金融期权策略早报-20251231

1. Report Industry Investment Rating - No information provided in the content. 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 experiencing this kind of market condition [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 long - biased seller strategy and a bullish spread combination strategy of call options; for index options, in addition to the above two strategies, an arbitrage strategy of synthetic long futures of options and short futures can also be constructed [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,965.12, down 0.16 points or 0.00%, with a trading volume of 887.5 billion yuan and a decrease of 16.3 billion yuan [4]. - The Shenzhen Component Index closed at 13,604.07, up 66.97 points or 0.49%, with a trading volume of 1,254.8 billion yuan and an increase of 19.3 billion yuan [4]. - The Shanghai 50 Index closed at 3,036.55, up 1.92 points or 0.06%, with a trading volume of 113.2 billion yuan and a decrease of 3.9 billion yuan [4]. - The CSI 300 Index closed at 4,651.28, up 11.91 points or 0.26%, with a trading volume of 457.2 billion yuan and a decrease of 25.4 billion yuan [4]. - The CSI 500 Index closed at 7,458.94, up 28.32 points or 0.38%, with a trading volume of 407.6 billion yuan and an increase of 17.2 billion yuan [4]. - The CSI 1000 Index closed at 7,597.30, up 3.14 points or 0.04%, with a trading volume of 468 billion yuan and an increase of 1.2 billion yuan [4]. 3.2 Option - based ETF Market Overview - The Shanghai 50 ETF closed at 3.108, down 0.001 or 0.03%, with a trading volume of 5.2426 million shares and an increase of 5.1939 million shares, and a trading value of 1.629 billion yuan and an increase of 0.11 billion yuan [5]. - The Shanghai 300 ETF closed at 4.773, up 0.010 or 0.21%, with a trading volume of 4.7722 million shares and an increase of 4.687 million shares, and a trading value of 2.276 billion yuan and a decrease of 1.794 billion yuan [5]. - The Shanghai 500 ETF closed at 7.581, up 0.033 or 0.44%, with a trading volume of 2.4148 million shares and an increase of 2.381 million shares, and a trading value of 1.831 billion yuan and a decrease of 0.727 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.433, up 0.016 or 1.13%, with a trading volume of 24.3216 million shares and an increase of 24.0639 million shares, and a trading value of 3.481 billion yuan and a decrease of 0.194 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.387, up 0.014 or 1.02%, with a trading volume of 6.9668 million shares and an increase of 6.8983 million shares, and a trading value of 0.965 billion yuan and an increase of 0.019 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.855, up 0.017 or 0.35%, with a trading volume of 2.521 million shares and an increase of 2.4984 million shares, and a trading value of 1.223 billion yuan and an increase of 0.128 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.993, up 0.014 or 0.47%, with a trading volume of 0.859 million shares and an increase of 0.8482 million shares, and a trading value of 0.257 billion yuan and a decrease of 0.065 billion yuan [5]. - The Shenzhen 100 ETF closed at 3.485, up 0.015 or 0.43%, with a trading volume of 0.742 million shares and an increase of 0.7347 million shares, and a trading value of 0.258 billion yuan and an increase of 0.007 billion yuan [5]. - The ChiNext ETF closed at 3.229, up 0.024 or 0.75%, with a trading volume of 11.8097 million shares and an increase of 11.7144 million shares, and a trading value of 3.8 billion yuan and an increase of 0.744 billion yuan [5]. 3.3 Option Factor - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume was 581,500 contracts, a decrease of 39,600 contracts; the open interest was 985,700 contracts, a decrease of 7,700 contracts; the trading volume PCR was 0.97, an increase of 0.01; the open interest PCR was 0.94, an increase of 0.00 [6]. - For the Shanghai 300 ETF option, the trading volume was 696,100 contracts, a decrease of 84,000 contracts; the open interest was 1,083,300 contracts, an increase of 24,900 contracts; the trading volume PCR was 0.84, a decrease of 0.05; the open interest PCR was 0.94, an increase of 0.02 [6]. - For the Shanghai 500 ETF option, the trading volume was 1,105,100 contracts, an increase of 72,000 contracts; the open interest was 1,064,600 contracts, an increase of 33,600 contracts; the trading volume PCR was 0.91, an increase of 0.08; the open interest PCR was 1.07, an increase of 0.02 [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 988,700 contracts, a decrease of 17,200 contracts; the open interest was 1,782,800 contracts, an increase of 9,600 contracts; the trading volume PCR was 0.69, an increase of 0.12; the open interest PCR was 0.81, an increase of 0.02 [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 178,200 contracts, an increase of 8,500 contracts; the open interest was 471,500 contracts, an increase of 900 contracts; the trading volume PCR was 0.97, an increase of 0.22; the open interest PCR was 0.88, an increase of 0.01 [6]. - For the Shenzhen 300 ETF option, the trading volume was 157,300 contracts, a decrease of 84,300 contracts; the open interest was 263,200 contracts, an increase of 8,500 contracts; the trading volume PCR was 1.66, an increase of 0.74; the open interest PCR was 1.03, an increase of 0.07 [6]. - For the Shenzhen 500 ETF option, the trading volume was 493,200 contracts, an increase of 46,500 contracts; the open interest was 373,500 contracts, an increase of 10,500 contracts; the trading volume PCR was 1.71, an increase of 0.67; the open interest PCR was 1.07, an increase of 0.00 [6]. - For the Shenzhen 100 ETF option, the trading volume was 36,000 contracts, a decrease of 8,300 contracts; the open interest was 95,100 contracts, a decrease of 900 contracts; the trading volume PCR was 2.02, a decrease of 0.32; the open interest PCR was 1.59, an increase of 0.04 [6]. - For the ChiNext ETF option, the trading volume was 1,312,900 contracts, an increase of 162,200 contracts; the open interest was 1,406,800 contracts, an increase of 66,100 contracts; the trading volume PCR was 0.85, a decrease of 0.00; the open interest PCR was 1.13, an increase of 0.06 [6]. - For the Shanghai 50 index option, the trading volume was 25,100 contracts, an increase of 1,600 contracts; the open interest was 52,000 contracts, an increase of 400 contracts; the trading volume PCR was 0.64, an increase of 0.13; the open interest PCR was 0.67, a decrease of 0.01 [6]. - For the CSI 300 index option, the trading volume was 98,000 contracts, an increase of 3,200 contracts; the open interest was 171,200 contracts, an increase of 8,000 contracts; the trading volume PCR was 0.61, an increase of 0.07; the open interest PCR was 0.74, an increase of 0.03 [6]. - For the CSI 1000 index option, the trading volume was 211,400 contracts, an increase of 8,700 contracts; the open interest was 287,600 contracts, an increase of 10,400 contracts; the trading volume PCR was 0.72, an increase of 0.05; the open interest PCR was 0.97, a decrease of 0.01 [6]. 3.4 Option Factor - Pressure and Support Points - For the Shanghai 50 ETF, the pressure point was 3.10, with an offset of - 0.10; the support point was 3.00, with an offset of 0.00 [8]. - For the Shanghai 300 ETF, the pressure point was 4.80, with an offset of 0.00; the support point was 4.70, with an offset of 0.00 [8]. - For the Shanghai 500 ETF, the pressure point was 7.50, with an offset of 0.00; the support point was 7.25, with an offset of 0.00 [8]. - For the Huaxia Science and Technology Innovation 50 ETF, the pressure point was 1.45, with an offset of 0.00; the support point was 1.40, with an offset of 0.00 [8]. - For the E Fund Science and Technology Innovation 50 ETF, the pressure point was 1.50, with an offset of 0.00; the support point was 1.30, with an offset of 0.00 [8]. - For the Shenzhen 300 ETF, the pressure point was 4.90, with an offset of 0.00; the support point was 4.80, with an offset of 0.00 [8]. - For the Shenzhen 500 ETF, the pressure point was 3.00, with an offset of 0.00; the support point was 2.90, with an offset of 0.00 [8]. - For the Shenzhen 100 ETF, the pressure point was 3.50, with an offset of 0.00; the support point was 3.40, with an offset of 0.00 [8]. - For the ChiNext ETF, the pressure point was 3.20, with an offset of 0.00; the support point was 3.10, with an offset of 0.00 [8]. - For the Shanghai 50 index, the pressure point was 3,100, with an offset of 0; the support point was 3,000, with an offset of 0 [8]. - For the CSI 300 index, the pressure point was 4,700, with an offset of 0; the support point was 4,650, with an offset of 50 [8]. - For the CSI 1000 index, the pressure point was 7,600, with an offset of 0; the support point was 7,300, with an offset of 0 [8]. 3.5 Option Factor - Implied Volatility - For the Shanghai 50 ETF option, the at - the - money implied volatility was 13.75%, the weighted implied volatility was 13.88%, an increase of 0.53%, the annual average was 16.01%, the call implied volatility was 14.00%, the put implied volatility was 13.74%, the 20 - day historical volatility was 12.17%, and the difference between implied and historical volatility was 1.71% [11]. - For the Shanghai 300 ETF option, the at - the - money implied volatility was 15.84%, the weighted implied volatility was 15.53%, an increase of 0.47%, the annual average was 16.67%, the call implied volatility was 15.69%, the put implied volatility was 15.33%, the 20 - day historical volatility was 13.59%, and the difference between implied and historical volatility was 1.93% [11]. - For the Shanghai 500 ETF option, the at - the - money implied volatility was 19.98%, the weighted implied volatility was 20.21%, an increase of 0.69%, the annual average was 20.48%, the call implied volatility was 20.12%, the put implied volatility was 20.31%, the 20 - day historical volatility was 17.12%, and the difference between implied and historical volatility was 3.09% [11]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 28.34%, the weighted implied volatility was 27.09%, a decrease of 0.06%, the annual average was 33.88%, the call implied volatility was 27.23%, the put implied volatility was 26.87%, the 20 - day historical volatility was 25.51%, and the difference between implied and historical volatility was 1.58% [11]. - For the E Fund Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 28.52%, the weighted implied volatility was 28.05%, an increase of 0.02%, the annual average was 34.78%, the call implied volatility was 28.44%, the put implied volatility was 27.57%, the 20 - day historical volatility was 26.06%, and the difference between implied and historical volatility was 1.99% [11]. - For the Shenzhen 300 ETF option, the at - the - money implied volatility was 15.90%, the weighted implied volatility was 17.44%, a decrease of 1.18%, the annual average was 19.07%, the call implied volatility was 18.28%, the put implied volatility was 16.16%, the 20 - day historical volatility was 12.72%, and the difference between implied and historical volatility was 4.73% [11]. - For the Shenzhen 500 ETF option, the at - the - money implied volatility was 19.99%, the weighted implied volatility was 20.86%, an increase of 0.91%, the annual average was 22.48%, the call implied volatility was 20.45%, the put implied volatility was