金融期权周报-20251110

1. Report Industry Investment Rating - No information provided in the given content 2. Core Viewpoints of the Report - Last week, the overall market showed a trend of falling first and then rising. Except for the CSI 500 Index, most major indices closed higher, with the SSE 50 Index leading the gains with a weekly increase of 0.89%. The power equipment and coal sectors performed well, with weekly increases of 4.98% and 4.52% respectively, while the computer sector was weak with a weekly decline of about 2.54%. The market focus was on the US dollar liquidity issue. After the Fed's interest - rate meeting, there were signs of marginal tightening of US dollar liquidity, putting pressure on US stocks. On Friday, news of the end of the US government shutdown improved market risk appetite, driving a rebound in US stocks and a decline in the US dollar. The impact of US dollar liquidity shocks on the domestic market was limited, and Chinese asset prices showed resilience. The short - term external disturbances had limited impact on the domestic market, and it is expected that the domestic market will mainly fluctuate at a high level in the medium term. Continue to monitor subsequent changes in US dollar liquidity and domestic policy signals [1]. - In the options market last week, the implied volatility (IV) of various financial options generally declined. The IV of the Sci - Tech Innovation 50 Index options (IV = 32%) and ChiNext Index options (IV = 28%) has been falling since September but remains at a relatively high level above the median of the past year. The IV of 50 and 300 options is currently in the range of 12% - 14%, and the IV of CSI 500 and CSI 1000 options is about 18%. The position PCR of most financial options is in the range of 75% - 110%, slightly higher than the previous week [2]. - The market may continue to show a relatively strong oscillating pattern, and the IV of most options varieties continues to decline. The impact of factors such as US dollar liquidity on domestic asset prices is limited. It is expected that the market may continue to oscillate strongly, and sectors such as power equipment will perform relatively strongly. The current domestic liquidity environment remains positive, and inflation data has stabilized and rebounded. One can continue to hold indices with relatively reasonable valuations, such as the SSE 300 and CSI A500. Since the current option IV has declined, one can also buy out - of - the - money call options with a long - term maturity on the corresponding indices. For the Sci - Tech Innovation 50 Index, which has experienced large fluctuations recently and still has a relatively high static valuation, if one holds the underlying asset, one can consider buying out - of - the - money put options or selling out - of - the - money call options to reduce exposure risk. If one has accumulated a large amount of spot gains, one can also consider taking profits on the spot and keeping a small amount of long - term call options to cope with the irrational rise of the market, such as the ChiNext Index. The CSI 1000 - 2603 stock index futures still have a high discount, and one can consider continuing to hold the covered call strategy of buying the index futures and selling out - of - the - money call options [3]. 3. Summaries According to Relevant Catalogs 3.1 Overview - The overall market last week showed a trend of falling first and then rising. Most major indices closed higher, with the SSE 50 Index leading the gains. The power equipment and coal sectors performed well, while the computer sector was weak. The market focused on US dollar liquidity. After the Fed's meeting, US dollar liquidity tightened marginally, affecting US stocks. The end of the US government shutdown improved market sentiment. The impact on the domestic market was limited, and the domestic market is expected to oscillate at a high level in the medium term [1]. 3.2 Options Market - The IV of various financial options generally declined last week. The IV of the Sci - Tech Innovation 50 Index and ChiNext Index options has been falling but remains high. The IV of 50 and 300 options is in the 12% - 14% range, and that of CSI 500 and CSI 1000 options is about 18%. The position PCR of most financial options is in the 75% - 110% range and slightly increased [2]. 3.3 Strategy Outlook - The market may continue to oscillate strongly, and the IV of most options varieties continues to decline. Hold indices with reasonable valuations and consider buying long - term out - of - the - money call options. For high - volatility indices, manage risk through option strategies. Consider the covered call strategy for CSI 1000 - 2603 stock index futures [3]. 3.4 Market Data of Each Index - Detailed data on the closing prices, price changes, IV, IV changes, historical quantiles, option trading volumes, and position PCR of various indices such as the SSE 50, SSE 300, CSI 500, CSI 1000, ChiNext Index, Sci - Tech Innovation 50 Index, and Shenzhen 100 Index are provided [5]. - Data on the price, IV, and related quantiles of each index over different time periods (recently, in the past year, and in the past three years) are presented, along with the IV term structure, intraday IV trends, and option smile curves of each index [8][19][27][34][43][48][52][64][70][77][86][93].