南华期货生猪企业风险管理日报 2025/11/18 戴鸿绪（投资咨询证号：Z0021819） 投资咨询业务资格：证监许可【2011】1290号 生猪价格区间预测 | 主力合约价格区间预测 | 当前波动率（20日滚动） | 当前波动率历史百分位（3年） | | --- | --- | --- | | 11000-13500 | 12.64% | 21.34% | source： wind,南华研究,同花顺 生猪企业风险管理策略建议 | 行为导 | 情景分析 | 策略推荐 | 套保工具 | 买卖方 | 推荐比例 | | --- | --- | --- | --- | --- | --- | | 向 | | | | 向 | | | 库存管 理 | 产品库存偏高，担心库存有减值风险 | 为防止存栏减值，可以根据存栏情况，做空生猪期货来锁定成品利润 | LH2601 | 卖出 | 10% | | | | 担心库存减值，但期货盘面没有合适价位入场，卖出看涨期权 | LH2601-C-1300 | 卖出 | 10% | | | | | 0 | | | | | | 担心库存减值，又不想放弃后市可能出现猪价大涨的机会，买入虚值 ...

戴鸿绪（投资咨询证号：Z0021819） 投资咨询业务资格：证监许可【2011】1290号 生猪价格区间预测 | 主力合约价格区间预测 | 当前波动率（20日滚动） | 当前波动率历史百分位（3年） | | --- | --- | --- | | 11000-13500 | 24.24% | 75.74% | source： wind,南华研究,同花顺 生猪企业风险管理策略建议 | 行为导 | 情景分析 | 策略推荐 | 套保工具 | 买卖方 | 推荐比例 | | --- | --- | --- | --- | --- | --- | | 向 | | | | 向 | | | 库存管 理 | 产品库存偏高，担心库存有减值风险 | 为防止存栏减值，可以根据存栏情况，做空生猪期货来锁定成品利润 担心库存减值，但期货盘面没有合适价位入场，卖出看涨期权 | LH2601 LH2601-C-1300 | 卖出 卖出 | 10% 10% | | | | | 0 | | | | | | 担心库存减值，又不想放弃后市可能出现猪价大涨的机会，买入虚值看跌期权 | LH2601-P-1100 0 | 买入 | | | 采购管 理 ...

Report Overview - Report Title: Nanhua Futures Daily Report on Risk Management of Pig Enterprises - Date: October 28, 2025 - Analyst: Dai Hongxu (Investment Consulting License No.: Z0021819) - Investment Consulting Business Qualification: CSRC License [2011] No. 1290 [1] 1. Report Industry Investment Rating - Not provided in the report 2. Core Viewpoints - Policy disturbances may affect the long - term supply of pigs, and a long - term strategic bullish view is possible, but the short - to - medium - term situation is still based on fundamentals. The policy bottom has emerged, but the market bottom may take a production cycle to form. Currently, the supply exceeds demand, and short - term pig prices dropped rapidly due to concentrated slaughter during the double festivals. With the arrival of the peak season, demand will improve, and there may be a structural shortage of large pigs, supporting peak - season prices [3] 3. Key Points by Section 3.1 Pig Price Range Forecast - The predicted price range of the main contract is 11,000 - 13,500. The current 20 - day rolling volatility is 24.72%, and its historical percentile over 3 years is 76.74% [2] 3.2 Pig Enterprise Risk Management Strategy Suggestions 3.2.1 Inventory Management - For high product inventory and fear of inventory impairment, strategies include short - selling live pig futures according to inventory to lock in profits, selling call options when there is no suitable futures price, and buying out - of - the - money put options if not wanting to miss potential price increases. The recommended ratio for short - selling futures and selling call options is 10% [2] 3.2.2 Procurement Management - For future procurement plans and fear of price increases, strategies include buying long - term pig contracts according to the procurement plan to lock in costs, selling put options when there is no suitable futures price, and buying out - of - the - money call options if not wanting to lock in profits early and expecting lower costs [2] 3.3 Core Contradictions - Policy disturbances may affect long - term pig supply. The policy bottom has appeared, but the market bottom needs time. The current supply exceeds demand, and short - term price drops were due to concentrated slaughter. With the peak season, demand will improve, and large pigs may be in short supply [3] 3.4利多解读 (Likely Positive Factors) - Macro - sentiment improvement boosts market confidence; the standard - to - fat pig price spread is at a high level; there is a medium - to - long - term policy expectation of reducing production capacity; the second - fattening pen occupancy rate is decreasing, and with low pig prices and fattening costs, speculative second - fattening is entering the market; group farms are reducing slaughter [6] 3.5利空解读 (Likely Negative Factors) - The inventory of breeding sows is still high; the inventory of large - scale enterprises is at a three - year high; downstream terminal consumption is weak [6][7] 3.6 Pig Spot Prices - The national average spot price is 12.44 yuan/kg, up 0.28 yuan or 2.3%. Prices in different regions such as Henan, Hunan, Liaoning, Sichuan, and Guangdong also showed increases [9] 3.7 Pig Futures Prices - The closing prices of different futures contracts (01, 03, 05, 07, 09, 11) showed different changes, with some rising and some falling. For example, the 01 contract closed at 12,160 yuan/ton, down 170 yuan or 1.38%, while the 11 contract closed at 12,095 yuan/ton, up 30 yuan or 0.25% [10] 3.8 Pig Futures Spreads and Basis - Different futures spreads (e.g., LH01 - 03, LH03 - 05) and basis (e.g., Henan - 01 contract) showed various changes in price and percentage [17]

Report Overview - Report Name: Nanhua Futures Daily Report on Risk Management of Pig Enterprises - Date: August 19, 2025 - Author: Dai Hongxu (Investment Consulting License No.: Z0021819) - Investment Consulting Business Qualification: CSRC License [2011] No. 1290 1. Report Industry Investment Rating - No information provided in the report. 2. Report's Core View - The current supply increase trend in the pig market is obvious, and both the industry and funds are aware of it. The futures market has priced in the expectation of oversupply. The fundamental situation remains one of oversupply, while policy expectations provide an opportunity for arbitrage to hedge risks [3]. 3. Summary by Relevant Catalogs 3.1 Pig Price Range Forecast - The strong support level for the main contract price is 13,400. The current 20 - day rolling volatility is 10.94%, and the historical percentile of the current volatility over 3 years is 0.75% [2]. 3.2 Pig Enterprise Risk Management Strategy Recommendations Inventory Management - For enterprises with high product inventory and concerns about inventory impairment, they can short - sell LH2511 pig futures at a recommended ratio of 20% to lock in finished - product profits, sell call options (either over - the - counter or exchange - traded) at a 20% ratio, and buy out - of - the - money put options [2]. Procurement Management - For enterprises with future procurement plans and concerns about rising raw material prices, they can buy pig forward contracts according to the procurement plan to lock in procurement costs, sell put options (either over - the - counter or exchange - traded) according to the procurement plan, and buy out - of - the - money call options [2]. 3.3 Core Contradictions - Frequent policy disturbances may affect the long - term supply of pigs. The supply increase trend is well - recognized, and the futures market has reflected the oversupply expectation. The fundamental situation is oversupply, and policy expectations offer an opportunity for arbitrage [3]. 3.4利多解读 - No information provided in the report. 3.5利空解读 - Positive factors: Improved macro - sentiment boosts market confidence, the standard - fat price spread is at a relatively high level in the same period of history, and there is a medium - to - long - term expectation of production capacity reduction from the policy side [5]. - Negative factors: The inventory of breeding sows remains high, the inventory of large - scale enterprises is at a three - year high, the slaughter volume of slaughtering enterprises remains high with losses in slaughtering profit, and downstream terminal consumption is weak [5]. 3.6 Pig Spot Prices - The national average pig spot price is 13.62 yuan/kg, with a daily increase of 0.01 yuan and a growth rate of 0.07%. Prices vary by region, such as 13.63 yuan/kg in Henan (up 0.04 yuan, 0.29%), 13.65 yuan/kg in Hunan (down 0.02 yuan, - 0.15%), etc. [8]. 3.7 Pig Futures Prices - The closing prices of different pig futures contracts are as follows: Pig 01 is 14,200 yuan/ton, Pig 03 is 13,330 yuan/ton, Pig 05 is 13,810 yuan/ton, Pig 07 is 14,260 yuan/ton, Pig 09 is 13,780 yuan/ton, and Pig 11 is 13,900 yuan/ton, all with no daily change [9]. 3.8 Pig Price Spreads and Basis - For example, the spread of LH01 - 03 is 870 yuan/ton, down 20 yuan (- 2.25%); the basis of Henan - 01 contract is - 570 yuan/ton, with no change [17][19].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - Policy disturbances may affect the future supply of live pigs. Although the fundamentals are still in a situation of oversupply, the policy expectations provide an opportunity for arbitrage to hedge risks [3] - There are both positive and negative factors in the live pig market. Positive factors include improved macro - sentiment, a high standard - fat price difference, and medium - to - long - term policy - driven capacity reduction expectations. Negative factors include a high inventory of sow stocks, high inventory of large - scale enterprises, high slaughter volume with losses in slaughter profits, and weak downstream consumption [4][5] 3. Summary by Relevant Catalogs 3.1 Pig Price Forecast and Risk Management - The strong support level for the main contract price is 13,400, with a current volatility (20 - day rolling) of 10.94% and a current volatility historical percentile (3 - year) of 0.75% [2] - For inventory management when product inventory is high, strategies include shorting live pig futures (LH2511, sell 20%), selling call options (20%), and buying out - of - the - money put options [2] - For procurement management when there are future procurement plans, strategies include buying live pig forward contracts according to the procurement plan, selling put options according to the procurement plan, and buying out - of - the - money call options [2] 3.2 Pig Spot and Futures Prices - Spot prices vary by region. The national average is 13.72 yuan/kg, with a daily increase of 0.02 yuan and a growth rate of 0.15%. Prices in different regions show different changes [8] - Futures prices of different contracts (pig 01, 03, 05, 07, 09, 11) remain unchanged on the day [9] 3.3 Pig Price Spreads and Basis - Different contract spreads and basis show various changes, such as LH01 - 03 with a spread of 835 yuan, a decrease of 65 yuan, and a decline rate of 7.22% [17] - Seasonal charts of basis and spreads for different contracts are provided, including pig 01, 03, 05, 07, 09, 11 contracts [10][16][19] 3.4 Dalian Commodity Exchange Pig Warehouse Receipt Inventory - Seasonal data of Dalian Commodity Exchange pig warehouse receipt inventory is presented [27]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints - Policy - end disturbances may affect the long - term supply of live pigs. Although the fundamentals show an oversupply situation, the policy expectations offer an opportunity for arbitrage to hedge risks [3]. - There are both positive and negative factors in the live pig market. Positive factors include improved macro - sentiment boosting market confidence and a high historical standard - fat price spread. Negative factors involve a high inventory of breeding sows, high inventory of large - scale enterprises, high slaughter volume with losses in slaughter profits, and dull downstream consumption [4][5]. 3. Summary by Relevant Catalogs 3.1 Price Forecast - The strong support level for the main contract price is 13,400. The current 20 - day rolling volatility is 10.94%, and its historical percentile over three years is 0.75% [2]. 3.2 Risk Management Strategies - **Inventory Management**: For enterprises with high product inventory worried about inventory impairment, strategies include short - selling live pig futures (LH2511) at a recommended ratio of 20%, selling call options, and buying out - of - the - money put options [2]. - **Procurement Management**: For enterprises with future procurement plans worried about price increases, strategies include buying long - term live pig contracts according to the procurement plan, selling put options, and buying out - of - the - money call options [2]. 3.3 Spot and Futures Prices - **Spot Prices**: The national average live pig spot price is 13.65 yuan/kg, down 0.02 yuan (- 0.15%). Prices in different regions vary, with prices in Henan rising 0.02 yuan (0.15%) to 13.68 yuan/kg, and prices in other regions either stable or slightly down [8]. - **Futures Prices**: Closing prices of various live pig futures contracts on the day remained unchanged, with no price fluctuations [9]. 3.4 Spreads and Basis - **Spreads**: Spreads between different futures contracts show various changes. For example, the spread of LH01 - 03 is 1,005 yuan, up 25 yuan (2.55%), while the spread of LH03 - 05 is - 540 yuan, up 25 yuan (- 4.42%) [17][19]. - **Basis**: The basis between the Henan spot price and different futures contracts also shows different changes. For example, the basis of Henan - 01 contract is - 745 yuan, down 40 yuan (5.67%) [19].