金融期权策略早报：金融期权-20250923

Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - The stock market, including the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks, shows a market trend of rising, falling back, rebounding, and then oscillating at a high level [3]. - The implied volatility of financial options gradually rises and fluctuates at a relatively high mean level [3]. - For ETF options, it is suitable to construct a bullish buyer strategy and a bull spread strategy of call options; for index options, it is suitable to construct a bullish seller strategy, a bull spread strategy of call options, and an arbitrage strategy of synthetic long futures with options and short futures [3]. 3. Summary According to Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,828.58, up 8.49 points or 0.22%, with a trading volume of 941.8 billion yuan and a decrease of 74.5 billion yuan [3]. - The Shenzhen Component Index closed at 13,157.97, up 87.11 points or 0.67%, with a trading volume of 1,179.7 billion yuan and a decrease of 127.8 billion yuan [3]. - The Shanghai 50 Index closed at 2,922.18, up 12.44 points or 0.43%, with a trading volume of 156.4 billion yuan and a decrease of 6.9 billion yuan [3]. - The CSI 300 Index closed at 4,522.61, up 20.69 points or 0.46%, with a trading volume of 563.1 billion yuan and a decrease of 40.7 billion yuan [3]. - The CSI 500 Index closed at 7,225.13, up 54.78 points or 0.76%, with a trading volume of 421.9 billion yuan and a decrease of 28.7 billion yuan [3]. - The CSI 1000 Index closed at 7,489.48, up 51.29 points or 0.69%, with a trading volume of 440.5 billion yuan and a decrease of 42.7 billion yuan [3]. 3.2 Option - underlying ETF Market Overview - The Shanghai 50 ETF closed at 3.054, up 0.009 or 0.30%, with a trading volume of 6.331 million shares and a decrease of 0.7 billion yuan in trading volume [4]. - The Shanghai 300 ETF closed at 4.619, up 0.015 or 0.33%, with a trading volume of 6.2928 million shares and a decrease of 4.73 billion yuan in trading volume [4]. - The Shanghai 500 ETF closed at 7.318, up 0.057 or 0.79%, with a trading volume of 2.3562 million shares and a decrease of 3.66 billion yuan in trading volume [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.479, up 0.048 or 3.35%, with a trading volume of 42.4991 million shares and a decrease of 1.58 billion yuan in trading volume [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.447, up 0.049 or 3.51%, with a trading volume of 12.6646 million shares and a decrease of 1.15 billion yuan in trading volume [4]. - The Shenzhen 300 ETF closed at 4.764, up 0.017 or 0.36%, with a trading volume of 1.3823 million shares and a decrease of 1.02 billion yuan in trading volume [4]. - The Shenzhen 500 ETF closed at 2.923, up 0.020 or 0.69%, with a trading volume of 0.9841 million shares and an increase of 0.06 billion yuan in trading volume [4]. - The Shenzhen 100 ETF closed at 3.494, up 0.019 or 0.55%, with a trading volume of 0.733 million shares and a decrease of 0.25 billion yuan in trading volume [4]. - The ChiNext ETF closed at 3.082, up 0.020 or 0.65%, with a trading volume of 13.8208 million shares and a decrease of 10.39 billion yuan in trading volume [4]. 3.3 Option Factor - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume was 1.1104 million contracts, down 436,400 contracts; the open interest was 1.8507 million contracts, down 224,300 contracts; the volume PCR was 0.73, down 0.41; the position PCR was 0.70, down 0.06 [6]. - For the Shanghai 300 ETF option, the trading volume was 0.9962 million contracts, down 844,100 contracts; the open interest was 1.4693 million contracts, down 271,700 contracts; the volume PCR was 0.88, down 0.65; the position PCR was 1.10, down 0.05 [6]. - For the Shanghai 500 ETF option, the trading volume was 1.6188 million contracts, down 859,900 contracts; the open interest was 1.3395 million contracts, down 228,100 contracts; the volume PCR was 1.05, down 0.35; the position PCR was 1.35, up 0.02 [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 2.4825 million contracts, down 287,500 contracts; the open interest was 2.4466 million contracts, down 226,800 contracts; the volume PCR was 0.75, down 0.43; the position PCR was 1.15, up 0.04 [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 0.4856 million contracts, down 39,000 contracts; the open interest was 0.6715 million contracts, down 63,700 contracts; the volume PCR was 0.68, down 0.15; the position PCR was 1.00, up 0.05 [6]. - For the Shenzhen 300 ETF option, the trading volume was 0.2057 million contracts, down 39,400 contracts; the open interest was 0.363 million contracts, down 2,100 contracts; the volume PCR was 0.90, up 0.17; the position PCR was 1.01, up 0.01 [6]. - For the Shenzhen 500 ETF option, the trading volume was 0.3285 million contracts, down 88,500 contracts; the open interest was 0.4385 million contracts, down 6,800 contracts; the volume PCR was 1.53, up 0.10; the position PCR was 0.93, up 0.03 [6]. - For the Shenzhen 100 ETF option, the trading volume was 0.142 million contracts, down 19,100 contracts; the open interest was 0.1772 million contracts, up 1,400 contracts; the volume PCR was 2.97, down 1.13; the position PCR was 1.36, down 0.07 [6]. - For the ChiNext ETF option, the trading volume was 2.0114 million contracts, down 135,000 contracts; the open interest was 2.1809 million contracts, up 18,700 contracts; the volume PCR was 1.00, up 0.10; the position PCR was 1.37, up 0.03 [6]. - For the Shanghai 50 index option, the trading volume was 31,100 contracts, down 31,000 contracts; the open interest was 62,000 contracts, up 6,400 contracts; the volume PCR was 0.47, down 0.21; the position PCR was 0.59, down 0.02 [6]. - For the CSI 300 index option, the trading volume was 85,500 contracts, down 103,200 contracts; the open interest was 151,100 contracts, up 14,000 contracts; the volume PCR was 0.65, unchanged; the position PCR was 0.75, up 0.01 [6]. - For the CSI 1000 index option, the trading volume was 197,900 contracts, down 265,000 contracts; the open interest was 235,800 contracts, up 14,200 contracts; the volume PCR was 0.81, down 0.04; the position PCR was 0.93, down 0.01 [6]. 3.4 Option Factor - Pressure and Support Points - The pressure point of the Shanghai 50 ETF is 3.10, and the support point is 3.00 [8]. - The pressure point of the Shanghai 300 ETF is 4.60, and the support point is 4.60 [8]. - The pressure point of the Shanghai 500 ETF is 7.50, and the support point is 7.00 [8]. - The pressure point of the Huaxia Science and Technology Innovation 50 ETF is 1.65, and the support point is 1.40 [8]. - The pressure point of the E Fund Science and Technology Innovation 50 ETF is 1.60, and the support point is 1.35 [8]. - The pressure point of the Shenzhen 300 ETF is 4.80, and the support point is 4.70 [8]. - The pressure point of the Shenzhen 500 ETF is 3.00, and the support point is 2.85 [8]. - The pressure point of the Shenzhen 100 ETF is 3.60, and the support point is 3.30 [8]. - The pressure point of the ChiNext ETF is 3.10, and the support point is 3.00 [8]. - The pressure point of the Shanghai 50 index is 3,000, and the support point is 2,850 [8]. - The pressure point of the CSI 300 index is 4,600, and the support point is 4,500 [8]. - The pressure point of the CSI 1000 index is 7,500, and the support point is 7,400 [8]. 3.5 Option Factor - Implied Volatility - For the Shanghai 50 ETF option, the at - the - money implied volatility was 19.40%, the weighted implied volatility was 21.26%, down 0.16 percentage points, the annual average was 16.03%, the call implied volatility was 21.56%, the put implied volatility was 20.80%, the 20 - day historical volatility was 18.81%, and the difference between implied and historical volatility was 2.45% [11]. - For the Shanghai 300 ETF option, the at - the - money implied volatility was 18.91%, the weighted implied volatility was 20.11%, down 0.18 percentage points, the annual average was 16.46%, the call implied volatility was 20.25%, the put implied volatility was 19.94%, the 20 - day historical volatility was 18.44%, and the difference between implied and historical volatility was 1.67% [11]. - For the Shanghai 500 ETF option, the at - the - money implied volatility was 22.97%, the weighted implied volatility was 24.17%, down 2.17 percentage points, the annual average was 20.17%, the call implied volatility was 24.17%, the put implied volatility was 24.16%, the 20 - day historical volatility was 22.80%, and the difference between implied and historical volatility was 1.36% [11]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 48.62%, the weighted implied volatility was 47.36%, down 2.11 percentage points, the annual average was 31.30%, the call implied volatility was 46.50%, the put implied volatility was 48.73%, the 20 - day historical volatility was 43.11%, and the difference between implied and historical volatility was 4.25% [11]. - For the E Fund Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 45.61%, the weighted implied volatility was 48.02%, down 3.02 percentage points, the annual average was 32.11%, the call implied volatility was 46.24%, the put implied volatility was 50.92%, the 20 - day historical volatility was 44.65%, and the difference between implied and historical volatility was 3.37% [11]. - For the Shenzhen 300 ETF option, the at - the - money implied volatility was 19.87%, the weighted implied volatility was 23.85%, up 1.72 percentage points, the annual average was 18.09%, the call implied volatility was 21.13%, the put implied volatility was 27.03%, the 20 - day historical volatility was 20.94%, and the difference between implied and historical volatility was 2.91% [11]. - For the Shenzhen 500 ETF option, the at - the - money implied volatility was 23.66%, the weighted implied volatility was 31.95%, down 10.80 percentage points, the annual average was 21.53%, the call implied volatility was 25.16%, the put implied volatility was 38.83%, the 20 - day historical volatility was 24.52%, and the difference between implied and historical volatility was 7.43% [11]. - For the Shenzhen 100 ETF option, the at - the - money implied volatility was 25.85%, the weighted implied volatility was 64.35%, down 19.79 percentage points, the annual average was 23.80%, the call implied volatility was 27.99%, the put implied volatility was 88.09%, the 20 - day historical volatility was 26.84%, and the difference between implied and historical volatility was 37.51% [11]. - For the ChiNext ETF option, the at - the - money implied volatility was 38.90%, the weighted implied volatility was 45.45%, up 3.80 percentage points, the annual average was 27.47%, the call implied volatility was 39.62%, the put implied volatility was 51.56%, the 20 - day historical volatility was 36.83%, and the difference between implied and historical volatility was 8.62% [11]. - For the Shanghai 50 index option, the at - the - money implied volatility was 19.64%, the weighted implied volatility was 21.87%, down 0.63 percentage points, the annual average was 17.40%, the call implied volatility was 22.20%, the put implied volatility was 21.12%, the 20 - day historical volatility was 19.23%, and the difference between implied and historical volatility was 2.64% [11]. - For the CSI 300 index option, the at - the - money implied volatility was 20.66%, the weighted implied volatility was 21.91%, down 0.51 percentage points, the annual average was 17.13%, the call implied volatility was 21.81%, the put implied volatility was 22.06%, the 20 - day historical volatility was 18.52%, and the difference between implied and historical volatility was 3.39% [11]. - For the CSI 1000 index option, the at - the - money implied volatility was