卖跨式策略领跑期权策略

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the performance of CSI 300 Index Option strategies this week, the short straddle strategy led with a 0.21% return. In the SSE 50 ETF Option strategies, the straddle statistical arbitrage strategy led with a 0.28% return. In the CSI 1000 Index Option strategies, the straddle statistical arbitrage strategy led with a 0.25% return [2]. - From the beginning of 2025 to now, the benchmark performed best in all three option markets. Among option strategies, the short put strategy led in the CSI 300 and SSE 50 ETF option markets, while in the CSI 1000 Index Option market, the short put strategy also performed well [7][11][15]. - Three option hedging strategies (covered call, protective put, and collar) can effectively reduce the benchmark's drawdown. Three option volatility trading strategies (straddle statistical arbitrage, short straddle, and short maximum - position wide straddle) can reduce the strategy's drawdown by adding threshold limits in the implied volatility clustering dimension [7][11][15]. - In the CSI 300 and CSI 1000 Index Option markets, the short straddle strategy has a greater Theta value and can obtain higher returns compared to the short maximum - position wide straddle strategy in a downward - moving volatility market. In the SSE 50 ETF Option market, the short maximum - position wide straddle strategy performs relatively better [7][11][15]. - The bull call spread strategy has stronger returns than the benchmark in all three option markets and can reduce the maximum drawdown because it can avoid tail risks and reduce losses in a falling market [7][12][16]. 3. Summary by Relevant Catalogs 3.1 This Week's Market Review 3.1.1 CSI 300 Index Option Strategy Review - Back - tested eight common strategies against the benchmark (CSI 300 Index Futures main contract). This week, the short straddle strategy led with a 0.21% return. From the beginning of 2025 to now, the benchmark performed best with a 27.15% return, and the short put strategy led among option strategies with a 19.11% return [5][6][7]. - Three option hedging strategies effectively reduced the benchmark's drawdown. Three option volatility trading strategies reduced the strategy's drawdown and achieved different cumulative returns. The short straddle strategy had better returns than the short maximum - position wide straddle strategy in a downward - moving volatility market. The bull call spread strategy had stronger returns than the benchmark and reduced the maximum drawdown [7]. 3.1.2 SSE 50 ETF Option Strategy - Back - tested eight common strategies against the benchmark (50ETF). This week, the straddle statistical arbitrage strategy led with a 0.28% return. From the beginning of 2025 to now, the benchmark performed best with a 19.51% return, and the short put strategy led among option strategies with a 19.21% return [8][10][11]. - Three option hedging strategies reduced the benchmark's drawdown. Three option statistical arbitrage strategies reduced the strategy's drawdown and achieved different cumulative returns. The short maximum - position wide straddle strategy performed relatively better than the short straddle strategy [11]. - The bull call spread strategy had stronger returns than the benchmark and reduced the maximum drawdown [12]. 3.1.3 CSI 1000 Index Option Strategy - Back - tested eight common strategies against the benchmark (CSI 1000 Index Futures main contract). This week, the straddle statistical arbitrage strategy led with a 0.25% return. From the beginning of 2025 to now, the benchmark performed best with a 47.08% return, and the short put strategy led among option strategies with a 28.48% return [13][15][17]. - Three option hedging strategies effectively reduced the benchmark's drawdown. Three option volatility trading strategies reduced the strategy's drawdown and achieved different cumulative returns. The short straddle strategy had better returns than the short maximum - position wide straddle strategy [15]. - The bull call spread strategy had stronger returns than the benchmark and reduced the maximum drawdown [16]. 3.2 Specific Strategy Descriptions 3.2.1 Covered Call Strategy - It is used to enhance returns, commonly used by overseas mutual funds. In the SSE 50 ETF, it involves buying 1 share of 50ETF and selling 1 share of a 10% out - of - the - money call option. In the CSI 300 Index Option, it involves buying 1 CSI 300 Index Futures main contract and selling 3 shares of a 4% out - of - the - money call option [18][21]. 3.2.2 Short Put Strategy - A one - way seller strategy, gaining mainly in a sideways or rising market. In the SSE 50 ETF, it involves short - selling an at - the - money put option. In the CSI 300 Index Option, it also involves short - selling an at - the - money put option [24][26]. 3.2.3 Protective Put Strategy - A protective hedging strategy. In the SSE 50 ETF, it involves buying 1 share of 50ETF and 1 share of a 10% out - of - the - money put option. In the CSI 300 Index Option, it involves buying 1 CSI 300 Index Futures main contract and 3 shares of a 4% out - of - the - money put option [28][29][31]. 3.2.4 Collar Strategy - A neutral strategy, a combination of covered call and protective put. In the SSE 50 ETF, it involves holding 1 share of 50ETF, buying 1 share of a 10% out - of - the - money put option, and selling 1 share of a 10% out - of - the - money call option. In the CSI 300 Index Option, it involves holding 1 CSI 300 Index Futures main contract, buying 3 shares of a 4% out - of - the - money put option, and selling 3 shares of a 4% out - of - the - money call option [33][35]. 3.2.5 Straddle Statistical Arbitrage Strategy - Based on the relationship between implied and historical volatility. In the SSE 50 ETF, when the difference between implied and historical volatility is greater than 1.5%, short volatility; when it is less than - 1.5%, long volatility. In the CSI 300 Index Option, the thresholds are 3% and - 3% respectively [40][41][43]. 3.2.6 Short Straddle Strategy - A short - volatility strategy. In both the SSE 50 ETF and CSI 300 Index Option, it involves selling at - the - money call and put options of the same month. Adjust positions when the at - the - money price or the main contract changes, and close positions when the implied volatility change rate is greater than 10% [44][45][47]. 3.2.7 Short Maximum - Position Wide Straddle Strategy - Based on the maximum - position strike prices. In the SSE 50 ETF and CSI 300 Index Option, sell the maximum - position call and put options of the same month. Adjust positions when the maximum - position price or the main contract changes, and close positions when the implied volatility change rate is greater than 10% [49][50][52]. 3.2.8 Bull Call Spread Strategy - A low - cost long - call strategy. In the SSE 50 ETF, buy an at - the - money call option and sell a 10% out - of - the - money call option. In the CSI 300 Index Option, buy an at - the - money call option and sell a 4% out - of - the - money call option [55][57].