股指期权周度观察：隐波或将继续呈低位震荡格局-20251109

1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - Last week, the implied volatility of each option showed a pattern of rising first, then falling and oscillating back. Affected by factors such as overseas liquidity from Monday to Wednesday, the implied volatility locally soared, but the A - shares in China were quite resilient. As market sentiment recovered on Thursday and Friday, the implied volatility hit a new low in this round. Currently, the average at - the - money implied volatility of November IO, HO, and MO options is around 13.95%, 14%, and 18.3% respectively, with premiums of about - 2.89, - 2, and - 0.3 percentage points compared to the 30 - day historical volatility. The premiums are generally at a relatively low level in history, and it is expected that the room for further decline in implied volatility is relatively limited. Under the characteristic of volatility clustering, it will continue to show a low - level oscillation pattern [4]. - The continuous decline in implied volatility indicates that the options market is more likely to price in an oscillating upward trend. The probability of short - term upward acceleration of each index remains low [4]. - The position PCR value has significantly increased, and call option sellers showed an obvious trend of reducing positions in the last two trading days of last week, indicating that the capital view is more inclined to believe that the downside space of the index is limited [4]. - The dense holding area of MO put options is below the strike price of 7400 points, and that of IO put options still has extremely high positions at the strike price of 4700 points. However, combined with the technical form, it is more inclined to use the low point of last week as the defensive area for put option sellers in November [4]. - In general, as the remaining time of the November contract enters the last two weeks, the time value decays faster. On the one hand, sellers of out - of - the - money put options in November can still consider continuing to hold, and new investors are advised to pay attention to the layout opportunities of MO put option sellers below the strike price of 7300 points; on the other hand, investors with long positions in stock index futures are still advised to use out - of - the - money call option sellers to increase income on rallies [4]. 3. Summary by Directory 3.1 Index Option Data Tracking - Main Indicator Overview: No specific content provided - Trading Volume and Open Interest: The report does not elaborate on specific data and trends, but only lists the data sources as WIND and the Research Institute of Guolian Futures [10][14] - PCR Value and Underlying Index Trend: The report does not elaborate on specific data and trends, but only lists the data sources as WIND and the Research Institute of Guolian Futures [20] - Open Interest Distribution: The report shows the open - interest distribution chart of HO2511, but does not provide detailed analysis [22][23] - One - Year Volatility Cone: The report does not elaborate on specific data and trends, but only lists the data sources as WIND and the Research Institute of Guolian Futures [29][32] - Implied Volatility and Historical Volatility: The report does not elaborate on specific data and trends, but only lists the data sources as WIND and the Research Institute of Guolian Futures [35][39][42] - Volatility Surface Structure: The report does not elaborate on specific data and trends, but only lists the data sources as WIND and the Research Institute of Guolian Futures [55] - Skewness and Underlying Index Trend: The report does not elaborate on specific data and trends, but only lists the data sources as WIND and the Research Institute of Guolian Futures [61]