金融期权周报-20260105

1. Report Industry Investment Rating - Not provided in the report 2. Core Viewpoints of the Report - The market may continue to be volatile and strong, and the implied volatility of various financial options has generally rebounded. The current strong RMB exchange rate supports the market's volatile and strong pattern. Attention should be paid to changes in US dollar liquidity and domestic policy signals [1][3] 3. Summary by Relevant Catalogs Overview - Last week, the overall market showed a trend of rising first and then falling, with most indexes closing down weekly. The ChiNext Index led the decline with a weekly drop of 1.25%. The petroleum and petrochemical and national defense and military industries performed prominently with weekly increases of 3.92% and 3.05% respectively. The public utilities and food and beverage sectors were weak, with weekly declines of about 2.72% and 2.26% respectively [1] - The market focus last week remained on US dollar liquidity and precious metals prices. The Fed meeting minutes showed that most officials supported keeping interest rates unchanged for "some time." The US dollar index rebounded slightly, and the RMB exchange rate remained strong. Precious metals prices remained in a high - level volatile pattern, and geopolitical risks during the holiday may further strengthen precious metals prices [1] Options Market - In the options market last week, the implied volatility (IV) of various financial options mainly rebounded and was generally around the median of the past year. The implied volatility of ChiNext ETF options had the largest increase, reaching 9.81%. The implied volatility of STAR 50 options (IV = 27%) and ChiNext Index options (IV = 24%) had rebounded above the one - year median. The IV of 50 and 300 options was currently in the range of 12% - 14%, and the IV of CSI 500 and CSI 1000 options was in the range of 17% - 18%. The PCR of most financial options positions was in the range of 80% - 110%, which declined compared to the previous week [2] Strategy Outlook - Hold indexes with relatively reasonable valuations, such as the CSI 300 and CSI A500, and sell out - of - the - money put options of the corresponding indexes with a far - month expiration date [3] - For the STAR 50 Index, which has large recent fluctuations and still high static valuations, if holding the spot, 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 amount of far - month call options to cope with irrational market rises, such as the ChiNext Index [3] - Since the discount of the CSI 1000 - 2603 stock index futures has converged, consider shifting the position to the 2606 contract with a higher discount and continue to form a covered call strategy of long stock index and short out - of - the - money call options [3]