金融期权策略早报：金融期权-20251030

Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The stock market shows a high - level volatile upward trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks all performing in this way [3]. - The implied volatility of financial options has decreased but remains at a relatively high level of fluctuation [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 between synthetic long futures of options and short futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 4,016.33, up 28.11 points or 0.70%, with a trading volume of 968.2 billion yuan and an increase of 27.5 billion yuan [4]. - The Shenzhen Component Index closed at 13,691.38, up 261.28 points or 1.95%, with a trading volume of 1,287.8 billion yuan and an increase of 80.7 billion yuan [4]. - The SSE 50 Index closed at 3,063.02, up 12.60 points or 0.41%, with a trading volume of 156.3 billion yuan and an increase of 7.6 billion yuan [4]. - The CSI 300 Index closed at 4,747.84, up 55.86 points or 1.19%, with a trading volume of 645.9 billion yuan and an increase of 74.3 billion yuan [4]. - The CSI 500 Index closed at 7,480.97, up 139.94 points or 1.91%, with a trading volume of 443.1 billion yuan and an increase of 21.1 billion yuan [4]. - The CSI 1000 Index closed at 7,569.12, up 89.90 points or 1.20%, with a trading volume of 439.2 billion yuan and an increase of 8.1 billion yuan [4]. 3.2 Option - underlying ETF Market Overview - The SSE 50 ETF closed at 3.210, up 0.014 or 0.44%, with a trading volume of 6.3035 million shares and a decrease of 4.95 billion yuan in trading value [5]. - The SSE 300 ETF closed at 4.862, up 0.060 or 1.25%, with a trading volume of 6.7928 million shares and a decrease of 2.12 billion yuan in trading value [5]. - The SSE 500 ETF closed at 7.594, up 0.153 or 2.06%, with a trading volume of 2.0619 million shares and an increase of 2.82 billion yuan in trading value [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.565, up 0.020 or 1.29%, with a trading volume of 30.9369 million shares and an increase of 4.91 billion yuan in trading value [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.515, up 0.019 or 1.27%, with a trading volume of 7.8679 million shares and a decrease of 1.49 billion yuan in trading value [5]. - The Shenzhen 300 ETF closed at 5.013, up 0.058 or 1.17%, with a trading volume of 1.1888 million shares and a decrease of 0.64 billion yuan in trading value [5]. - The Shenzhen 500 ETF closed at 3.031, up 0.061 or 2.05%, with a trading volume of 0.6327 million shares and a decrease of 0.13 billion yuan in trading value [5]. - The Shenzhen 100 ETF closed at 3.677, up 0.072 or 2.00%, with a trading volume of 0.4604 million shares and a decrease of 0.37 billion yuan in trading value [5]. - The ChiNext ETF closed at 3.300, up 0.095 or 2.96%, with a trading volume of 13.7014 million shares and an increase of 1.21 billion yuan in trading value [5]. 3.3 Option Factor - Volume and Open Interest PCR - For the SSE 50 ETF option, the trading volume was 595,100 contracts (down 167,700), the open interest was 1,233,100 contracts (down 55,600), the volume PCR was 0.93 (unchanged), and the open - interest PCR was 0.97 (down 0.02) [6]. - For the SSE 300 ETF option, the trading volume was 748,100 contracts (down 108,700), the open interest was 1,160,700 contracts (down 52,300), the volume PCR was 0.85 (down 0.14), and the open - interest PCR was 1.21 (up 0.05) [6]. - For the SSE 500 ETF option, the trading volume was 1,329,600 contracts (up 123,700), the open interest was 1,236,800 contracts (down 84,800), the volume PCR was 0.93 (down 0.09), and the open - interest PCR was 1.45 (up 0.17) [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 1,054,800 contracts (down 80,900), the open interest was 1,999,800 contracts (down 25,900), the volume PCR was 0.66 (down 0.09), and the open - interest PCR was 1.01 (down 0.02) [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 216,800 contracts (down 2,400), the open interest was 550,400 contracts (down 36,000), the volume PCR was 0.75 (down 0.07), and the open - interest PCR was 1.00 (down 0.01) [6]. - For the Shenzhen 300 ETF option, the trading volume was 125,000 contracts (down 13,600), the open interest was 246,600 contracts (up 3,900), the volume PCR was 1.22 (up 0.40), and the open - interest PCR was 0.88 (up 0.06) [6]. - For the Shenzhen 500 ETF option, the trading volume was 191,300 contracts (down 69,200), the open interest was 372,200 contracts (down 1,500), the volume PCR was 0.85 (down 1.29), and the open - interest PCR was 0.90 (up 0.01) [6]. - For the Shenzhen 100 ETF option, the trading volume was 51,400 contracts (up 4,700), the open interest was 100,400 contracts (down 1,900), the volume PCR was 1.79 (down 0.44), and the open - interest PCR was 1.32 (up 0.04) [6]. - For the ChiNext ETF option, the trading volume was 1,727,100 contracts (down 77,900), the open interest was 1,590,000 contracts (up 36,000), the volume PCR was 0.78 (down 0.07), and the open - interest PCR was 1.47 (up 0.13) [6]. - For the SSE 50 index option, the trading volume was 24,600 contracts (down 8,800), the open interest was 66,000 contracts (up 1,900), the volume PCR was 0.41 (down 0.07), and the open - interest PCR was 0.69 (unchanged) [6]. - For the CSI 300 index option, the trading volume was 108,300 contracts (down 5,700), the open interest was 169,600 contracts (up 9,300), the volume PCR was 0.70 (down 0.05), and the open - interest PCR was 0.90 (up 0.04) [6]. - For the CSI 1000 index option, the trading volume was 201,000 contracts (down 18,300), the open interest was 281,700 contracts (up 3,400), the volume PCR was 0.81 (down 0.05), and the open - interest PCR was 1.08 (up 0.06) [6]. 3.4 Option Factor - Pressure and Support Levels - For the SSE 50 ETF, the pressure levels were 3.20 and the support level was 3.10 [8]. - For the SSE 300 ETF, the pressure level was 5.00 and the support level was 4.70 [8]. - For the SSE 500 ETF, the pressure level was 7.50 and the support level was 7.25 [8]. - For the Huaxia Science and Technology Innovation 50 ETF, the pressure level was 1.60 and the support level was 1.45 [8]. - For the E Fund Science and Technology Innovation 50 ETF, the pressure level was 1.60 and the support level was 1.35 [8]. - For the Shenzhen 300 ETF, the pressure level was 5.25 and the support level was 4.70 [8]. - For the Shenzhen 500 ETF, the pressure level was 3.30 and the support level was 2.85 [8]. - For the Shenzhen 100 ETF, the pressure level was 3.70 and the support level was 3.50 [8]. - For the ChiNext ETF, the pressure level was 3.60 and the support level was 3.00 [8]. - For the SSE 50 index, the pressure level was 3,100 and the support level was 2,950 [8]. - For the CSI 300 index, the pressure level was 4,800 and the support level was 4,700 [8]. - For the CSI 1000 index, the pressure level was 7,500 and the support level was 7,000 [8]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF option, the at - the - money implied volatility was 15.54%, the weighted implied volatility was 15.80% (up 0.33%), the annual average was 16.00%, the call implied volatility was 16.04%, the put implied volatility was 15.44%, the 20 - day historical volatility was 15.87%, and the implied - historical volatility difference was - 0.07% [11]. - For the SSE 300 ETF option, the at - the - money implied volatility was 16.78%, the weighted implied volatility was 16.94% (up 0.43%), the annual average was 16.43%, the call implied volatility was 16.90%, the put implied volatility was 16.99%, the 20 - day historical volatility was 16.79%, and the implied - historical volatility difference was 0.15% [11]. - For the SSE 500 ETF option, the at - the - money implied volatility was 20.13%, the weighted implied volatility was 20.87% (up 0.61%), the annual average was 20.17%, the call implied volatility was 20.96%, the put implied volatility was 20.76%, the 20 - day historical volatility was 20.63%, and the implied - historical volatility difference was 0.23% [11]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 36.12%, the weighted implied volatility was 37.12% (up 1.20%), the annual average was 32.58%, the call implied volatility was 37.69%, the put implied volatility was 36.16%, the 20 - day historical volatility was 36.00%, and the implied - historical volatility difference was 1.11% [11]. - For the E Fund Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 72.01%, the weighted implied volatility was 37.70% (up 1.50%), the annual average was 33.42%, the call implied volatility was 37.77%, the put implied volatility was 37.56%, the 20 - day historical volatility was 36.77%, and the implied - historical volatility difference was 0.92% [11]. - For the Shenzhen 300 ETF option, the at - the - money implied volatility was 17.00%, the weighted implied volatility was 20.75% (up 3.15%), the annual average was 18.17%, the call implied volatility was 18.97%, the put implied volatility was 22.80%, the 20 - day historical volatility was 18.31%, and the implied - historical volatility difference was 2.44% [11]. - For the Shenzhen 500 ETF option, the at - the - money implied volatility was 20.84%, the weighted implied volatility was 22.53% (down 0.10%), the annual average was 21.66%, the call implied volatility was 22.07%, the put implied volatility was 23.15%, the 20 - day historical volatility was 21.49%, and the implied - historical volatility difference was 1.05% [11]. - For the Shenzhen 100 ETF option, the at - the - money implied volatility was 22.79%, the weighted implied volatility was 25.34% (down 1.54%), the annual average was 24.84%, the call implied volatility was 23.68%, the put implied volatility was 27.07%, the 20 - day historical volatility was 26.30%, and the implied - historical volatility difference was - 0.96% [11]. - For the ChiNext ETF option, the at - the - money implied volatility was 32.76%, the weighted implied volatility was 34.71% (up 2.07%), the annual average was 28.69%, the call implied volatility was 33.72%, the put implied volatility was 35.99%, the 20 - day historical volatility was 31.93%, and the implied - historical volatility difference was 2.78% [11]. - For the SSE 50 index option, the at - the - money implied volatility was 16.21%, the weighted implied volatility was 16.42% (up 0.33%), the annual average was 17.16%, the call implied volatility was 16.49%, the put implied volatility was 16.23%, the 20 - day historical volatility was 16.10%, and the implied - historical volatility difference was 0.32% [11]. - For the CSI 300 index option, the at - the - money implied volatility was 16.65%, the weighted implied volatility was 16.56% (up 0.30%), the annual average was 16.92%, the call implied volatility was 16.38%, the put implied volatility was 16.83%, the 20 - day historical volatility was 16.81%, and the implied - historical volatility difference was - 0.25% [11]. - For the CSI 100