金融期权策略早报-20251215

1. Report Industry Investment Rating - No relevant content 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 declined to a level below the historical average [3]. - For ETF options, it is suitable to construct a partial long - side seller strategy and a bull spread combination strategy of call options; for index options, it is suitable to construct a partial long - side seller strategy, a bull spread combination strategy of call options, and an arbitrage strategy of synthetic long futures with options and short futures [3]. 3. Summary According to Related Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,889.35, up 16.03 points or 0.41% with a trading volume of 910 billion yuan and an increase of 145.6 billion yuan in trading volume [4]. - The Shenzhen Component Index closed at 13,258.33, up 110.94 points or 0.84% with a trading volume of 1,182.3 billion yuan and an increase of 89.5 billion yuan in trading volume [4]. - The SSE 50 Index closed at 2,994.64, up 17.61 points or 0.59% with a trading volume of 137.3 billion yuan and an increase of 40.3 billion yuan in trading volume [4]. - The CSI 300 Index closed at 4,580.95, up 28.77 points or 0.63% with a trading volume of 523.9 billion yuan and an increase of 91.4 billion yuan in trading volume [4]. - The CSI 500 Index closed at 7,169.79, up 86.90 points or 1.23% with a trading volume of 373.1 billion yuan and an increase of 72.4 billion yuan in trading volume [4]. - The CSI 1000 Index closed at 7,370.94, up 58.95 points or 0.81% with a trading volume of 422.8 billion yuan and an increase of 40.8 billion yuan in trading volume [4]. 3.2 Option - Underlying ETF Market Overview - The SSE 50 ETF closed at 3.134, up 0.014 or 0.45% with a trading volume of 6.3103 million shares and an increase of 6.2611 million shares in trading volume, and a trading amount of 1.971 billion yuan and an increase of 0.434 billion yuan in trading amount [5]. - The SSE 300 ETF closed at 4.694, up 0.026 or 0.56% with a trading volume of 8.6715 million shares and an increase of 8.6095 million shares in trading volume, and a trading amount of 4.057 billion yuan and an increase of 1.147 billion yuan in trading amount [5]. - Other ETFs also have their respective closing prices, price changes, trading volumes, and trading amounts as detailed in the report [5]. 3.3 Option Factors - Volume and Position PCR - For the SSE 50 ETF option, the trading volume was 873,200 contracts, an increase of 153,600 contracts; the open interest was 1,355,600 contracts, a decrease of 19,200 contracts; the trading volume PCR was 1.08, an increase of 0.01; the open - interest PCR was 0.96, an increase of 0.04 [6]. - Other option varieties also have their corresponding volume and position PCR data as shown in the report [6]. 3.4 Option Factors - Pressure and Support Points - For the SSE 50 ETF, the pressure point is 3.20 and the support point is 3.10 [8]. - Other option - underlying assets also have their respective pressure and support points as presented in the report [8]. 3.5 Option Factors - Implied Volatility - The at - the - money implied volatility of the SSE 50 ETF option was 12.00%, the weighted implied volatility was 12.27%, a decrease of 0.74 percentage points; the annual average was 15.95% [11]. - Other option varieties also have their corresponding implied volatility data as detailed in the report [11]. 3.6 Strategy and Suggestions 3.6.1 Financial Stock Sector (SSE 50 ETF) - The SSE 50 ETF showed a high - level volatile and consolidating trend with pressure above. The implied volatility of its options remained at a level below the average. The open - interest PCR was around 0.90, indicating a sideways trend. The pressure point was 3.20 and the support point was 3.10. Directional strategy: None. Volatility strategy: Construct a seller - neutral combination strategy to obtain time - value income and dynamically adjust the position delta to keep it neutral. Spot long - covered strategy: Hold the SSE 50 ETF and sell call options [14]. 3.6.2 Large - Cap Blue - Chip Stock Sector (SSE 300 ETF) - The SSE 300 ETF showed a rebound after a decline, with the implied volatility of its options remaining at a level below the average. The open - interest PCR was above 1.00, indicating an upward - biased trend. The pressure point was 4.80 and the support point was 4.60. Directional strategy: None. Volatility strategy: Construct a short - volatility strategy of selling call and put options to obtain option time - value income. Spot long - covered strategy: Hold the SSE 300 ETF and sell call options [14]. 3.6.3 Small - and Medium - Cap Stock Sector (SSE 500 ETF) - The SSE 500 ETF showed a rebound after a decline with support below and pressure above. The implied volatility of its options remained at a level below the historical average. The open - interest PCR was above 1.00, indicating a strong sideways trend. The pressure point was 7.50 and the support point was 7.00. Directional strategy: None. Volatility strategy: Construct a short - volatility strategy of selling call and put options to obtain option time - value income. Spot long - covered strategy: Hold the SSE 500 ETF and sell call options [15]. 3.6.4 Large - and Medium - Sized Stock Sector (SZSE 100 ETF) - The SZSE 100 ETF showed a partial long - side high - level volatile and slightly upward trend. The implied volatility of its options fluctuated around the average level. The open - interest PCR was above 1.00, indicating an upward - biased and sideways - declining trend. The pressure point was 3.40 and the support point was 3.30. Directional strategy: None. Volatility strategy: Construct a short - volatility strategy of selling call and put options to obtain option time - value income. Spot long - covered strategy: Hold the SZSE 100 ETF and sell call options [15]. 3.6.5 ChiNext Sector (ChiNext ETF) - The ChiNext ETF showed a bullish and rebound trend. The implied volatility of its options remained at a relatively high level. The open - interest PCR was above 1.00, indicating a strengthening trend. The pressure point was 3.20 and the support point was 3.00. Directional strategy: None. Volatility strategy: Construct a short - volatility strategy to obtain time - value income. Spot long - covered strategy: Hold the ChiNext ETF and sell call options [16]. 3.6.6 Small - and Medium - Cap Stock Sector (CSI 1000) - The CSI 1000 index showed a rebound after a decline and a sideways - consolidating trend with pressure above. The implied volatility of its index options fluctuated at a level below the average. The open - interest PCR was below 1.00, indicating a sideways and weak trend. The pressure point was 7400 and the support point was 7000. Directional strategy: None. Volatility strategy: Construct a short - volatility strategy of selling call and put options to obtain option time - value income and dynamically adjust the position to keep the delta short [16].