A股窄幅震荡，临近长假，防守为主，或做多波动率

1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core View of the Report - This week, the A - share market showed a narrow - range oscillation, with daily trading volume remaining above one trillion. For index options, the overall strategy is to focus on defense or go long on volatility. Specifically, for index options, the trend strategy is to focus on defense, and the volatility strategy is to buy wide - straddle options after the decline in volatility to go long on volatility. For example, for the CSI 300 index, the weekly K - line showed three consecutive positives, but the Wednesday color K - line indicator remained green, and the daily three - color K - line indicator turned red. For the CSI 1000 index, the daily line first rose and then declined, and the weekly line returned to the 120 - week moving average. For the SSE 50 index, it remained above the 850 - day moving average, and the daily three - color K - line indicator remained red [2] 3. Summary According to the Table of Contents 3.1 CSI 300 Index Options (IO) - Index performance: The CSI 300 index had a narrow - range oscillation. The weekly K - line showed three consecutive positives, but the Wednesday color K - line indicator remained green, and the daily three - color K - line indicator turned red [10][12] - Option data: The 2505 contract of CSI 300 index options had the maximum open - interest strike prices of call and put options both at 3800, and the option pain point was also 3800. The implied volatility first decreased and then increased. The current - month IF futures contract was at a discount to the underlying, and the spot - futures basis narrowed, while the basis of the next - month contract at a discount to the current - month contract widened. The trading volume of IO options decreased, and the open interest increased. The trading volume PCR of options decreased, and the open - interest PCR increased [14][17][20] 3.2 CSI 1000 Index Options (MO) - Index performance: The CSI 1000 index's daily line first rose and then declined, and the weekly line returned to the 120 - week moving average. The Wednesday color K - line indicator remained green, and the daily three - color K - line indicator turned red [38][41] - Option data: The 2505 contract of CSI 1000 index options had the maximum open - interest strike prices of call and put options at 6000 and 5800 respectively, and the option pain point was 5900. The implied volatility first decreased and then increased. The current - month IM futures contract was at a discount to the underlying, and the spot - futures basis narrowed, while the basis of the next - month contract at a discount to the current - month contract widened. The trading volume of MO options decreased, and the open interest increased. The trading volume PCR of options decreased, and the open - interest PCR increased [43][46][49] 3.3 SSE 50 Index Options (HO) - Index performance: The SSE 50 index remained above the 850 - day moving average. The weekly K - line closed in the negative, and the Wednesday color K - line indicator remained gray, while the daily three - color K - line indicator remained red [67][69] - Option data: The 2505 contract of SSE 50 index options had the maximum open - interest strike prices of call and put options at 2750 and 2650 respectively, and the option pain point was 2650. The implied volatility increased. The current - month IH futures contract was at a discount to the underlying, and the spot - futures basis narrowed, while the basis of the next - month contract at a discount to the current - month contract widened. The trading volume of HO options increased, and the open interest increased. Both the trading volume PCR and open - interest PCR of options increased [71][73][77]