成文日期: 20251009 报告周期: 日报 研究品种:生? 研究员：漆建华（从业资格号：F03099134；投资咨询从业证书号：Z0017731) 生猪期货日报 1 期货市场 1.1 合约行情 当日（20251009），期货品种生猪 lh2511 合约呈现低开低走 走势，当日收至 11595 点，较前一交易日下跌 5.88%，全日成交 5.09 万手，持仓量 5.83 万手。 数据来源:国金期货行情软件 1.2 品种价格 生猪期货各合约全部下跌,品种持仓量 258813 手,较上一交易 日增加 15400 手。 图: 生猪期货日行情表 研究咨询：028 6130 3163 邮箱：institute@gjqh.com.cn 投诉热线：4006821188 请务必阅读文末风险揭示及免责声明 图：生猪 lh2511 分时图 | 문화 | 开盘价 最高价 最低价 收盘价 રી | 结算价 涨跌 | | 変化 | | | --- | --- | --- | --- | --- | --- | | | lh2511 11,710 11,905 11,535 11,595 12,320 11,695 -725 -625 ...

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The agricultural product options market shows a mixed trend, with oilseeds and oils being weakly volatile, while some products like apples show a warming - up trend. Strategies mainly focus on constructing option combination strategies based on sellers to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Various agricultural product futures have different price changes, such as a 0.13% decline in soybean No.1 (A2511), a 0.22% decline in soybean No.2 (B2511), and a 0.49% increase in peanuts (PK2511) [3]. 3.2 Option Factor - Volume and Open Interest PCR - Different option varieties have different volume and open - interest PCR values, which reflect the strength of the option underlying market and the turning point of the market. For example, the volume PCR of soybean No.1 is 0.60, and the open - interest PCR is 0.49 [4]. 3.3 Option Factor - Pressure and Support Levels - The pressure and support levels of different option varieties are analyzed. For instance, the pressure level of soybean No.1 is 4000, and the support level is 3900 [5]. 3.4 Option Factor - Implied Volatility - The implied volatility of different option varieties shows different trends. For example, the implied volatility of soybean No.1 is 11.265%, and the weighted implied volatility is 13.07% [6]. 3.5 Option Strategies for Different Product Categories 3.5.1 Oilseeds and Oils Options - **Soybean No.1**: Build a short - biased call + put option combination strategy and a long collar strategy for spot hedging [8]. - **Soybean Meal**: Construct a bear - spread put option strategy, a short - biased call + put option combination strategy, and a long collar strategy for spot hedging [10]. - **Palm Oil**: Build a short - biased call + put option combination strategy and a long collar strategy for spot hedging [11]. - **Peanuts**: Construct a bear - spread put option strategy and a long collar strategy for spot hedging [12]. 3.5.2 Agricultural By - product Options - **Pigs**: Build a short - biased call + put option combination strategy and a long - spot + short - out - of - the - money call option strategy [12]. - **Eggs**: Construct a bear - spread put option strategy, a short - biased call + put option combination strategy [13]. - **Apples**: Build a long - biased call + put option combination strategy [13]. - **Jujubes**: Build a long - biased wide - straddle option combination strategy and a long - spot + short - out - of - the - money call option strategy [14]. 3.5.3 Soft Commodity Options - **Sugar**: Build a short - biased call + put option combination strategy and a long collar strategy for spot hedging [14]. - **Cotton**: Build a short - biased call + put option combination strategy and a long - spot + long - put + short - out - of - the - money call option strategy [15]. 3.5.4 Grain Options - **Corn**: Build a short - biased call + put option combination strategy [15].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The agricultural product options market shows a mixed trend, with oilseeds and oils in a weak and volatile state, while some agricultural by - products and soft commodities are in a volatile or weak - consolidating situation. - 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 - Various agricultural product futures show different price changes. For example, the latest price of soybean A2511 is 3,938, down 2 (-0.05%); the price of soybean meal M2511 is 2,903, down 13 (-0.45%); and the price of palm oil P2511 is 9,224, up 16 (0.17%) [3]. 3.2 Option Factors - Volume and Open Interest PCR - Different option varieties have different volume and open - interest PCR values and their changes. For instance, the volume PCR of soybean A is 0.42, down 0.06; the open - interest PCR is 0.47, up 0.02 [4]. 3.3 Option Factors - Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure level of soybean A is 4000, and the support level is 3900; the pressure level of soybean meal is 3100, and the support level is 3050 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility varies among different option varieties. For example, the weighted implied volatility of soybean A is 13.00, up 0.26; the weighted implied volatility of soybean meal is 16.37, up 0.45 [6]. 3.5 Option Strategies for Different Product Categories 3.5.1 Oilseeds and Oils Options - **Soybean A**: The implied volatility is below the historical average. The recommended strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [8]. - **Soybean Meal**: The implied volatility is below the historical average. Directional strategy: construct a bear - spread put option combination; volatility strategy: construct a short - biased call + put option combination; spot hedging: use a long collar strategy [10]. - **Palm Oil**: The implied volatility is falling below the historical average. Volatility strategy: construct a short - biased call + put option combination; spot hedging: use a long collar strategy [11]. - **Peanut**: The implied volatility is at a relatively high historical level. Directional strategy: construct a bear - spread put option combination; spot hedging: hold a long position in the spot + buy a put option + sell an out - of - the - money call option [12]. 3.5.2 Agricultural By - products Options - **Pig**: The implied volatility is above the historical average. Volatility strategy: construct a short - biased call + put option combination; spot covered strategy: hold a long position in the spot + sell an out - of - the - money call option [12]. - **Egg**: The implied volatility is relatively high. Directional strategy: construct a bear - spread put option combination; volatility strategy: construct a short - biased call + put option combination [13]. - **Apple**: The implied volatility is above the historical average. Volatility strategy: construct a long - biased call + put option combination [13]. - **Jujube**: The implied volatility is rising above the historical average. Volatility strategy: construct a short - biased strangle option combination; spot covered hedging strategy: hold a long position in the spot + sell an out - of - the - money call option [14]. 3.5.3 Soft Commodities Options - **Sugar**: The implied volatility is at a relatively low historical level. Volatility strategy: construct a short - biased call + put option combination; spot hedging: use a long collar strategy [14]. - **Cotton**: The implied volatility is at a low level. Volatility strategy: construct a short - biased call + put option combination; spot covered strategy: hold a long position in the spot + buy a put option + sell an out - of - the - money call option [15]. 3.5.4 Grains Options - **Corn**: The implied volatility is at a relatively low historical level. Volatility strategy: construct a short - biased call + put option combination [15].

Group 1: Report Overview - Report Date: September 23, 2025 [1] - Report Cycle: Daily [1] - Research Variety: Live Pigs [1] - Researcher: Qi Jianhua [1] Group 2: Futures Market 2.1 Contract Market - The lh2511 contract of live pigs showed a volatile and weak trend throughout the day on September 23, 2025, closing at 12,665 points, down 1.48% from the previous day, with a trading volume of 44,700 lots and an open interest of 93,500 lots [2] 2.2 Variety Price - All contracts of live pig futures generally declined, and the total open interest of the variety was 249,995 lots, an increase of 2,354 lots from the previous trading day [4] 2.3 Related Market - The total trading volume of live pig options was 16,057 lots, the total open interest was 54,341 lots, an increase of 1,481 lots, and the total number of exercised options was 0 [7] Group 3: Spot Market 3.1 Basis Data - Yesterday's live pig basis was 275 yuan/ton, and today's basis is 340 yuan/ton, an increase of 65 yuan/ton from the previous trading day, indicating a slight expansion of the basis [8][9] 3.2 Registered Warehouse Receipts - The number of registered warehouse receipts for live pigs decreased by 1 lot compared to the previous trading day [10][11] Group 4: Influencing Factors 4.1 Industry News - From September 8 - 14, 2025, the average purchase price of live pigs by designated slaughtering enterprises was 14.67 yuan/kg, a month - on - month decrease of 1.4% and a year - on - year decrease of 28.0%. The average ex - factory price of白条肉 was 18.94 yuan/kg, a month - on - month decrease of 1.2% and a year - on - year decrease of 27.7% [12] 4.2 Technical Analysis - The current short - term trend of the lh2511 contract of live pigs continues, with moving averages in a short - term arrangement and significant price pressure [13] Group 5: Market Outlook - The supply pressure in the live pig market has not been substantially alleviated, and the support of pre - holiday stocking for prices is less than expected, causing the price rebound to be blocked. In the futures market, the lh2511 contract is in a downward trend, dominated by short - term bears, with significant suppression from moving averages. In the short term, the price of the lh2511 contract may still show a volatile and weak trend [15]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The agricultural product options market shows different trends across various sectors. Oilseeds and oils are weakly volatile, while agricultural by - products, soft commodities, and grains maintain their respective oscillating patterns. It is recommended to construct option combination strategies mainly based on sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Different agricultural product futures show diverse price changes. For example, the latest price of soybean No.1 (A2511) is 3,898, with a rise of 6 and a rise - fall rate of 0.15%; the latest price of soybean No.2 (B2511) is 3,670, with no change [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open - interest PCR of different options vary. For instance, the volume PCR of soybean No.1 is 0.57 with a change of 0.01, and the open - interest PCR is 0.43 with a change of 0.01 [4]. 3.3 Option Factors - Pressure and Support Levels - Each option has its corresponding pressure and support levels. For example, the pressure point of soybean No.1 is 3,950 and the support point is 3,900 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different options also shows differences. For example, the at - the - money implied volatility of soybean No.1 is 9.91%, and the weighted implied volatility is 12.19% with a change of - 0.98% [6]. 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The fundamental situation of US soybeans has a neutral - to - negative impact. The option strategy includes constructing a selling option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The daily提货量 of soybean meal has increased, and the basis has decreased. The option strategies include a bear spread strategy for direction and a selling option combination strategy for volatility, as well as a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The palm oil inventory in Malaysia is expected to increase. The option strategies include a selling option combination strategy and a long collar strategy for spot hedging [10]. - **Peanuts**: The price of peanuts shows a weak consolidation pattern. The option strategies include a bear spread strategy and a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - products Options - **Pigs**: The supply pressure of pigs is large. The option strategies include a selling 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 a bear spread strategy and a selling option combination strategy, but no spot hedging strategy [12]. - **Apples**: The consumption market of apples is warming up. The option strategies include a selling option combination strategy, but no spot hedging strategy [12]. - **Jujubes**: The inventory of jujubes has decreased slightly. The option strategies include a wide - straddle selling strategy and a covered call strategy for spot hedging [13]. 3.5.3 Soft Commodities Options - **Sugar**: The low inventory of domestic sugar supports the price, but the sales volume is lower than expected. The option strategies include a selling option combination strategy and a long collar strategy for spot hedging [13]. - **Cotton**: The开机率 of spinning and weaving mills has changed, and the commercial inventory has decreased. The option strategies include a selling option combination strategy and a covered call strategy for spot [14]. 3.5.4 Grains Options - **Corn and Starch**: The corn yield is expected to increase. The option strategies include a selling option combination strategy, but no spot hedging strategy [14].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The agricultural product options market shows a mixed trend, with oilseeds and oils, and some agricultural by - products in a weak and volatile state, while soft commodities like sugar and cotton also present different degrees of weak fluctuations [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 - Various agricultural product futures show different price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2511) decreased by 0.49% to 3,895, with a trading volume of 12.17 million lots and an open interest of 22.65 million lots [3]. 3.2 Option Factors 3.2.1 Volume - to - Open - Interest PCR - Different option varieties have different volume - to - open - interest PCR values and their changes. For instance, the volume PCR of soybean No.1 is 0.55 with a change of 0.13, and the open - interest PCR is 0.42 with a change of 0.01 [4]. 3.2.2 Pressure and Support Levels - Each option variety has corresponding pressure and support levels. For example, the pressure level of soybean No.1 is 3,950 and the support level is 3,900 [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 10.555%, and the weighted implied volatility is 13.17% with a change of - 0.34% [6]. 3.3 Strategy and Recommendations 3.3.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The fundamentals of US soybeans have a neutral - to - negative impact. The implied volatility of soybean No.1 options remains at a relatively high level compared to historical averages. Directional strategies are not recommended, while a volatility strategy of selling a neutral call + put option combination is suggested, along with a spot long - hedging strategy of a long collar [7]. - **Soybean Meal and Rapeseed Meal**: For soybean meal, the daily提货 volume increased slightly, the basis decreased week - on - week, and the inventory increased week - on - week but decreased year - on - year. A bear - spread strategy for put options and a volatility strategy of selling a bearish call + put option combination are recommended, along with a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The palm oil inventory in Malaysia reached a 20 - month high. A volatility strategy of selling a bullish call + put option combination and a long collar strategy for spot hedging are recommended for palm oil [10]. - **Peanuts**: The price of peanuts showed a weak consolidation pattern. A bear - spread strategy for put options and a long collar strategy for spot hedging are recommended [11]. 3.3.2 Agricultural By - products Options - **Pigs**: The supply pressure in September is large, and the market is in a weak consolidation state. A volatility strategy of selling a bearish call + put option combination and a covered call strategy for spot are recommended [11]. - **Eggs**: The inventory of laying hens is expected to increase. A bear - spread strategy for put options and a volatility strategy of selling a bearish call + put option combination are recommended [12]. - **Apples**: The consumption market of apples is gradually warming up. A volatility strategy of selling a bullish call + put option combination is recommended [12]. - **Jujubes**: The inventory of jujubes decreased slightly. A volatility strategy of selling a bearish strangle option combination and a covered call strategy for spot hedging are recommended [13]. 3.3.3 Soft Commodities Options - **Sugar**: The low inventory of domestic sugar supports the price, but the sales volume in August was lower than expected. A volatility strategy of selling a bearish call + put option combination and a long collar strategy for spot hedging are recommended [13]. - **Cotton**: The开机率 of spinning and weaving factories and the commercial inventory of cotton have different changes. A volatility strategy of selling a bullish call + put option combination and a covered call strategy for spot are recommended [14]. 3.3.4 Cereal Options - **Corn and Starch**: The corn production is expected to increase. A volatility strategy of selling a bearish call + put option combination is recommended for corn [14].

Report Summary 1. Report Information - Report Date: September 10, 2025 [1] - Report Cycle: Daily - Research Variety: Live Hogs - Researcher: Qi Jianhua [1] 2. Investment Rating - No investment rating is provided in the report. 3. Core Viewpoints - The current supply - demand pattern in the live hog market remains loose, with weak upward momentum in the spot market prices. The market focuses on the slaughter rhythm of large - scale farms, the selling intensity of secondary fattening hogs, and the effects of policy regulation. - The moving averages on the futures market show a bearish arrangement, indicating that the downward momentum has not subsided. In the short term, the price of the lh2511 contract is expected to show a weak and oscillating trend at a low level. [15] 4. Summary by Section 4.1 Futures Market - **Contract Quotes**: On September 10, 2025, the lh2511 contract of live hog futures showed an upward trend throughout the day, closing at 13,315 points, up 0.64% from the previous day. The daily trading volume was 32,600 lots, and the open interest was 75,700 lots. [2] - **Variety Prices**: All contracts of live hog futures rose. The total open interest of the variety was 194,143 lots, a decrease of 1,362 lots from the previous trading day. [4] - **Related Quotes**: The daily trading volume of live hog options was 10,649 lots, and the total open interest was 35,378 lots, an increase of 679 lots. The total number of exercised options on the day was 0 lots. [7] 4.2 Spot Market - **Basis Data**: Today's live hog basis was 280 yuan/ton, compared with 490 yuan/ton yesterday, a decrease of 210 yuan/ton from the previous trading day, indicating a slight convergence of the basis. [8][9] - **Registered Warehouse Receipts**: The number of registered warehouse receipts for live hogs remained unchanged from the previous day, with a total of 428 lots. [10] 4.3 Influencing Factors - **Industry News**: The Ministry of Commerce has implemented anti - dumping measures on imported pork from the EU since September 10, which will increase the cost of imported pork, reduce external supply pressure, and may support the domestic live hog market. [12] - **Technical Analysis**: The short - term moving averages such as the 5 - day and 10 - day moving averages of the lh2511 contract of live hog futures show a significant downward slope, indicating strong downward momentum in the near - term price. The long - term moving averages such as the 60 - day moving average also show signs of turning downward. [13]

1. Report Information - The report is a daily report on live hog futures, dated September 3, 2025, and the researcher is Qi Jianhua [1] 2. Futures Market 2.1 Contract Quotes - On September 3, 2025, the live hog lh2511 futures contract opened high and closed low, closing at 13,550 points, down 0.15% from the previous day, with a trading volume of 19,400 lots and an open interest of 73,600 lots [2] 2.2 Variety Prices - The prices of live hog futures contracts showed mixed performance throughout the day, with a total open interest of 180,527 lots, an increase of 384 lots from the previous trading day [4] 2.3 Related Quotes - The daily trading volume of live hog options was 5,004 lots, with a total open interest of 30,284 lots, an increase of 440 lots, and the total number of exercises on the day was 0 [7] 3. Spot Market 3.1 Basis Data - The live hog basis today was 315 yuan/ton, down 40 yuan/ton from the previous trading day, indicating a slight convergence [8] 3.2 Registered Warehouse Receipts - The registered warehouse receipts of live hogs were 430 lots, with no change from the previous day [9][10] 4. Influencing Factors 4.1 Industry News - The national benchmark price of live hogs was 13.85 yuan/kg, down 0.14% day-on-day, still at a four-year low; the price in Deyang, Sichuan was 13.6 yuan/kg, and in Harbin, Heilongjiang was 13.4 yuan/kg, with a regional price difference of only 0.2 yuan/kg [10] 4.2 Technical Analysis - The short, medium, and long-term moving averages of the live hog lh2511 futures contract showed a typical short position arrangement, and the deviation values increased step by step. The short-term was oversold, but the trend remained unchanged [11] 5. Market Outlook - The current situation of "strong supply and average demand" in the live hog spot market remains unchanged, and the price is mainly in a narrow range of fluctuating downward. On the futures market, the price of the live hog lh2511 contract is running below the 20-day moving average and is still in a downward channel. Indicators show that the short side is dominant. If the market sentiment remains pessimistic, the price may weaken further in the short term [12]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - In August 2025, the weight reduction in the pig industry led to an increase in slaughter volume, causing both futures and spot prices to reach new lows for the year [1][6]. - The overall atmosphere of "anti - involution" drives up the prices of risk assets, and domestic inflation expectations are likely to rise. Policy signals to support the pig market are released, but the short - term supply pressure is high due to weight reduction. For the second half of 2025, if the macro - expectations continue to strengthen, there are conditions for the valuation of low - priced pig futures to be revised upwards [3][4]. - The industry's production efficiency has improved, but the overall expansion is slow. The supply in the second half of 2025 may not be worse than in 2023, and it is recommended to go long on pig futures at low prices or buy call options near the cost [3][4]. Summary by Directory 2025 August Pig Futures and Spot Price Review - In August, the futures and spot prices of pigs fluctuated and declined, with the 2509 contract hitting a new low for the year. The decline was affected by factors such as the increase in slaughter volume due to weight reduction and the weak terminal consumption [6][25]. - Historically, the pig price in August usually shows an upward trend, but in 2025, it went against the season and weakened [41]. Pig Production Capacity and Slaughter Situation - The current inventory of breeding sows is in the green reasonable range, with a cumulative increase of about 3% compared to March 2024 [44][45]. - Group enterprises' capital expenditure has significantly decreased year - on - year, the price of reserve sows has been stable, and market speculation has declined [46][49]. - The production efficiency of single sows has improved, and the gap between leading enterprises is gradually narrowing. In 2025, pig slaughter volume has increased due to the recovery of breeding sow capacity and improved production efficiency, but the growth rate may not be large [51][54][55]. Listed Pig Enterprises - In 2025, the overall profitability of leading listed pig companies has expanded, but the monthly sales volume of piglets has decreased [60][63]. - The asset - liability ratio of listed companies is at a historically high level [66]. Near - term Supply and Demand Fundamentals - From July to August, the industry's weight reduction led to an increase in slaughter volume, and the current weight is still at a high level compared to the same period in history. In August, the slaughter volume rebounded significantly and was higher than that in 2023 [70][72]. - The import volume of pork and offal has declined from a high level, and the frozen product inventory rebounded slightly at a low level in August 2025 [75][78]. - The current monthly average profit level is at the historical median. In July, the profit of purchasing piglets for fattening was near the break - even point, and in August, it started to make losses [81]. August Futures Price Review - The pig futures index rebounded from a historical low, and the trading volume and open interest increased significantly month - on - month and year - on - year [83]. - The near - month contract made up for the decline compared to the spot price, and the premium of the far - month contract in the peak season expanded under the support of policies [86][89]. - The basis is stronger than in previous years, and attention should be paid to the way of the regression of spot and futures prices in the third quarter [95]. - In August, the spread trading showed a reverse spread trend, and the volatility of the 2601 contract declined [98][104]. Conclusion - The industry is currently in the process of weight reduction and capacity reduction. Attention should be paid to whether the supply pressure can be alleviated in the fourth quarter. In trading, it is recommended to go long on the 2511 contract at low prices or conduct spread trading between 2601 and 2605, and sell wide - straddle option spreads when the volatility is high [106].

Group 1 - The listing of egg, corn starch, and live pig options has provided more refined and flexible risk management tools for related industry chain enterprises, aiding in stable production and operation [2][3] - Sichuan Green Science Poultry Co., Ltd. utilizes options to lock in profits and reduce costs, demonstrating the unique value of options in volatile markets [2] - Zhu Cheng Xingmao Corn Development Co., Ltd. employs various hedging strategies using corn starch options to manage inventory costs and mitigate risks associated with unexecuted orders [2] Group 2 - Sichuan Dekang Agricultural and Animal Husbandry Food Group highlights that live pig options help in hedging price risks and enhancing operational flexibility, making options a necessary tool for many enterprises facing market uncertainties [3] - The options market has shown a robust participation trend, with the three listed options forming a good market engagement atmosphere, providing diversified risk management tools for enterprises [3] - The Dalian Commodity Exchange plans to optimize option contract rules and enhance training and promotion activities to improve industry client participation and support stable operations [3]