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股票股指期权：上行降波，可考虑备兑策略
Guo Tai Jun An Qi Huo·2025-05-29 14:05

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core View Stock index options are experiencing upward price movements and decreasing volatility, and a covered call strategy can be considered [1]. 3. Summary of Each Section 3.1 Option Market Data Statistics - Underlying Market Statistics: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index were 2,690.89, 3,858.70, and 6,089.58 respectively, with increases of 7.83, 22.46, and 105.12. The trading volumes were 27.47 billion, 108.47 billion, and 189.38 billion shares respectively, with increases of 2.30 billion, 19.44 billion, and 30.27 billion shares [2]. - Option Market Statistics: The trading volumes of the Shanghai Composite 50 Index option, CSI 300 Index option, and CSI 1000 Index option were 22,188, 56,966, and 196,848 respectively, with increases of 11,072, 18,064, and 86,458. The open interests were 61,281, 165,536, and 251,432 respectively, with increases of 2,243, 1,733, and 3,916 [2]. 3.2 Option Indicator Data Statistics - Option Volatility Statistics (Near - term): The ATM - IV of the Shanghai Composite 50 Index option was 13.35%, with a change of 0.02%; the CSI 300 Index option was 13.23%, with a change of - 0.18%; the CSI 1000 Index option was 19.25%, with a change of - 1.89% [5]. - Option Volatility Statistics (Next - term): The ATM - IV of the Shanghai Composite 50 Index option was 13.96%, with a change of 0.23%; the CSI 300 Index option was 13.86%, with a change of - 0.62%; the CSI 1000 Index option was 20.19%, with a change of - 1.39% [5]. 3.3 Option Charts - Stock Index Options: There are various charts for Shanghai Composite 50 Index options, CSI 300 Index options, and CSI 1000 Index options, including PCR charts, skew charts, volatility cone charts, and volatility term structure charts [9][13][21]. - ETF Options: There are also corresponding charts for multiple ETF options such as Shanghai Composite 50ETF options, Huatai - Berich 300ETF options, etc., including PCR charts, skew charts, volatility cone charts, and volatility term structure charts [24][29][34].