金融期权 2025-11-24 金融期权策略早报 | 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 | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 标的 | 标的合约 | 收盘价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 成交额 | 额变化 | | --- | --- | --- | --- | --- | --- | --- | -- ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural product options market shows a mixed trend, with oilseeds and oils showing a weak and volatile pattern, while agricultural by - products and soft commodities like sugar and cotton maintain a volatile or weak - consolidation trend [2]. - For investment strategies, it is recommended to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Multiple agricultural product futures show price changes. For example, the price of soybean No.1 (A2601) is 4,128, down 23 (-0.55%); soybean No.2 (B2601) is 3,742, down 15 (-0.40%); etc. [3]. 3.2 Option Factors - Volume and Open Interest PCR - Different option varieties have different volume and open - interest PCR values. For instance, the volume PCR of soybean No.1 is 0.48, and the open - interest PCR is 1.16 [4]. 3.3 Option Factors - Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure point of soybean No.1 is 4,200, and the support point is 4,050 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility varies among different option varieties. For example, the implied volatility of soybean No.1 is 11.405 (at - the - money implied volatility) [6]. 3.5 Option Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No.1**: The fundamentals show that Brazilian soybean planting progress is slow, and the market has formed a pattern of oversold rebound. Option - related factors indicate that the implied volatility is below the historical average, and the open - interest PCR is below 0.70. Strategies include constructing a neutral short - call + short - put option combination strategy and a long - collar strategy for spot hedging [7]. - **Soybean Meal**: The fundamentals show changes in trading volume, delivery volume, basis, and inventory. The market shows a pattern of oversold rebound. Option - related factors indicate that the implied volatility is below the historical average, and the open - interest PCR is below 0.60. Strategies include constructing a neutral short - call + short - put option combination strategy and a long - collar strategy for spot hedging [9]. - **Palm Oil**: The fundamentals show that the spot basis of oils has increased slightly, and the total inventory is decreasing. The market shows a pattern of low - level consolidation. Option - related factors indicate that the implied volatility is below the historical average, and the open - interest PCR is above 1.00. Strategies include constructing a short - biased short - call + short - put option combination strategy and a long - collar strategy for spot hedging [9]. - **Peanuts**: The fundamentals show that the price of peanut oil is stable, and the peanut market is affected by factors such as farmers' reluctance to sell. The market shows a pattern of weak consolidation under bearish pressure. Option - related factors indicate that the implied volatility is at a relatively high historical level, and the open - interest PCR is below 0.60. Strategies include a long - collar strategy for spot hedging [10]. 3.5.2 Agricultural By - products Options - **Pigs**: The fundamentals show that the spot price of pigs has decreased, and the market shows a pattern of weak bearish decline. Option - related factors indicate that the implied volatility is above the historical average, and the open - interest PCR is below 0.50. Strategies include constructing a short - biased short - call + short - put option combination strategy and a long - covered strategy [10]. - **Eggs**: The fundamentals show changes in the inventory of laying hens. The market shows a pattern of rebound and slight consolidation under pressure. Option - related factors indicate that the implied volatility is at a relatively high level, and the open - interest PCR is below 0.60. Strategies include constructing a neutral short - call + short - put option combination strategy [11]. - **Apples**: The fundamentals show that the apple storage is nearing completion, and the inventory is lower than in previous years. The market shows a pattern of continuous rebound and high - level consolidation under pressure. Option - related factors indicate that the implied volatility is above the historical average, and the open - interest PCR is above 0.90. Strategies include constructing a long - biased short - call + short - put option combination strategy and a long - collar strategy for spot hedging [11]. - **Jujubes**: The fundamentals show that the purchase price of jujubes in different regions has changed, and the market shows a pattern of weak bearish decline. Option - related factors indicate that the implied volatility has risen rapidly to above the historical average, and the open - interest PCR is below 0.50. Strategies include constructing a short - biased short - strangle option combination strategy and a long - covered hedging strategy [12]. 3.5.3 Soft Commodities Options - **Sugar**: The fundamentals show an increase in sugar production in Brazil's central - southern region and India's sugar export policy. The market shows a pattern of weak bearish decline. Option - related factors indicate that the implied volatility is at a relatively low historical level, and the open - interest PCR is around 0.60. Strategies include constructing a short - biased short - call + short - put option combination strategy and a long - collar strategy for spot hedging [12]. - **Cotton**: The fundamentals show the progress of cotton picking, delivery, processing, and sales. The market shows a short - term weak pattern. Option - related factors indicate that the implied volatility is at a relatively low level, and the open - interest PCR is below 1.00. Strategies include constructing a short - biased short - call + short - put option combination strategy and a long - covered strategy [13]. 3.5.4 Grains Options - **Corn**: The fundamentals show an increase in the national average price of corn. The market shows a pattern of weak rebound under pressure. Option - related factors indicate that the implied volatility is at a relatively low historical level, and the open - interest PCR is below 0.60. Strategies include constructing a neutral short - call + short - put option combination strategy [13].

国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 6 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2025/11/14 3.183 -1.18% 13.10% 14.83% 2025/11/17 3.159 -0.75% 13.46% 14.73% 2025/11/18 3.150 -0.28% 14.82% 15.39% 2025年11月18日 52.50% 近1年 次月IV分位数 38.30% 34.50% 47.20% 近2年 次月IV分位数 46.30% 43.50% 53.90% 当月合约距离到期还剩 29.40% 34.10% 【50ETF】 近1年 当月IV分位数 26.50% 29.70% 50.60% 近2年 当月IV分位数 金融期权波动率 0% 5% 10% 15% 20% ATM IV(M1) ATM IV(M2) ATM IV(Q1) ATM IV(Q2) ATM IV期限结构 今日 昨日 0% 20% 40% 60% 80% 2.00 2.50 3.00 3.50 2022/11/16 2023/4/14 2023/9/8 2024/2/6 ...

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The energy and chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each sector, option strategies and suggestions are provided for selected varieties. Each option variety's report includes analysis of the underlying asset's market, research on option factors, and option strategy recommendations [8]. 3. Summary by Relevant Contents 3.1 Futures Market Overview - The report presents the latest prices, price changes, price change percentages, trading volumes, volume changes, open interest, and open interest changes of various energy and chemical futures contracts, including crude oil, liquefied petroleum gas (LPG), methanol, ethylene glycol, etc. For example, the latest price of crude oil (SC2601) is 455, with a price change of -3 and a change percentage of -0.61% [3]. 3.2 Option Factors - Volume and Open Interest PCR - The report provides volume and open interest PCR data for different option varieties. The open interest PCR = put option open interest / call option open interest, which describes the strength of the option underlying asset's market; the volume PCR = put option trading volume / call option trading volume, which indicates whether the underlying asset's market is at a turning point [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of each option variety are given, along with the corresponding strike prices, pressure point offsets, and support point offsets. For instance, the pressure point of crude oil (SC2601) is 540 with an offset of -50, and the support point is 460 with an offset of 0 [5]. 3.4 Option Factors - Implied Volatility - The report includes data on the at-the-money implied volatility, weighted implied volatility, weighted implied volatility changes, annual average implied volatility, call option implied volatility, put option implied volatility, historical 20-day volatility, and the difference between implied and historical volatility for each option variety [6]. 3.5 Strategy and Suggestions 3.5.1 Energy Options - **Crude Oil**: The fundamental situation shows that U.S. refinery demand has stabilized and rebounded, shale oil production has slightly increased, OPEC exports have increased, and European refinery demand is about to enter the peak season. The market has shown a complex price trend since August. Option factors indicate that the implied volatility is above the average, the open interest PCR is below 0.80, and the pressure and support levels are 540 and 460 respectively. Strategies include constructing a short call + put option combination for volatility, and a long collar strategy for spot hedging [7]. - **LPG**: The cost of crude oil is affected by supply and geopolitical issues. The LPG market has shown an oversold rebound and slight consolidation since August. Option factors show that the implied volatility has dropped to below the average, the open interest PCR is around 0.80, and the pressure and support levels are 4400 and 4200 respectively. Strategies include constructing a neutral short call + put option combination for volatility, and a long collar strategy for spot hedging [9]. 3.5.2 Alcohol Options - **Methanol**: Port and enterprise inventories are at high levels and difficult to reduce significantly in the short term. The market has been weak since August. Option factors indicate that the implied volatility is around the historical average, the open interest PCR is below 0.80, and the pressure and support levels are 2500 and 2000 respectively. Strategies include constructing a bear spread with put options for direction, a short call + put option combination for volatility, and a long collar strategy for spot hedging [9]. - **Ethylene Glycol**: Port and downstream inventories are high, and domestic production and imports are expected to keep the port inventory in an accumulation cycle. The market has been weak. Option factors show that the implied volatility is below the average, the open interest PCR is around 0.70, and the pressure and support levels are 4500 and 4050 respectively. Strategies include constructing a bear spread with put options for direction, a short volatility strategy for volatility, and a long collar strategy for spot hedging [10]. 3.5.3 Polyolefin Options - **Polypropylene**: PE and PP inventories show different trends. The market has been weak. Option factors indicate that the implied volatility has dropped to around the average, the open interest PCR is around 0.70, and the pressure and support levels are 7000 and 6300 respectively. Strategies include constructing a bear spread with put options for direction, and a long collar strategy for spot hedging [10]. 3.5.4 Rubber Options - **Rubber**: Exchange rubber warehouse receipts are at a ten-year low, and there is an expectation of inventory accumulation. The market has been in a weak consolidation. Option factors show that the implied volatility has dropped to below the average after a sharp rise, the open interest PCR is below 0.60, and the pressure and support levels are 16000 and 14500 respectively. Strategies include constructing a short call + put option combination for volatility [11]. 3.5.5 Polyester Options - **PTA**: The overall social inventory of PTA is increasing, and new installations are expected to continue to increase inventory. The market has shown a rebound with pressure. Option factors indicate that the implied volatility is above the average, the open interest PCR is around 0.70, and the pressure and support levels are 4700 and 4300 respectively. Strategies include constructing a neutral short call + put option combination for volatility [11]. 3.5.6 Alkali Options - **Caustic Soda**: The capacity utilization rate of caustic soda enterprises has increased. The market has been weak. Option factors show that the implied volatility is at a relatively high level, the open interest PCR is below 0.80, and the pressure and support levels are 3000 and 2000 respectively. Strategies include constructing a bear spread for direction, and a long collar strategy for spot hedging [12]. - **Soda Ash**: The factory inventory of soda ash has increased. The market has been in a low-level weak consolidation. Option factors indicate that the implied volatility is at a relatively high historical level, the open interest PCR is below 0.60, and the pressure and support levels are 1860 and 1100 respectively. Strategies include constructing a bear spread for direction, a short volatility combination for volatility, and a long collar strategy for spot hedging [12]. 3.5.7 Other Options - **Urea**: Enterprise inventory is at a high level, and port inventory is decreasing. The market has shown a low-level rebound. Option factors show that the implied volatility is around the historical average, the open interest PCR is below 0.60, and the pressure and support levels are 1800 and 1600 respectively. Strategies include constructing a neutral short call + put option combination for volatility, and a long collar strategy for spot hedging [13].

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The agricultural products options market shows different trends. Oilseeds and oils are in a weak and volatile state, while other products like soft commodities and grains also have their own market trends. It is recommended to construct option portfolio strategies mainly as sellers and spot hedging or covered strategies to enhance returns [2] 3. Summary According to Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product options have various price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2601) is 4,168, up 46 with a 1.12% increase in price, and its trading volume is 8.85 million lots with an increase of 0.91 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 the turning point of the underlying market. For instance, the volume PCR of soybean No.1 is 0.45 with a change of -0.23, and the open interest PCR is 1.19 with a change of -0.04 [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 the option underlyings are analyzed. For example, the pressure level of soybean No.1 is 4,200 and the support level is 4,050 [5] 3.4 Option Factors - Implied Volatility - Implied volatility indicators include at - the - money implied volatility, weighted implied volatility, etc. For example, the at - the - money implied volatility of soybean No.1 is 11.01%, and the weighted implied volatility is 12.15% with a change of 0.19 [6] 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No.1**: Fundamentally, the CNF premium of Brazilian soybeans in January 2026 decreased weekly, the import cost increased, and the planting progress in Brazil slowed down. The market trend has shown a rebound after a decline. Option - wise, the implied volatility is below the historical average, and the open interest PCR is below 0.70. Strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [7] - **Soybean Meal**: Fundamentally, the average daily trading volume and pick - up volume of soybean meal decreased weekly, and the basis increased slightly. The market has shown a rebound after a decline. Option - wise, the implied volatility is below the historical average, and the open interest PCR is below 0.60. Strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [9] - **Palm Oil**: Fundamentally, the production in Malaysia is good, and the inventory at the end of the year will be at a relatively high historical level. The market has shown a low - level consolidation. Option - wise, the implied volatility is below the historical average, and the open interest PCR is above 1.00. Strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [9] - **Peanut**: Fundamentally, the peanut oil market is in a contradictory state of high - quality resource support and loose supply - demand. The market has shown a weak downward trend. Option - wise, the implied volatility is at a relatively high historical level, and the open interest PCR is below 0.60. Strategies include a long collar strategy for spot hedging [10] 3.5.2 Agricultural By - product Options - **Pig**: Fundamentally, the national pig slaughter and pork production increased in the first three quarters of 2025. The market has shown a weak downward trend. Option - wise, the implied volatility is above the historical average, and the open interest PCR is below 0.50. Strategies include constructing a short - biased call + put option combination strategy and a covered call strategy for spot [10] - **Egg**: Fundamentally, the market has a pattern of high supply and weak demand. The market has shown a rebound after a decline. Option - wise, the implied volatility is at a relatively high level, and the open interest PCR is below 0.60. Strategies include constructing a neutral call + put option combination strategy [11] - **Apple**: Fundamentally, the apple production decreased this year, and the cold - storage inventory is expected to be low. The market has shown a continuous upward trend. Option - wise, the implied volatility is above the historical average, and the open interest PCR is above 0.90. Strategies include constructing a long - biased call + put option combination strategy and a long collar strategy for spot hedging [11] - **Jujube**: Fundamentally, the jujube market price is stable, and the supply is sufficient. The market has shown a weak downward trend. Option - wise, the implied volatility has risen rapidly above the historical average, and the open interest PCR is below 0.50. Strategies include constructing a short - biased strangle option combination strategy and a covered call strategy for spot hedging [12] 3.5.3 Soft Commodity Options - **Sugar**: Fundamentally, the weak external sugar market restricts the rebound of Zhengzhou sugar, but the expected decline in Brazilian sugar production may have a certain impact. The market has shown a weak downward trend. Option - wise, the implied volatility is at a relatively low historical level, and the open interest PCR is around 0.60. Strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [12] - **Cotton**: Fundamentally, the cotton harvest in Xinjiang is coming to an end, and the new - season supply will increase, putting pressure on cotton prices. The market has shown a short - term weak trend. Option - wise, the implied volatility is at a relatively low level, and the open interest PCR is below 1.00. Strategies include constructing a short - biased call + put option combination strategy and a covered call strategy for spot [13] 3.5.4 Grain Options - **Corn**: Fundamentally, the purchase price of domestic processing enterprises has decreased, and the market supply is relatively abundant. The market has shown a weak rebound. Option - wise, the implied volatility is at a relatively low historical level, and the open interest PCR is below 0.60. Strategies include constructing a neutral call + put option combination strategy [13]

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The overall trend of agricultural product options shows that oilseeds and oils are weakly volatile, while other sectors such as by - products, soft commodities, and grains maintain a volatile market. It is recommended to construct option combination strategies mainly based on sellers and spot hedging or covered strategies to enhance returns [2] 3. Summary According to Related Catalogs 3.1 Overview of the Underlying Futures Market - Different agricultural product options have various price changes, trading volumes, and open - interest changes. For example, the price of soybeans A2601 decreased by 0.12% to 4,113, with a trading volume of 7.95 million lots and a decrease of 4.92 million lots compared to the previous period, and an open - interest of 24.71 million lots with a decrease of 0.05 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 the turning point of the market. For instance, the volume PCR of soybeans is 0.68 with a change of 0.10, and the open - interest PCR is 1.22 with a change 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 underlying are determined. For example, the pressure level of soybeans is 4,200 and the support level is 4,050 [5] 3.4 Option Factors - Implied Volatility - The implied volatility of different option products shows different trends. For example, the weighted implied volatility of soybeans decreased by 0.20 to 11.96, and the difference between implied and historical volatility is - 1.23 [6] 3.5 Option Strategies for Different Agricultural Products 3.5.1 Oilseeds and Oils Options - **Soybeans**: Fundamentally, the CNF premium of Brazilian soybeans decreased, and the import cost increased. The market has shown a rebound after a decline. Optionally, the implied volatility is below the historical average, and the open - interest PCR indicates a weak market. Strategies include constructing a neutral call + put option combination and a long collar strategy for spot hedging [7] - **Soybean Meal**: Fundamentally, the trading volume and pick - up volume decreased, and the basis increased slightly. The market has shown a rebound after a decline. Optionally, the implied volatility is below the historical average, and the open - interest PCR indicates a weak market. Strategies include constructing a neutral call + put option combination and a long collar strategy for spot hedging [9] - **Palm Oil**: Fundamentally, the production in Malaysia is expected to be high in the fourth quarter, and the inventory will gradually decline. The market is in a low - level consolidation. Optionally, the implied volatility is below the historical average, and the open - interest PCR indicates support at the bottom. Strategies include constructing a bearish call + put option combination and a long collar strategy for spot hedging [9] - **Peanuts**: Fundamentally, the peanut oil market is in a contradictory situation. The market is in a weak consolidation. Optionally, the implied volatility is at a relatively high historical level, and the open - interest PCR indicates a weak market. Strategies include a long collar strategy for spot hedging [10] 3.5.2 By - products Options - **Pigs**: Fundamentally, the production and inventory of pigs have increased. The market is in a downward trend. Optionally, the implied volatility is above the historical average, and the open - interest PCR indicates a weak market. Strategies include constructing a bearish spread strategy for call options, a bearish call + put option combination, and a covered strategy for spot [10] - **Eggs**: Fundamentally, the market has a high supply and weak demand. The market has shown a rebound after a decline. Optionally, the implied volatility is at a relatively high level, and the open - interest PCR indicates a weak market. Strategies include constructing a neutral call + put option combination [11] - **Apples**: Fundamentally, the apple production has decreased, and the expected cold - storage inventory is low. The market is in an upward trend. Optionally, the implied volatility is above the historical average, and the open - interest PCR indicates strong support at the bottom. Strategies include constructing a bullish call + put option combination and a long collar strategy for spot hedging [11] - **Jujubes**: Fundamentally, the market price is stable, and the supply is sufficient. The market is in a downward trend. Optionally, the implied volatility has rapidly increased to above the historical average, and the open - interest PCR indicates a weak market. Strategies include constructing a bearish wide - straddle option combination and a covered strategy for spot hedging [12] 3.5.3 Soft Commodities Options - **Sugar**: Fundamentally, the external sugar market is weak, and the production in Brazil may decline. The market is in a weak and volatile state. Optionally, the implied volatility is at a relatively low historical level, and the open - interest PCR indicates a range - bound market. Strategies include constructing a bearish call + put option combination and a long collar strategy for spot hedging [12] - **Cotton**: Fundamentally, the new cotton supply will increase, putting pressure on prices. The market is in a short - term weak state. Optionally, the implied volatility is at a low level, and the open - interest PCR indicates a weak market. Strategies include constructing a bearish call + put option combination and a covered strategy for spot [13] 3.5.4 Grains Options - **Corn**: Fundamentally, the purchase price of corn has decreased, and the supply exceeds demand. The market is in a weak rebound state. Optionally, the implied volatility is at a relatively low historical level, and the open - interest PCR indicates a weak market. Strategies include constructing a neutral call + put option combination [13]

金融期权 2025-11-12 金融期权策略早报 | 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 | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 表3：期权因子—量仓PCR | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | ...

Group 1: Report Summary - The agricultural products option market shows a mixed trend, with oilseeds and oils, and agricultural by - products in a weak or stable oscillation. Soft commodities like sugar and cotton also display a similar pattern, and grains such as corn and starch are in a narrow - range weak oscillation [2]. - It is recommended to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. Group 2: Futures Market Overview - Various agricultural product futures show different price changes. For example, the latest price of soybean No.1 (A2601) is 4,138, up 24 with a 0.58% increase; soybean meal (M2601) is 3,051, unchanged; and palm oil (P2601) is 8,708, up 38 with a 0.44% increase [3]. Group 3: Option Factor - Quantity and Position PCR - The PCR indicators of different agricultural product options vary. For instance, the volume PCR of soybean No.1 is 0.53, down 0.29; the position PCR is 1.19, down 0.00. These indicators help describe the strength of the option - underlying market and potential turning points [4]. Group 4: Option Factor - Pressure and Support Levels - Each agricultural product option has its own pressure and support levels. For example, the pressure point of soybean No.1 is 4,200 and the support point is 4,050; the pressure point of soybean meal is 3,100 and the support point is also 3,100 [5]. Group 5: Option Factor - Implied Volatility - The implied volatility of different agricultural product options shows different trends. For example, the weighted implied volatility of soybean No.1 is 12.18, down 0.52; that of soybean meal is 15.09, up 0.17 [6]. Group 6: Option Strategies and Recommendations Oilseeds and Oils Options - **Soybean No.1**: The fundamentals are affected by factors such as the decline of Brazilian soybean CNF premium and the slowdown of planting progress. The market shows a rebound after a decline. It is recommended to construct a neutral - selling call + put option combination strategy and a long - collar strategy for spot hedging [7]. - **Soybean Meal**: The fundamentals are related to factors like daily trading volume and inventory changes. The market shows a rebound after a decline. Similar to soybean No.1, a neutral - selling call + put option combination strategy and a long - collar strategy for spot hedging are recommended [9]. - **Palm Oil**: The fundamentals are influenced by Malaysian production and inventory. The market is in a low - level consolidation. It is recommended to construct a short - biased selling call + put option combination strategy and a long - collar strategy for spot hedging [9]. - **Peanut**: The fundamentals are in a contradictory state of high - quality resource support and loose supply - demand. The market is in a weak downward trend. A long - collar strategy for spot hedging is recommended [10]. Agricultural By - products Options - **Pig**: The fundamentals are related to the increase in pig slaughter and inventory. The market is in a weak downward trend. A bear - spread strategy of put options, a short - biased selling call + put option combination strategy, and a covered strategy for spot are recommended [10]. - **Egg**: The fundamentals are characterized by high supply and weak demand. The market shows a rebound after a decline. A neutral - selling call + put option combination strategy is recommended [11]. - **Apple**: The fundamentals are affected by factors such as reduced production and low inventory. The market is in a rising and oscillating state. A long - biased selling call + put option combination strategy and a long - collar strategy for spot hedging are recommended [11]. - **Jujube**: The fundamentals are related to stable prices and sufficient supply. The market is in a weak downward trend. A short - biased wide - straddle option combination strategy and a covered strategy for spot hedging are recommended [12]. Soft Commodities Options - **Sugar**: The fundamentals are affected by the weak external sugar market. The market is in a weak downward state. A short - biased selling call + put option combination strategy and a long - collar strategy for spot hedging are recommended [12]. - **Cotton**: The fundamentals are related to the end of cotton harvesting and increasing supply. The market is in a short - term weak state. A short - biased selling call + put option combination strategy and a covered strategy for spot are recommended [13]. Grains Options - **Corn**: The fundamentals are influenced by factors such as price declines and supply - demand imbalance. The market shows a rebound after a decline. A neutral - selling call + put option combination strategy is recommended [13].

投资咨询业务资格：证监许可【2011】1778 号 期货研究报告 中证 1000 股指期权 构建牛市价差策略正当时 9 月以来，中证 1000 指数步入区间震荡行情。一方面，"十五五"规划的政策利好预期持续发酵，对股 票构成强有力支撑；另一方面，随着股票估值端快速上升，估值修复逻辑让位于业绩验证逻辑，获利资金 止盈意愿上升带来指数技术性整固的需求。在多空因素交织下，震荡反复的行情使投资者的择时交易陷入 困境，单纯利用股票、ETF 或股指期货等线性损益工具进行资产配置需要承受较大的波动风险。相反，利 用中金所的中证 1000 股指期权，可以构建非线性损益结构的期权组合策略，从而对风险收益进行精细化 管理。在构建期权组合策略的时候，我们需要从期权持仓量 PCR、隐含波动率以及标的指数方向判断等多 维度综合考虑。 图为中证 1000 股指期权的持仓量 PCR 曲线 持仓量 PCR 表明市场情绪偏积极 期权持仓量 PCR 能够反映市场情绪。一般而言，持仓量 PCR 与市场情绪呈正相关关系。这是因为期 权卖方通常是比较专业的投资者，持有卖出认沽期权说明其对后市行情是不看跌的。持仓量 PCR 上升意味 着专业投资者不看跌 ...

Report Overview - The report focuses on energy and chemical options, covering various sectors such as energy, alcohols, polyolefins, rubber, polyesters, alkalis, etc. It provides an analysis of the underlying market, option factors, and offers option strategies and suggestions for each selected option variety [8]. 1. Market Overview of Underlying Futures 1.1 Price and Volume Changes - The report presents the latest prices, price changes, price change percentages, trading volumes, volume changes, open interests, and open interest changes of multiple energy and chemical futures contracts. For example, the latest price of crude oil (SC2601) is 462, with a price increase of 2 and a price change percentage of 0.43%. Its trading volume is 2.93 million lots, an increase of 0.34 million lots, and the open interest is 2.55 million lots, an increase of 0.16 million lots [3]. 2. Option Factors Analysis 2.1 Volume and Open Interest PCR - The volume and open interest PCR of various option varieties are analyzed. For instance, the volume PCR of crude oil options is 1.00, with a change of 0.15, and the open interest PCR is 0.66, with a change of 0.01. These indicators are used to describe the strength of the option underlying market and the turning point of the underlying market [4]. 2.2 Pressure and Support Levels - The pressure and support levels of option underlying assets are determined based on the strike prices of the maximum open interest of call and put options. For example, the pressure level of crude oil is 500, and the support level is 450 [5]. 2.3 Implied Volatility - The implied volatility of options is analyzed, including at - the - money implied volatility, weighted implied volatility, and its changes, 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 crude oil options is 24.1, the weighted implied volatility is 28.90, with a change of 0.91 [6]. 3. Option Strategies and Suggestions for Different Varieties 3.1 Crude Oil Options - **Underlying Market Analysis**: The demand of US refineries has stabilized and rebounded. Shale oil production has slightly increased, and OPEC exports have increased. The European refined oil inventory is in a low - level destocking state, and the crude oil inventory has increased. The crude oil market showed a short - term weak and volatile trend in August, continued to be weak and bearish in September and then gradually rebounded, fell sharply in October and then stopped falling and rebounded, and has shown a weak and bearish sharp decline since November [7]. - **Option Factor Research**: The implied volatility of crude oil options has decreased to near the average. The open interest PCR is below 0.80, indicating a weak market. The pressure level is 500, and the support level is 450 [7]. - **Option Strategy Suggestions**: Directional strategy: None. Volatility strategy: Construct a short - biased call + put option combination strategy to obtain option time value and directional returns, and dynamically adjust the position to keep the delta of the position short. Spot long - hedging strategy: Construct a long collar strategy, holding spot long + buying put options + selling out - of - the - money call options [7]. 3.2 Other Option Varieties - Similar analyses and strategy suggestions are provided for other option varieties such as liquefied petroleum gas, methanol, ethylene glycol, etc., including underlying market analysis, option factor research, and option strategy suggestions [9][10][11]. 4. Charts - The report includes a series of charts for different option varieties, such as price charts, volume and open interest charts, PCR charts, implied volatility charts, historical volatility cone charts, and pressure and support level charts, to visually present the market conditions and option factors of each option variety [14][36][54].