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金融期权策略早报-20250822
Wu Kuang Qi Huo·2025-08-22 02:43
  1. Report Industry Investment Rating - No information provided regarding the industry investment rating. 2. Core Views of the Report - The stock market shows a high - level slight oscillation, with the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks all in this state [3]. - The implied volatility of financial options gradually rises to fluctuate above the mean level [3]. - 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 [3]. 3. Summary According to Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,771.10, up 4.89 (0.13%), with a trading volume of 997.7 billion yuan and a volume change of - 19.8 billion yuan, and a PE of 16.16 [4]. - The Shenzhen Component Index closed at 11,919.76, down 6.98 (- 0.06%), with a trading volume of 1426.3 billion yuan and a volume change of 35.6 billion yuan, and a PE of 28.65 [4]. - The SSE 50 Index closed at 2,862.18, up 15.19 (0.53%), with a trading volume of 136.5 billion yuan and a volume change of - 3.2 billion yuan, and a PE of 11.71 [4]. - The CSI 300 Index closed at 4,288.07, up 16.67 (0.39%), with a trading volume of 558.5 billion yuan and a volume change of 19.7 billion yuan, and a PE of 13.73 [4]. - The CSI 500 Index closed at 6,704.17, down 23.90 (- 0.36%), with a trading volume of 404.1 billion yuan and a volume change of - 5.5 billion yuan, and a PE of 32.02 [4]. - The CSI 1000 Index closed at 7,253.34, down 52.12 (- 0.71%), with a trading volume of 516.5 billion yuan and a volume change of - 1 billion yuan, and a PE of 44.56 [4]. 3.2 Option - Based ETF Market Overview - The SSE 50 ETF closed at 2.990, up 0.015 (0.50%), with a trading volume of 8.7402 million shares and a volume change of 8.6399 million shares, and a trading value of 2.612 billion yuan and a value change of - 0.348 billion yuan [5]. - The SSE 300 ETF closed at 4.378, up 0.014 (0.32%), with a trading volume of 9.13 million shares and a volume change of 8.9922 million shares, and a trading value of 3.997 billion yuan and a value change of - 1.941 billion yuan [5]. - The SSE 500 ETF closed at 6.786, down 0.038 (- 0.56%), with a trading volume of 2.9833 million shares and a volume change of 2.9495 million shares, and a trading value of 2.028 billion yuan and a value change of - 0.252 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.208, unchanged (0.00%), with a trading volume of 45.2083 million shares and a volume change of 44.6828 million shares, and a trading value of 5.501 billion yuan and a value change of - 0.728 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.180, up 0.001 (0.08%), with a trading volume of 10.7717 million shares and a volume change of 10.6569 million shares, and a trading value of 1.281 billion yuan and a value change of - 0.049 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.515, up 0.020 (0.44%), with a trading volume of 2.2215 million shares and a volume change of 2.1995 million shares, and a trading value of 1.003 billion yuan and a value change of 0.023 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.712, down 0.016 (- 0.59%), with a trading volume of 1.0161 million shares and a volume change of 1.0035 million shares, and a trading value of 0.276 billion yuan and a value change of - 0.062 billion yuan [5]. - The Shenzhen 100 ETF closed at 3.124, up 0.003 (0.10%), with a trading volume of 0.6078 million shares and a volume change of 0.602 million shares, and a trading value of 0.019 billion yuan and a value change of 0.0012 billion yuan [5]. - The ChiNext ETF closed at 2.572, down 0.016 (- 0.62%), with a trading volume of 18.828 million shares and a volume change of 18.6221 million shares, and a trading value of 4.859 billion yuan and a value change of - 0.401 billion yuan [5]. 3.3 Option Factor - Volume and Position PCR - For the SSE 50 ETF, the trading volume was 1.4943 million contracts (down 0.215 million), the open interest was 1.7591 million contracts (down 0.0319 million), the trading volume PCR was 0.73 (down 0.17), and the open - interest PCR was 1.06 (up 0.05) [6]. - For the SSE 300 ETF, the trading volume was 1.5079 million contracts (down 0.3795 million), the open interest was 1.4525 million contracts (down 0.0081 million), the trading volume PCR was 0.72 (down 0.50), and the open - interest PCR was 1.22 (unchanged) [6]. - For the SSE 500 ETF, the trading volume was 2.1288 million contracts (down 0.3029 million), the open interest was 1.4928 million contracts (up 0.0402 million), the trading volume PCR was 0.74 (down 0.04), and the open - interest PCR was 1.38 (down 0.06) [6]. - For the Huaxia Science and Technology Innovation 50 ETF, the trading volume was 1.8815 million contracts (down 0.1721 million), the open interest was 1.9954 million contracts (down 0.0243 million), the trading volume PCR was 0.50 (down 0.03), and the open - interest PCR was 0.82 (up 0.01) [6]. - For the E Fund Science and Technology Innovation 50 ETF, the trading volume was 0.4171 million contracts (down 0.0977 million), the open interest was 0.6025 million contracts (up 0.0033 million), the trading volume PCR was 0.43 (down 0.39), and the open - interest PCR was 0.86 (up 0.03) [6]. - For the Shenzhen 300 ETF, the trading volume was 0.3459 million contracts (up 0.0533 million), the open interest was 0.3282 million contracts (up 0.0114 million), the trading volume PCR was 1.08 (up 0.09), and the open - interest PCR was 1.25 (up 0.06) [6]. - For the Shenzhen 500 ETF, the trading volume was 0.4278 million contracts (down 0.07 million), the open interest was 0.4312 million contracts (down 0.0051 million), the trading volume PCR was 0.83 (up 0.01), and the open - interest PCR was 1.08 (up 0.03) [6]. - For the Shenzhen 100 ETF, the trading volume was 0.1825 million contracts (up 0.0057 million), the open interest was 0.1755 million contracts (down 0.0007 million), the trading volume PCR was 1.20 (down 0.25), and the open - interest PCR was 1.40 (up 0.12) [6]. - For the ChiNext ETF, the trading volume was 2.4921 million contracts (down 0.1566 million), the open interest was 2.0992 million contracts (up 0.053 million), the trading volume PCR was 0.68 (down 0.07), and the open - interest PCR was 1.31 (down 0.04) [6]. - For the SSE 50 index options, the trading volume was 0.0529 million contracts (up 0.0047 million), the open interest was 0.0732 million contracts (up 0.0017 million), the trading volume PCR was 0.31 (down 0.05), and the open - interest PCR was 0.56 (up 0.02) [6]. - For the CSI 300 index options, the trading volume was 0.1119 million contracts (up 0.0028 million), the open interest was 0.1772 million contracts (up 0.0036 million), the trading volume PCR was 0.46 (down 0.08), and the open - interest PCR was 0.82 (up 0.03) [6]. - For the CSI 1000 index options, the trading volume was 0.3082 million contracts (up 0.033 million), the open interest was 0.2809 million contracts (up 0.0134 million), the trading volume PCR was 0.49 (down 0.14), and the open - interest PCR was 1.03 (unchanged) [6]. 3.4 Option Factor - Pressure and Support Points - For the SSE 50 ETF, the closing price was 2.990, the at - the - money strike price was 3.00, the pressure point was 3.10, the support point was 2.95, the maximum long position for calls was 123,462, and the maximum long position for puts was 93,725 [8]. - For the SSE 300 ETF, the closing price was 4.378, the at - the - money strike price was 4.40, the pressure point was 4.40, the support point was 4.30, the maximum long position for calls was 55,919, and the maximum long position for puts was 71,619 [8]. - For the SSE 500 ETF, the closing price was 6.786, the at - the - money strike price was 6.75, the pressure point was 7.00, the support point was 6.50, the maximum long position for calls was 82,012, and the maximum long position for puts was 107,604 [8]. - For the Huaxia Science and Technology Innovation 50 ETF, the closing price was 1.208, the at - the - money strike price was 1.20, the pressure point was 1.25, the support point was 1.15, the maximum long position for calls was 87,148, and the maximum long position for puts was 70,589 [8]. - For the E Fund Science and Technology Innovation 50 ETF, the closing price was 1.180, the at - the - money strike price was 1.20, the pressure point was 1.25, the support point was 1.15, the maximum long position for calls was 27,222, and the maximum long position for puts was 26,807 [8]. - For the Shenzhen 300 ETF, the closing price was 4.515, the at - the - money strike price was 4.50, the pressure point was 4.60, the support point was 4.30, the maximum long position for calls was 16,481, and the maximum long position for puts was 23,477 [8]. - For the Shenzhen 500 ETF, the closing price was 2.712, the at - the - money strike price was 2.70, the pressure point was 2.70, the support point was 2.55, the maximum long position for calls was 18,589, and the maximum long position for puts was 17,967 [8]. - For the Shenzhen 100 ETF, the closing price was 3.124, the at - the - money strike price was 3.10, the pressure point was 3.10, the support point was 3.00, the maximum long position for calls was 6,223, and the maximum long position for puts was 9,094 [8]. - For the ChiNext ETF, the closing price was 2.572, the at - the - money strike price was 2.55, the pressure point was 2.60, the support point was 2.50, the maximum long position for calls was 95,481, and the maximum long position for puts was 72,965 [8]. - For the SSE 50 index options, the closing price was 2,862.18, the at - the - money strike price was 2,850, the pressure point was 3,200, the support point was 2,700, the maximum long position for calls was 6,714, and the maximum long position for puts was 2,897 [8]. - For the CSI 300 index options, the closing price was 4,288.07, the at - the - money strike price was 4,300, the pressure point was 4,700, the support point was 4,250, the maximum long position for calls was 8,045, and the maximum long position for puts was 8,904 [8]. - For the CSI 1000 index options, the closing price was 7,253.34, the at - the - money strike price was 7,300, the pressure point was 7,400, the support point was 6,500, the maximum long position for calls was 10,159, and the maximum long position for puts was 7,419 [8]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF options, the at - the - money implied volatility was 17.47%, the weighted implied volatility was 18.53% (up 0.71%), the annual average was 15.05%, the call implied volatility was 19.08%, the put implied volatility was 17.61%, the HISV20 was 13.26%, and the implied - historical volatility difference was 5.27% [11]. - For the SSE 300 ETF options, the at - the - money implied volatility was 17.79%, the weighted implied volatility was 18.50% (up 0.07%), the annual average was 15.69%, the call implied volatility was 18.52%, the put implied volatility was 18.47%, the HISV20 was 13.99%, and the implied - historical volatility difference was 4.51% [11]. - For the SSE 500 ETF options, the at - the - money implied volatility was 21.19%, the weighted implied volatility was 23.05% (down 0.36%), the annual average was 19.39%, the call implied volatility was 23.57%, the put implied volatility was 2