional strategy: None; Volatility strategy: Construct a short - bearish call + put option combination strategy; Spot long - covered call strategy: Hold spot long + sell out - of - the - money call option [11] - **Egg**: The inventory of laying hens increased at the end of July. The implied volatility is at a relatively high level. Directional strategy: Construct a bearish put spread strategy; Volatility strategy: Construct a short - bearish call + put option combination strategy; Spot hedging strategy: None [12] - **Apple**: The estimated apple production increased. The implied volatility is at a relatively high level compared to the historical average. Directional strategy: None; Volatility strategy: Construct a short - neutral call + put option combination strategy; Spot hedging strategy: None [12] - **Jujube**: The inventory of jujube decreased week - on - week. The implied volatility is at a relatively high level compared to the historical average. Directional strategy: None; Volatility strategy: Construct a short - bearish strangle option combination strategy; Spot covered - hedging strategy: Hold spot long + sell out - of - the - money call option [13] 3.5.3 Soft Commodity Options - **Sugar**: The number of ships waiting to load sugar in Brazilian ports increased, and the estimated sugar production in the 2025/26 season decreased slightly. The implied volatility is at a relatively low level. Directional strategy: None; Volatility strategy: Construct a short - neutral call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [13] - **Cotton**: The operating rates of spinning and weaving mills decreased, and the commercial inventory decreased. The implied volatility is at a relatively low level. Directional strategy: None; Volatility strategy: Construct a short - bullish call + put option combination strategy; Spot covered strategy: Hold spot long + buy put option + sell out - of - the - money call option [14] 3.5.4 Grain Options - **Corn, Starch**: The new corn is in the centralized listing period, and the futures price is weak. The implied volatility is at a relatively low level. Directional strategy: Construct a bearish put spread strategy; Volatility strategy: Construct a short - bearish call + put option combination strategy; Spot long - hedging strategy: None [14]