中东地缘风险抑制股市风险偏好

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - In Q1, the price of the underlying assets showed a trend of rising first and then falling. In January and February, the positive policy expectations of the Two Sessions continued to ferment, and the stock indices oscillated and rose. Among them, CSI 500 and CSI 1000 related to small and medium - cap stocks had relatively large increases. In March, the Middle East geopolitical crisis broke out, the risk of global macro - economic recession increased, the risk appetite of the stock market weakened rapidly, and the stock indices were under full - pressure decline [5][10][35]. - Recently, the option position PCR has shown a bottom - up trend, indicating that market sentiment has improved, the worst situation of the geopolitical conflict has been gradually digested by the market, and the market sentiment remains at a low level. Currently, the at - the - money implied volatility of options is at a normal quantile level. From the perspective of volatility, the relative advantages of option buyers and sellers are not obvious, and the market sentiment tends to be stable [5][19][35]. - The disturbance of the Middle East geopolitical situation is the main factor affecting the short - term trend of the stock index. High - uncertainty risks suppress the risk appetite of the stock market. In the long - term, the continuous positive policy and the continuous inflow of funds into the stock market still constitute the core logic for the medium - and long - term upward movement of the stock index. It is expected that the stock index will maintain range - bound consolidation in the short - term. Considering that the long - term upward logic still exists, a bull spread portfolio can be used to deal with the difficulty of timing in the volatile market [5][33][35]. Summary According to the Directory 1 Market Review - There are 12 listed financial options in China's stock index financial derivatives market, including 9 ETF options and 3 stock index options, which are closely related to 7 indices. This report mainly analyzes options related to 4 broad - based indices [9]. - As of March 27, in Q1, the price of the underlying assets showed a trend of rising first and then falling. In January and February, due to positive policy expectations, the stock indices rose. In March, affected by the Middle East geopolitical crisis, the stock indices declined [10]. 2 Option Analysis Indicators 2.1 Position PCR Low - level Oscillation - The Put - Call - Ratio (PCR) is used to measure the long - short state of the market. The position PCR reflects the long - short sentiment contrast in the market. Since March, the position PCR of each option has rapidly declined and is now at a low historical quantile level, indicating that market sentiment has weakened rapidly. Recently, the position PCR has shown a bottom - up trend, indicating that market sentiment has improved [19]. 2.2 Implied Volatility Rising and Then Falling - Volatility is a key factor in option pricing and trading. In March, with the outbreak of the Middle East geopolitical crisis, the at - the - money implied volatility of options rose rapidly and then fell. Currently, it is at a normal quantile level, and the relative advantages of option buyers and sellers are not obvious, and the market sentiment tends to be stable [23]. 3 Underlying Asset Trend Analysis - The continuous positive policy and the continuous inflow of funds into the stock market constitute the core logic for the medium - and long - term upward movement of the stock index. The policy has clear expectations of supporting total demand and scientific and technological innovation. The government work report announced on March 5 proposed a series of fiscal policies to support demand, and policies to develop new industries, which support the relevant indices. The trend of incremental funds flowing into the stock market remains unchanged. As of March 5, A - share margin trading data showed that margin trading can boost the market, and new equity - biased funds in January and February were at a high level, indicating strong enthusiasm for "investing in the market through funds" [26][27][31]. - The Middle East geopolitical crisis is the main factor affecting the short - term trend of the stock index. After the crisis, global stock market risk appetite shrank due to uncertainty, energy shock, and liquidity tightening expectations. The information difference between the US and Iran on peace talks means high uncertainty, and the trading volume of the Shanghai and Shenzhen stock markets has shrunk, indicating cautious market sentiment [32]. 4 Option Portfolio Viewpoints - In the short - term, the stock index will maintain a range - bound trend. Considering the long - term upward logic, a bull spread portfolio can be used to deal with the difficulty of timing. A bull call spread portfolio can be selected, which involves buying low - strike - price call options and selling the same number of high - strike - price call options. It has limited risk and can design the expected profit - and - loss curve by selecting the strike prices [34]. 5 Summary - It summarizes the trend of the underlying asset price in Q1, the changes in option position PCR and implied volatility, the impact of the Middle East geopolitical situation on the short - term and long - term trends of the stock index, and suggests using a bull spread portfolio to deal with the volatile market [35].