金融期权策略早报-20250603

Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a weak and volatile trend [2]. - The implied volatility of financial options fluctuated at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for stock index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary by Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,347.49, down 15.96 points or 0.47%, with a trading volume of 443.4 billion yuan, a decrease of 10.4 billion yuan [3]. - The Shenzhen Component Index closed at 10,040.63, down 86.58 points or 0.85%, with a trading volume of 695.8 billion yuan, a decrease of 35.9 billion yuan [3]. - The Shanghai 50 Index closed at 2,678.70, down 12.20 points or 0.45%, with a trading volume of 57.6 billion yuan, an increase of 4.4 billion yuan [3]. - The CSI 300 Index closed at 3,840.23, down 18.47 points or 0.48%, with a trading volume of 199.4 billion yuan, a decrease of 10.1 billion yuan [3]. - The CSI 500 Index closed at 5,671.07, down 48.84 points or 0.85%, with a trading volume of 137.7 billion yuan, a decrease of 10.4 billion yuan [3]. - The CSI 1000 Index closed at 6,026.56, down 63.02 points or 1.03%, with a trading volume of 228 billion yuan, a decrease of 4.5 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The Shanghai 50 ETF closed at 2.749, down 0.005 or 0.18%, with a trading volume of 8.85 million lots, an increase of 8.7617 million lots, and a trading value of 2.428 billion yuan, a decrease of 0.05 billion yuan [4]. - The Shanghai 300 ETF closed at 3.959, down 0.007 or 0.18%, with a trading volume of 7.3703 million lots, an increase of 7.2812 million lots, and a trading value of 2.911 billion yuan, a decrease of 6.21 billion yuan [4]. - The Shanghai 500 ETF closed at 5.694, down 0.033 or 0.58%, with a trading volume of 3.3454 million lots, an increase of 3.3134 million lots, and a trading value of 1.904 billion yuan, an increase of 0.73 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.030, down 0.010 or 0.96%, with a trading volume of 17.1703 million lots, an increase of 16.936 million lots, and a trading value of 1.77 billion yuan, a decrease of 6.56 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.005, down 0.009 or 0.89%, with a trading volume of 3.8226 million lots, an increase of 3.7767 million lots, and a trading value of 0.384 billion yuan, a decrease of 0.79 billion yuan [4]. - The Shenzhen 300 ETF closed at 3.987, down 0.012 or 0.30%, with a trading volume of 1.5187 million lots, an increase of 1.5044 million lots, and a trading value of 0.604 billion yuan, an increase of 0.35 billion yuan [4]. - The Shenzhen 500 ETF closed at 2.272, down 0.017 or 0.74%, with a trading volume of 1.1149 million lots, an increase of 1.1037 million lots, and a trading value of 0.253 billion yuan, a decrease of 0.02 billion yuan [4]. - The Shenzhen 100 ETF closed at 2.647, down 0.020 or 0.75%, with a trading volume of 0.3502 million lots, an increase of 0.3479 million lots, and a trading value of 0.093 billion yuan, an increase of 0.33 billion yuan [4]. - The ChiNext ETF closed at 1.972, down 0.017 or 0.85%, with a trading volume of 6.6123 million lots, an increase of 6.5188 million lots, and a trading value of 1.304 billion yuan, a decrease of 5.46 billion yuan [4]. 3.3 Option Factor - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume was 918,600 contracts, an increase of 12,800 contracts; the open interest was 1,230,300 contracts, an increase of 62,000 contracts; the trading volume PCR was 1.15, an increase of 0.15; the open interest PCR was 0.98, a decrease of 0.00 [5]. - For the Shanghai 300 ETF option, the trading volume was 675,300 contracts, a decrease of 53,200 contracts; the open interest was 1,070,700 contracts, an increase of 49,800 contracts; the trading volume PCR was 1.03, an increase of 0.06; the open interest PCR was 0.82, a decrease of 0.02 [5]. - For the Shanghai 500 ETF option, the trading volume was 927,500 contracts, a decrease of 357,000 contracts; the open interest was 1,133,200 contracts, an increase of 10,100 contracts; the trading volume PCR was 1.00, an increase of 0.16; the open interest PCR was 1.02, a decrease of 0.07 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 358,700 contracts, a decrease of 185,800 contracts; the open interest was 1,277,500 contracts, an increase of 33,400 contracts; the trading volume PCR was 0.85, an increase of 0.17; the open interest PCR was 0.67, an increase of 0.00 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 100,500 contracts, a decrease of 48,500 contracts; the open interest was 420,500 contracts, an increase of 11,200 contracts; the trading volume PCR was 0.95, an increase of 0.23; the open interest PCR was 0.71, an increase of 0.02 [5]. - For the Shenzhen 300 ETF option, the trading volume was 88,000 contracts, a decrease of 11,200 contracts; the open interest was 195,900 contracts, an increase of 15,400 contracts; the trading volume PCR was 1.15, an increase of 0.25; the open interest PCR was 0.88, an increase of 0.01 [5]. - For the Shenzhen 500 ETF option, the trading volume was 98,600 contracts, a decrease of 30,000 contracts; the open interest was 271,800 contracts, an increase of 5,400 contracts; the trading volume PCR was 1.27, an increase of 0.35; the open interest PCR was 0.87, an increase of 0.02 [5]. - For the Shenzhen 100 ETF option, the trading volume was 29,600 contracts, a decrease of 8,800 contracts; the open interest was 85,600 contracts, an increase of 5,400 contracts; the trading volume PCR was 1.22, an increase of 0.11; the open interest PCR was 0.91, a decrease of 0.03 [5]. - For the ChiNext ETF option, the trading volume was 747,500 contracts, a decrease of 155,700 contracts; the open interest was 1,111,400 contracts, an increase of 77,700 contracts; the trading volume PCR was 1.06, an increase of 0.25; the open interest PCR was 0.75, a decrease of 0.03 [5]. - For the Shanghai 50 index option, the trading volume was 22,100 contracts, a decrease of 100 contracts; the open interest was 62,400 contracts, an increase of 1,100 contracts; the trading volume PCR was 0.64, an increase of 0.05; the open interest PCR was 0.64, a decrease of 0.00 [5]. - For the CSI 300 index option, the trading volume was 50,300 contracts, a decrease of 6,600 contracts; the open interest was 168,300 contracts, an increase of 2,800 contracts; the trading volume PCR was 0.71, an increase of 0.11; the open interest PCR was 0.67, a decrease of 0.00 [5]. - For the CSI 1000 index option, the trading volume was 131,400 contracts, a decrease of 65,500 contracts; the open interest was 254,200 contracts, an increase of 2,800 contracts; the trading volume PCR was 1.04, an increase of 0.08; the open interest PCR was 0.91, a decrease of 0.01 [5]. 3.4 Option Factor - Pressure and Support Points - For the Shanghai 50 ETF option, the underlying closing price was 2.749, the at-the-money strike price was 2.75, the pressure point was 2.80, the support point was 2.65 [7]. - For the Shanghai 300 ETF option, the underlying closing price was 3.959, the at-the-money strike price was 4.00, the pressure point was 4.00, the support point was 4.00 [7]. - For the Shanghai 500 ETF option, the underlying closing price was 5.694, the at-the-money strike price was 5.75, the pressure point was 5.75, the support point was 5.50 [7]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.030, the at-the-money strike price was 1.05, the pressure point was 1.05, the support point was 1.00 [7]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 1.005, the at-the-money strike price was 1.00, the pressure point was 1.05, the support point was 0.95 [7]. - For the Shenzhen 300 ETF option, the underlying closing price was 3.987, the at-the-money strike price was 4.00, the pressure point was 4.20, the support point was 3.80 [7]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.272, the at-the-money strike price was 2.25, the pressure point was 2.40, the support point was 2.15 [7]. - For the Shenzhen 100 ETF option, the underlying closing price was 2.647, the at-the-money strike price was 2.65, the pressure point was 2.65, the support point was 2.65 [7]. - For the ChiNext ETF option, the underlying closing price was 1.972, the at-the-money strike price was 1.95, the pressure point was 2.00, the support point was 1.95 [7]. - For the Shanghai 50 index option, the underlying closing price was 2,678.70, the at-the-money strike price was 2,700, the pressure point was 2,800, the support point was 2,600 [7]. - For the CSI 300 index option, the underlying closing price was 3,840.23, the at-the-money strike price was 3,850, the pressure point was 4,000, the support point was 3,900 [7]. - For the CSI 1000 index option, the underlying closing price was 6,026.56, the at-the-money strike price was 6,000, the pressure point was 6,200, the support point was 5,800 [7]. 3.5 Option Factor - Implied Volatility - For the Shanghai 50 ETF option, the at-the-money implied volatility was 13.03%, the weighted implied volatility was 13.85%, a decrease of 0.16%, the annual average was 17.93%, the call implied volatility was 13.59%, the put implied volatility was 14.10%, the 20-day historical volatility was 12.81%, and the implied - historical volatility difference was 1.04 [9]. - For the Shanghai 300 ETF option, the at-the-money implied volatility was 12.90%, the weighted implied volatility was 14.35%, a decrease of 0.00%, the annual average was 18.62%, the call implied volatility was 14.23%, the put implied volatility was 14.47%, the 20-day historical volatility was 13.42%, and the implied - historical volatility difference was 0.93 [9]. - For the Shanghai 500 ETF option, the at-the-money implied volatility was 16.43%, the weighted implied volatility was 17.78%, a decrease of 0.69%, the annual average was 23.51%, the call implied volatility was 17.30%, the put implied volatility was 18.21%, the 20-day historical volatility was 16.91%, and the implied - historical volatility difference was 0.87 [9]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 22.12%, the weighted implied volatility was 25.57%, an increase of 0.50%, the annual average was 35.55%, the call implied volatility was 25.33%, the put implied volatility was 25.86%, the 20-day historical volatility was 24.88%, and the implied - historical volatility difference was 0.69 [9]. - For the E Fund Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 21.96%, the weighted implied volatility was 26.52%, an increase of 0.04%, the annual average was 35.98%, the call implied volatility was 26.74%, the put implied volatility was 26.29%, the 20-day historical volatility was 25.21%, and the implied - historical volatility difference was 1.31 [9]. - For the Shenzhen 300 ETF option, the at-the-money implied volatility was 13.21%, the weighted implied volatility was 15.97%, a decrease of 0.26%, the annual average was 19.81%, the call implied volatility was 15.36%, the put implied volatility was 16.50%, the 20-day historical volatility was 14.73%, and the implied - historical volatility difference was 1.24 [9]. - For the Shenzhen 500 ETF option, the at-the-money implied volatility was 17.02%, the weighted implied volatility was 19.94%,