上交所处期权周报-20251109

1. Report Industry Investment Rating No information provided in the report. 2. Core Views of the Report - From November 3rd to 7th, 2025, the Shanghai Composite Index rose with fluctuations during the week, while the Shenzhen Component Index opened slightly lower and fluctuated. The performance of different ETFs varied, with 50ETF and Huatai-PineBridge CSI 300ETF showing certain increases, and Southern CSI 500ETF having a small increase. In the options market, the average daily trading volume and total open interest of various ETF options increased. Volatility decreased, with short - term volatility significantly dropping, and the implied volatility curve structure slightly shifting to the right. The market risk preference declined. Considering the current situation, the probability of implied volatility strengthening in the future is relatively high, and a volatility strategy of selling high is recommended [2][3][4]. 3. Summary by Directory 3.1. Spot and Futures Market Review 3.1.1. Underlying Asset Market - From November 3rd to 7th, the Shanghai Composite Index rose 1.08% compared to the previous week, closing at 3997.56 with lower trading volume. The Shenzhen Component Index opened slightly lower, fluctuated during the week, and closed at 13404.06 with lower trading volume. 50ETF opened at 3.153 and closed at 3.186, rising 0.82% with a turnover of 11.564 billion. Huatai - PineBridge CSI 300ETF opened at 4.752 and closed at 4.795, rising 0.82% with a turnover of 19.074 billion. Southern CSI 500ETF opened at 7.427 and closed at 7.440, rising 0.05% with a turnover of 7.169 billion [8]. 3.1.2. Index Futures Market - From November 3rd to 7th, all IH contracts of stock index futures closed up. Contract IH2511 rose 0.76%. All IF contracts closed up, with contract IF2511 rising 0.57%. All IC contracts closed down, with contract IC2511 falling 0.30% [9]. 3.2. Options Market Review 3.2.1. Trading and Open Interest - From November 3rd to 7th, the average daily trading volume and total open interest of 50ETF options increased. The average daily trading volume was 864,446 contracts, an increase of 31,600 contracts compared to the previous week. The total open interest was 1,530,207 contracts, an increase of 69,092 contracts from the previous weekend. The total open interest PCR was 0.97, up 0.07 from the previous weekend. For Huatai - PineBridge CSI 300ETF options, the average daily trading volume was 1,031,324 contracts, an increase of 43,523 contracts compared to the previous week. The total open interest was 1,376,297 contracts, an increase of 116,890 contracts from the previous weekend. The total open interest PCR was 1.12, up 0.09 from the previous weekend. For Southern CSI 500ETF options, the average daily trading volume was 1,513,130 contracts, an increase of 90,928 contracts compared to the previous week. The total open interest was 1,361,584 contracts, an increase of 40,101 contracts from the previous weekend. The total open interest PCR was 1.26, basically unchanged from the previous weekend [13][16][21]. 3.2.2. Volatility - Historical Volatility: As of November 7th, the 5 - day historical rolling volatility of 50ETF dropped to 9.69%, around the 25th percentile of the five - year historical level. The 5 - day, 10 - day, 20 - day, and 40 - day historical volatilities were 9.69%, 10.60%, 11.57%, and 11.90% respectively. The 5 - day historical rolling volatility of Huatai - PineBridge CSI 300ETF dropped to 12.63%, around the 50th percentile of the five - year historical level, with corresponding historical volatilities of 12.63%, 15.12%, 15.91%, and 16.82%. The 5 - day historical rolling volatility of Southern CSI 500ETF dropped to 18.52%, around the 50th percentile of the five - year historical level, with corresponding historical volatilities of 18.52%, 19.76%, 22.32%, and 22.34% [25][29][31]. - Implied Volatility: On November 7th, for each options variety's 2025 - 11 and 2025 - 12 contracts, the implied volatility of at - the - money contracts declined, while the implied volatility of out - of - the - money contracts remained at a relatively high level. The implied volatility curve structure slightly shifted to the right. For the 500ETF, which had a relatively large decline, the valuation of put contracts was relatively high, indicating a decline in market risk preference [34]. - Comparison of Historical and Implied Volatility Trends: Short - term volatility significantly declined. The volatility of 50ETF dropped below 10%, and the weekly volatility of 300ETF and 500ETF dropped from the 75th percentile to the 50th percentile of the historical level. Monthly volatility also declined further, and the implied volatility mainly decreased during the week. Currently, the implied volatility level is still lower than the historical volatility, and it is believed that the probability of implied volatility strengthening in the future is relatively high [41]. 3.3. Investment Recommendations - In terms of strategies, the weekly market first fell and then rose. Small - cap growth stocks declined more, while large - cap stocks were relatively stable and performed slightly better than small - cap stocks. The open interest PCR level showed different trends according to the rise and fall of the underlying assets, and the current level is around the historical median. Considering the implied volatility, the overall level has decreased. On the implied volatility curve, the volatility of at - the - money contracts decreased, but the implied volatility of out - of - the - money contracts remained high, indicating a decline in market risk preference. Given that the current implied volatility level is lower than the historical volatility, if the market fluctuates significantly, the volatility level may suddenly rise. Therefore, a volatility strategy of selling high is still recommended [4][44].