市场避险情绪较浓，建议防御为主：股指期权周度观察-20260322

Report Title - The report is titled "Weekly Observation of Stock Index Options: Market Risk Aversion is Strong, Suggesting a Defensive Approach" [1] Core View - Last week, the implied volatility of each option continued to rise significantly. The average implied volatility of the at-the-money options for April IO, HO, and MO is around 18%, 18.2%, and 27.01% respectively, with premiums of about 3.18, 3, and 1.56 percentage points compared to the 30-day historical volatility. The implied volatility premiums of IO and HO options are slightly high. The 30-day historical volatility of the underlying has gradually risen above the 60-day historical volatility, and technically, the volatility is in an upward cycle. Due to the high uncertainty in the Middle East situation and the relatively restrained pricing of the tail risk brought by high oil prices in the equity market, it is expected that the short-term implied volatility may still rise [4] - The decline of the underlying index drives the implied volatility to rise synchronously, indicating that the short-term option market's risk aversion willingness is still strong. The decline of the IO option position PCR value is more restrained than that of the MO option. Compared with the small and medium-cap index, option sellers are more optimistic about the large-cap index. It is expected that the downside space of the CSI 300 index in the short term is generally limited [4] - In terms of position distribution, the contract with the highest call option position of MO has moved down to the 8300-point level. During the market decline on Friday, the call contract with a strike price of 8000 added more than 2000 lots. From the perspective of selling options, it is expected that the upside of the CSI 1000 index will still face relatively large pressure in the short term [4] - In terms of strategies, due to the relatively strong short-term market risk aversion sentiment, investors are advised to mainly sell out-of-the-money call options of MO at high prices. Investors with long positions in stock index futures can consider using collar strategies to prevent short-term market uncertainty risks [4] Directory Summary 01 Stock Index Option Data Tracking - 成交持仓情况: The report presents data on trading volume and open interest, but specific data details are not described in the text [8][11] - PCR值与标的指数走势: The relationship between the PCR value and the underlying index trend is presented, but specific analysis is not provided [15] - 持仓量分布情况: The position distribution of HO2604, IO2604, and MO2604 is shown through charts, including the distribution of call and put option positions [21][23] - 近一年波动率锥: The volatility cone data for the past year is presented, but specific analysis is not provided [26][29] - 隐含波动率和历史波动率: The relationship between implied volatility and historical volatility is presented, but specific analysis is not provided [32][35] - 波动率曲面结构: The volatility surface structure is mentioned, but specific content is not provided [50] - 偏度与标的指数走势: The relationship between skewness and the underlying index trend is presented, but specific analysis is not provided [55][58]