中证1000股指期权，构建买入跨式策略正当时

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report Since late August, the CSI 1000 Index has been in a wide - range shock after a high - level correction. Using CSI 1000 index options to build a combined strategy can better adapt to the current market environment. It is recommended to construct a long straddle strategy for the October contract to gain from the expected volatility increase and market breakthrough in October [1][13]. 3. Summary by Relevant Catalogs 3.1 Market Sentiment Analysis - The PCR of option open interest indicates that the current market sentiment is generally positive and optimistic. On September 11, after the CSI 1000 Index rose sharply, the PCR of the CSI 1000 index option open interest increased significantly, and the proportion of investors with non - bearish views is at a relatively high historical level [2][3]. 3.2 Implied Volatility Analysis - The implied volatility of options has a "pulse - like" characteristic. After the sharp rise or fall of the market, it will gradually fall back. On September 11, the sharp rise of the CSI 1000 Index pushed up the implied volatility, but it is still in the normal range. Currently, the implied volatility has stopped falling and stabilized, and there is a chance of a rebound in the future. When constructing an option portfolio strategy, a positive vega exposure should be considered [4][6]. 3.3 Index Direction Analysis - In the short term, the profit - taking of some stocks has led to a technical adjustment of the index. However, the policy is expected to be favorable, and the continuous inflow of funds will support the index in the medium and long term. Policy expectations are strong due to weak inflation data, and the coordinated efforts of supply - and demand - side policies will support corporate performance repair. There are three sources of incremental funds in the stock market, and the general trend of continuous inflow remains unchanged [7][11][12]. 3.4 Conclusion and Operational Strategy - Considering the positive market sentiment, the stabilization of implied volatility, and the expected policy and capital inflows, it is advisable to construct a long straddle strategy for the October contract of the CSI 1000 Index. This strategy can gain from the increase in volatility and the market breakthrough, with relatively controllable risks [13].