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Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - This week, the protective put strategy led among CSI 300 index option strategies with a 0.97% return; the short put strategy led among SSE 50 ETF option strategies with a 1.41% return; and the covered call strategy led among CSI 1000 index option strategies with a 1.35% return [3]. - From January 2024 to date, the benchmark performed best overall, and the covered call strategy led among option strategies in the CSI 300 index option market; in the SSE 50 ETF option market, the benchmark strategy performed best, and the short put strategy led among option strategies; in the CSI 1000 index option market, the benchmark also performed best, and the protective put strategy retained benchmark returns while having a relatively lower drawdown compared to the short put strategy [9][13][18]. - Three option hedging strategies (covered call, protective put, and collar) can effectively reduce the benchmark's drawdown; three option volatility trading strategies (straddle statistical arbitrage, short straddle, and short maximum - position wide - straddle) can reduce the strategy's drawdown by adding threshold limits to the clustering dimension of implied volatility [9][13][18]. - In the CSI 1000 index option market, both the short wide - straddle and short maximum - position wide - straddle strategies achieved positive returns, and the short straddle strategy had better returns, indicating a higher safety level for the short - option strategy of this variety; the bull call spread strategy had stronger returns than the benchmark and relatively lower drawdowns in all three option markets [9][13][19]. 3. Summary by Directory 3.1 This Week's Market Review - CSI 300 Index Option Strategy Review: Based on the CSI 300 index, futures, and options, eight common strategies were back - tested. This week, the protective put strategy led with a 0.97% return. From January 2024 to date, the benchmark performed best with a 38.93% return, and the covered call strategy led among option strategies. The three option hedging strategies effectively reduced the benchmark's drawdown, and the bull call spread strategy had stronger returns and lower drawdowns [8][9]. - SSE 50 ETF Option Strategy: Using 50ETF and its options, eight strategies were back - tested. This week, the short put strategy led with a 1.41% return. From January 2024 to date, the benchmark strategy had a 36.13% return, and the short put strategy led among option strategies. The three option hedging strategies reduced the benchmark's drawdown, and the bull call spread strategy had an overall stronger return and lower drawdown [12][13][14]. - CSI 1000 Index Option Strategy: Based on the CSI 1000 index, futures, and options, eight strategies were back - tested. This week, the covered call strategy led with a 1.35% return. From January 2024 to date, the benchmark had a 45.47% return, and the protective put strategy retained benchmark returns with a relatively lower drawdown. The three option hedging strategies reduced the benchmark's drawdown, and the bull call spread strategy had stronger returns and lower drawdowns [17][18][19]. 3.2 Strategy Specific Descriptions - Covered Call Strategy: A classic strategy for enhancing returns, suitable when the underlying is expected to have small increases or no increase. It uses full - value underlying securities as collateral without additional margin. For 50ETF, it involves buying 1 share and selling 1 share of a 10% out - of - the - money call option; for CSI 300 index futures, it involves buying 1 contract and selling 3 contracts of a 4% out - of - the - money call option [20]. - Short Put Strategy: A one - way short strategy, profitable when the underlying is in a sideways or rising market. It requires margin. For 50ETF, it involves short - selling at - the - money put options; for CSI 300 index futures, it also involves short - selling at - the - money put options [27]. - Protective Put Strategy: A protective hedging strategy, suitable when investors expect the underlying to rise but are worried about market declines. It can hedge risks in a down - market and allow investors to enjoy some upside in an up - market. For 50ETF, it involves buying 1 share and 1 share of a 10% out - of - the - money put option; for CSI 300 index futures, it involves buying 1 contract and 3 contracts of a 4% out - of - the - money put option [32]. - Collar Strategy: A neutral strategy, a combination of the covered call and protective put strategies. It provides tail - risk protection and reduces hedging costs by selling call options. For 50ETF, it involves holding 1 share, buying 1 share of a 10% out - of - the - money put option, and selling 1 share of a 10% out - of - the - money call option; for CSI 300 index futures, it involves holding 1 contract, buying 3 contracts of a 4% out - of - the - money put option, and selling 3 contracts of a 4% out - of - the - money call option [38]. - Straddle Statistical Arbitrage Strategy: Based on the mean - reversion relationship between implied and historical volatility, it trades volatility. When the difference between implied and historical volatility is greater than 1.5% (for 50ETF) or 3% (for CSI 300 index futures), it shorts volatility; when the difference is less than - 1.5% (for 50ETF) or - 3% (for CSI 300 index futures), it longs volatility. It also considers the clustering of implied volatility [44]. - Short Straddle Strategy: A short - volatility strategy, risk - neutral at construction. It sells at - the - money call and put options to keep the Delta at 0. It benefits from declining volatility but may incur losses due to changes in the underlying price [50]. - Short Maximum - Position Wide - Straddle Strategy: Constructed based on the maximum - position strike prices of call and put options. It assumes that the maximum - position strike prices represent the support and resistance levels of the underlying. When these levels change, the strategy adjusts positions accordingly [57]. - Bull Call Spread Strategy: A low - cost long - call strategy, suitable when the underlying is expected to rise moderately in the short - term and implied volatility is low. It involves buying at - the - money call options and selling out - of - the - money call options [66].