股指期权周报：A股冲高回落，成交额维持2万亿以上-20250908

1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core View of the Report - This week, the A - share market rose and then fell, with daily trading volume remaining above 2 trillion. The CSI 300 Index, CSI 1000 Index, and SSE 50 Index all had their own trends, and the corresponding index futures and options also showed various changes. For index options, it is recommended to go long on volatility when the underlying index rises and short on volatility when it falls, and pay attention to the strength - based arbitrage opportunities among the underlying indexes [2]. 3. Summary According to the Directory 3.1 CSI 300 Index Options (IO) - The CSI 300 Index rose and then fell, standing above the 5 - day moving average again, with the daily three - color K - line indicator remaining red; the weekly line closed in the negative, and the Wednesday three - color K - line indicator remained red [10][13]. - The IF futures' current - month contract became at a discount to the underlying, and the basis of the next - month contract at a discount to the current - month contract first widened and then narrowed [21][24]. - The IO option trading volume increased, and the open interest rebounded, exceeding the maximum value of the previous five months. The option trading volume PCR first rose and then fell, and the option open interest PCR decreased. The implied volatility first rose and then fell, and the strike price ranges of the maximum open interest of call and put options remained unchanged [27][30][33]. - The call and put options' maximum open - interest strike prices of the CSI 300 index options' 2509 contract are 4500 and 4250 respectively, and the option pain point is 4300 [15]. 3.2 CSI 1000 Index Options (MO) - The CSI 1000 Index's daily line closed below the 20 - day moving average, and the daily three - color K - line indicator turned green; the weekly line closed in the negative, found support at the 5 - week moving average, and the Wednesday three - color K - line indicator remained red [40][43]. - The IM futures' current - month contract's basis at a discount to the underlying narrowed, and the basis of the next - month contract at a discount to the current - month contract also narrowed [51][54]. - The MO option trading volume increased, and the open interest reached a record high since listing. The option trading volume PCR first rose and then fell, and the option open interest PCR dropped below 1. The implied volatility first rose and then fell, and the strike price ranges of the maximum open interest of call and put options narrowed [57][60][63]. - The call and put options' maximum open - interest strike prices of the CSI 1000 index options' 2509 contract are 7500 and 6800 respectively, and the option pain point is 7100 [45]. 3.3 SSE 50 Index Options (HO) - The SSE 50 Index's daily line rose and then fell, found support at the 20 - day moving average, and the daily three - color K - line indicator turned gray; the weekly line closed in the negative, and the Wednesday three - color K - line indicator remained red [71][74]. - The IH futures' current - month contract's basis at a discount to the underlying first widened and then narrowed, and the next - month contract became at a premium to the current - month contract [82][85]. - The HO option trading volume increased, and the open interest rebounded to reach the highest level this year. The option trading volume PCR first rose and then fell, and the option open interest PCR first rose and then fell. The implied volatility first rose and then fell, and the strike price ranges of the maximum open interest of call and put options narrowed [88][90][93]. - The call and put options' maximum open - interest strike prices of the SSE 50 index options' 2509 contract are 3000 and 2850 respectively, and the option pain point is 2900 [76].