（1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降，但维持较高水平波动。 金融期权 2025-11-25 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： 金融期权研究 表3：期权因子—量仓PCR （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- ...

1. Report Industry Investment Rating - No information provided in the content 2. Core Viewpoints of the Report - The stock market, including the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks, shows a high - level volatile upward market trend [2]. - The implied volatility of financial options has decreased but remains at a relatively high level of fluctuation [2]. - For ETF options, it is suitable to construct a bullish buyer strategy and a bull spread strategy for call options; for index options, it is suitable to construct a bullish seller strategy, a bull spread strategy for call options, and an arbitrage strategy between synthetic long futures of options and short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Indexes - The Shanghai Composite Index closed at 3,931.05, down 15.69 (-0.40%), with a trading volume of 711.3 billion yuan, a decrease of 9.6 billion yuan, and a PE of 16.46 [3]. - The Shenzhen Component Index closed at 12,980.82, down 99.27 (-0.76%), with a trading volume of 996.8 billion yuan, a decrease of 8.2 billion yuan, and a PE of 29.93 [3]. - The Shanghai 50 Index closed at 3,008.29, down 12.06 (-0.40%), with a trading volume of 101 billion yuan, an increase of 1.4 billion yuan, and a PE of 12.03 [3]. - The SSE 300 Index closed at 4,564.95, down 23.34 (-0.51%), with a trading volume of 415.1 billion yuan, an increase of 29.8 billion yuan, and a PE of 14.14 [3]. - The CSI 500 Index closed at 7,061.95, down 60.80 (-0.85%), with a trading volume of 254.2 billion yuan, a decrease of 2.6 billion yuan, and a PE of 32.17 [3]. - The CSI 1000 Index closed at 7,340.41, down 46.80 (-0.63%), with a trading volume of 356.7 billion yuan, a decrease of 10.5 billion yuan, and a PE of 46.45 [3]. 3.2 Option - underlying ETF Market - The Shanghai 50 ETF closed at 3.156, down 0.009 (-0.28%), with a trading volume of 3.8637 million shares, an increase of 3.7926 million shares, and a trading value of 1.225 billion yuan, a decrease of 1.029 billion yuan [4]. - The Shanghai 300 ETF closed at 4.676, down 0.021 (-0.45%), with a trading volume of 5.6194 million shares, an increase of 5.5337 million shares, and a trading value of 2.645 billion yuan, a decrease of 1.382 billion yuan [4]. - The Shanghai 500 ETF closed at 7.170, down 0.057 (-0.79%), with a trading volume of 3.0324 million shares, an increase of 3.0077 million shares, and a trading value of 2.184 billion yuan, an increase of 0.397 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.396, down 0.017 (-1.20%), with a trading volume of 23.5876 million shares, an increase of 23.399 million shares, and a trading value of 3.317 billion yuan, an increase of 0.644 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.352, down 0.017 (-1.24%), with a trading volume of 6.5031 million shares, an increase of 6.4286 million shares, and a trading value of 0.886 billion yuan, a decrease of 0.137 billion yuan [4]. - The Shenzhen 300 ETF closed at 4.826, down 0.019 (-0.39%), with a trading volume of 1.2255 million shares, an increase of 1.2138 million shares, and a trading value of 0.594 billion yuan, an increase of 0.029 billion yuan [4]. - The Shenzhen 500 ETF closed at 2.865, down 0.024 (-0.83%), with a trading volume of 0.594 million shares, an increase of 0.5872 million shares, and a trading value of 0.171 billion yuan, a decrease of 0.026 billion yuan [4]. - The Shenzhen 100 ETF closed at 3.363, down 0.021 (-0.62%), with a trading volume of 0.6624 million shares, an increase of 0.6534 million shares, and a trading value of 0.225 billion yuan, a decrease of 0.081 billion yuan [4]. - The ChiNext ETF closed at 3.026, down 0.031 (-1.01%), with a trading volume of 13.808 million shares, an increase of 13.6755 million shares, and a trading value of 4.222 billion yuan, an increase of 0.162 billion yuan [4]. 3.3 Option Factors - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume was 978,500 contracts, a decrease of 38,300 contracts; the open interest was 1,510,500 contracts, a decrease of 19,200 contracts; the volume PCR was 0.94, a decrease of 0.12; the position PCR was 0.87, a decrease of 0.02 [5]. - For the Shanghai 300 ETF option, the trading volume was 1,167,700 contracts, a decrease of 68,200 contracts; the open interest was 1,443,800 contracts, an increase of 3,800 contracts; the volume PCR was 0.94, a decrease of 0.20; the position PCR was 0.91, a decrease of 0.04 [5]. - For the Shanghai 500 ETF option, the trading volume was 1,603,400 contracts, an increase of 34,900 contracts; the open interest was 1,492,900 contracts, an increase of 22,400 contracts; the volume PCR was 0.93, a decrease of 0.17; the position PCR was 1.04, a decrease of 0.04 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 1,440,700 contracts, a decrease of 27,400 contracts; the open interest was 2,532,800 contracts, an increase of 33,700 contracts; the volume PCR was 0.69, a decrease of 0.16; the position PCR was 0.79, a decrease of 0.03 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 323,700 contracts, an increase of 28,100 contracts; the open interest was 669,100 contracts, an increase of 12,900 contracts; the volume PCR was 1.03, a decrease of 0.01; the position PCR was 0.77, a decrease of 0.01 [5]. - For the Shenzhen 300 ETF option, the trading volume was 182,700 contracts, a decrease of 15,500 contracts; the open interest was 327,400 contracts, a decrease of 10,000 contracts; the volume PCR was 1.03, a decrease of 0.56; the position PCR was 0.91, a decrease of 0.07 [5]. - For the Shenzhen 500 ETF option, the trading volume was 369,500 contracts, an increase of 120,500 contracts; the open interest was 447,800 contracts, an increase of 400 contracts; the volume PCR was 1.78, an increase of 0.20; the position PCR was 0.70, a decrease of 0.03 [5]. - For the Shenzhen 100 ETF option, the trading volume was 128,900 contracts, an increase of 52,800 contracts; the open interest was 155,500 contracts, a decrease of 2,600 contracts; the volume PCR was 1.81, a decrease of 0.08; the position PCR was 1.29, a decrease of 0.12 [5]. - For the ChiNext ETF option, the trading volume was 2,098,800 contracts, an increase of 208,600 contracts; the open interest was 2,080,200 contracts, an increase of 19,300 contracts; the volume PCR was 0.90, a decrease of 0.06; the position PCR was 0.97, a decrease of 0.05 [5]. - For the Shanghai 50 index option, the trading volume was 54,100 contracts, an increase of 5,700 contracts; the open interest was 78,200 contracts, an increase of 1,600 contracts; the volume PCR was 0.59, a decrease of 0.08; the position PCR was 0.74, an increase of 0.01 [5]. - For the SSE 300 index option, the trading volume was 170,200 contracts, an increase of 4,100 contracts; the open interest was 236,000 contracts, an increase of 1,100 contracts; the volume PCR was 0.60, a decrease of 0.11; the position PCR was 0.78, a decrease of 0.01 [5]. - For the CSI 1000 index option, the trading volume was 336,200 contracts, a decrease of 25,500 contracts; the open interest was 347,200 contracts, an increase of 3,900 contracts; the volume PCR was 0.77, a decrease of 0.05; the position PCR was 0.89, a decrease of 0.02 [5]. 3.4 Option Factors - Pressure and Support Points - For the Shanghai 50 ETF, the underlying closing price was 3.156, the at - the - money strike price was 3.20, the pressure point was 3.20 with an offset of 0.00, the support point was 3.10 with an offset of 0.00, the maximum call open interest was 151,449 contracts, and the maximum put open interest was 99,449 contracts [7]. - For the Shanghai 300 ETF, the underlying closing price was 4.676, the at - the - money strike price was 4.70, the pressure point was 4.80 with an offset of 0.00, the support point was 4.60 with an offset of 0.00, the maximum call open interest was 107,595 contracts, and the maximum put open interest was 77,161 contracts [7]. - For the Shanghai 500 ETF, the underlying closing price was 7.170, the at - the - money strike price was 7.25, the pressure point was 7.50 with an offset of 0.00, the support point was 7.00 with an offset of 0.00, the maximum call open interest was 130,547 contracts, and the maximum put open interest was 87,079 contracts [7]. - For the Huaxia Science and Technology Innovation 50 ETF, the underlying closing price was 1.396, the at - the - money strike price was 1.40, the pressure point was 1.50 with an offset of 0.00, the support point was 1.35 with an offset of 0.00, the maximum call open interest was 139,380 contracts, and the maximum put open interest was 88,753 contracts [7]. - For the E Fund Science and Technology Innovation 50 ETF, the underlying closing price was 1.352, the at - the - money strike price was 1.35, the pressure point was 1.40 with an offset of - 0.10, the support point was 1.30 with an offset of 0.00, the maximum call open interest was 24,023 contracts, and the maximum put open interest was 19,237 contracts [7]. - For the Shenzhen 300 ETF, the underlying closing price was 4.826, the at - the - money strike price was 4.80, the pressure point was 4.90 with an offset of - 0.10, the support point was 4.70 with an offset of 0.00, the maximum call open interest was 19,268 contracts, and the maximum put open interest was 18,301 contracts [7]. - For the Shenzhen 500 ETF, the underlying closing price was 2.865, the at - the - money strike price was 2.85, the pressure point was 2.90 with an offset of - 0.20, the support point was 2.85 with an offset of 0.10, the maximum call open interest was 20,946 contracts, and the maximum put open interest was 14,193 contracts [7]. - For the Shenzhen 100 ETF, the underlying closing price was 3.363, the at - the - money strike price was 3.40, the pressure point was 3.61 with an offset of 0.00, the support point was 3.32 with an offset of 0.00, the maximum call open interest was 6,053 contracts, and the maximum put open interest was 7,559 contracts [7]. - For the ChiNext ETF, the underlying closing price was 3.026, the at - the - money strike price was 3.00, the pressure point was 3.10 with an offset of - 0.10, the support point was 3.00 with an offset of 0.00, the maximum call open interest was 144,175 contracts, and the maximum put open interest was 85,630 contracts [7]. - For the Shanghai 50 index option, the underlying closing price was 3,008.29, the at - the - money strike price was 3,000, the pressure point was 3,100 with an offset of 50, the support point was 2,900 with an offset of - 100, the maximum call open interest was 3,441 contracts, and the maximum put open interest was 2,106 contracts [7]. - For the SSE 300 index option, the underlying closing price was 4,564.95, the at - the - money strike price was 4,550, the pressure point was 4,700 with an offset of 0, the support point was 4,500 with an offset of - 100, the maximum call open interest was 6,788 contracts, and the maximum put open interest was 3,673 contracts [7]. - For the CSI 1000 index option, the underlying closing price was 7,340.41, the at - the - money strike price was 7,300, the pressure point was 7,400 with an offset of - 100, the support point was 7,000 with an offset of - 200, the maximum call open interest was 9,706 contracts, and the maximum put open interest was 6,047 contracts [7]. 3.5 Option Factors - Implied Volatility - For the Shanghai 50 ETF option, the at - the - money implied volatility was 14.09%, the weighted implied volatility was 14.88%, a decrease of 0.36%, the annual average was 16

金融期权 2025-11-20 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | ...

金融期权 2025-11-19 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | ...

金融期权 2025-11-17 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | ...

1. Report Industry Investment Rating - No information provided in the content 2. Core Viewpoints of the Report - The stock market shows a high - level volatile upward trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks all in this state [3] - The implied volatility of financial options has declined but remains at a relatively high level of fluctuation [3] - For ETF options, it is suitable to construct a long - biased buyer strategy and a bull spread strategy for call options; for index options, it is suitable to construct a long - biased seller strategy, a bull spread strategy for call options, and an arbitrage strategy between long synthetic futures and short futures [3] 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 4,000.14, down 2.62 points or 0.07%, with a trading volume of 840.5 billion yuan, a decrease of 17.9 billion yuan [4] - The Shenzhen Component Index closed at 13,240.62, down 48.39 points or 0.36%, with a trading volume of 1,104.6 billion yuan, a decrease of 30.7 billion yuan [4] - The Shanghai 50 Index closed at 3,044.30, up 9.67 points or 0.32%, with a trading volume of 136.9 billion yuan, an increase of 18.8 billion yuan [4] - The CSI 300 Index closed at 4,645.91, down 6.26 points or 0.13%, with a trading volume of 492.3 billion yuan, an increase of 14.7 billion yuan [4] - The CSI 500 Index closed at 7,243.25, down 48.36 points or 0.66%, with a trading volume of 313.8 billion yuan, a decrease of 24.8 billion yuan [4] - The CSI 1000 Index closed at 7,486.38, down 54.41 points or 0.72%, with a trading volume of 390.5 billion yuan, a decrease of 14.4 billion yuan [4] 3.2 Option - underlying ETF Market Overview - The Shanghai 50 ETF closed at 3.197, up 0.017 or 0.53%, with a trading volume of 5.5359 million shares, an increase of 5.4848 million shares, and a trading value of 1.769 billion yuan, an increase of 0.14 billion yuan [5] - The Shanghai 300 ETF closed at 4.765, up 0.002 or 0.04%, with a trading volume of 5.2369 million shares, an increase of 5.1804 million shares, and a trading value of 2.492 billion yuan, a decrease of 2.11 billion yuan [5] - The Shanghai 500 ETF closed at 7.356, down 0.038 or 0.51%, with a trading volume of 1.3422 million shares, an increase of 1.3263 million shares, and a trading value of 986 million yuan, a decrease of 192 million yuan [5] - The Huaxia Science and Technology Innovation 50 ETF closed at 1.449, down 0.008 or 0.55%, with a trading volume of 27.7884 million shares, an increase of 27.58 million shares, and a trading value of 4.011 billion yuan, an increase of 952 million yuan [5] - The E Fund Science and Technology Innovation 50 ETF closed at 1.405, down 0.007 or 0.50%, with a trading volume of 7.0292 million shares, an increase of 6.9671 million shares, and a trading value of 982 million yuan, an increase of 99 million yuan [5] - The Shenzhen 300 ETF closed at 4.912, down 0.003 or 0.06%, with a trading volume of 1.7625 million shares, an increase of 1.7435 million shares, and a trading value of 864 million yuan, a decrease of 73 million yuan [5] - The Shenzhen 500 ETF closed at 2.937, down 0.016 or 0.54%, with a trading volume of 602,500 shares, an increase of 595,000 shares, and a trading value of 177 million yuan, a decrease of 46 million yuan [5] - The Shenzhen 100 ETF closed at 3.528, up 0.003 or 0.09%, with a trading volume of 425,100 shares, an increase of 419,000 shares, and a trading value of 149 million yuan, a decrease of 67 million yuan [5] - The ChiNext ETF closed at 3.108, down 0.005 or 0.16%, with a trading volume of 11.8147 million shares, an increase of 11.7089 million shares, and a trading value of 3.649 billion yuan, an increase of 325 million yuan [5] 3.3 Option Factor - Volume and Open Interest PCR - For the Shanghai 50 ETF option, the trading volume was 915,600 contracts, an increase of 168,100 contracts; the open interest was 1,569,300 contracts, an increase of 73,000 contracts; the trading volume PCR was 0.98, an increase of 0.01; the open interest PCR was 0.98, an increase of 0.08 [6] - For the Shanghai 300 ETF option, the trading volume was 1,125,500 contracts, an increase of 167,400 contracts; the open interest was 1,520,800 contracts, an increase of 107,300 contracts; the trading volume PCR was 1.13, a decrease of 0.01; the open interest PCR was 1.07, an increase of 0.03 [6] - For the Shanghai 500 ETF option, the trading volume was 1,777,500 contracts, an increase of 449,400 contracts; the open interest was 1,515,900 contracts, an increase of 111,700 contracts; the trading volume PCR was 1.09, a decrease of 0.19; the open interest PCR was 1.13, a decrease of 0.04 [6] - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 1,331,600 contracts, an increase of 292,900 contracts; the open interest was 2,548,200 contracts, an increase of 168,600 contracts; the trading volume PCR was 0.88, a decrease of 0.03; the open interest PCR was 0.86, a decrease of 0.02 [6] - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 257,200 contracts, an increase of 56,100 contracts; the open interest was 664,900 contracts, an increase of 46,500 contracts; the trading volume PCR was 1.04, an increase of 0.28; the open interest PCR was 0.85, a decrease of 0.02 [6] - For the Shenzhen 300 ETF option, the trading volume was 218,700 contracts, an increase of 65,100 contracts; the open interest was 305,300 contracts, an increase of 9,300 contracts; the trading volume PCR was 2.27, an increase of 0.59; the open interest PCR was 0.82, an increase of 0.01 [6] - For the Shenzhen 500 ETF option, the trading volume was 248,200 contracts, an increase of 61,400 contracts; the open interest was 428,700 contracts, an increase of 4,400 contracts; the trading volume PCR was 1.45, an increase of 0.02; the open interest PCR was 0.75, a decrease of 0.02 [6] - For the Shenzhen 100 ETF option, the trading volume was 49,900 contracts, a decrease of 15,500 contracts; the open interest was 135,200 contracts, an increase of 1,700 contracts; the trading volume PCR was 3.32, a decrease of 0.05; the open interest PCR was 1.28, an increase of 0.02 [6] - For the ChiNext ETF option, the trading volume was 2,019,100 contracts, an increase of 317,500 contracts; the open interest was 2,030,600 contracts, an increase of 62,200 contracts; the trading volume PCR was 1.25, an increase of 0.21; the open interest PCR was 1.05, a decrease of 0.01 [6] - For the Shanghai 50 index option, the trading volume was 44,600 contracts, an increase of 9,700 contracts; the open interest was 72,100 contracts, a decrease of 2,100 contracts; the trading volume PCR was 0.59, a decrease of 0.07; the open interest PCR was 0.76, an increase of 0.03 [6] - For the CSI 300 index option, the trading volume was 121,100 contracts, an increase of 400 contracts; the open interest was 214,500 contracts, an increase of 2,200 contracts; the trading volume PCR was 0.69, an increase of 0.07; the open interest PCR was 0.84, a decrease of 0.01 [6] - For the CSI 1000 index option, the trading volume was 315,600 contracts, an increase of 86,100 contracts; the open interest was 325,500 contracts, an increase of 5,100 contracts; the trading volume PCR was 0.89, an increase of 0.03; the open interest PCR was 1.04, a decrease of 0.05 [6] 3.4 Option Factor - Pressure and Support Points - For the Shanghai 50 ETF option, the underlying closing price was 3.197, the at - the - money strike price was 3.20, the pressure point was 3.30 with an offset of 0.10, the support point was 3.10 with an offset of 0.00, the maximum long position for calls was 139,546, and the maximum long position for puts was 141,924 [8] - For the Shanghai 300 ETF option, the underlying closing price was 4.765, the at - the - money strike price was 4.80, the pressure point was 4.80 with an offset of - 0.10, the support point was 4.70 with an offset of 0.00, the maximum long position for calls was 106,113, and the maximum long position for puts was 95,614 [8] - For the Shanghai 500 ETF option, the underlying closing price was 7.356, the at - the - money strike price was 7.25, the pressure point was 7.50 with an offset of 0.00, the support point was 7.25 with an offset of 0.00, the maximum long position for calls was 133,156, and the maximum long position for puts was 111,222 [8] - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.449, the at - the - money strike price was 1.45, the pressure point was 1.50 with an offset of - 0.05, the support point was 1.40 with an offset of 0.00, the maximum long position for calls was 163,152, and the maximum long position for puts was 88,840 [8] - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 1.405, the at - the - money strike price was 1.40, the pressure point was 1.50 with an offset of 0.00, the support point was 1.35 with an offset of 0.00, the maximum long position for calls was 27,341, and the maximum long position for puts was 16,653 [8] - For the Shenzhen 300 ETF option, the underlying closing price was 4.912, the at - the - money strike price was 4.90, the pressure point was 5.25 with an offset of 0.00, the support point was 4.70 with an offset of - 0.10, the maximum long position for calls was 23,975, and the maximum long position for puts was 15,078 [8] - For the Shenzhen 500 ETF option, the underlying closing price was 2.937, the at - the - money strike price was 2.95, the pressure point was 3.10 with an offset of 0.10, the support point was 2.75 with an offset of 0.00, the maximum long position for calls was 24,317, and the maximum long position for puts was 16,923 [8] - For the Shenzhen 100 ETF option, the underlying closing price was 3.528, the at - the - money strike price was 3.50, the pressure point was 3.70 with an offset of 0.00, the support point was 3.50 with an offset of 0.10, the maximum long position for calls was 8,525, and the maximum long position for puts was 6,236 [8] - For the ChiNext ETF option, the underlying closing price was 3.108, the at - the - money strike price was 3.10, the pressure point was 3.20 with an offset of 0.00, the support point was 3.00 with an offset of 0.00, the maximum long position for calls was 141,878, and the maximum long position for puts was 82,870 [8] - For the Shanghai 50 index option, the underlying closing price was 3,044.30, the at - the - money strike price was 3,050, the pressure point was 3,100 with an offset of 0, the support point was 3,000 with an offset of 0, the maximum long position for calls was 3,582, and the maximum long position for puts was 3,291 [8] - For the CSI 300 index option, the underlying closing price was 4,645.91, the at - the - money strike price was 4,650, the pressure point was 4,700 with an offset of 0, the support point was 4,700 with an offset of 0, the maximum long position for calls was 12,128, and the maximum long position for puts was 8,469 [8] - For the CSI 1000 index option, the underlying closing price was 7,486.38, the at - the - money strike price was 7,500, the pressure point was 7,500 with an offset of 0, the support point was 7,000 with an offset of 0, the maximum long position for calls was 11,546, and the maximum long position for puts was 9,333 [8] 3.5 Option Factor - Implied Volatility - For the Shanghai 50 ETF option, the at - the - money implied volatility was 14.28%, the weighted implied volatility was 14.60%, a decrease of 0.00%, the annual average was 15.94%, the call implied volatility was 14.57%, the put implied volatility was 14.65%, the 20 - day historical volatility was 1

金融期权 2025-11-12 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 表3：期权因子—量仓PCR | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | ...

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The stock market shows a high - level volatile upward trend, including the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks [3]. - The implied volatility of financial options has decreased but remains at a relatively high level of fluctuation [3]. - For ETF options, it is suitable to construct a long - biased buyer strategy and a bull spread strategy of call options; for index options, it is suitable to construct a long - biased seller strategy, a bull spread strategy of call options, and an arbitrage strategy of synthetic long futures with short futures [3]. 3. Summary according to Related Catalogs 3.1 Stock Market and Option Market Overview - **Stock Market Indexes**: The Shanghai Composite Index closed at 4,007.76, up 0.97% with a trading volume of 930.3 billion yuan; the Shenzhen Component Index closed at 13,452.42, up 1.73% with a trading volume of 1,125 billion yuan; other indexes also showed varying degrees of increase [4]. - **ETF Market**: The closing prices of various ETFs, such as the SSE 50 ETF, SSE 300 ETF, etc., all increased, with different trading volumes and changes [5]. - **Option Factors** - **Volume and Position PCR**: Different option varieties have different volume and position PCR values and their changes, which can be used to analyze market sentiment and turning points [6]. - **Pressure and Support Points**: The pressure and support points of each option variety are analyzed from the perspective of the strike prices with the largest open interest of call and put options [8]. - **Implied Volatility**: The implied volatility of each option variety has decreased, but the levels vary among different varieties [11]. 3.2 Option Strategies by Sector - **Financial Stocks (SSE 50 ETF)**: The SSE 50 ETF shows a long - biased high - level volatile upward trend. It is recommended to construct a seller long - biased combination strategy to obtain time - value income [14]. - **Large - Cap Blue - Chip Stocks (SSE 300 ETF)**: The SSE 300 ETF has a long - biased high - level volatile upward trend. A short - volatility strategy of selling call and put options is recommended [14]. - **Large - and Medium - Sized Stocks (SZSE 100 ETF)**: The SZSE 100 ETF shows a long - biased high - level volatile trend. A short - volatility strategy of selling call and put options is recommended [15]. - **Small - and Medium - Cap Stocks (SSE 500 ETF and CSI 1000)**: The SSE 500 ETF has a high - level volatile trend, and the CSI 1000 index shows a high - level volatile and rebounding trend. Short - volatility strategies are recommended for both [15][16]. - **ChiNext (ChiNext ETF)**: The ChiNext ETF shows a long - trend high - level volatile and then a high - point decline trend. A short - volatility strategy and a spot long - covered call strategy are recommended [16].

| 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 金融期权 2025-11-05 金融期权策略早报概要： 金融期权策略早报 | 期权品种 | 成交量 | 量变化 | 持仓量 | 仓变化 | 成交量 | 量PCR | 持仓量 | 仓PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | ...

1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a market trend of high-level volatile upward movement [3]. - The implied volatility of financial options decreased but remained at a relatively high level of fluctuation [3]. - For ETF options, it is suitable to construct a long-biased buyer strategy and a bull spread strategy for call options. For index options, it is suitable to construct a long-biased seller strategy, a bull spread strategy for call options, and an arbitrage strategy between synthetic long futures of options and short futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,986.90, down 29.43 points or 0.73%, with a trading volume of 107.01 billion yuan and an increase of 10.18 billion yuan. The PE was 16.81 [4]. - The Shenzhen Component Index closed at 13,532.13, down 159.26 points or 1.16%, with a trading volume of 135.16 billion yuan and an increase of 6.38 billion yuan. The PE was 30.82 [4]. - The Shanghai 50 Index closed at 3,046.61, down 16.41 points or 0.54%, with a trading volume of 18.47 billion yuan and an increase of 2.84 billion yuan. The PE was 12.17 [4]. - The CSI 300 Index closed at 4,709.91, down 37.93 points or 0.80%, with a trading volume of 72.00 billion yuan and an increase of 7.41 billion yuan. The PE was 14.49 [4]. - The CSI 500 Index closed at 7,385.71, down 95.26 points or 1.27%, with a trading volume of 47.38 billion yuan and an increase of 3.07 billion yuan. The PE was 33.73 [4]. - The CSI 1000 Index closed at 7,485.08, down 84.03 points or 1.11%, with a trading volume of 47.85 billion yuan and an increase of 3.93 billion yuan. The PE was 46.48 [4]. 3.2 Option Underlying ETF Market Overview - The Shanghai 50 ETF closed at 3.193, down 0.017 or 0.53%, with a trading volume of 9.8691 million lots and an increase of 9.8061 million lots. The trading value was 3.163 billion yuan and an increase of 1.144 billion yuan [5]. - The Shanghai 300 ETF closed at 4.823, down 0.039 or 0.80%, with a trading volume of 8.1646 million lots and an increase of 8.0967 million lots. The trading value was 3.955 billion yuan and an increase of 0.671 billion yuan [5]. - The Shanghai 500 ETF closed at 7.497, down 0.097 or 1.28%, with a trading volume of 2.3978 million lots and an increase of 2.3771 million lots. The trading value was 1.804 billion yuan and an increase of 0.250 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.535, down 0.030 or 1.92%, with a trading volume of 33.6352 million lots and an increase of 33.3258 million lots. The trading value was 5.213 billion yuan and an increase of 0.406 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.488, down 0.027 or 1.78%, with a trading volume of 7.6315 million lots and an increase of 7.5528 million lots. The trading value was 1.146 billion yuan and a decrease of 0.038 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.973, down 0.040 or 0.80%, with a trading volume of 1.4426 million lots and an increase of 1.4307 million lots. The trading value was 0.721 billion yuan and an increase of 0.128 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.992, down 0.039 or 1.29%, with a trading volume of 0.9333 million lots and an increase of 0.9269 million lots. The trading value was 0.280 billion yuan and an increase of 0.090 billion yuan [5]. - The Shenzhen 100 ETF closed at 3.625, down 0.052 or 1.41%, with a trading volume of 0.3849 million lots and an increase of 0.3803 million lots. The trading value was 0.141 billion yuan and a decrease of 0.027 billion yuan [5]. - The ChiNext ETF closed at 3.239, down 0.061 or 1.85%, with a trading volume of 14.0688 million lots and an increase of 13.9318 million lots. The trading value was 4.602 billion yuan and an increase of 0.129 billion yuan [5]. 3.3 Option Factor - Volume and Open Interest PCR - For the Shanghai 50 ETF option, the trading volume was 873,400 contracts and an increase of 278,200 contracts. The open interest was 1,330,300 contracts and an increase of 97,200 contracts. The volume PCR was 0.78 and a decrease of 0.15. The open interest PCR was 0.96 and a decrease of 0.01 [6]. - For the Shanghai 300 ETF option, the trading volume was 1,160,800 contracts and an increase of 412,800 contracts. The open interest was 1,277,100 contracts and an increase of 116,400 contracts. The volume PCR was 0.93 and an increase of 0.08. The open interest PCR was 1.17 and a decrease of 0.05 [6]. - For the Shanghai 500 ETF option, the trading volume was 1,513,500 contracts and an increase of 183,900 contracts. The open interest was 1,362,000 contracts and an increase of 125,200 contracts. The volume PCR was 1.03 and an increase of 0.10. The open interest PCR was 1.35 and a decrease of 0.10 [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 1,356,200 contracts and an increase of 301,500 contracts. The open interest was 2,134,100 contracts and an increase of 134,300 contracts. The volume PCR was 0.72 and an increase of 0.07. The open interest PCR was 0.99 and a decrease of 0.02 [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 245,400 contracts and an increase of 28,600 contracts. The open interest was 608,600 contracts and an increase of 58,200 contracts. The volume PCR was 0.59 and a decrease of 0.16. The open interest PCR was 0.95 and a decrease of 0.05 [6]. - For the Shenzhen 300 ETF option, the trading volume was 164,200 contracts and an increase of 39,200 contracts. The open interest was 260,000 contracts and an increase of 13,400 contracts. The volume PCR was 0.84 and a decrease of 0.38. The open interest PCR was 0.82 and a decrease of 0.06 [6]. - For the Shenzhen 500 ETF option, the trading volume was 218,000 contracts and an increase of 26,700 contracts. The open interest was 389,200 contracts and an increase of 17,000 contracts. The volume PCR was 0.96 and an increase of 0.11. The open interest PCR was 0.86 and a decrease of 0.03 [6]. - For the Shenzhen 100 ETF option, the trading volume was 42,200 contracts and a decrease of 9,200 contracts. The open interest was 100,800 contracts and an increase of 500 contracts. The volume PCR was 1.46 and a decrease of 0.33. The open interest PCR was 1.31 and a decrease of 0.01 [6]. - For the ChiNext ETF option, the trading volume was 2,126,100 contracts and an increase of 399,000 contracts. The open interest was 1,675,900 contracts and an increase of 85,900 contracts. The volume PCR was 0.87 and an increase of 0.09. The open interest PCR was 1.28 and a decrease of 0.19 [6]. - For the Shanghai 50 index option, the trading volume was 40,000 contracts and an increase of 15,400 contracts. The open interest was 67,000 contracts and an increase of 900 contracts. The volume PCR was 0.36 and a decrease of 0.04. The open interest PCR was 0.69 and no change [6]. - For the CSI 300 index option, the trading volume was 146,700 contracts and an increase of 38,400 contracts. The open interest was 176,000 contracts and an increase of 6,500 contracts. The volume PCR was 0.59 and a decrease of 0.11. The open interest PCR was 0.93 and an increase of 0.03 [6]. - For the CSI 1000 index option, the trading volume was 283,400 contracts and an increase of 82,300 contracts. The open interest was 287,200 contracts and an increase of 5,500 contracts. The volume PCR was 0.89 and an increase of 0.08. The open interest PCR was 1.07 and a decrease of 0.02 [6]. 3.4 Option Factor - Pressure and Support Points - For the Shanghai 50 ETF option, the underlying closing price was 3.193, the at-the-money strike price was 3.20, the pressure point was 3.20, the support point was 3.10, the maximum call open interest was 115,212, and the maximum put open interest was 107,493 [8]. - For the Shanghai 300 ETF option, the underlying closing price was 4.823, the at-the-money strike price was 4.80, the pressure point was 5.00, the support point was 4.70, the maximum call open interest was 70,141, and the maximum put open interest was 86,825 [8]. - For the Shanghai 500 ETF option, the underlying closing price was 7.497, the at-the-money strike price was 7.50, the pressure point was 7.50, the support point was 7.25, the maximum call open interest was 83,811, and the maximum put open interest was 124,977 [8]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.535, the at-the-money strike price was 1.55, the pressure point was 1.60, the support point was 1.40, the maximum call open interest was 123,871, and the maximum put open interest was 75,916 [8]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 1.488, the at-the-money strike price was 1.50, the pressure point was 1.60, the support point was 1.35, the maximum call open interest was 22,143, and the maximum put open interest was 15,242 [8]. - For the Shenzhen 300 ETF option, the underlying closing price was 4.973, the at-the-money strike price was 5.00, the pressure point was 5.25, the support point was 4.80, the maximum call open interest was 23,040, and the maximum put open interest was 11,272 [8]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.992, the at-the-money strike price was 3.00, the pressure point was 3.20, the support point was 2.85, the maximum call open interest was 18,221, and the maximum put open interest was 17,376 [8]. - For the Shenzhen 100 ETF option, the underlying closing price was 3.625, the at-the-money strike price was 3.60, the pressure point was 3.70, the support point was 3.50, the maximum call open interest was 6,158, and the maximum put open interest was 5,122 [8]. - For the ChiNext ETF option, the underlying closing price was 3.239, the at-the-money strike price was 3.20, the pressure point was 3.60, the support point was 3.00, the maximum call open interest was 87,572, and the maximum put open interest was 80,433 [8]. - For the Shanghai 50 index option, the underlying closing price was 3,046.61, the at-the-money strike price was 3,050, the pressure point was 3,100, the support point was 2,950, the maximum call open interest was 3,230, and the maximum put open interest was 2,301 [8]. - For the CSI 300 index option, the underlying closing price was 4,709.91, the at-the-money strike price was 4,700, the pressure point was 4,800, the support point was 4,700, the maximum call open interest was 6,637, and the maximum put open interest was 7,088 [8]. - For the CSI 1000 index option, the underlying closing price was 7,485.08, the at-the-money strike price was 7,500, the pressure point was 7,500, the support point was 7,000, the maximum call open interest was 9,031, and the maximum put open interest was 10,098 [8]. 3.5 Option Factor - Implied Volatility - For the Shanghai 50 ETF option, the at-the-money implied volatility was 15.17%, the weighted implied volatility was 15.42% and a decrease of 0.39%, the annual average was 15.99%, the call implied volatility was 15.53%, the put implied volatility was 15.25%, the 20-day historical volatility was 15.65%, and the difference between implied and historical volatility was -0.24% [11]. - For the Shanghai 300 ETF option, the at-the-money implied volatility was 16.50%, the weighted implied volatility was 16.37% and a decrease of 0.57%, the annual average was 16.43%, the call implied volatility was 16.32%, the put implied volatility was 16.44%, the 20-day historical volatility was 16.58%, and the difference between implied and historical volatility was -0.21% [11]. - For the Shanghai 500 ETF option, the at-the-money implied volatility was 20.17%, the weighted implied volatility was 20.55% and a decrease of 0.32%, the annual average was 20.