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金融期权策略早报-20251023
Wu Kuang Qi Huo·2025-10-23 02:16
  1. Report Information - Report Title: Financial Options Strategy Morning Report [1] - Date: October 23, 2025 - Analysts: Lu Pinxian, Huang Kehan [2] 2. Core Views - Stock market review: The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a high-level volatile market [2]. - Financial options volatility analysis: The implied volatility of financial options decreased but remained at a relatively high level [2]. - Financial options strategies and suggestions: For ETF options, it is suitable to construct a bullish buyer strategy and a call option bull spread strategy; for index options, it is suitable to construct a bullish seller strategy, a call option bull spread strategy, and an arbitrage strategy between synthetic long futures and short futures [2]. 3. Market Overview 3.1 Financial Market Important Indexes | Index | Code | Closing Price | Change | Change Rate (%) | Turnover (Billion Yuan) | Turnover Change (Billion Yuan) | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | Shanghai Composite Index | 000001.SH | 3,913.76 | -2.57 | -0.07 | 74.15 | -9.64 | 16.81 | | Shenzhen Component Index | 399001.SZ | 12,996.61 | -80.71 | -0.62 | 92.63 | -10.96 | 30.47 | | SSE 50 Index | 000016.SH | 3,010.10 | 2.83 | 0.09 | 12.38 | -2.34 | 12.18 | | CSI 300 Index | 000300.SH | 4,592.57 | -15.30 | -0.33 | 44.09 | -11.05 | 14.40 | | CSI 500 Index | 000905.SH | 7,128.48 | -57.15 | -0.80 | 28.62 | -5.88 | 33.90 | | CSI 1000 Index | 000852.SH | 7,312.21 | -31.84 | -0.43 | 33.22 | -1.60 | 46.51 | [3] 3.2 Option Underlying ETF Market | Underlying | Contract | Closing Price | Change | Change Rate (%) | Volume (Million Units) | Volume Change | Turnover (Billion Yuan) | Turnover Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 ETF | 510050.SH | 3.148 | 0.004 | 0.13 | 793.07 | 784.55 | 2.491 | -0.186 | | SSE 300 ETF | 510300.SH | 4.695 | -0.015 | -0.32 | 554.48 | 544.89 | 2.602 | -1.910 | | SSE 500 ETF | 510500.SH | 7.224 | -0.056 | -0.77 | 271.37 | 266.52 | 1.962 | -1.560 | | Huaxia Science 50 ETF | 588000.SH | 1.476 | -0.001 | -0.07 | 2,978.55 | 2,938.63 | 4.383 | -1.460 | | E Fund Science 50 ETF | 588080.SH | 1.429 | -0.001 | -0.07 | 934.89 | 923.54 | 1.333 | -0.276 | | Shenzhen 300 ETF | 159919.SZ | 4.844 | -0.014 | -0.29 | 154.98 | 152.94 | 0.750 | -0.240 | | Shenzhen 500 ETF | 159922.SZ | 2.886 | -0.020 | -0.69 | 85.20 | 83.59 | 0.246 | -0.221 | | Shenzhen 100 ETF | 159901.SZ | 3.493 | -0.019 | -0.54 | 48.13 | 47.36 | 0.168 | -0.100 | | ChiNext ETF | 159915.SZ | 3.039 | -0.023 | -0.75 | 1,174.13 | 1,156.77 | 3.572 | -1.701 | [4] 3.3 Option Factors - Volume and Open Interest PCR | Option Variety | Volume (Million Contracts) | Volume Change | Open Interest (Million Contracts) | Open Interest Change | Volume PCR | Volume PCR Change | Open Interest PCR | Open Interest PCR Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 ETF | 106.89 | -18.07 | 149.61 | 1.26 | 1.13 | 0.10 | 0.86 | 0.03 | | SSE 300 ETF | 127.45 | -16.09 | 126.52 | -1.81 | 1.09 | 0.11 | 1.01 | -0.01 | | SSE 500 ETF | 164.69 | -29.18 | 129.26 | -2.95 | 1.36 | 0.33 | 1.11 | -0.05 | | Huaxia Science 50 ETF | 181.65 | -21.58 | 232.66 | 1.88 | 0.84 | 0.02 | 0.89 | 0.00 | | E Fund Science 50 ETF | 40.49 | -5.35 | 69.58 | 2.29 | 0.90 | -0.11 | 0.76 | -0.00 | | Shenzhen 300 ETF | 20.71 | -3.90 | 29.46 | 0.01 | 1.38 | -0.09 | 0.85 | 0.04 | | Shenzhen 500 ETF | 32.05 | -7.70 | 41.25 | 0.34 | 1.76 | 0.18 | 0.82 | 0.03 | | Shenzhen 100 ETF | 8.57 | -15.51 | 13.72 | -1.01 | 3.81 | -0.80 | 1.45 | -0.09 | | ChiNext ETF | 186.75 | -131.48 | 199.92 | -4.38 | 1.06 | 0.08 | 1.10 | -0.03 | | SSE 50 | 2.26 | -0.28 | 5.76 | 0.21 | 0.50 | -0.02 | 0.69 | -0.01 | | CSI 300 | 7.41 | -1.99 | 14.81 | 0.55 | 0.66 | 0.02 | 0.76 | -0.01 | | CSI 1000 | 15.95 | -4.43 | 24.92 | 0.93 | 0.81 | 0.02 | 0.94 | -0.00 | [5] 3.4 Option Factors - Pressure and Support Levels | Option Variety | Underlying Closing Price | At-the-Money Strike Price | Pressure Point | Pressure Point Deviation | Support Point | Support Point Deviation | Maximum Call Open Interest | Maximum Put Open Interest | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 ETF | 3.148 | 3.10 | 3.20 | 0.00 | 3.10 | 0.00 | 91,525 | 73,727 | | SSE 300 ETF | 4.695 | 4.70 | 4.70 | 0.00 | 4.70 | 0.00 | 60,459 | 58,384 | | SSE 500 ETF | 7.224 | 7.25 | 7.50 | 0.25 | 6.75 | -0.50 | 66,231 | 56,226 | | Huaxia Science 50 ETF | 1.476 | 1.50 | 1.50 | -0.05 | 1.45 | 0.00 | 74,599 | 54,738 | | E Fund Science 50 ETF | 1.429 | 1.45 | 1.60 | 0.00 | 1.30 | 0.00 | 20,819 | 10,087 | | Shenzhen 300 ETF | 4.844 | 4.80 | 5.00 | 0.00 | 4.80 | 0.00 | 12,438 | 7,905 | | Shenzhen 500 ETF | 2.886 | 2.90 | 3.00 | 0.00 | 2.85 | -0.10 | 12,486 | 8,866 | | Shenzhen 100 ETF | 3.493 | 3.50 | 3.70 | 0.00 | 3.00 | 0.00 | 3,706 | 3,101 | | ChiNext ETF | 3.039 | 3.00 | 3.10 | -0.20 | 3.00 | 0.00 | 57,241 | 59,726 | | SSE 50 | 3,010.10 | 3,000 | 3,000 | 0 | 3,000 | 0 | 3,153 | 1,647 | | CSI 300 | 4,592.57 | 4,600 | 4,600 | 0 | 4,500 | 0 | 5,875 | 3,203 | | CSI 1000 | 7,312.21 | 7,300 | 7,500 | 0 | 7,300 | 0 | 6,937 | 6,756 | [7] 3.5 Option Factors - Implied Volatility (%) | Option Variety | At-the-Money Implied Volatility | Weighted Implied Volatility | Weighted Implied Volatility Change | Annual Average | Call Implied Volatility | Put Implied Volatility | HISV20 | Implied - Historical Volatility Difference | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 ETF | 38.86 | 15.37 | -0.25 | 16.08 | 15.28 | 15.49 | 17.06 | -1.69 | | SSE 300 ETF | 13.10 | 16.94 | -0.15 | 16.53 | 16.80 | 17.11 | 17.82 | -0.88 | | SSE 500 ETF | 20.66 | 21.62 | -0.39 | 20.32 | 21.37 | 21.89 | 22.10 | -0.48 | | Huaxia Science 50 ETF | 53.96 | 33.80 | -0.70 | 32.63 | 34.30 | 33.20 | 40.60 | -6.80 | | E Fund Science 50 ETF | 123.98 | 34.78 | -0.59 | 33.43 | 35.23 | 34.20 | 41.37 | -6.58 | | Shenzhen 300 ETF | 28.52 | 17.61 | -0.42 | 18.24 | 17.66 | 17.53 | 18.96 | -1.35 | | Shenzhen 500 ETF | 23.89 | 21.64 | -0.73 | 21.79 | 21.98 | 21.32 | 20.98 | 0.67 | | Shenzhen 100 ETF | 30.31 | 24.23 | -0.57 | 24.86 | 23.97 | 24.38 | 23.16 | 1.07 | | ChiNext ETF | 37.82 | 29.85 | -0.89 | 28.72 | 30.08 | 29.59 | 35.39 | -5.54 | | SSE 50 | 15.99 | 15.75 | -0.44 | 17.31 | 15.65 | 15.94 | 16.74 | -0.99 | | CSI 300 | 17.63 | 17.62 | 0.14 | 17.07 | 17.23 | 18.23 | 17.55 | 0.07 | | CSI 1000 | 22.97 | 22.88 | -0.23 | 22.87 | 22.19 | 23.74 | 22.95 | -0.07 | [9] 4. Strategies and Suggestions 4.1 Sector Classification - Financial stocks: SSE 50, SSE 50 ETF - Large and medium-sized stocks: Shenzhen 100 ETF - Large-cap blue-chip stocks: CSI 300, SSE 300 ETF, Shenzhen 300 ETF - Small and medium-sized stocks: SSE 500 ETF, Shenzhen 500 ETF, CSI 1000 - ChiNext: Huaxia Science 50 ETF, E Fund Science 50 ETF, ChiNext ETF [11] 4.2 Strategy Suggestions for Each Sector 4.2.1 Financial Stocks (SSE 50 ETF, SSE 50) - Underlying market analysis: SSE 50 ETF showed a bullish high-level volatile trend with short-term support below [12]. - Option factor research: Implied volatility remained above the mean; the open interest PCR indicated increasing upward pressure; the pressure and support levels were 3.20 and 3.10 respectively [12]. - Option strategy suggestions: Construct a seller's bullish portfolio strategy; implement a spot long covered call strategy [12]. 4.2.2 Large-Cap Blue-Chip Stocks (SSE