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产业参与有序 功能稳步发挥
Qi Huo Ri Bao Wang· 2025-08-24 16:22
鸡蛋、玉米淀粉、生猪期权上市一周年 2024年8月23日,鸡蛋、玉米淀粉、生猪期权(下称三个期权)在大商所挂牌上市。上市一年来,三个 期权运行平稳,产业参与有序,功能稳步发挥。 截至2025年8月22日收盘,三个期权共运行了242个交易日。其中,鸡蛋期权日均成交量、日均成交额和 日均持仓量分别为4.6万手、1321.0万元和7.9万手,成交量、持仓量分别占标的期货的18.8%和17.8%。 玉米淀粉期权日均成交量、日均成交额和日均持仓量分别为1.5万手、347.4万元和4.4万手,成交量、持 仓量分别占标的期货的10.5%和15.7%。生猪期权日均成交量、日均成交额和日均持仓量分别为0.8万 手、1601.9万元和2.9万手,成交量、持仓量分别占标的期货的13.7%和18.6%。 国泰君安期货研究所期权研究员张银告诉期货日报记者,鸡蛋期权自上市以来,市场活跃度快速上升, 近期成交规模突破17万手,主力期权成交量一度达到主力期货合约成交量的65%。生猪期权成交规模从 上市初期的2700手增加至约13000手,主力期权成交量与主力期货合约成交量的比值从7%上升至45%。 玉米淀粉期权成交规模从上市初期的5000手 ...
农产品期权策略早报-20250819
Wu Kuang Qi Huo· 2025-08-19 01:31
1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The agricultural products sector shows different trends: oilseeds and oils are in a strong - side oscillation, oils and by - products maintain an oscillatory trend, soft commodities like sugar have a slight oscillation, cotton's bullish rise has declined, and grains such as corn and starch are in a weak and narrow - range consolidation [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 - The latest prices, price changes, trading volumes, and open interest of various agricultural product futures are presented, including soybeans, soybean meal, palm oil, etc. For example, the latest price of soybean No.1 (A2511) is 4,056 with no change, and its trading volume is 8.83 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product 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 volume PCR of soybean No.1 option is 0.32, with a change of - 0.14 [4]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of different agricultural product options are given, which are determined by the strike prices of the maximum open interest of call and put options. For example, the pressure level of soybean No.1 is 4500, and the support level is 4100 [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. For example, the at - the - money implied volatility of soybean No.1 is 11.985%, and the weighted implied volatility is 14.43% with a change of - 1.72% [6]. 3.5 Option Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The fundamentals of soybeans are affected by factors such as USDA's adjustment of planting area and yield, and Trump's call for China to buy soybeans. The option strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The fundamentals of soybean meal are related to the monthly purchase volume. The option strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The fundamentals of oils are affected by USDA's reports and India's inventory replenishment. The option strategies include constructing a bullish call spread strategy, a long - biased call + put option combination strategy, and a long collar strategy for spot hedging [10]. - **Peanuts**: The fundamentals of peanuts are related to the spot price, import volume, and oil mill operation rate. The option strategies include constructing a bearish put spread strategy and a long collar strategy for spot hedging [11]. 3.5.2 By - product Options - **Pigs**: The supply of pigs is relatively loose, and the demand is stimulated by low prices. The option strategies include constructing a short - biased call + put option combination strategy and a covered call strategy for spot [11]. - **Eggs**: The inventory of laying hens is expected to increase. The option strategies include constructing a bearish put spread strategy and a short - biased call + put option combination strategy [12]. - **Apples**: The cold - storage inventory of apples is at a low level. The option strategies include constructing a neutral call + put option combination strategy [12]. - **Red Dates**: The inventory of red dates is decreasing, and the market is improving. The option strategies include constructing a bullish call spread strategy, a long - biased wide - straddle option combination strategy, and a covered call strategy for spot [13]. 3.5.3 Soft Commodity Options - **Sugar**: The fundamentals of sugar are affected by Brazil's sugar production data. The option strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [13]. - **Cotton**: The fundamentals of cotton are related to the operating rates of spinning and weaving mills and global production. The option strategies include constructing a long - biased call + put option combination strategy and a covered call strategy for spot [14]. 3.5.4 Grain Options - **Corn and Starch**: The fundamentals of corn are affected by USDA's planting area and yield adjustment. The option strategies include constructing a bearish put spread strategy and a short - biased call + put option combination strategy [14]. 3.6 Option Charts - Charts of various agricultural product options are provided, including price trend charts, volume and open interest charts, implied volatility charts, etc., to visually display the market conditions of different agricultural product options [15][34][53].
南华期货生猪企业风险管理日报-20250815
Nan Hua Qi Huo· 2025-08-15 04:59
南华期货生猪企业风险管理日报 2025/08/14 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) | | --- | --- | --- | | 13400强支撑 | 10.94% | 0.75% | source: wind,南华研究,同花顺 生猪企业风险管理策略建议 | 行为导向 情景分析 | 策略推荐 | 套保工具 | 买卖方向 | 推荐比例 | | --- | --- | --- | --- | --- | | 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 | LH2511 | 卖出 | 20% | | | 卖出看涨期权 | 场外/场内期权 | 卖出 | 20% | | | 买入虚值看跌期权 | 场内/场外期权 | 买入 | | | 采购管理 未来有采购计划,担心原料有上涨风险 | 为防止未来生猪价格上涨,依据采购计划买入生猪远期合约,锁定采购成本 | 生猪远月合约 | 买入 | 依据采 ...
农产品期权策略早报-20250813
Wu Kuang Qi Huo· 2025-08-13 01:51
1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - The agricultural products options market shows different trends. Oilseeds and oils are in a strong and volatile state, while other categories such as agricultural by - products, soft commodities, and grains have various forms of volatile or weak market conditions. - 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 Related Catalogs 3.1 Market Overview of Underlying Futures - Different agricultural product options have different price changes, trading volumes, and open interest changes. For example, rapeseed meal (RM2511) had a significant price increase of 6.13% with a price of 2,736, while eggs (JD2510) decreased by 0.47% to 3,197.00 [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different options vary, which can be used to describe the strength of the option underlying market and whether there is a turning point in the underlying market. For instance, the volume PCR of soybean meal (M2511) is 0.76, and the open interest PCR is 0.59 [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 underlyings are obtained. For example, the pressure level of soybean (A2511) is 4,300, and the support level is 4,050 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different options shows different trends and relationships with historical volatility. For example, the implied volatility of rapeseed meal (RM2511) has a relatively large increase, with the weighted implied volatility increasing by 4.45% to 31.65% [6]. 3.5 Option Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybeans (A2511)**: Directional strategy: None; Volatility strategy: Construct a neutral - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [7]. - **Soybean Meal (M2511)**: Similar to soybeans, with specific option contracts recommended [9]. - **Palm Oil (P2510)**: Directional strategy: None; Volatility strategy: Construct a long - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [10]. - **Peanuts (PK2510)**: Directional strategy: Construct a bearish spread combination strategy of put options; Volatility strategy: None; Spot long - hedging strategy: Hold a long spot position + buy put options + sell out - of - the - money call options [11]. 3.5.2 Agricultural By - products Options - **Pigs (LH2511)**: Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - covered strategy: Hold a long spot position + sell out - of - the - money call options [11]. - **Eggs (JD2510)**: Directional strategy: Construct a bearish spread combination strategy of put options; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot hedging strategy: None [12]. - **Apples (AP2510)**: Directional strategy: None; Volatility strategy: Construct a neutral - biased call + put option combination strategy; Spot hedging strategy: None [12]. - **Jujubes (CJ2601)**: Directional strategy: Construct a bullish spread combination strategy of call options; Volatility strategy: Construct a long - biased wide - straddle option combination strategy; Spot covered - hedging strategy: Hold a long spot position + sell out - of - the - money call options [13]. 3.5.3 Soft Commodities Options - **Sugar (SR2511)**: Directional strategy: None; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - hedging strategy: Construct a long collar strategy [13]. - **Cotton (CF2511)**: Directional strategy: None; Volatility strategy: Construct a long - biased call + put option combination strategy; Spot covered strategy: Hold a long spot position + buy put options + sell out - of - the - money call options [14]. 3.5.4 Grains Options - **Corn (C2511)**: Directional strategy: Construct a bearish spread combination strategy of put options; Volatility strategy: Construct a short - biased call + put option combination strategy; Spot long - hedging strategy: None [14].
生猪期货与期权2025年8月报告-20250804
Report Title - "Pork Futures and Options August 2025 Report" [1] Report Industry Investment Rating - Not provided in the content Core Viewpoints - The "anti-involution" policy expectation has led to a reversal in the futures monthly spread. The domestic inflation expectation is expected to rise, and the pig futures price once soared. The far-month 2601 contract price has shifted to a premium structure relative to the near-month and spot prices [3]. - The marginal risk brought by tariffs will gradually decrease, and the market's extreme situation probability such as global economic recession and significant damage to commodity trade has declined. The domestic market is focusing on hedging policies, and the market is "desensitized" to Sino-US relations [3]. - The overall financial attribute of agricultural products is relatively weak, and they are less affected by the macro environment. Currently, the prices of basic agricultural products are at a historical low level, with low valuations and potential for rebound [3]. - Pig enterprises have experienced about 12 months of high-level profitability. Although the industry's absolute production capacity has not increased significantly, the production efficiency per sow has been greatly improved. With policy expectations, the overcapacity of breeding sows is unlikely [3]. - The pig price in 2025 may not be worse than that in 2023 [3]. - Regarding the pig futures price in the second half of 2025, if the macro expectation continues to strengthen, there are conditions for the undervalued commodities to have their valuations revised upwards. It is advisable to go long at low levels when the futures price is below the breeding cost of 13,500 - 14,000 points, or buy call options near the cost [4]. Summary by Directory 2025 July and August Market Review and Outlook - In July, the "anti-involution" atmosphere drove up the prices of risk assets, and the domestic inflation expectation was expected to rise. The Ministry of Agriculture and Rural Affairs held a meeting with leading group enterprises, emphasizing measures such as reducing the inventory of breeding sows, controlling the slaughter weight, and restricting secondary fattening, which released a policy signal to support the market [3]. - The soybean and corn prices have reached the bottom range, and it is difficult for the feed cost to continue to decrease in 2025. The current increase in production capacity is mainly reflected in the utilization efficiency rather than the absolute production capacity. The continuous improvement in efficiency has a technical bottleneck, and there is a "scar effect" among retail investors. Therefore, although the upstream of the pig industry has experienced a long period of profitability, it has not accumulated excessive risks [4]. 2025 July Pig Spot and Futures Price Review - In July, the "anti-involution" had little impact on agricultural products, and the volatility of the sector was relatively low. The pig spot and futures prices showed a divergent trend, and the "anti-involution" policy led to a surge in the futures price [6][8]. - From January to July 2025, the agricultural product index showed different trends due to various factors such as the weakening of the US dollar, tariff policies, and seasonal factors. In July, the breeding sector hit a new low [7]. - The current absolute and relative prices of pigs are at a relatively low level in history, and the ratio of pig futures to feed is close to the historical low level [10][13]. - In 2025, the piglet price in the first half of the year exceeded expectations, and the feed price fluctuated overall. The terminal consumption did not show significant improvement, but the average price of pork carcasses was higher than that in 2023. The prices of beef, mutton, poultry, eggs, vegetables, and aquatic products showed different trends [18][21][24]. - According to historical data, the pig spot price in the second quarter is prone to seasonal increases, and the price in August has a high probability of rising [39][40]. Pig Production Capacity and Slaughter Situation - The current inventory of breeding sows is in the green range, and the cumulative increase compared with March 2024 is about 3% [43][44]. - The capital expenditure of group enterprises has decreased significantly compared with previous years, the price of replacement gilts has been stable, and the market speculation enthusiasm has declined [45][48]. - The production efficiency per sow has increased, and the gap between leading enterprises has gradually narrowed. In May 2025, the pig slaughter volume continued to increase, but the increase may not be large [50][54][55]. Listed Pig Enterprises - The profitability of listed companies has shown significant differentiation, the monthly sales of piglets of listed companies have decreased, and the asset - liability ratio of listed companies is at a historical high level [59][62][64]. Near - term Supply and Demand Fundamentals - From July to August, the hot weather and the relatively high weight of pigs are the main risks affecting the spot price. In July, the slaughter volume rebounded significantly but was lower than the level in 2023. The import volume of pork and offal has declined from the high level, and the frozen product inventory rebounded slightly at a low level in June 2025 [68][71][73]. - The current average monthly profitability is at the historical median level, and the profit of purchasing piglets in July is close to the break - even point [79]. Pig Futures Market - In July, the futures price broke away from the spot price and soared, and the futures price has shifted to a premium relative to the spot price. The pig index rebounded from the historical low, and the trading volume and open interest increased significantly [80][81]. - The 2503 and 2505 contracts' futures prices finally rebounded from the low level to make up for the discount to the spot price, and the 2603 and 2605 contracts are near the breeding cost. The near - month contracts have shifted from a discount to a premium relative to the spot price, and the far - month contracts' premium in the peak season has widened under the policy support [84][87][90]. - The basis is stronger than in the same period of previous years. Attention should be paid to the way of the regression of the pig spot and futures prices in the third quarter, and the opportunity of inter - month reverse arbitrage [93][96]. - The volatility of the pig 2509 contract has rebounded [102]. Pig Market Summary - In the third quarter, the macro environment may be the main driving force for the rise of the pig price. Attention should be paid to the real improvement of key consumption [104]. - In trading, it is advisable to buy the 2511 contract at low levels, or short the 2601 contract and long the 2605 contract at an appropriate time. For options, sell the wide - straddle price - spread combination when the volatility is high [104].
中原期货期权周报-20250804
Zhong Yuan Qi Huo· 2025-08-03 23:30
Industry Investment Ratings - No industry investment ratings are provided in the report. Core Views - The A-share market showed a pattern of rising and then falling this week, with small and medium-cap stocks outperforming large-cap stocks. Different index futures and options contracts had various performance indicators, and corresponding investment strategies were proposed for option trading [2]. - Aluminum prices are expected to remain high in the short term, with attention paid to the support at the 20,000 level [2]. - The coking coal and coke markets are expected to face pressure in the short term, with support levels of 900 - 1000 for coking coal and around 1500 for coke [3]. - The urea price of the UR2509 contract is expected to test the support at 1680 - 1700 yuan/ton, and subsequent attention should be paid to macro - impacts and autumn fertilizer performance [3]. - Steel prices are expected to continue to fluctuate weakly in the short term [3]. - For eggs, short - term operation is to short on rebounds next week, and the spot price is not expected to decline significantly due to Mid - Autumn Festival stocking [3]. - The live pig market is expected to remain range - bound next week [4]. Summary by Variety Options - This week, the A - share market rose and then fell, with daily trading volume approaching 2 trillion. Small and medium - cap stocks were stronger than large - cap stocks. Different index futures and options contracts had changes in indicators such as basis, volume, open interest, and implied volatility. Trend investors can focus on strength - weakness arbitrage opportunities, and volatility investors can sell wide straddles to short volatility [2]. Aluminum - In July, the manufacturing PMI declined, and the exchange introduced risk - control measures, cooling domestic market sentiment. The US tariff policy has uncertainties. On the fundamental side, there is a strong expectation of inventory accumulation. Aluminum prices are expected to remain high in the short term, and attention should be paid to the support at the 20,000 level [2]. Coking Coal and Coke - This week, the daily output and inventory of raw coal and clean coal decreased. Some areas had reduced production due to over - production inspections. The online transaction of coking coal had more auctions, and the fifth round of coke price increase was not implemented. The market is expected to face pressure in the short term, with support levels of 900 - 1000 for coking coal and around 1500 for coke [3]. Urea - The domestic urea market price was stable over the weekend. In August, there will be both plant overhauls and restarts, and the daily output is expected to fluctuate around 19 - 200,000 tons. The upstream inventory increased, and the port inventory decreased. The UR2509 contract is expected to test the support at 1680 - 1700 yuan/ton [3]. Steel (Rebar and Hot - Rolled Coil) - The production of five major steel products increased while demand decreased. Rebar had a decline in both production and demand, and inventory increased. Hot - rolled coil had an increase in both production and demand, and inventory continued to increase slightly. Due to the cooling of macro - sentiment and weak overseas non - farm data, steel prices decreased by 10 - 30 yuan/ton over the weekend and are expected to fluctuate weakly in the short term [3]. Eggs - Last week, the national egg spot price declined steadily and then stabilized over the weekend. There were differences in the spot market, with inventory pressure from cold - storage eggs. The futures had a large premium over the spot, and there was a lot of industrial delivery in July. Next week, the strategy is to short on rebounds [3]. Live Pigs - Last week, the live pig spot price first declined and then rose, with an overall stable trend. The spot market had high supply and weak consumption. The futures were relatively strong due to the repair of the discount structure and expectations of future consumption improvement. After this round of decline, the basis was repaired, and the market is expected to remain range - bound next week [4].
农产品期权策略早报-20250731
Wu Kuang Qi Huo· 2025-07-31 01:47
Report Summary 1. Investment Rating The report does not provide an investment rating for the agricultural products options industry. 2. Core Viewpoints - The agricultural products options market shows different trends across various sectors. Oilseeds and oils are in a relatively strong and volatile state, while other sectors such as by - products, soft commodities, and grains have their own specific trends like range - bound trading or short - term weakness [2]. - The recommended strategy is 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 - Various agricultural product futures show different price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2509) dropped by 0.63% to 4,126, with a trading volume of 11.89 million lots and a decrease of 1.99 million lots compared to the previous period, and an open interest of 12.87 million lots with a decrease of 0.47 million lots [3]. 3.2 Option Factors - **Volume and Open Interest PCR**: Different option varieties have different volume and open interest PCR values and their changes, which can be used to analyze the strength and turning points of the underlying asset market. For example, the volume PCR of soybean No.1 is 0.38, a decrease of 0.16, and the open interest PCR is 0.39, a decrease of 0.01 [4]. - **Pressure and Support Levels**: From the perspective of the maximum open interest of call and put options, the pressure and support levels of the underlying assets are analyzed. For example, the pressure level of soybean No.1 is 4,300 and the support level is 4,100 [5]. - **Implied Volatility**: Each option variety has different implied volatility values, changes, and differences compared to historical volatility, which can be used to measure the market's expectation of future price fluctuations. For example, the weighted implied volatility of soybean No.1 is 12.36%, a decrease of 0.72% [6]. 3.3 Strategies and Recommendations - **Oilseeds and Oils Options** - **Soybean No.1 and No.2**: The USDA July report adjusted the supply - demand balance of soybeans. The market of soybean No.1 shows a pattern of small - range consolidation with pressure above. Recommended strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The purchase volume of soybean meal shows a certain pattern. The market of soybean meal shows a pattern of weak consolidation with support below followed by a rebound and then a decline. Recommended strategies are similar to those of soybean No.1 [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The palm oil market is affected by export and production factors, showing a pattern of long - position high - level consolidation. Recommended 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 is affected by factors such as supply and demand, showing a pattern of weak consolidation under bearish pressure. Recommended strategies include constructing a bearish spread strategy of put options and a long collar strategy for spot hedging [11]. - **By - product Options** - **Pigs**: The pig market is affected by factors such as supply and demand, showing a pattern of small - range consolidation under bearish pressure. Recommended strategies include constructing a short - biased short call + put option combination strategy and a covered call strategy for spot [11]. - **Eggs**: The egg market is affected by factors such as weather and supply and demand, showing a pattern of weak consolidation with pressure above. Recommended strategies include constructing a bearish spread strategy of put options and a short - biased short call + put option combination strategy [12]. - **Apples**: The apple market is affected by factors such as production and inventory, showing a pattern of gradual rebound with pressure above. Recommended strategies include constructing a neutral short call + put option combination strategy [12]. - **Jujubes**: The jujube market shows a pattern of rebound and then decline with pressure above. Recommended strategies include constructing a short - biased wide - straddle option combination strategy and a covered call strategy for spot hedging [13]. - **Soft Commodity Options** - **Sugar**: The sugar market shows a pattern of rebound after a decline with support below. Recommended 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 short - term weak pattern. Recommended strategies include constructing a long - biased short call + put option combination strategy and a covered call strategy for spot [14]. - **Grain Options** - **Corn and Starch**: The corn market shows a pattern of weak decline with pressure above. Recommended strategies include constructing a bearish spread strategy of put options and a short - biased short call + put option combination strategy [14].
农产品期权策略早报-20250723
Wu Kuang Qi Huo· 2025-07-23 00:53
1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The agricultural products sector includes beans, oils, agricultural by - products, soft commodities, grains, and others. Oilseeds and oils show a relatively strong and volatile trend, while oils, agricultural by - products maintain a volatile market. Soft commodity sugar rebounds and fluctuates upward, cotton shows a bullish trend, and grains such as corn and starch are weakly and narrowly consolidated. It is recommended to construct option combination strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Different agricultural product options have various price changes, trading volumes, and open interest changes. For example, the latest price of soybean A2509 is 4,241, with a rise of 28 and a rise rate of 0.66%, trading volume of 14.61 million lots (a decrease of 3.65 million lots), and open interest of 18.11 million lots (an increase of 0.81 million lots) [3]. 3.2 Option Factors - Quantity and Position PCR - The quantity and position PCR of different option varieties vary, which can be used to describe the strength of the option underlying market and the turning point of the underlying market. For instance, the volume PCR of soybean A is 0.23 (a decrease of 0.11), and the position PCR is 0.48 (an increase of 0.02) [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of different option varieties are determined. For example, the pressure level of soybean A is 4,500, and the support level is 4,100 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different option varieties also shows differences. For example, the at - the - money implied volatility of soybean A is 10.525, the weighted implied volatility is 11.72 (an increase of 0.33), and the difference between implied and historical volatility is - 0.40 [6]. 3.5 Option Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean A and B**: The USDA July report adjusted the supply - demand data of US soybeans. Soybean A showed a rebound after a decline in June and July. The implied volatility of soybean A options is at a relatively high level, the position PCR is below 0.70, and the pressure and support levels are 4,500 and 4,100 respectively. It is recommended to construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The purchase volume of soybean meal from March to September is different. Soybean meal showed a rebound after a decline in June and July. The implied volatility of soybean meal options is slightly above the historical average, the position PCR is around 0.80, and the pressure and support levels are 3,450 and 2,900 respectively. Similar to soybean A, it is recommended to construct a neutral call + put option combination strategy for volatility and a long collar strategy for spot hedging [8][9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The export and production data of Malaysian palm oil in June are different. Palm oil showed a bullish trend. The implied volatility of palm oil options is decreasing to below the historical average, the position PCR is around 1.00, and the pressure and support levels are 10,000 and 8,000 respectively. It is recommended to construct a bullish call + put option combination strategy for volatility and a long collar strategy for spot hedging [10]. - **Peanuts**: The price of peanuts in Henan and the northeast shows different trends. Peanuts showed a weak consolidation trend. The implied volatility of peanut options is at a relatively low level, the position PCR is below 0.80, and the pressure and support levels are 9,000 and 7,200 respectively. It is recommended to construct a bearish spread strategy for direction and a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - products Options - **Pigs**: The domestic pig price showed a decline last week. Pigs showed a weak trend after a rebound. The implied volatility of pig options is above the historical average, the position PCR is below 0.50, and the pressure and support levels are 18,000 and 13,800 respectively. It is recommended to construct a bearish call + put option combination strategy for volatility and a covered call strategy for spot [11]. - **Eggs**: The domestic egg price rebounded last week. Eggs showed a weak bearish trend. The implied volatility of egg options is at a relatively high level, the position PCR is below 0.60, and the pressure and support levels are 3,500 and 2,800 respectively. It is recommended to construct a bearish spread strategy for direction and a bearish call + put option combination strategy for volatility [12]. - **Apples**: The inventory of apples in cold storage is at a low level. Apples showed a weak rebound trend. The implied volatility of apple options is below the historical average, the position PCR is below 0.60, and the pressure and support levels are 8,900 and 7,000 respectively. It is recommended to construct a neutral call + put option combination strategy for volatility [12]. - **Red Dates**: The inventory of red dates decreased slightly. Red dates showed a rebound and then a decline. The implied volatility of red date options is decreasing and is above the average, the position PCR is below 0.50, and the pressure and support levels are 14,000 and 8,600 respectively. It is recommended to construct a bearish strangle option combination strategy for volatility and a covered call strategy for spot [13]. 3.5.3 Soft Commodities Options - **Sugar**: The number of ships waiting to load sugar in Brazilian ports decreased. Sugar showed a rebound after a decline. The implied volatility of sugar options is at a relatively low level, the position PCR is around 0.80, and the pressure and support levels are 6,100 and 5,700 respectively. It is recommended to construct a neutral call + put option combination strategy for volatility and a long collar strategy for spot hedging [13]. - **Cotton**: The开机 rate of spinning and weaving factories decreased, and the commercial inventory of cotton decreased. Cotton showed a rebound trend. The implied volatility of cotton options is decreasing and is at a low level, the position PCR is below 1.00, and the pressure and support levels are 14,000 and 13,000 respectively. It is recommended to construct a bullish spread strategy for direction, a bullish call + put option combination strategy for volatility, and a covered call strategy for spot [14]. 3.5.4 Grains Options - **Corn and Starch**: The spot price of corn showed a weak trend, and the futures market was also weak. Corn showed a bearish trend. The implied volatility of corn options is at a relatively low level, the position PCR is around 0.80, and the pressure and support levels are 2,400 and 2,240 respectively. It is recommended to construct a bearish spread strategy for direction and a bearish call + put option combination strategy for volatility [14].
农产品期权策略早报-20250715
Wu Kuang Qi Huo· 2025-07-15 06:43
1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The agricultural product options market shows different trends. Oilseeds and oils have weakened, while some agricultural and sideline products are in a volatile state. Soft commodities like sugar continue to be weak, cotton is rising moderately, and grains such as corn and starch are in a narrow - range weak consolidation. - 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 Related Catalogs 3.1 Futures Market Overview - Information on the latest price, price change, price change rate, trading volume, volume change, open interest, and open interest change of various agricultural product futures is presented, including soybeans, soybean meal, palm oil, etc. [3] 3.2 Option Factors 3.2.1 Volume - Open Interest PCR - Details of the trading volume, volume change, open interest, open interest change, trading volume PCR, volume PCR change, open interest PCR, and open interest PCR change of different option varieties are provided [4]. 3.2.2 Pressure and Support Levels - The pressure points, pressure point offsets, support points, support point offsets, maximum call option open interest, and maximum put option open interest of each option variety are listed [5]. 3.2.3 Implied Volatility - Data on the at - the - money implied volatility, weighted implied volatility, weighted implied volatility change, annual average, call option implied volatility, put option implied volatility, historical volatility, and implied - historical volatility difference of various option varieties are given [6]. 3.3 Strategies and Recommendations for Different Option Types 3.3.1 Oilseeds and Oils Options - **Soybeans (Bean 1 and Bean 2)**: Based on the USDA July report, the inventory - to - sales ratio of US soybeans in the 25/26 season has increased. Bean 1 has shown a weakening trend recently. Directional strategies suggest constructing a bear spread of put options; volatility strategies recommend selling a neutral combination of call and put options; and spot long - hedging strategies propose a long collar strategy [7]. - **Soybean Meal and Rapeseed Meal**: The fundamentals of soybean meal show that domestic trading has slightly improved but remains weak. The market has shown a weak rebound and then a decline. For soybean meal, volatility strategies suggest selling a bearish combination of call and put options, and spot long - hedging strategies use a long collar strategy [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The MPOB June report indicates that Malaysian palm oil exports are lower than expected. Palm oil has shown a bullish trend. Volatility strategies recommend selling a bullish combination of call and put options, and spot long - hedging strategies use a long collar strategy [10]. - **Peanuts**: The fundamentals show that peanut prices are weak, and the downstream consumption is also weak. Directional strategies suggest constructing a bear spread of put options, and spot long - hedging strategies use a long collar strategy [11]. 3.3.2 Agricultural and Sideline Products Options - **Pigs**: The domestic pig price has stabilized after a decline. The market has shown a rebound and then a slight consolidation. Volatility strategies recommend selling a neutral combination of call and put options, and spot long - covered strategies suggest holding a long position in the spot and selling out - of - the - money call options [11]. - **Eggs**: The inventory of laying hens is increasing. The market has shown a weak downward trend. Directional strategies suggest constructing a bear spread of put options, and volatility strategies recommend selling a bearish combination of call and put options [12]. - **Apples**: The inventory of apples in cold storage is at a low level in recent years. The market has shown a weak rebound. Volatility strategies recommend selling a neutral combination of call and put options [12]. - **Jujubes**: The inventory of jujubes has decreased slightly, but the consumption is in the off - season. Volatility strategies recommend selling a bearish wide - straddle option combination, and spot covered - hedging strategies suggest holding a long position in the spot and selling out - of - the - money call options [13]. 3.3.3 Soft Commodities Options - **Sugar**: Brazilian sugar exports have increased. The market has shown a rebound after a decline. Volatility strategies recommend selling a neutral combination of call and put options, and spot long - hedging strategies use a long collar strategy [13]. - **Cotton**: The operating rates of spinning and weaving factories have declined, and the commercial inventory of cotton has decreased. The market has shown a rebound. Directional strategies suggest constructing a bull spread of call options, and volatility strategies recommend selling a neutral combination of call and put options, and spot covered strategies suggest holding a long position in the spot and selling out - of - the - money call options [14]. 3.3.4 Grains Options - **Corn and Starch**: The corn market is bearish due to the impact of imported corn auctions. The market has shown a downward trend. Directional strategies suggest constructing a bear spread of put options, and volatility strategies recommend selling a bearish combination of call and put options [14]. 3.4 Charts - Charts of various option varieties, including price trends, trading volume and open interest, open interest PCR, implied volatility, historical volatility cones, and pressure and support levels, are provided for different option types such as soybean options, soybean meal options, etc. [17][37][55]
农产品期权策略早报-20250711
Wu Kuang Qi Huo· 2025-07-11 06:38
Report Summary 1. Investment Rating The report does not provide an investment rating for the industry. 2. Core Viewpoint The overall trend of agricultural products shows that oilseeds and oils have weakened, while agricultural by - products and soft commodities are in a volatile state. For example, sugar continues to be weak, cotton rises moderately, and corn and starch in the cereal category are in a narrow - range weak consolidation. 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 - Different agricultural product futures have different price changes. For example, the latest price of soybean No.1 (A2509) is 4,096, down 14 points with a decline of 0.34%, while soybean No.2 (B2509) is up 29 points with an increase of 0.81% [3]. - There are also changes in trading volume and open interest. For instance, the trading volume of soybean meal (M2509) is 108.70 million lots, an increase of 19.15 million lots, and the open interest is 207.58 million lots, a decrease of 4.46 million lots [3]. 3.2 Option Factors 3.2.1 Volume and Open Interest PCR - Different option varieties have different volume and open interest PCR values and their changes. For example, the volume PCR of soybean No.1 is 0.37, an increase of 0.12, and the open interest PCR is 0.48, an increase of 0.04 [4]. - These values are used to describe the strength of the option underlying market and the turning point of the underlying market [4]. 3.2.2 Pressure and Support Levels - The pressure and support levels of different option varieties are different. For example, the pressure level of soybean No.1 is 4,500 and the support level is 4,100 [5]. - These levels are determined from the exercise prices of the maximum open interest of call and put options [5]. 3.2.3 Implied Volatility - The implied volatility of different option varieties also varies. For example, the at - the - money implied volatility of soybean No.1 is 8.57, and the weighted implied volatility is 11.36, a decrease of 0.17 [6]. - The at - the - money implied volatility is the arithmetic average of the implied volatilities of at - the - money call and put options, and the weighted implied volatility uses volume - weighted average [6]. 3.3 Strategy and Recommendations 3.3.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The fundamental situation of soybeans is that the net sales of US soybeans increased week - on - week, which is neutral. The price of soybean No.1 has shown a weakening trend recently. The recommended strategies include constructing a bear spread combination strategy of put options, selling a neutral call + put option combination strategy, and constructing a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The daily average trading volume of soybean meal in mainstream oil mills increased, but the提货 volume decreased. The price of soybean meal has shown a weakening trend. The recommended strategies include selling a bearish call + put option combination strategy and constructing a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The production, export, and inventory of palm oil in Malaysia are expected to change. The price of palm oil has shown a trend of rising and then falling. The recommended strategies include selling a neutral call + put option combination strategy and constructing a long collar strategy for spot hedging [10]. - **Peanuts**: The market price of peanut kernels is stable, and the trading is light. The price of peanuts has shown a weakening trend. The recommended strategies include constructing a bear spread combination strategy of put options and constructing a long collar strategy for spot hedging [11]. 3.3.2 Agricultural By - product Options - **Pigs**: The supply of pigs is tight at the beginning of the month, and the demand has decreased. The price of pigs has shown a trend of rising and then fluctuating. The recommended strategies include selling a neutral call + put option combination strategy and a covered call strategy for spot [11]. - **Eggs**: The inventory of laying hens has increased, and the price of eggs has shown a weakening trend. The recommended strategies include constructing a bear spread combination strategy of put options, selling a bearish call + put option combination strategy [12]. - **Apples**: The cold - storage inventory of apples has decreased. The price of apples has shown a trend of rebounding after a decline. The recommended strategy is to sell a neutral call + put option combination strategy [12]. - **Red Dates**: The inventory of red dates has decreased slightly, and the price has shown a trend of rising and then falling. The recommended strategies include selling a bearish wide - straddle option combination strategy and a covered call strategy for spot [13]. 3.3.3 Soft Commodity Options - **Sugar**: The spot price of sugar in Guangxi has shown a trend of rising after a decline, and the sales volume in the off - season is limited. The price of sugar has shown a trend of rebounding after a decline. The recommended strategies include selling a neutral call + put option combination strategy and constructing a long collar strategy for spot hedging [13]. - **Cotton**: The price of Zhengzhou cotton has fluctuated, and the basis in Xinjiang remains high. The price of cotton has shown a trend of rebounding. The recommended strategies include constructing a bull spread combination strategy of call options, selling a neutral call + put option combination strategy, and a covered call strategy for spot [14]. 3.3.4 Cereal Options - **Corn and Starch**: The planting of corn is completed, and the price of US corn is at the bottom. The price of domestic corn has shown a trend of rising and then falling. The recommended strategy is to sell a neutral call + put option combination strategy [14].