金融期权策略早报-20250922

Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a market trend of gradually declining on the long side, then rebounding and rising, and finally oscillating at a high level [3]. - The implied volatility of financial options gradually rose to fluctuate at a relatively high average level [3]. - For ETF options, it is suitable to construct a long-biased buyer strategy and a bull spread combination strategy for call options; for index options, it is suitable to construct a long-biased seller strategy, a bull spread combination strategy for call options, and an arbitrage strategy of combining long synthetic futures and short futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,820.09, down 11.57 points or 0.30%, with a trading volume of 101.63 billion yuan, a decrease of 34.96 billion yuan [4]. - The Shenzhen Component Index closed at 13,070.86, down 4.80 points or 0.04%, with a trading volume of 130.75 billion yuan, a decrease of 46.17 billion yuan [4]. - The SSE 50 Index closed at 2,909.74, down 3.08 points or 0.11%, with a trading volume of 16.33 billion yuan, a decrease of 6.25 billion yuan [4]. - The CSI 300 Index closed at 4,501.92, up 3.81 points or 0.08%, with a trading volume of 60.39 billion yuan, a decrease of 23.61 billion yuan [4]. - The CSI 500 Index closed at 7,170.35, down 29.53 points or 0.41%, with a trading volume of 45.07 billion yuan, a decrease of 15.36 billion yuan [4]. - The CSI 1000 Index closed at 7,438.19, down 38.21 points or 0.51%, with a trading volume of 48.32 billion yuan, a decrease of 17.08 billion yuan [4]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 3.045, down 0.003 or 0.10%, with a trading volume of 6.5567 million shares, an increase of 6.4262 million shares, and a trading value of 1.999 billion yuan, a decrease of 2.00 billion yuan [5]. - The SSE 300 ETF closed at 4.604, up 0.010 or 0.22%, with a trading volume of 7.3161 million shares, an increase of 7.1974 million shares, and a trading value of 3.370 billion yuan, a decrease of 2.119 billion yuan [5]. - The SSE 500 ETF closed at 7.261, down 0.031 or 0.43%, with a trading volume of 2.8555 million shares, an increase of 2.8217 million shares, and a trading value of 2.080 billion yuan, a decrease of 4.02 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.431, down 0.019 or 1.31%, with a trading volume of 43.9223 million shares, an increase of 43.3052 million shares, and a trading value of 6.360 billion yuan, a decrease of 2.688 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.398, down 0.017 or 1.20%, with a trading volume of 13.5837 million shares, an increase of 13.4241 million shares, and a trading value of 1.922 billion yuan, a decrease of 3.57 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.747, up 0.015 or 0.32%, with a trading volume of 1.5969 million shares, an increase of 1.5784 million shares, and a trading value of 758 million yuan, a decrease of 124 million yuan [5]. - The Shenzhen 500 ETF closed at 2.903, down 0.010 or 0.34%, with a trading volume of 962,600 shares, an increase of 945,200 shares, and a trading value of 280 million yuan, a decrease of 232 million yuan [5]. - The Shenzhen 100 ETF closed at 3.475, up 0.013 or 0.38%, with a trading volume of 806,900 shares, an increase of 795,400 shares, and a trading value of 280 million yuan, a decrease of 120 million yuan [5]. - The ChiNext ETF closed at 3.062, down 0.005 or 0.16%, with a trading volume of 17.1223 million shares, an increase of 16.8504 million shares, and a trading value of 5.267 billion yuan, a decrease of 3.142 billion yuan [5]. 3.3 Option Factor - Volume and Position PCR - For the SSE 50 ETF option, the trading volume PCR was 1.14, an increase of 0.35, and the position PCR was 0.77, an increase of 0.06 [6]. - For the SSE 300 ETF option, the trading volume PCR was 1.54, an increase of 0.43, and the position PCR was 1.15, an increase of 0.09 [6]. - For the SSE 500 ETF option, the trading volume PCR was 1.40, an increase of 0.37, and the position PCR was 1.33, an increase of 0.03 [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume PCR was 1.19, an increase of 0.15, and the position PCR was 1.11, an increase of 0.04 [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume PCR was 0.84, unchanged, and the position PCR was 0.94, an increase of 0.02 [6]. - For the Shenzhen 300 ETF option, the trading volume PCR was 0.73, an increase of 0.01, and the position PCR was 1.00, an increase of 0.08 [6]. - For the Shenzhen 500 ETF option, the trading volume PCR was 1.44, an increase of 0.49, and the position PCR was 0.90, an increase of 0.03 [6]. - For the Shenzhen 100 ETF option, the trading volume PCR was 4.11, an increase of 2.84, and the position PCR was 1.43, an increase of 0.16 [6]. - For the ChiNext ETF option, the trading volume PCR was 0.89, an increase of 0.03, and the position PCR was 1.34, an increase of 0.01 [6]. - For the SSE 50 index option, the trading volume PCR was 0.68, an increase of 0.12, and the position PCR was 0.60, unchanged [6]. - For the CSI 300 index option, the trading volume PCR was 0.65, a decrease of 0.02, and the position PCR was 0.74, a decrease of 0.07 [6]. - For the CSI 1000 index option, the trading volume PCR was 0.86, an increase of 0.01, and the position PCR was 0.94, a decrease of 0.17 [6]. 3.4 Option Factor - Pressure and Support Points - For the SSE 50 ETF option, the pressure point was 3.10, and the support point was 3.10 [8]. - For the SSE 300 ETF option, the pressure point was 4.60, and the support point was 4.60 [8]. - For the SSE 500 ETF option, the pressure point was 7.50, and the support point was 7.00 [8]. - For the Huaxia Science and Technology Innovation 50 ETF option, the pressure point was 1.65, and the support point was 1.40 [8]. - For the E Fund Science and Technology Innovation 50 ETF option, the pressure point was 1.60, and the support point was 1.35 [8]. - For the Shenzhen 300 ETF option, the pressure point was 4.80, and the support point was 4.70 [8]. - For the Shenzhen 500 ETF option, the pressure point was 3.00, and the support point was 2.85 [8]. - For the Shenzhen 100 ETF option, the pressure point was 3.60, and the support point was 3.30 [8]. - For the ChiNext ETF option, the pressure point was 3.10, and the support point was 3.00 [8]. - For the SSE 50 index option, the pressure point was 3,000, and the support point was 2,850 [8]. - For the CSI 300 index option, the pressure point was 4,600, and the support point was 4,500 [8]. - For the CSI 1000 index option, the pressure point was 7,500, and the support point was 7,400 [8]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF option, the at-the-money implied volatility was 18.75%, the weighted implied volatility was 21.42%, a decrease of 1.22%, the annual average was 16.00%, the call implied volatility was 21.97%, the put implied volatility was 20.59%, the HISV20 was 18.67%, and the implied - historical volatility difference was 2.75% [11]. - For the SSE 300 ETF option, the at-the-money implied volatility was 19.26%, the weighted implied volatility was 20.29%, a decrease of 0.40%, the annual average was 16.44%, the call implied volatility was 20.46%, the put implied volatility was 20.09%, the HISV20 was 18.47%, and the implied - historical volatility difference was 1.82% [11]. - For the SSE 500 ETF option, the at-the-money implied volatility was 25.14%, the weighted implied volatility was 26.33%, an increase of 0.41%, the annual average was 20.14%, the call implied volatility was 25.04%, the put implied volatility was 27.80%, the HISV20 was 22.87%, and the implied - historical volatility difference was 3.46% [11]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 48.42%, the weighted implied volatility was 49.47%, a decrease of 2.80%, the annual average was 31.18%, the call implied volatility was 50.13%, the put implied volatility was 48.52%, the HISV20 was 43.14%, and the implied - historical volatility difference was 6.33% [11]. - For the E Fund Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 49.16%, the weighted implied volatility was 51.04%, a decrease of 3.10%, the annual average was 32.00%, the call implied volatility was 51.29%, the put implied volatility was 50.63%, the HISV20 was 44.37%, and the implied - historical volatility difference was 6.67% [11]. - For the Shenzhen 300 ETF option, the at-the-money implied volatility was 20.38%, the weighted implied volatility was 22.12%, a decrease of 0.17%, the annual average was 18.05%, the call implied volatility was 21.87%, the put implied volatility was 22.49%, the HISV20 was 20.26%, and the implied - historical volatility difference was 1.87% [11]. - For the Shenzhen 500 ETF option, the at-the-money implied volatility was 25.24%, the weighted implied volatility was 42.76%, an increase of 4.47%, the annual average was 21.44%, the call implied volatility was 25.87%, the put implied volatility was 56.76%, the HISV20 was 24.63%, and the implied - historical volatility difference was 18.13% [11]. - For the Shenzhen 100 ETF option, the at-the-money implied volatility was 26.07%, the weighted implied volatility was 84.14%, an increase of 41.91%, the annual average was 23.50%, the call implied volatility was 29.22%, the put implied volatility was 98.43%, the HISV20 was 27.00%, and the implied - historical volatility difference was 57.13% [11]. - For the ChiNext ETF option, the at-the-money implied volatility was 40.77%, the weighted implied volatility was 41.65%, a decrease of 2.01%, the annual average was 27.32%, the call implied volatility was 41.15%, the put implied volatility was 42.23%, the HISV20 was 36.83%, and the implied - historical volatility difference was 4.82% [11]. - For the SSE 50 index option, the at-the-money implied volatility was 26.32%, the weighted implied volatility was 22.50%, a decrease of 2.44%, the annual average was 17.38%, the call implied volatility was 23.08%, the put implied volatility was 21.56%, the HISV20 was 19.24%, and the implied - historical volatility difference was 3.26% [11]. - For the CSI 300 index option, the at-the-money implied volatility was 18.27%, the weighted implied volatility was 22.42%, a decrease of 0.66%, the annual average was 17.10%, the call implied volatility was 22.16%, the put implied volatility was 22.84%, the HISV20 was 18.53%, and the implied - historical volatility difference was 3.90% [11]. - For the CSI 1000 index option, the at-the-money implied volatility was 32.33%, the weighted implied volatility was 29.27%, a decrease of 0.66%, the annual average was 23.09%, the call implied volatility was 28.64%, the put implied volatility was 29.99%, the HISV20 was 24.07%, and the implied - historical volatility difference was 5.20% [11]. 3.6 Strategy and Recommendations - Financial Stocks Sector (SSE 50 ETF, SSE 50): The SSE 50 ETF has shown a bullish trend with support below. The implied volatility of the SSE 50 ETF option fluctuates above the average. The position PCR indicates a sideways market. The pressure and support points are both 3.10. For strategies, there is no directional strategy; for volatility, construct a short - biased long combination strategy; for the spot, hold the SSE 50 ETF and sell call options [14]. - Large - Cap Blue - Chip Stocks Sector (SSE 300 ETF, Shenzhen 300 ETF, CSI 300): The SSE 300 ETF has shown a bullish trend with large fluctuations at high levels. The implied volatility of the SSE 300 ETF option fluctuates above the average. The position PCR indicates a sideways - bullish market. The pressure and support points are both 4.60. For strategies, construct a