股指期权周报：三大指数再创年内新高，日成交额1.8万亿-20250728

Report Title - "Three major indices hit new highs for the year, with daily trading volume reaching 1.8 trillion" - Stock Index Option Weekly Report 2025.7.28 [1] Core View - This week, the A-share market continued its upward trend, with the three major indices hitting new highs for the year and daily trading volume exceeding 1.7 trillion. For the CSI 300 Index, the moving averages showed a long - position arrangement, and the three - color K - line indicators remained red both daily and weekly. The IF futures' current - month contract's basis to the underlying first shrank and then expanded, while the next - month contract's discount to the current - month contract narrowed. The IO option's trading volume decreased, but the open interest increased, and both the trading volume PCR and open interest PCR rose, with implied volatility increasing, and the underlying index exceeding the strike - price range of the maximum open interest of call and put options. The CSI 1000 Index's daily and weekly K - line indicators were also positive. The IM futures' current - month contract's discount to the underlying first expanded and then shrank, and the next - month contract's discount to the current - month contract narrowed. The MO option's trading volume increased, and the open interest rose, with both PCRs rising, implied volatility increasing, and the strike prices of the maximum open interest of call and put options moving up. The SSE 50 Index also had positive K - line indicators. The IH futures' current - month contract turned to a premium over the underlying, and the next - month contract remained at a premium to the current - month contract. The HO option's trading volume decreased, the open interest increased, the trading volume PCR rose, the open interest PCR decreased, implied volatility increased, and the strike - price range of the maximum open interest of call and put options narrowed [2]. Summary by Directory 1. CSI 300 Stock Index Option (IO) - Index Performance: The CSI 300 Index had five consecutive weekly positive K - lines, and the three - color K - line indicator remained red. The daily moving averages were in a long - position arrangement, and the three - color K - line indicator also remained red [10][13]. - Futures Basis: The IF futures' current - month contract's basis to the underlying first shrank and then expanded, and the next - month contract's discount to the current - month contract narrowed [20][23]. - Futures Trading Volume and Open Interest: The trading volume of CSI 300 stock index futures decreased, and the open interest also decreased [25]. - Option Trading Volume and Open Interest: The trading volume of IO options decreased, but the open interest increased [28]. - Option PCR: Both the trading volume PCR and open interest PCR of IO options increased [31]. - Option Strike Price: The underlying index exceeded the strike - price range of the maximum open interest of call and put options, and the strike prices of the maximum open interest of call and put options for the 2508 contract were both 4100, with the option pain point at 4000 [15][34]. - Implied Volatility: The implied volatility of IO options increased [17] 2. CSI 1000 Stock Index Option (MO) - Index Performance: The CSI 1000 Index's daily moving averages were in a long - position arrangement, hitting a new high for the year, and the three - color K - line indicators remained red both daily and weekly [38][41]. - Futures Basis: The IM futures' current - month contract's discount to the underlying first expanded and then shrank, and the next - month contract's discount to the current - month contract narrowed [49][51]. - Futures Trading Volume and Open Interest: The trading volume of CSI 1000 stock index futures decreased, and the open interest also decreased [54]. - Option Trading Volume and Open Interest: The trading volume of MO options increased, and the open interest rose [57]. - Option PCR: Both the trading volume PCR and open interest PCR of MO options increased [60]. - Option Strike Price: The strike prices of the maximum open interest of call and put options for the 2508 contract were 6800 and 6500 respectively, and the option pain point was 6500. The strike prices of the maximum open interest of call and put options both moved up [43][63]. - Implied Volatility: The implied volatility of MO options increased [46] 3. SSE 50 Stock Index Option (HO) - Index Performance: The SSE 50 Index had five consecutive weekly positive K - lines, and the three - color K - line indicator remained red. The daily moving averages were in a long - position arrangement, and the three - color K - line indicator also remained red [67][70]. - Futures Basis: The IH futures' current - month contract turned to a premium over the underlying, and the next - month contract remained at a premium to the current - month contract [78][80]. - Futures Trading Volume and Open Interest: The trading volume of SSE 50 stock index futures decreased, and the open interest also decreased [83]. - Option Trading Volume and Open Interest: The trading volume of HO options decreased, but the open interest increased [85]. - Option PCR: The trading volume PCR of HO options increased, while the open interest PCR decreased [87]. - Option Strike Price: The strike prices of the maximum open interest of call and put options for the 2508 contract were 2800 and 2750 respectively, and the option pain point was 2750. The strike - price range of the maximum open interest of call and put options narrowed [72][88]. - Implied Volatility: The implied volatility of HO options increased [75] Strategy Recommendations - Trend Strategy: Pay attention to the strength - weakness arbitrage opportunities among varieties [2]. - Volatility Strategy: Buy a strangle to go long on volatility [2]