金融期权策略早报-20260109

Report Industry Investment Rating No information provided in the document. 2. Core Viewpoints of the Report - The stock market shows a bullish upward trend with the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks performing well [3]. - The implied volatility of financial options has dropped to a level below the historical average [3]. - For ETF options, it is suitable to construct bullish seller strategies and call option bull spread combination strategies; for index options, in addition to the above, an arbitrage strategy of synthetic long futures with options and short futures can also be considered [3]. 3. Summary by Related Catalogs 3.1 Financial Market Important Indexes - The Shanghai Composite Index closed at 4,082.98, down 2.79 points (-0.07%), with a trading volume of 11,832 billion yuan, a decrease of 142 billion yuan [4]. - The Shenzhen Component Index closed at 13,959.48, down 71.08 points (-0.51%), with a trading volume of 16,171 billion yuan, a decrease of 396 billion yuan [4]. - The Shanghai 50 Index closed at 3,122.06, down 23.06 points (-0.73%), with a trading volume of 1,879 billion yuan, an increase of 186 billion yuan [4]. - The CSI 300 Index closed at 4,737.65, down 39.01 points (-0.82%), with a trading volume of 6,307 billion yuan, a decrease of 342 billion yuan [4]. - The CSI 500 Index closed at 7,894.54, up 19.46 points (0.25%), with a trading volume of 5,645 billion yuan, a decrease of 183 billion yuan [4]. - The CSI 1000 Index closed at 7,971.59, up 65.17 points (0.82%), with a trading volume of 6,054 billion yuan, a decrease of 125 billion yuan [4]. 3.2 Option - related ETFs - The Shanghai 50 ETF closed at 3.198, down 0.022 (-0.68%), with a trading volume of 512.54 million shares and a trading value of 16.42 billion yuan, a decrease of 3.34 billion yuan [5]. - The Shanghai 300 ETF closed at 4.863, down 0.038 (-0.78%), with a trading volume of 682.72 million shares and a trading value of 33.25 billion yuan, a decrease of 12.54 billion yuan [5]. - The Shanghai 500 ETF closed at 8.024, up 0.025 (0.31%), with a trading volume of 382.23 million shares and a trading value of 30.70 billion yuan, a decrease of 3.82 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.531, up 0.011 (0.72%), with a trading volume of 3,582.03 million shares and a trading value of 55.18 billion yuan, an increase of 2.80 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.483, up 0.012 (0.82%), with a trading volume of 1,299.67 million shares and a trading value of 19.40 billion yuan, an increase of 0.80 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.944, down 0.033 (-0.66%), with a trading volume of 169.20 million shares and a trading value of 8.37 billion yuan, a decrease of 0.94 billion yuan [5]. - The Shenzhen 500 ETF closed at 3.166, up 0.009 (0.29%), with a trading volume of 89.05 million shares and a trading value of 2.82 billion yuan, a decrease of 1.26 billion yuan [5]. - The Shenzhen 100 ETF closed at 3.502, down 0.040 (-1.13%), with a trading volume of 64.34 million shares and a trading value of 2.26 billion yuan, an increase of 0.03 billion yuan [5]. - The ChiNext ETF closed at 3.287, down 0.024 (-0.72%), with a trading volume of 1,103.91 million shares and a trading value of 36.32 billion yuan, a decrease of 4.27 billion yuan [5]. 3.3 Option Factors - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume is 79.49 million contracts (down 27.33 million), the open interest is 122.90 million contracts (down 0.38 million), the volume PCR is 0.80 (up 0.07), and the position PCR is 0.96 (down 0.06) [6]. - For the Shanghai 300 ETF option, the trading volume is 92.14 million contracts (down 17.96 million), the open interest is 125.47 million contracts (up 4.32 million), the volume PCR is 0.91 (up 0.22), and the position PCR is 1.00 (down 0.05) [6]. - For the Shanghai 500 ETF option, the trading volume is 156.90 million contracts (down 5.16 million), the open interest is 129.00 million contracts (up 3.32 million), the volume PCR is 0.92 (up 0.19), and the position PCR is 1.38 (up 0.06) [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume is 207.98 million contracts (up 30.01 million), the open interest is 204.75 million contracts (up 3.08 million), the volume PCR is 0.68 (down 0.02), and the position PCR is 0.94 (up 0.04) [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume is 39.53 million contracts (up 2.09 million), the open interest is 51.19 million contracts (up 0.08 million), the volume PCR is 0.60 (up 0.05), and the position PCR is 0.94 (up 0.05) [6]. - For the Shenzhen 300 ETF option, the trading volume is 19.61 million contracts (down 3.16 million), the open interest is 31.79 million contracts (up 0.13 million), the volume PCR is 1.08 (up 0.40), and the position PCR is 0.91 (down 0.05) [6]. - For the Shenzhen 500 ETF option, the trading volume is 39.99 million contracts (down 6.92 million), the open interest is 43.27 million contracts (up 0.15 million), the volume PCR is 0.98 (down 0.01), and the position PCR is 0.97 (down 0.05) [6]. - For the Shenzhen 100 ETF option, the trading volume is 5.17 million contracts (up 0.35 million), the open interest is 10.17 million contracts (up 0.39 million), the volume PCR is 1.01 (down 0.55), and the position PCR is 1.23 (down 0.23) [6]. - For the ChiNext ETF option, the trading volume is 141.52 million contracts (down 25.84 million), the open interest is 167.98 million contracts (up 3.10 million), the volume PCR is 0.84 (up 0.05), and the position PCR is 1.09 (down 0.07) [6]. - For the Shanghai 50 index option, the trading volume is 4.68 million contracts (down 0.65 million), the open interest is 6.24 million contracts (up 0.20 million), the volume PCR is 0.42 (up 0.04), and the position PCR is 0.72 (down 0.04) [6]. - For the CSI 300 index option, the trading volume is 15.23 million contracts (up 0.10 million), the open interest is 18.80 million contracts (up 1.05 million), the volume PCR is 0.48 (down 0.05), and the position PCR is 0.76 (down 0.07) [6]. - For the CSI 1000 index option, the trading volume is 35.66 million contracts (up 1.75 million), the open interest is 32.44 million contracts (up 0.37 million), the volume PCR is 0.76 (up 0.09), and the position PCR is 1.16 (up 0.05) [6]. 3.4 Option Factors - Pressure and Support Points - For the Shanghai 50 ETF option, the underlying closing price is 3.198, the at - the - money strike price is 3.20, the pressure point is 3.20, the support point is 3.10 [8]. - For the Shanghai 300 ETF option, the underlying closing price is 4.863, the at - the - money strike price is 4.90, the pressure point is 4.90, the support point is 4.70 [8]. - For the Shanghai 500 ETF option, the underlying closing price is 8.024, the at - the - money strike price is 8.00, the pressure point is 8.00, the support point is 7.75 [8]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price is 1.531, the at - the - money strike price is 1.55, the pressure point is 1.60, the support point is 1.40 [8]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price is 1.483, the at - the - money strike price is 1.50, the pressure point is 1.50, the support point is 1.35 [8]. - For the Shenzhen 300 ETF option, the underlying closing price is 4.944, the at - the - money strike price is 4.90, the pressure point is 4.90, the support point is 4.90 [8]. - For the Shenzhen 500 ETF option, the underlying closing price is 3.166, the at - the - money strike price is 3.20, the pressure point is 3.20, the support point is 3.10 [8]. - For the Shenzhen 100 ETF option, the underlying closing price is 3.502, the at - the - money strike price is 3.50, the pressure point is 3.50, the support point is 3.50 [8]. - For the ChiNext ETF option, the underlying closing price is 3.287, the at - the - money strike price is 3.30, the pressure point is 3.30, the support point is 3.10 [8]. - For the Shanghai 50 index option, the underlying closing price is 3,122.06, the at - the - money strike price is 3,100, the pressure point is 3,150, the support point is 3,000 [8]. - For the CSI 300 index option, the underlying closing price is 4,737.65, the at - the - money strike price is 4,750, the pressure point is 4,750, the support point is 4,650 [8]. - For the CSI 1000 index option, the underlying closing price is 7,971.59, the at - the - money strike price is 8,000, the pressure point is 8,000, the support point is 7,700 [8]. 3.5 Option Factors - Implied Volatility - For the Shanghai 50 ETF option, the at - the - money implied volatility is 15.51%, the weighted implied volatility is 15.90% (down 1.22%), the annual average is 16.08%, the call implied volatility is 16.37%, the put implied volatility is 15.27%, the 20 - day historical volatility is 12.38%, and the implied - historical volatility difference is 3.52% [11]. - For the Shanghai 300 ETF option, the at - the - money implied volatility is 16.71%, the weighted implied volatility is 16.28% (down 0.37%), the annual average is 16.72%, the call implied volatility is 16.48%, the put implied volatility is 16.05%, the 20 - day historical volatility is 14.18%, and the implied - historical volatility difference is 2.10% [11]. - For the Shanghai 500 ETF option, the at - the - money implied volatility is 21.34%, the weighted implied volatility is 21.98% (down 0.09%), the annual average is 20.61%, the call implied volatility is 22.05%, the put implied volatility is 21.88%, the 20 - day historical volatility is 17.51%, and the implied - historical volatility difference is 4.46% [11]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at - the - money implied volatility is 32.22%, the weighted implied volatility is 31.08% (up 0.74%), the annual average is 34.09%, the call implied volatility is 31.36%, the put implied volatility is 30.59%, the 20 - day historical volatility is 25.89%, and the implied - historical volatility difference is 5.20% [11]. - For the E Fund Science and Technology Innovation 50 ETF option, the at - the - money implied volatility is 32.35%, the weighted implied volatility is 32.11% (up 0.61%), the annual average is 34.98%, the call implied volatility is 32.15%, the put implied volatility is 32.03%, the 20 - day historical volatility is 26.42%, and the implied - historical volatility difference is 5.69% [11]. - For the Shenzhen 300 ETF option, the at - the - money implied volatility is 16.64%, the weighted implied volatility is 18.49% (down 0.21%), the annual average is 19.16%, the call implied volatility is 18.98%, the put implied volatility is 17.88%, the 20 - day historical volatility is 13.19%, and the implied - historical volatility difference is 5.30% [11]. - For the Shenzhen 500 ETF option, the at - the - money implied volatility is 21.97%, the weighted implied volatility is 22.99% (up 0.37%), the annual average is 22.64%, the call implied volatility is 22.56%, the put implied volatility is 23.71%, the 20 - day historical volatility is 17.97%, and the implied - historical volatility difference is 5.02% [11]. - For the Shenzhen 100 ETF option, the at - the - money implied volatility is 20.41%, the weighted implied volatility is 23.11% (down 0.21%), the annual average is 27.98%, the call implied volatility is 23.85%, the put implied volatility is 21.53%, the 20 - day historical volatility is 19.70%, and the implied - historical volatility difference is 3.41% [11]. - For the ChiNext ETF option, the at - the - money implied volatility is 27.63%, the weighted implied volatility is 27.53% (up