Group 1: Report Overview - The report is a financial options strategy morning report dated January 12, 2026 [1] - 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 declined to a level below the historical average [3] Group 2: Market Index Data Financial Market Important Indexes - The Shanghai Composite Index closed at 4,120.43, up 0.92% with a trading volume of 128.92 billion yuan and an increase of 10.6 billion yuan in trading volume [4] - The Shenzhen Component Index closed at 14,120.15, up 1.15% with a trading volume of 183.35 billion yuan and an increase of 21.64 billion yuan in trading volume [4] - The SSE 50 Index closed at 3,134.32, up 0.39% with a trading volume of 17.77 billion yuan and a decrease of 1.02 billion yuan in trading volume [4] - The CSI 300 Index closed at 4,758.92, up 0.45% with a trading volume of 66.88 billion yuan and an increase of 3.81 billion yuan in trading volume [4] - The CSI 500 Index closed at 8,056.69, up 2.05% with a trading volume of 63.11 billion yuan and an increase of 6.67 billion yuan in trading volume [4] - The CSI 1000 Index closed at 8,129.18, up 1.98% with a trading volume of 70.53 billion yuan and an increase of 9.99 billion yuan in trading volume [4] Option - underlying ETF Market - The SSE 50 ETF closed at 3.209, up 0.34% with a trading volume of 6.0138 million shares and an increase of 2.85 billion yuan in trading volume [5] - The SSE 300 ETF closed at 4.885, up 0.45% with a trading volume of 11.3486 million shares and an increase of 22.11 billion yuan in trading volume [5] - The SSE 500 ETF closed at 8.216, up 2.39% with a trading volume of 5.252 million shares and an increase of 12.19 billion yuan in trading volume [5] - The Huaxia Science and Technology Innovation 50 ETF closed at 1.554, up 1.50% with a trading volume of 34.7376 million shares and a decrease of 1.72 billion yuan in trading volume [5] - The E Fund Science and Technology Innovation 50 ETF closed at 1.505, up 1.48% with a trading volume of 12.8898 million shares and a decrease of 0.19 billion yuan in trading volume [5] - The Shenzhen 300 ETF closed at 4.966, up 0.44% with a trading volume of 2.2211 million shares and an increase of 2.64 billion yuan in trading volume [5] - The Shenzhen 500 ETF closed at 3.240, up 2.34% with a trading volume of 1.8871 million shares and an increase of 3.25 billion yuan in trading volume [5] - The Shenzhen 100 ETF closed at 3.529, up 0.77% with a trading volume of 0.6612 million shares and an increase of 0.07 billion yuan in trading volume [5] - The ChiNext ETF closed at 3.314, up 0.82% with a trading volume of 15.4515 million shares and an increase of 14.55 billion yuan in trading volume [5] Option Factors - Volume and Position PCR - For the SSE 50 ETF option, the trading volume PCR is 0.64 (down 0.16), and the position PCR is 0.98 (up 0.02) [6] - For the SSE 300 ETF option, the trading volume PCR is 0.86 (down 0.05), and the position PCR is 1.04 (up 0.05) [6] - For the SSE 500 ETF option, the trading volume PCR is 0.86 (down 0.06), and the position PCR is 1.41 (up 0.02) [6] - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume PCR is 0.69 (up 0.01), and the position PCR is 0.95 (up 0.01) [6] - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume PCR is 0.75 (up 0.15), and the position PCR is 0.93 (down 0.01) [6] - For the Shenzhen 300 ETF option, the trading volume PCR is 0.79 (down 0.29), and the position PCR is 0.87 (down 0.03) [6] - For the Shenzhen 500 ETF option, the trading volume PCR is 1.06 (up 0.08), and the position PCR is 1.01 (up 0.04) [6] - For the Shenzhen 100 ETF option, the trading volume PCR is 1.44 (up 0.43), and the position PCR is 1.37 (up 0.13) [6] - For the ChiNext ETF option, the trading volume PCR is 0.71 (down 0.14), and the position PCR is 1.10 (up 0.01) [6] - For the SSE 50 index option, the trading volume PCR is 0.40 (down 0.02), and the position PCR is 0.70 (down 0.02) [6] - For the CSI 300 index option, the trading volume PCR is 0.44 (down 0.04), and the position PCR is 0.74 (down 0.01) [6] - For the CSI 1000 index option, the trading volume PCR is 0.70 (down 0.06), and the position PCR is 1.24 (up 0.08) [6] Option Factors - Pressure and Support Points - For the SSE 50 ETF, the pressure point is 3.20, and the support point is 3.10 [8] - For the SSE 300 ETF, the pressure point is 4.90, and the support point is 4.80 [8] - For the SSE 500 ETF, the pressure point is 8.25, and the support point is 7.50 [8] - For the Huaxia Science and Technology Innovation 50 ETF, the pressure point is 1.60, and the support point is 1.40 [8] - For the E Fund Science and Technology Innovation 50 ETF, the pressure point is 1.55, and the support point is 1.35 [8] - For the Shenzhen 300 ETF, the pressure point is 4.90, and the support point is 4.90 [8] - For the Shenzhen 500 ETF, the pressure point is 3.30, and the support point is 3.10 [8] - For the Shenzhen 100 ETF, the pressure point is 3.50, and the support point is 3.50 [8] - For the ChiNext ETF, the pressure point is 3.30, and the support point is 3.10 [8] - For the SSE 50 index, the pressure point is 3,150, and the support point is 3,000 [8] - For the CSI 300 index, the pressure point is 4,750, and the support point is 4,650 [8] - For the CSI 1000 index, the pressure point is 8,000, and the support point is 7,700 [8] Option Factors - Implied Volatility - For the SSE 50 ETF option, the at - the - money implied volatility is 15.99%, the weighted implied volatility is 16.30% (up 0.40%), the annual average is 16.11%, the call implied volatility is 16.78%, the put implied volatility is 15.39%, the HISV20 is 12.50%, and the implied - historical volatility difference is 3.80% [11] - For the SSE 300 ETF option, the at - the - money implied volatility is 17.21%, the weighted implied volatility is 16.97% (up 0.69%), the annual average is 16.76%, the call implied volatility is 17.44%, the put implied volatility is 16.40%, the HISV20 is 14.28%, and the implied - historical volatility difference is 2.68% [11] - For the SSE 500 ETF option, the at - the - money implied volatility is 23.93%, the weighted implied volatility is 24.32% (up 2.34%), the annual average is 20.67%, the call implied volatility is 24.78%, the put implied volatility is 23.67%, the HISV20 is 17.59%, and the implied - historical volatility difference is 6.73% [11] - For the Huaxia Science and Technology Innovation 50 ETF option, the at - the - money implied volatility is 33.06%, the weighted implied volatility is 31.96% (up 0.88%), the annual average is 34.16%, the call implied volatility is 32.18%, the put implied volatility is 31.51%, the HISV20 is 25.96%, and the implied - historical volatility difference is 6.00% [11] - For the E Fund Science and Technology Innovation 50 ETF option, the at - the - money implied volatility is 32.85%, the weighted implied volatility is 32.83% (up 0.72%), the annual average is 35.05%, the call implied volatility is 33.14%, the put implied volatility is 32.15%, the HISV20 is 26.56%, and the implied - historical volatility difference is 6.27% [11] - For the Shenzhen 300 ETF option, the at - the - money implied volatility is 17.41%, the weighted implied volatility is 19.35% (up 0.86%), the annual average is 19.21%, the call implied volatility is 19.87%, the put implied volatility is 18.57%, the HISV20 is 13.28%, and the implied - historical volatility difference is 6.07% [11] - For the Shenzhen 500 ETF option, the at - the - money implied volatility is 23.77%, the weighted implied volatility is 25.50% (up 2.51%), the annual average is 22.71%, the call implied volatility is 24.99%, the put implied volatility is 26.25%, the HISV20 is 17.88%, and the implied - historical volatility difference is 7.62% [11] - For the Shenzhen 100 ETF option, the at - the - money implied volatility is 20.15%, the weighted implied volatility is 24.89% (up 1.78%), the annual average is 28.05%, the call implied volatility is 24.83%, the put implied volatility is 25.00%, the HISV20 is 19.46%, and the implied - historical volatility difference is 5.44% [11] - For the ChiNext ETF option, the at - the - money implied volatility is 27.91%, the weighted implied volatility is 27.94% (up 0.42%), the annual average is 31.42%, the call implied volatility is 28.33%, the put implied volatility is 27.35%, the HISV20 is 25.58%, and the implied - historical volatility difference is 2.36% [11] - For the SSE 50 index option, the at - the - money implied volatility is 16.53%, the weighted implied volatility is 16.86% (down 0.15%), the annual average is 16.69%, the call implied volatility is 17.14%, the put implied volatility is 16.16%, the HISV20 is 12.97%, and the implied - historical volatility difference is 3.90% [11] - For the CSI 300 index option, the at - the - money implied volatility is 17.05%, the weighted implied volatility is 17.00% (up 0.40%), the annual average is 16.85%, the call implied volatility is 17.09%, the put implied volatility is 16.80%, the HISV20 is 14.67%, and the implied - historical volatility difference is 2.33% [11] - For the CSI 1000 index option, the at - the - money implied volatility is 23.79%, the weighted implied volatility is 24.77% (up 2.52%), the annual average is 21.69%, the call implied volatility is 24.37%, the put implied volatility is 25.37%, the HISV20 is 17.88%, and the implied - historical volatility difference is 6.90% [11] Group 3: Strategy and Recommendations Overall Strategy - The financial options sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and ChiNext. Different strategies are recommended for each sector [13] Sector - specific Strategies Financial Stocks (SSE 50 ETF) - The SSE 50 ETF shows a bullish trend with support below. The implied volatility is below the average, the position PCR is around 1.00, the pressure point is 3.20, and the support point is 3.10 [14] - Recommended strategies include constructing a bull - spread call option strategy, a short - volatility strategy with a bullish bias, and a covered call strategy [14] Large - cap Blue - chip Stocks (SSE 300 ETF) - The SSE 300 ETF shows a moderately bullish trend with support below. The implied volatility is below the average, the position PCR is around 1.00, the pressure point is 4.80, and the support point is 4.70 [14] - Recommended strategies include constructing a bull - spread call option strategy, a short - volatility strategy, and a covered call strategy [14] Small and Medium - sized Stocks (SSE 500 ETF) - The SSE 500 ETF shows a moderately bullish trend with support below. The implied volatility is below the historical average, the position PCR is above 1.00, the pressure point is 8.00, and the support point is 7.50 [15] - Recommended strategies include constructing a bull - spread call option strategy, a short - volatility strategy, and a covered call strategy [15] Medium - sized Stocks (Shenzhen 100 ETF) - The Shenzhen 100 ETF shows a bullish trend with high - level oscillations. The implied volatility is around the average, the position PCR is above 1.00, the pressure point is 3.40, and the support point is 3.30 [15] - Recommended strategies include a short - volatility strategy and a covered call strategy [15] ChiNext (ChiNext ETF) - The ChiNext ETF shows a bullish trend with a rebound from oversold conditions. The implied volatility is at a high level, the position PCR is above 1.00, the pressure point is 3.20, and the support point is 3.00 [16] - Recommended strategies include a short - volatility strategy and a covered call strategy [16] Small and Medium - sized Stocks (CSI 1000) - The CSI 1000 index shows a moderately bullish trend with support below. The implied volatility is below the average, the position PCR is above 1.00, the pressure point is 7800, and the support point is 7000 [16] - Recommended
金融期权策略早报-20260112
Wu Kuang Qi Huo·2026-01-12 02:08