金融期权周报-20250811

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The report maintains a cautiously optimistic view on the domestic stock market. The internal and external environments continue to improve, with some broad - based index valuations still low, economic stimulus policies taking effect, the approaching Fed rate cut, and the RMB exchange rate remaining strong [1]. 3. Summary by Relevant Sections Overview - Last week, the domestic stock market fluctuated and rose. The Shanghai Composite Index briefly pulled back and then continuously rose, staying above 3600 points. All major broad - based indices closed higher, with the CSI 1000 leading the gains at 2.51%, and the rest rising about 1% [1]. - Externally, due to the significant downward revision of US employment data, the market's pricing of the probability of a September rate cut increased, and the US government intended to guide the market's loose liquidity expectations, leading to the continuous strengthening of the stock market. Domestically, the market expected the extension of the Sino - US low - tariff period, risk appetite recovered, and the index strengthened [1]. - In July, the CPI data increased by 0.4% month - on - month, better than market expectations. The market expected that the anti - involution policy was effective, and the economic recovery accelerated, driving the consumer sectors such as food and beverage to strengthen on Monday [1]. Option Market - As the market stopped falling and stabilized, the implied volatility (IV) of financial options decreased slightly. Currently, the IV of financial options is at a relatively moderate level. The IV of 50 and 300 options is around 12%, and the IV of CSI 1000 and ChiNext Index options is around 17% - 20%. The option position PCR is at a moderately high level [2]. Strategy Outlook - With the index stopping falling and stabilizing and the option IV being relatively moderate, favorable factors continue to gather. One can continue to hold indices with relatively low valuations, such as the SSE 50, CSI 300, and ChiNext Index [3]. - After the continuous rise of the index, market risk appetite has increased, margin trading data has continued to rise, and leveraged funds have continuously entered the market. If the stock position is relatively large or some call options have been held, one can consider buying near - month out - of - the - money put options for short - term hedging [3]. - The long - term view remains optimistic. One can continue to hold long - term SSE 50, CSI 300, or ChiNext Index call options, or sell near - month SSE 50 ETF put options to reduce the holding cost [3]. - Although the long - term futures discount of the CSI 1000 has narrowed to some extent, the absolute value is still large. The covered call strategy of going long on futures with a large discount and selling at - the - money or out - of - the - money call options still has some room [3]. Market Overview - From August 1st to August 8th, 2025, all major underlying assets showed varying degrees of increase. For example, the SSE 50 ETF rose 1.18%, the SSE 50 Index rose 1.27%, the CSI 300 ETF (Shanghai) rose 1.21%, and the CSI 1000 rose 2.51% [4]. - The IV of most underlying assets decreased, except for the CSI 1000, whose IV increased by 0.34%. The position PCR of most underlying assets increased [4].