金融期权策略早报-20250605

Report Industry Investment Rating - No relevant content provided 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 consolidating and oscillating market [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 index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and short or long futures [2]. 3. Summary by Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,376.20, up 14.23 points or 0.42%, with a trading volume of 446.8 billion yuan and a volume change of -21.4 billion yuan [3]. - The Shenzhen Component Index closed at 10,144.58, up 87.41 points or 0.87%, with a trading volume of 706.2 billion yuan and a volume change of 33.1 billion yuan [3]. - The SSE 50 Index closed at 2,690.82, up 3.53 points or 0.13%, with a trading volume of 51.1 billion yuan and a volume change of -8 billion yuan [3]. - The CSI 300 Index closed at 3,868.74, up 16.73 points or 0.43%, with a trading volume of 211.7 billion yuan and a volume change of -15 billion yuan [3]. - The CSI 500 Index closed at 5,739.01, up 44.17 points or 0.78%, with a trading volume of 150.3 billion yuan and a volume change of -9.7 billion yuan [3]. - The CSI 1000 Index closed at 6,123.17, up 53.14 points or 0.88%, with a trading volume of 232 billion yuan and a volume change of -2.3 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 2.755, up 0.007 or 0.25%, with a trading volume of 3.1802 million lots and a volume change of 3.1301 million lots, and a trading value of 877 million yuan and a value change of -501 million yuan [4]. - The SSE 300 ETF closed at 3.974, up 0.017 or 0.43%, with a trading volume of 4.6454 million lots and a volume change of 4.5858 million lots, and a trading value of 1.846 billion yuan and a value change of -515 million yuan [4]. - The SSE 500 ETF closed at 5.749, up 0.046 or 0.81%, with a trading volume of 1.0953 million lots and a volume change of 1.0815 million lots, and a trading value of 629 million yuan and a value change of -155 million yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.040, up 0.006 or 0.58%, with a trading volume of 12.6952 million lots and a volume change of 12.5437 million lots, and a trading value of 1.319 billion yuan and a value change of -250 million yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.014, up 0.006 or 0.60%, with a trading volume of 2.8356 million lots and a volume change of 2.8007 million lots, and a trading value of 287 million yuan and a value change of -65 million yuan [4]. - The Shenzhen 300 ETF closed at 4.007, up 0.018 or 0.45%, with a trading volume of 1.2831 million lots and a volume change of 1.2760 million lots, and a trading value of 514 million yuan and a value change of 234 million yuan [4]. - The Shenzhen 500 ETF closed at 2.295, up 0.017 or 0.75%, with a trading volume of 394,700 lots and a volume change of 388,400 lots, and a trading value of 91 million yuan and a value change of -53 million yuan [4]. - The Shenzhen 100 ETF closed at 2.663, up 0.019 or 0.72%, with a trading volume of 246,900 lots and a volume change of 245,700 lots, and a trading value of 66 million yuan and a value change of 34 million yuan [4]. - The ChiNext ETF closed at 2.000, up 0.023 or 1.16%, with a trading volume of 7.3891 million lots and a volume change of 7.3315 million lots, and a trading value of 1.476 billion yuan and a value change of 336 million yuan [4]. 3.3 Option Factor - Volume and Position PCR - For the SSE 50 ETF option, the trading volume was 634,500 lots with a volume change of -239,200 lots, the open interest was 1.2719 million lots with a position change of -51,700 lots, the volume PCR was 0.95 with a change of -0.18, and the position PCR was 0.97 with a change of -0.04 [5]. - For the SSE 300 ETF option, the trading volume was 554,600 lots with a volume change of -86,300 lots, the open interest was 1.0916 million lots with a position change of -31,900 lots, the volume PCR was 0.93 with a change of -0.10, and the position PCR was 0.85 with a change of -0.00 [5]. - For the SSE 500 ETF option, the trading volume was 954,000 lots with a volume change of 2,000 lots, the open interest was 1.1561 million lots with a position change of -32,500 lots, the volume PCR was 0.95 with a change of -0.02, and the position PCR was 1.18 with a change of 0.13 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 310,000 lots with a volume change of -65,000 lots, the open interest was 1.3329 million lots with a position change of -4,300 lots, the volume PCR was 0.74 with a change of -0.06, and the position PCR was 0.69 with a change of 0.01 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 98,000 lots with a volume change of -13,100 lots, the open interest was 427,100 lots with a position change of -5,400 lots, the volume PCR was 0.89 with a change of 0.02, and the position PCR was 0.71 with a change of 0.01 [5]. - For the Shenzhen 300 ETF option, the trading volume was 78,200 lots with a volume change of -5,800 lots, the open interest was 208,000 lots with a position change of 5,100 lots, the volume PCR was 0.90 with a change of -0.24, and the position PCR was 0.91 with a change of 0.00 [5]. - For the Shenzhen 500 ETF option, the trading volume was 83,500 lots with a volume change of -21,200 lots, the open interest was 294,200 lots with a position change of 8,100 lots, the volume PCR was 1.03 with a change of -0.07, and the position PCR was 0.96 with a change of 0.04 [5]. - For the Shenzhen 100 ETF option, the trading volume was 39,300 lots with a volume change of -4,400 lots, the open interest was 100,700 lots with a position change of 6,100 lots, the volume PCR was 0.67 with a change of -0.56, and the position PCR was 0.87 with a change of -0.03 [5]. - For the ChiNext ETF option, the trading volume was 694,200 lots with a volume change of 0 lots, the open interest was 1.2186 million lots with a position change of 41,000 lots, the volume PCR was 1.03 with a change of -0.02, and the position PCR was 0.83 with a change of 0.03 [5]. - For the SSE 50 index option, the trading volume was 14,300 lots with a volume change of -6,800 lots, the open interest was 64,800 lots with a position change of 1,100 lots, the volume PCR was 0.67 with a change of 0.03, and the position PCR was 0.62 with a change of 0.00 [5]. - For the CSI 300 index option, the trading volume was 44,100 lots with a volume change of -6,400 lots, the open interest was 174,700 lots with a position change of 2,700 lots, the volume PCR was 0.55 with a change of -0.19, and the position PCR was 0.67 with a change of 0.00 [5]. - For the CSI 1000 index option, the trading volume was 123,100 lots with a volume change of -300 lots, the open interest was 265,800 lots with a position change of 4,900 lots, the volume PCR was 0.94 with a change of -0.02, and the position PCR was 0.97 with a change of 0.03 [5]. 3.4 Option Factor - Pressure and Support Points - For the SSE 50 ETF option, the underlying closing price was 2.755, the at-the-money strike price was 2.75, the pressure point was 2.80 with an offset of 0.00, the support point was 2.70 with an offset of 0.00, the maximum call open interest was 100,697, and the maximum put open interest was 79,544 [7]. - For the SSE 300 ETF option, the underlying closing price was 3.974, the at-the-money strike price was 4.00, the pressure point was 4.00 with an offset of 0.00, the support point was 4.00 with an offset of 0.00, the maximum call open interest was 109,666, and the maximum put open interest was 85,902 [7]. - For the SSE 500 ETF option, the underlying closing price was 5.749, the at-the-money strike price was 5.75, the pressure point was 6.00 with an offset of 0.25, the support point was 5.50 with an offset of 0.00, the maximum call open interest was 86,976, and the maximum put open interest was 116,578 [7]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.040, the at-the-money strike price was 1.05, the pressure point was 1.05 with an offset of 0.00, the support point was 1.00 with an offset of 0.00, the maximum call open interest was 140,729, and the maximum put open interest was 86,735 [7]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 1.014, the at-the-money strike price was 1.00, the pressure point was 1.05 with an offset of 0.00, the support point was 0.95 with an offset of 0.00, the maximum call open interest was 54,095, and the maximum put open interest was 26,273 [7]. - For the Shenzhen 300 ETF option, the underlying closing price was 4.007, the at-the-money strike price was 4.00, the pressure point was 4.00 with an offset of 0.00, the support point was 4.00 with an offset of 0.00, the maximum call open interest was 13,103, and the maximum put open interest was 11,243 [7]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.295, the at-the-money strike price was 2.30, the pressure point was 2.30 with an offset of -0.05, the support point was 2.25 with an offset of 0.10, the maximum call open interest was 13,512, and the maximum put open interest was 16,059 [7]. - For the Shenzhen 100 ETF option, the underlying closing price was 2.663, the at-the-money strike price was 2.65, the pressure point was 2.65 with an offset of 0.00, the support point was 2.65 with an offset of 0.00, the maximum call open interest was 9,202, and the maximum put open interest was 7,104 [7]. - For the ChiNext ETF option, the underlying closing price was 2.000, the at-the-money strike price was 2.00, the pressure point was 2.00 with an offset of 0.00, the support point was 1.95 with an offset of 0.00, the maximum call open interest was 85,664, and the maximum put open interest was 82,956 [7]. - For the SSE 50 index option, the underlying closing price was 2,690.82, the at-the-money strike price was 2,700, the pressure point was 2,800 with an offset of 0, the support point was 2,600 with an offset of 0, the maximum call open interest was 5,313, and the maximum put open interest was 2,150 [7]. - For the CSI 300 index option, the underlying closing price was 3,868.74, the at-the-money strike price was 3,850, the pressure point was 4,000 with an offset of 0, the support point was 3,800 with an offset of -100, the maximum call open interest was 9,828, and the maximum put open interest was 6,430 [7]. - For the CSI 1000 index option, the underlying closing price was 6,123.17, the at-the-money strike price was 6,100, the pressure point was 6,200 with an offset of 0, the support point was 5,800 with an offset of 0, the maximum call open interest was 9,761, and the maximum put open interest was 12,421 [7]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF option, the at-the-money implied volatility was 12.37%, the weighted implied volatility was 12.94% with a change of -0.09%, the annual average was 9.54%, the call implied volatility was 12.95%, the put implied volatility was 12.92%, the 20-day historical volatility was 12.79%, and the implied - historical volatility difference was 0.14% [9]. - For the SSE 300 ETF option, the at-the-money implied volatility was 12.47%, the weighted implied volatility was 13.47% with a change of 0.03%, the annual average was 9.95%, the call implied volatility was 13.1