GUOTAI HAITONG SECURITIES·2025-09-12 08:03Group 1 - The report introduces a volatility timing strategy using straddle options in the A-share market, which can reduce the maximum drawdown of asset allocation by approximately 5% and improve the Calmar ratio by over 0.1 [1][67]. - The report emphasizes that while the A-share market lacks direct volatility index derivatives, investors can construct equivalent volatility strategies using existing ETF options, enhancing risk management and opportunity capture [6][20]. - The analysis indicates that extreme volatility spikes often occur after volatility has dropped to historically low levels, suggesting a potential "coiling" effect before significant market movements [60][68]. Group 2 - The report details that single-leg strategies for trading 300ETF options exhibit high volatility and drawdown, making them unsuitable for risk-averse funds [24][44]. - In contrast, straddle strategies show lower volatility and drawdown, with annualized volatility generally below 0.1, making them more stable for investors [48][45]. - The report finds that selling straddle options can provide stable excess returns, while buying options tends to be less effective due to high premiums and infrequent large market movements [57][59]. Group 3 - The report proposes a volatility timing approach where selling straddle options is switched to buying when volatility falls to historical low thresholds (5%, 10%, 15%), effectively reducing drawdown from 21.4% to 13.5% and increasing annualized returns from 3.5% to 5.8% [63][66]. - Incorporating the volatility timing straddle strategy into traditional stock-bond portfolios can significantly enhance performance metrics, including a reduction in maximum drawdown and an increase in the Calmar ratio [67][1].