金融期权周报-20260330

Group 1: Market Overview - The market showed a volatile recovery trend last week. Most indices opened lower on Monday and gradually recovered, but still ended the week with losses. The ChiNext Index led the decline, with a weekly drop of 1.67%. The non - bank financial and computer sectors were weak, with weekly declines of about 3.98% and 3.43% respectively, while the non - ferrous metals sector was prominent, with a weekly gain of 2.78% [1] - The market focus remained on the geopolitical situation. The geopolitical situation was still tense, and the uncertainty in the Strait of Hormuz supported high - level volatile energy prices. Overseas, the US dollar index continued to fluctuate strongly, and the US March PMI indicators were divided, leading to a further decline in market expectations for the Fed to cut interest rates. Domestically, the RMB exchange rate remained in a strong - oscillating pattern [1] Group 2: Options Market - In the options market last week, the implied volatility (IV) of various financial options rebounded. The IV of the STAR 50 options (IV = 29%) and ChiNext ETF options (IV = 24%) rose above the median of the past year. The IV of 50 and 300 options was in the range of 15% - 17%, and that of CSI 500 and CSI 1000 options was in the range of 25% - 28%. The PCR of most financial options was in the range of 60% - 80%, slightly lower than the previous week [2] Group 3: Strategy Outlook - The market may continue the volatile pattern, and the implied volatility of financial options will continue to rise. It is advisable to hold indices with relatively reasonable valuations, such as the SSE 50 and CSI 300, and consider selling out - of - the - money put options on the corresponding indices. For the STAR 50 Index, which has large recent fluctuations and high static valuations, if holding the underlying assets, one can consider buying out - of - the - money put options or selling out - of - the - money call options. If there are substantial spot gains, one can consider taking profits on the spot and keeping a small amount of long - term call options. The CSI 1000 - 2606 index futures basis has converged, and one can consider rolling over to the 2609 contract with a higher basis to form a covered call strategy [3] Group 4: Market Data - The report provides detailed data on various financial options, including the closing price, price change, IV, ΔIV (daily), historical quantile, IV median in the past year, option trading volume, and PCR of multiple underlying assets such as the SSE 50ETF, SSE 50 Index, CSI 300ETF, CSI 500ETF, CSI 1000 Index, ChiNext ETF, STAR 50ETF, and Shenzhen 100ETF [5] - It also presents data on the price, price change, IV of different months, and related quantiles of various underlying assets over different time periods, as well as information on IV term structure, intraday IV trends, skew index, smile curve, and the relationship between IV and trading volume [7][10][15]