金融期权周报-20260302

Group 1: Market Overview - The market fluctuated and rebounded last week, with major indices closing higher. The CSI 1000 Index led the gains with a weekly increase of 4.34%. Steel and non-ferrous metals sectors performed well, rising 12.27% and 9.77% respectively, while the media sector was weak, falling about 5.10%. Market focus was on geopolitical developments and changes in US dollar liquidity. The weekend air - strike by the US and Israel on Iran disturbed the geopolitical situation, causing significant increases in precious metals and crude oil, and raising market risk - aversion. In the short - term, the US dollar strengthened, but its upside was restricted by the yen. The RMB remained in a slightly strong and fluctuating pattern, supporting the stock index. Geopolitical changes and domestic policy signals should be continuously monitored [1] Group 2: Options Market - In the options market last week, the implied volatility (IV) of various financial options showed differentiation, mainly falling. Currently, the IV of the STAR 50 options (IV = 23%) and ChiNext ETF options (IV = 20%) has fallen below the median of the past year. The IV of 50 and 300 options is in the range of 11% - 13%, and the IV of CSI 500 and CSI 1000 options is in the range of 20% - 22%. The position PCR of most financial options is in the range of 80% - 110%, slightly rising from the previous week [2] Group 3: Strategy Outlook - The market may continue the slightly strong and fluctuating pattern, and the IV of some financial options has declined. Given that steel and non - ferrous metals sectors performed well last week while the media sector was weak, and considering that the current geopolitical situation disturbs market risk preference but the strong RMB exchange rate still supports the market, the medium - to - long - term market trend is expected to remain positive. Investors can continue to hold indices with relatively reasonable valuations, such as the SSE 50 and CSI 300. Since the current IV of options has slightly declined, they can also buy out - of - the - money long - term call options of the corresponding indices. For the STAR 50 Index, which has large recent fluctuations and still high static valuation, if holding the underlying assets, investors can consider buying out - of - the - money put options or selling out - of - the - money call options to reduce exposure risks. If significant spot returns have been accumulated, investors can consider taking profits on the spot and keeping a small amount of long - term call options to cope with irrational market rallies, such as for the ChiNext Index. The discount of the CSI 1000 - 2603 stock index futures has converged, and investors can consider rolling over to the 2606 contract, which still has a high discount, and continue to form a covered call strategy of long stock index and short out - of - the - money call option [3] Group 4: Market Data - The report provides a large amount of data on various financial products, including the closing price, price change rate, IV, IV change (daily), historical quantile, IV median of the past year, option trading volume, and position PCR of different underlying assets such as the SSE 50ETF, SSE 50 Index, SSE 300ETF, and others from February 24 - 27, 2026. It also shows the IV and related data of different months for each underlying asset, as well as the skew index of the main - contract months [4]