笔者所在期货风险管理公司从A企业实际需求与市场走势出发，为其设计买入增强熔断累计看跌期权方 案。该方案以LH2509合约为标的，由敲入价和敲出价共同构成累计区间，并实行每日观察收盘价、每 日结算模式。2025年4月24日，A企业以买入LH2509合约增强熔断累计看跌期权，每日观察16吨。 执行过程 增强熔断累计看跌期权可以从两个方面实现套保点位增强：其一，当LH2509合约收盘价落在 14060~14300元/吨时，总能获得高于当前盘面价格的空单进行库存套保；其二，当盘面价格快速下跌， 并跌破敲出价格14060元/吨时，一次性获得成本为期权期初入场价14180元/吨的剩余未观察总量空单， 获得的空单点位一定高于熔断当日收盘价格，避免传统累计结构下因敲出而无法获得套保空单的弊端。 从市场行情看，2025年上半年，生猪价格持续震荡，且头均养殖利润收窄至100元/头以下。对生猪养殖 企业而言，使用场外期权进行套保，不仅能够实现风险管理，还能降低资金占用、提高资金使用效率。 项目流程 定制套保方案 2025年4月，我国对进口自美国的大豆、玉米及肉类产品加征关税，导致进口成本上升，生猪现货价格 随之上涨。此外，二次育肥 ...

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report suggests that the price of live pigs will experience an oscillatory adjustment. The supply of live pigs is expected to be abundant, which makes it difficult for pig prices to rise significantly. However, the demand side also provides some support, preventing obvious price drops. It is not recommended to chase long positions [4]. 3. Summary by Sections 3.1 Market Dynamics - On July 7, the registered warehouse receipts of live pigs were 447 lots [2]. - After the recovery of the slaughter volume, the spot price has recently oscillated downward, and the LH2509 contract has also adjusted weakly [2]. - The main contract (LH2509) reduced its positions by 3,761 lots today, with a position of about 70,000 lots. The highest price was 14,310 yuan/ton, the lowest price was 14,205 yuan/ton, and it closed at 14,245 yuan/ton [2]. 3.2 Fundamental Analysis - From the perspective of the number of breeding sows, the supply of live pigs is expected to increase monthly from March to December, but the increase is limited. According to the piglet data, the slaughter volume of live pigs will generally increase oscillatingly in the second and third quarters of 2025. The first half of the year is the off - season for demand, while the second half is the peak season [3]. - Based on historical situations and current fundamentals, the fat - standard spread may oscillate and adjust [3]. - The short - side logic includes slow weight reduction in the breeding end, continuous increase in subsequent slaughter volume, and limited demand support for pig prices as the second and third quarters are not the consumption peak season. The long - side logic includes the potential increase in frozen product inventory, strong resilience of spot prices indicating a less loose supply - demand situation than the short - side believes, and the limited increase in subsequent slaughter volume along with the approaching of the consumption peak season in the third and fourth quarters [3]. 3.3 Strategy Suggestion - The view is oscillatory adjustment [4]. - The core logic is that the slaughter volume of live pigs may increase monthly until December based on sow and piglet data, making it difficult for pig prices to rise significantly under abundant supply. The current "weight reduction - stable pig price" relationship in the spot market shows demand support, preventing obvious price drops. The 2509 contract is almost at par with the price trough, and the recent price increase may be due to low slaughter volume. If the slaughter returns to normal, the price increase is likely unsustainable, so chasing long is not recommended [4]. 3.4 Market Overview - The national average live pig slaughter price on July 7 was 14.87 yuan/kg, a decrease of 0.07 yuan/kg or 0.47% from July 4 [6]. - The slaughter price in Henan increased by 0.07 yuan/kg or 0.47% to 15.07 yuan/kg, while that in Sichuan remained unchanged at 14.41 yuan/kg [6]. - Among futures prices, the 01, 03, 05, and 07 contracts increased, with increases ranging from 0.11% to 1.59%, while the 09 and 11 contracts decreased by 0.42% and 0.26% respectively [6]. - The main basis in Henan decreased by 190 yuan/ton or 18.72% to 825 yuan/ton [6]. 3.5 Key Data Tracking - The report provides data on the closing prices of futures contracts in the past 180 days, the basis of the main live pig contract in Henan, the price differences between the 09 - 11 and 11 - 01 contracts, with data sources from Yongyi Consulting, Wind, and Rongda Futures [14].

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoint The report predicts that the price of live pigs will experience a period of oscillatory adjustment. The supply of live pigs is expected to be abundant, which will limit significant price increases. However, the demand side also provides some support, preventing significant price drops. It is not recommended to chase the rising prices [4]. 3. Summaries by Directory 3.1 Market Dynamics - On July 3, the registered warehouse receipts for live pigs were 450 lots [2]. - The spot price and the LH2509 contract both underwent oscillatory adjustment, awaiting new driving factors [2]. - The main contract (LH2509) reduced its positions by 4,273 lots, with a remaining position of approximately 79,700 lots. The highest price was 14,420 yuan/ton, the lowest was 14,250 yuan/ton, and it closed at 14,370 yuan/ton [2]. 3.2 Fundamental Analysis - Based on the data of sows and piglets, the supply of live pigs is expected to increase monthly from March to December, but the increase will be limited. The overall supply of live pigs in the second and third quarters of 2025 will increase in an oscillatory manner. The first half of the year is the off - season for demand, while the second half is the peak season [3]. - Based on historical data and current fundamentals, the fat - standard price difference may experience oscillatory adjustment [3]. - The bearish logic in the market includes slow weight reduction in the breeding sector, continuous increase in subsequent supply, and limited demand support in the second and third quarters. The bullish logic includes potential increase in frozen product inventory, strong resilience of spot prices, limited increase in subsequent supply, and the approaching of the peak consumption season in the third and fourth quarters [3]. 3.3 Strategy Suggestions - The recommended strategy is oscillatory adjustment [4]. - The core logic is that the supply of live pigs is expected to be abundant until December, which will limit significant price increases. The current "weight reduction - stable price" relationship in the spot market indicates that demand provides some support, preventing significant price drops. The 2509 contract is almost at the same level as the price trough, and the recent price increase may be due to reduced supply from the breeding sector. If the supply returns to normal, the price increase is unlikely to be sustainable, so it is not recommended to chase the rising prices [4]. 3.4 Market Overview - On July 3, the national average live pig slaughter price was 15.46 yuan/kg, a 1.05% increase from the previous day. The prices in different regions showed varying degrees of increase or decrease. For example, the price in Henan was 15.41 yuan/kg, a 0.26% decrease, and the price in Sichuan was 14.91 yuan/kg, a 1.22% increase [6]. - The futures prices of different contracts also showed different trends. For example, the 09 contract closed at 14,370 yuan/ton, a 0.21% increase from the previous day [6]. - The main contract basis in Henan decreased by 70 yuan/ton, a 6.31% decrease [6]. 3.5 Key Data Tracking - The report provides data tracking charts for futures contracts' closing prices in the past 180 days, the basis of the main live pig contract in Henan, the price difference between the 09 - 11 contracts, and the price difference between the 11 - 01 contracts [14].

Industry Investment Rating - No investment rating information is provided in the report. Core Viewpoints - This week (4.21 - 4.27), the spot price of live pigs fluctuated and adjusted, with the futures price showing weak performance. The average slaughter weight increased slightly, and the basis widened. Looking ahead to next week (4.28 - 4.30), the spot price of live pigs is expected to fluctuate weakly, and the pressure on the spot price is expected to increase in May. The trading logic of the futures market is gradually returning to the industrial logic, and attention should be paid to setting stop - loss and take - profit levels. The short - term support level for the LH2509 contract is 13,000 yuan/ton, and the pressure level is 15,000 yuan/ton [1][2][3] Summary by Directory This Week's Market Review (4.21 - 4.27) Spot Market - The price of 20KG piglets in Henan was 45.1 yuan/kg (45.2 yuan/kg last week), the price of live pigs in Henan was 14.95 yuan/kg (15.07 yuan/kg last week), and the price of 50KG binary sows nationwide was 1,635 yuan/head (unchanged from last week). The group's slaughter progress was basically in line with expectations, and retail farmers still had a sentiment of reluctant to sell. The demand for secondary fattening procurement remained at a relatively high level. The average national slaughter weight was 126.32KG (126KG last week), with a month - on - month increase of 0.25% [1] Futures Market - The highest price of the LH2509 contract of live pig futures this week was 14,580 yuan/ton, the lowest price was 13,530 yuan/ton, and the closing price was 14,150 yuan/ton (13,875 yuan/ton last week). The basis of the LH2509 contract was 800 yuan/ton (605 yuan/ton last week) [2] Next Week's Market Outlook (4.28 - 4.30) Spot Market - The spot price of live pigs is expected to fluctuate weakly. During the off - season, the group's adjustment of slaughter has a significant impact on prices. In April, secondary fattening continued to purchase and hold pigs, and the weight continued to increase. The spot price remained in a high - level oscillation. The progress of secondary fattening replenishment was nearly half, and the price difference between fat and lean pigs in the north and south was inverted. In terms of supply, after the replenishment from February to April, the vacancy rate of pens for retail farmers and secondary fattening has decreased, and the inventory accumulation progress has accelerated. The group's slaughter progress is in line with the plan, and the increase in slaughter volume in the second quarter is limited, with a more obvious increase in the third quarter. In terms of demand, it is currently the off - season for consumption, and the demand will drop significantly compared with the peak before the Spring Festival. However, the demand for frozen - to - fresh conversion has increased, and the total slaughter volume has increased year - on - year, maintaining an increasing trend in April. In terms of driving factors, the frozen product port is limited by the expected price peak and capital pressure, and hopes to start warehousing at a price of 13.5 yuan/kg or lower. The import tariff has a limited impact on the total volume, and the cost transmission range exists. Overall, there is still speculative demand support in mid - to - late April, and the inventory accumulation situation has not reached the critical point, but the price difference between the north and south is inverted, and the willingness to replenish at high prices has decreased. It is expected that the spot pressure will increase in May [2] Futures Market - The price of the LH2505 contract closed at 14,150 yuan/ton on April 25. The trend of the September contract this week confirmed the cooling of tariff and macro - sentiment, and the trading logic is gradually returning to the industrial logic. The enthusiasm for secondary fattening replenishment increased significantly in April, and the overall progress has exceeded half. Although the spot price is running strongly, the increase is less than that in the secondary fattening driving stage in previous years, which confirms that the total inventory is not low. As the temperature rises, the price difference between fat and lean pigs in the north and south is inverted. It is expected that the pressure on the spot price will increase in May, and attention should be paid to setting stop - loss and take - profit levels. The short - term support level for the LH2509 contract is 13,000 yuan/ton, and the pressure level is 15,000 yuan/ton [3] Basis and Spread - This week, the basis was 800 yuan/ton, and the spread between LH2507 and LH2509 was - 610 yuan/ton [9] Supply - The data shows the national piglet inventory and the inventory of breeding sows, but specific numerical information is not provided in the text. The weekly average weight was 126.32KG (126KG last week). In February, the pork production was 3.655 billion tons, a month - on - month decrease of 36.5%; in March, the pork import was 91,500 tons, a month - on - month increase of 9.62% [13] Price - The report presents various price charts, including the price trends of live pigs in Henan and Shandong, the average national wholesale price of pork, the average price trend of sows, the price trend of piglets, the ratio of pig to grain, and the cross - regional price difference trends, but specific numerical information is not provided in the text [13][14] Demand - The report shows charts of the weekly fresh sales rate of white - striped pork and the daily slaughter volume of slaughtering enterprises, but specific numerical information is not provided in the text [15]