期权周报-20260113

Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints of the Report - For the CSI 1000 Index, the previous week's strategy of holding a bull spread combination was profitable, with a portfolio price increase of +123.09% from December 29th to January 9th, mainly due to a +7.03% weekly increase in the CSI 1000 Index [4]. - For lithium carbonate, the current week's strategy suggests considering buying an out - of - the - money put option LC2605 - P - 138000 and selling an at - the - money put option LC2605 - P - 144000 to construct a bull spread combination, as the market is expected to maintain a relatively strong oscillation [5]. 3. Summary by Relevant Catalogs 3.1 Option Underlying Weekly Trading Overview - This week, most underlying assets in the stock index, precious metals, black, and non - ferrous sectors rose. The CSI 1000 Index in the stock index sector had a relatively large increase of 7.03%, and lithium carbonate in the special commodity sector had the largest increase of 18.88%, while polysilicon had a significant decline of - 10.50% [9]. - In terms of trading volume, the attention to the stock index sector increased this week, with the average daily trading volume of the SSE 50 Index and the CSI 300 Index increasing by nearly 40% month - on - month. In the agricultural product sector, the average daily trading volume of eggs and rapeseed meal increased significantly, by +92.04% and +56.36% respectively. However, the average daily trading volume of gold in the precious metals sector, staple fiber in the energy and chemical sector, and polysilicon in the special commodity sector decreased significantly, by - 49.35%, - 37.66%, and - 36.55% respectively [10]. - In terms of 20 - day HV, nickel and polysilicon had the largest increases, +17.94% and +11.19% respectively compared to last week, while the 20 - day HV of rapeseed meal in the agricultural product sector decreased significantly, by - 15.98% [10]. 3.2 Option Contract Weekly Trading and Position - holding Overview - The average daily trading volume of options such as industrial silicon (+178.01%), palm oil (+146.05%), SSE 50 Index (+135.36%), soybean oil (+118.95%), and crude oil (+113.73%) increased significantly month - on - month, while the trading volume of p - xylene, staple fiber, and options in the precious metals sector decreased significantly [14]. - Among all sectors, the average daily trading PCR of options such as the SSE 50 Index, live pigs, alumina, and ethylene glycol was below 50% and remained in a historically low range, while the average daily position - holding PCR of options such as silver, rapeseed meal, tin, iron ore, p - xylene, and lithium carbonate exceeded 100% [14]. 3.3 Option Main At - the - Money IV Overview - Most option underlying IVs increased month - on - month this week. The main at - the - money IV of aluminum increased the most, by 55.79%, and the implied volatility reached the maximum in the past year. A large number of underlying assets in the agricultural product, non - ferrous, and energy and chemical sectors had IVs that exceeded the 90% historical quantile [20]. 3.4 Key Data of Main Varieties - For the SSE 50, the latest closing price was 3134.32, the total option trading volume was 290435900 billion yuan, the trading volume PCR was 0.4, the position - holding volume PCR was 0.7, the variety IV was 18.12%, the 20 - day historical volatility was 12.29%, and the 40 - day historical volatility was 12.79% [25]. - For the CSI 300, the latest closing price was 4758.92, the total option trading volume was 1293497440 billion yuan, the trading volume PCR was 0.44, the position - holding volume PCR was 0.74, the variety IV was 18.73%, the 20 - day historical volatility was 13.83%, and the 40 - day historical volatility was 14.13% [31]. - For the CSI 1000, the latest closing price was 8129.18, the total option trading volume was 7091377440 billion yuan, the trading volume PCR was 0.7, the position - holding volume PCR was 1.24, the variety IV was 22.92%, the 20 - day historical volatility was 16.38%, and the 40 - day historical volatility was 18.39% [33]. - For gold, the latest closing price was 1006.48, the total option trading volume was 673868800 billion yuan, the trading volume PCR was 0.55, the position - holding volume PCR was 0.65, the main at - the - money IV was 21.44%, the 20 - day historical volatility was 17.42%, and the 40 - day historical volatility was 17.08% [39]. - For silver, the latest closing price was 18731, the total option trading volume was 3542818200 billion yuan, the trading volume PCR was 0.89, the position - holding volume PCR was 1.58, the main at - the - money IV was 66.07%, the 20 - day historical volatility was 58.13%, and the 40 - day historical volatility was 49.26% [42]. - Similar data are provided for other varieties such as cotton, rapeseed meal, etc. in the document [48][74]