金融期权周报-20251229

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The market may continue to be volatile and relatively strong, and the implied volatility of various financial options remains at a low level within the year [3] - The strong performance of precious metals last week drove the non - ferrous metals sector to rise. The strong RMB and loose external liquidity support the volatile and strong pattern of the stock index [3] 3. Summary According to Relevant Catalogs Overview - The market showed an upward trend last week, with major indices rising weekly. The CSI 500 index led the gains with a weekly increase of 4.03%. Non - ferrous metals and national defense and military industries had prominent performances with weekly increases of 6.42% and 6.00% respectively, while beauty care and social services sectors were weak with weekly declines of about 1.08% and 1.05% respectively [1] - The market focus was on the US dollar liquidity and the strong market of precious metals. The US dollar index continued its weak and volatile trend, and the liquidity environment remained loose. Precious metals continued their sharp rise after the central bank meeting. The RMB exchange rate was strong, supporting the domestic market [1] Options Market - In the options market last week, the implied volatility (IV) of various financial options mainly declined and remained at a relatively low level within the year. The implied volatility of the Science and Technology Innovation 50 ETF option had the deepest decline of 3.10%. The implied volatility of the Science and Technology Innovation 50 option (IV = 24%) and the ChiNext Index option (IV = 24%) has fallen below the median of the past year [2] - 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 in the range of 17% - 18%. The PCR of the positions of most financial options is still in the range of 90% - 120%, showing a decline from the previous week [2] Strategy Outlook - Hold indices with relatively reasonable valuations such as CSI 300 and CSI A500. As the current option IV has declined, consider buying long - dated out - of - the - money call options of the corresponding indices [3] - For the Science and Technology Innovation 50 index, which has large recent fluctuations and relatively high static valuations, if holding the underlying assets, consider buying out - of - the - money put options or selling out - of - the - money call options to reduce exposure risks. If there are substantial spot gains, consider taking profits on the spot and keeping a small number of long - dated call options [3] - Since the discount of the CSI 1000 - 2603 stock index futures has converged, consider rolling over to the 2606 contract with a higher discount to form a covered call strategy of long stock index and short out - of - the - money call options [3]