股指短线震荡整固，中长期向上

1. Report Industry Investment Rating There is no information provided regarding the report industry investment rating in the given content. 2. Core Viewpoints of the Report - Since August, the options underlying assets have shown a significant unilateral upward trend, especially the small and medium - cap indices. The continuous rebound of the stock index is driven by multiple factors such as policy expectations, the booming development of the tech AI industry, and continuous inflow of incremental funds. The mid - to long - term upward trend of the stock index is expected to continue, and the CSI 1000 Index has strong upward momentum. However, in the short term, due to the large increase in some stocks and the need for profit - taking, the stock index needs technical consolidation [3][9][107]. - A bull call spread strategy can be adopted, which involves buying low - strike - price call options and selling the same number of high - strike - price call options. This strategy can achieve positive delta and positive vega. If the CSI 1000 Index rises above the high - strike price, a new bull call spread with different strike prices can be created; if the index corrects, the risk of this strategy is limited [3][108]. 3. Summary According to the Directory 3.1 Market Review 3.1.1 Underlying Asset Price Trends - There are 12 listed financial options in China, including 9 ETF options and 3 index options, which are closely related to several major indices. This report mainly analyzes options related to the SSE 50, CSI 300, CSI 500, and CSI 1000 indices [8]. - From August 1 to August 27, 2025, all option underlying assets showed a significant unilateral upward trend, with small and medium - cap indices having the most remarkable increase. The rebound is driven by multiple positive factors, leading to a significant recovery in the risk appetite of the stock market and a comprehensive rebound of the stock index [9]. - The report provides the closing prices and price changes of various underlying assets during this period [10]. 3.1.2 Option Trading Volume and Open Interest - Generally, during rapid market movements, the demand for option hedging and speculative trading increases, leading to an increase in option trading volume. Open interest usually decreases periodically as monthly contracts expire [36]. - From August 1 to August 27, 2025, option trading volume recovered due to the unilateral rise of the stock index. The peak open interest in late August increased significantly compared to July. In July, investors' risk preferences were relatively consistent, and the demand for option hedging was weak. In August, the implied volatility of options continued to rise, and the risk - return ratio of selling options increased [36]. 3.2 Option Analysis Indicators 3.2.1 PCR Indicator - The Put - Call - Ratio (PCR) is used to measure the market's long - short sentiment. The trading volume PCR reflects sudden changes in investors' sentiment, while the open interest PCR reflects the sentiment of long - and short - side investors. The open interest PCR is generally positively correlated with market sentiment [55]. - In August, the open interest PCR of each option variety showed a unilateral upward trend and then declined at the end of the month, which is consistent with the trend of the underlying asset prices. Currently, the open interest PCR has declined from its high but remains at a relatively high historical quantile, indicating that the current market sentiment is still optimistic [55]. 3.2.2 Volatility Indicator - Volatility is a key factor in option pricing and trading. Implied volatility can be used as a reference for the overall volatility level. The relative level of implied volatility reflects investors' expectations of future volatility [76]. - As of August 27, the implied volatility of at - the - money options of each option variety has continued to rise since August and is currently at a relatively high historical quantile. Due to the inflow of incremental funds and the increasing willingness of profit - taking, the implied volatility is expected to remain at a relatively high level [77][79]. 3.3 Underlying Asset Trend Analysis - Since July, the continuous rebound of the stock index is driven by multiple positive factors such as policy expectations, the booming development of the tech AI industry, and continuous inflow of incremental funds [101]. - Consumption - promotion policies are the main line of this year's macro - policies. The issuance of ultra - long - term special treasury bonds to support consumer goods replacement has driven the growth of related commodity sales. Future consumption is expected to continue to drive economic demand, which will boost the performance recovery expectations of listed companies [101][103]. - Anti - involution policies are the focus of policies in the second half of this year. These policies can optimize the supply - demand structure, promote the moderate recovery of price indices, and improve corporate profit expectations and market confidence [104]. - The CSI 1000 Index is beneficial from the booming development of the tech AI industry. Its constituent stocks are mainly small and medium - sized enterprises, which have growth potential. The development of the tech AI industry and relevant policies have provided good opportunities for the performance growth of these enterprises [105]. - The continuous inflow of incremental funds into the stock market has promoted the valuation repair of stocks. The current financial data shows that the risk appetite of the stock market is rising, and there is potential for more funds to enter the stock market [106]. 3.4 Option Portfolio Views - It is expected that the stock index will mainly consolidate in the short term and show an upward trend in the medium - to long - term. Currently, the implied volatility of options is at a relatively high quantile [108]. - A bull call spread strategy can be adopted. This strategy can obtain positive delta and positive vega. If the CSI 1000 Index rises above the high - strike price, a new bull call spread can be created; if the index corrects, the risk of this strategy is limited [108]. 3.5 Summary - Since August, the option underlying assets have shown a significant unilateral upward trend, especially the small and medium - cap indices. The mid - to long - term upward trend of the stock index is expected to continue, but in the short term, the stock index needs technical consolidation [109]. - A bull call spread strategy can be adopted to manage risks and potentially profit from the market [109].