隐波冲高回落，短期情绪底或基本显现：股指期权周度观察-20260329

Report Industry Investment Rating - Not provided Core Viewpoints - Last week, the implied volatility of each option showed a significant upward and then downward trend. The declines on Monday and Thursday both led to an obvious upward trend in volatility. The at-the-money implied volatility of MO reached a very high level of 39%. Currently, the average at-the-money implied volatilities of April IO, HO, and MO options are around 16.85%, 17%, and 25.22% respectively, with premiums of -0.33 percentage points, 0.2 percentage points, and -2.97 percentage points compared to the 30-day historical volatility. The 30-day historical volatility of the underlying is still above the 60-day historical volatility, and technically, the volatility is still in an upward cycle. Due to the uncertainty in the Middle East situation, the downside space of implied volatility may still be relatively limited under the low premium [3]. - In terms of the relationship between implied volatility and the underlying index, the decline of the underlying index is more likely to drive the synchronous increase of implied volatility, while the rise of the index brings about the decline of volatility. Coupled with the decline of the position PCR value to a relatively low level in the past year, it indicates that the trend of put option sellers increasing positions is still restrained, and the market is still relatively cautious in the short term [3]. - In terms of position distribution, the contract with the highest call option position of MO has moved down to the 8000-point level, with the current position reaching more than 9000 lots. From the perspective of selling options, it is expected that the CSI 1000 Index will still face relatively large pressure above in the short term. The contract with the highest put option position is at the strike price of 7000 points, and there is a trend of increasing positions, indicating that the CSI 1000 Index will also face strong support below this area in the short term [3]. - In general, the market may digest panic through bottom - range oscillations. The significant upward and then downward movement of implied volatility last week indicates that the short - term emotional bottom may have basically emerged. It is recommended that investors can consider selling out - of - the - money MO call options with a strike price above 8000 points at high prices to collect certain option premiums. On the other hand, if the market experiences a panic decline again, it is advisable to consider selling MO put options with a strike price below 7000 points at an appropriate time for strategic long - position allocation [3]. Summary by Directory 01 Index Option Data Tracking - Main Indicator Overview: Not provided - Trading Volume and Position Situation: Not provided - PCR Value and Underlying Index Trend: Not provided - Position Distribution Situation: The contract with the highest call option position of MO has moved down to the 8000 - point level, with the current position reaching more than 9000 lots. The contract with the highest put option position is at the strike price of 7000 points, and there is a trend of increasing positions [3]. - One - Year Volatility Cone: Not provided - Implied Volatility and Historical Volatility: Last week, the implied volatility of each option showed a significant upward and then downward trend. The at - the - money implied volatility of MO reached 39%. Currently, the average at - the - money implied volatilities of April IO, HO, and MO options are around 16.85%, 17%, and 25.22% respectively, with premiums of - 0.33 percentage points, 0.2 percentage points, and - 2.97 percentage points compared to the 30 - day historical volatility. The 30 - day historical volatility of the underlying is still above the 60 - day historical volatility [3]. - Volatility Surface Structure: Not provided - Skewness and Underlying Index Trend: Not provided