1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - The Shanghai Composite Index and large-cap blue-chip stocks are consolidating and fluctuating at high levels, while small and medium-cap stocks and ChiNext stocks are showing signs of oscillating recovery [2]. - The implied volatility of financial options is fluctuating at a relatively low historical level [2]. - For ETF options, it is suitable to construct covered call strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary Based on Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,388.81, up 1.40 points or 0.04%, with a trading volume of 441 billion yuan, a decrease of 17 billion yuan [3]. - The Shenzhen Component Index closed at 10,175.59, up 24.16 points or 0.24%, with a trading volume of 750.1 billion yuan, an increase of 9 billion yuan [3]. - The SSE 50 Index closed at 2,679.92, down 4.03 points or -0.15%, with a trading volume of 62.1 billion yuan, a decrease of 14 billion yuan [3]. - The CSI 300 Index closed at 3,874.97, up 4.59 points or 0.12%, with a trading volume of 230.6 billion yuan, an increase of 10.2 billion yuan [3]. - The CSI 500 Index closed at 5,745.87, down 5.04 points or -0.09%, with a trading volume of 154.5 billion yuan, a decrease of 56 billion yuan [3]. - The CSI 1000 Index closed at 6,135.39, down 6.08 points or -0.10%, with a trading volume of 256.5 billion yuan, a decrease of 44 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 2.750, down 0.003 or -0.11%, with a trading volume of 4.2768 million lots, an increase of 4.2196 million lots, and a trading volume of 1.176 billion yuan, a decrease of 395 million yuan [4]. - The SSE 300 ETF closed at 3.904, up 0.003 or 0.08%, with a trading volume of 4.808 million lots, an increase of 4.7597 million lots, and a trading volume of 1.874 billion yuan, a decrease of 51 million yuan [4]. - The SSE 500 ETF closed at 5.776, down 0.009 or -0.16%, with a trading volume of 1.5013 million lots, an increase of 1.479 million lots, and a trading volume of 866 million yuan, a decrease of 427 million yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.018, up 0.006 or 0.59%, with a trading volume of 21.4129 million lots, an increase of 21.1578 million lots, and a trading volume of 2.175 billion yuan, a decrease of 411 million yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 0.992, up 0.004 or 0.40%, with a trading volume of 425,150 lots, an increase of 419,150 lots, and a trading volume of 421 million yuan, a decrease of 173 million yuan [4]. - The Shenzhen 300 ETF closed at 4.030, up 0.006 or 0.15%, with a trading volume of 598,600 lots, an increase of 593,900 lots, and a trading volume of 241 million yuan, an increase of 53 million yuan [4]. - The Shenzhen 500 ETF closed at 2.311, down 0.001 or -0.04%, with a trading volume of 471,400 lots, an increase of 457,000 lots, and a trading volume of 109 million yuan, a decrease of 223 million yuan [4]. - The Shenzhen 100 ETF closed at 2.674, up 0.010 or 0.38%, with a trading volume of 222,100 lots, an increase of 219,600 lots, and a trading volume of 59 million yuan, a decrease of 6 million yuan [4]. - The ChiNext ETF closed at 2.034, up 0.006 or 0.30%, with a trading volume of 4.9311 million lots, an increase of 4.8886 million lots, and a trading volume of 1 billion yuan, an increase of 136 million yuan [4]. 3.3 Option Factor - Volume and Position PCR - For the SSE 50 ETF option, the trading volume was 890,100 contracts, an increase of 105,400 contracts; the open interest was 1.4762 million contracts, a decrease of 1,600 contracts; the trading volume PCR was 0.91, a decrease of 0.21; the open interest PCR was 0.90, a decrease of 0.01 [5]. - For the SSE 300 ETF option, the trading volume was 1.0424 million contracts, an increase of 368,800 contracts; the open interest was 1.214 million contracts, a decrease of 6,000 contracts; the trading volume PCR was 0.95, an increase of 0.08; the open interest PCR was 0.86, an increase of 0.01 [5]. - For the SSE 500 ETF option, the trading volume was 1.7361 million contracts, an increase of 469,900 contracts; the open interest was 1.3216 million contracts, an increase of 15,200 contracts; the trading volume PCR was 0.87, a decrease of 0.06; the open interest PCR was 1.05, a decrease of 0.06 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 562,300 contracts, an increase of 108,500 contracts; the open interest was 1.6534 million contracts, a decrease of 2,200 contracts; the trading volume PCR was 1.03, an increase of 0.35; the open interest PCR was 0.67, an increase of 0.01 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 129,500 contracts, a decrease of 49,000 contracts; the open interest was 497,200 contracts, a decrease of 6,500 contracts; the trading volume PCR was 0.83, a decrease of 0.14; the open interest PCR was 0.70, an increase of 0.01 [5]. - For the Shenzhen 300 ETF option, the trading volume was 91,800 contracts, an increase of 4,700 contracts; the open interest was 244,100 contracts, an increase of 9,400 contracts; the trading volume PCR was 1.09, a decrease of 0.82; the open interest PCR was 1.02, an increase of 0.03 [5]. - For the Shenzhen 500 ETF option, the trading volume was 120,700 contracts, an increase of 38,500 contracts; the open interest was 327,500 contracts, an increase of 4,300 contracts; the trading volume PCR was 1.20, a decrease of 0.03; the open interest PCR was 1.06, unchanged [5]. - For the Shenzhen 100 ETF option, the trading volume was 56,000 contracts, an increase of 12,800 contracts; the open interest was 123,200 contracts, an increase of 1,700 contracts; the trading volume PCR was 1.14, a decrease of 0.02; the open interest PCR was 0.99, an increase of 0.03 [5]. - For the ChiNext ETF option, the trading volume was 818,800 contracts, an increase of 60,800 contracts; the open interest was 1.416 million contracts, a decrease of 2,200 contracts; the trading volume PCR was 1.01, a decrease of 0.01; the open interest PCR was 0.92, an increase of 0.03 [5]. - For the SSE 50 index option, the trading volume was 30,200 contracts, an increase of 7,300 contracts; the open interest was 74,500 contracts, an increase of 200 contracts; the trading volume PCR was 0.53, a decrease of 0.02; the open interest PCR was 0.60, an increase of 0.01 [5]. - For the CSI 300 index option, the trading volume was 76,800 contracts, an increase of 14,600 contracts; the open interest was 196,800 contracts, a decrease of 100 contracts; the trading volume PCR was 0.65, a decrease of 0.01; the open interest PCR was 0.69, an increase of 0.03 [5]. - For the CSI 1000 index option, the trading volume was 212,700 contracts, an increase of 23,000 contracts; the open interest was 289,700 contracts, an increase of 2,000 contracts; the trading volume PCR was 1.00, an increase of 0.07; the open interest PCR was 0.95, a decrease of 0.01 [5]. 3.4 Option Factor - Pressure and Support Levels - For the SSE 50 ETF option, the underlying closing price was 2.750, the at-the-money strike price was 2.75, the pressure level was 2.80, the support level was 2.75, the maximum call open interest was 115,632 contracts, and the maximum put open interest was 84,480 contracts [7]. - For the SSE 300 ETF option, the underlying closing price was 3.904, the at-the-money strike price was 3.90, the pressure level was 3.91, the support level was 3.81, the maximum call open interest was 94,197 contracts, and the maximum put open interest was 71,517 contracts [7]. - For the SSE 500 ETF option, the underlying closing price was 5.776, the at-the-money strike price was 5.75, the pressure level was 5.75, the support level was 5.50, the maximum call open interest was 111,552 contracts, and the maximum put open interest was 95,770 contracts [7]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.018, the at-the-money strike price was 1.00, the pressure level was 1.05, the support level was 1.00, the maximum call open interest was 165,118 contracts, and the maximum put open interest was 99,204 contracts [7]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 0.992, the at-the-money strike price was 1.00, the pressure level was 1.05, the support level was 0.95, the maximum call open interest was 52,455 contracts, and the maximum put open interest was 27,069 contracts [7]. - For the Shenzhen 300 ETF option, the underlying closing price was 4.030, the at-the-money strike price was 4.00, the pressure level was 4.10, the support level was 4.00, the maximum call open interest was 15,998 contracts, and the maximum put open interest was 17,450 contracts [7]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.311, the at-the-money strike price was 2.30, the pressure level was 2.30, the support level was 2.25, the maximum call open interest was 13,303 contracts, and the maximum put open interest was 19,503 contracts [7]. - For the Shenzhen 100 ETF option, the underlying closing price was 2.674, the at-the-money strike price was 2.65, the pressure level was 2.70, the support level was 2.65, the maximum call open interest was 10,793 contracts, and the maximum put open interest was 7,531 contracts [7]. - For the ChiNext ETF option, the underlying closing price was 2.034, the at-the-money strike price was 2.05, the pressure level was 2.05, the support level was 2.00, the maximum call open interest was 88,352 contracts, and the maximum put open interest was 108,969 contracts [7]. - For the SSE 50 index option, the underlying closing price was 2,679.92, the at-the-money strike price was 2,700, the pressure level was 2,700, the support level was 2,500, the maximum call open interest was 2,263 contracts, and the maximum put open interest was 985 contracts [7]. - For the CSI 300 index option, the underlying closing price was 3,874.97, the at-the-money strike price was 3,850, the pressure level was 3,900, the support level was 3,850, the maximum call open interest was 4,261 contracts, and the maximum put open interest was 2,796 contracts [7]. - For the CSI 1000 index option, the underlying closing price was 6,135.39, the at-the-money strike price was 6,100, the pressure level was 6,100, the support level was 5,800, the maximum call open interest was 4,426 contracts, and the maximum put open interest was 3,624 contracts [7]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF option, the at-the-money implied volatility was 12.36%, the weighted implied volatility was 13.07%, an increase of 0.53%; the annual average was 9.09%; the call implied volatility was 13.12%, the put implied volatility was 13.01%; the 20-day historical volatility was 12.65%, and the difference between implied and historical volatility was 0.42% [9]. - For the SSE 300 ETF option, the at-the-money implied volatility was 12.69%, the weighted implied volatility was 14.10%, an increase of 0.66%; the annual average was 9.52%; the call implied volatility was 13.98%, the put implied volatility was 14.24%; the 20-day historical volatility was 13.20%, and the difference between implied and historical volatility was 0.90% [9]. - For the SSE 500 ETF option, the at-the-money implied volatility was 15.05%, the weighted implied volatility was 17.00%, an increase of 1.72%; the annual average was 12.02%; the call implied volatility was 17.01%, the put implied volatility was 16.98%; the 20-day historical volatility was 16.13%, and the difference between implied and historical volatility was 0.86% [9]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 19.75%, the weighted implied volatility was 24.12%, an increase of 0.18%; the annual

Group 1: Report Summary - The report is an agricultural product options strategy morning report, covering various agricultural product options including oilseeds, oils, livestock, soft commodities, and grains [2][3] - The overall market trends show that oilseeds and oils are bullish, while soft commodities like sugar are bearish, and grains like corn are gradually rising [3] - The recommended strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [3] Group 2: Underlying Futures Market Overview - The report provides the latest prices, price changes, trading volumes, and open interest of various underlying futures contracts, such as soybeans, soybean meal, palm oil, etc. [4] Group 3: Option Factor Analysis Volume and Open Interest PCR - The volume and open interest PCR of each option variety are presented, which are used to describe the strength of the underlying market and the turning points of the market [5] Pressure and Support Levels - The pressure and support levels of each option variety are analyzed from the perspective of the strike prices with the largest open interest of call and put options [6] Implied Volatility - The implied volatility of each option variety is provided, including at-the-money implied volatility, weighted implied volatility, and the difference between implied and historical volatility [7] Group 4: Strategy and Recommendations Oilseeds and Oils Options - For soybeans, bullish spread strategies, neutral option selling strategies, and long collar strategies are recommended [8] - For soybean meal and rapeseed meal, bullish spread strategies, bullish option selling strategies, and long collar strategies are suggested [10] - For palm oil, soybean oil, and rapeseed oil, bullish spread strategies, bullish option selling strategies, and long collar strategies are proposed [11] - For peanuts, bearish spread strategies and long collar strategies are recommended [12] Livestock Options - For pigs, neutral option selling strategies and covered call strategies are recommended [12] - For eggs, bearish option selling strategies are suggested [13] Soft Commodities Options - For sugar, bearish option selling strategies and long collar strategies are recommended [14] - For cotton, neutral option selling strategies and covered call strategies are proposed [15] Grains Options - For corn, bullish option selling strategies are recommended [15]

Report Summary 1. Report Industry Investment Rating - No information provided in the report. 2. Core Viewpoints - Corn futures prices declined slightly, with the futures main contract C2507 closing at 2359 yuan/ton. Corn option trading volume was 114,451 lots, open interest was 412,397 lots, and the trading volume PCR was 0.644. The option weighted implied volatility was 11.67%, and the 30 - day historical volatility was 7.70%. The option implied volatility increased significantly [3]. - Soybean meal futures prices fluctuated slightly, with the futures main contract M2509 closing at 3045 yuan/ton. Soybean meal option trading volume was 344,631 lots, open interest was 1,035,482 lots, and the trading volume PCR was 0.966. The option weighted implied volatility was 22.12%, and the 30 - day historical volatility was 10.81%. The option implied volatility increased sharply [3]. 3. Summary by Relevant Catalogs 3.1 Futures Market Data Statistics - For the corn main contract C2507, the closing price was 2359 yuan/ton, with a decline of 19 yuan and a decline rate of 0.80%. The trading volume was 409,117 lots, an increase of 19,798 lots, and the open interest was 637,414 lots, a decrease of 64,999 lots [5]. - For the soybean meal main contract M2509, the closing price was 3045 yuan/ton, with an increase of 4 yuan and an increase rate of 0.13%. The trading volume was 1,422,022 lots, an increase of 254,197 lots, and the open interest was 2,305,935 lots, a decrease of 12,086 lots [5]. 3.2 Option Market Data Statistics - For corn options, the trading volume was 114,451 lots, an increase of 13,129 lots. The trading volume PCR was 0.644, a decrease of 0.025. The open interest was 412,397 lots, a decrease of 195 lots, and the open interest PCR was 0.818, a decrease of 0.001 [9]. - For soybean meal options, the trading volume was 344,631 lots, an increase of 34,379 lots. The trading volume PCR was 0.966, an increase of 0.032. The open interest was 1,035,482 lots, an increase of 5,011 lots, and the open interest PCR was 0.711, a decrease of 0.012 [9]. 3.3 Option Volatility Situation - For corn options, the option weighted implied volatility was 11.67%, an increase of 1.73 percentage points with a change rate of 17.43%. The 30 - day historical volatility was 7.70%, and the 30 - day volatility quantile was 0.04 [18]. - For soybean meal options, the option weighted implied volatility was 22.12%, an increase of 4.83 percentage points with a change rate of 27.91%. The 30 - day historical volatility was 10.81%, and the 30 - day volatility quantile was 0.00 [18].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The energy and chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [9]. - For each sub - sector, specific options strategies and suggestions are provided based on fundamental and market analysis of different underlying assets [9]. - The overall strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [3]. 3. Summary by Related Catalogs 3.1 Underlying Futures Market Overview - Various energy and chemical option underlying futures are presented, including details such as the latest price, change, change rate, trading volume, and open interest. For example, crude oil (SC2508) has a latest price of 532, a change of 18, and a change rate of 3.50% [4]. 3.2 Option Factors - Volume and Open Interest PCR - PCR indicators (volume PCR and open - interest PCR) are analyzed for different option varieties. These indicators are used to describe the strength of the option underlying market and potential turning points. For instance, the open - interest PCR of crude oil is 1.61 with a change of 0.39 [5]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels for different option underlying assets are determined from the strike prices of the maximum open interest of call and put options. For example, the pressure level of crude oil is 560 and the support level is 450 [6]. 3.4 Option Factors - Implied Volatility - Implied volatility data (including at - the - money implied volatility, weighted implied volatility, etc.) are provided for each option variety. For example, the at - the - money implied volatility of crude oil is 41.58% [7]. 3.5 Strategy and Suggestions - **Crude Oil Options** - Fundamental analysis shows that US employment data is weak and geopolitical conflicts have increased the geopolitical premium of oil prices. The market has a short - term bullish upward trend. - Option factors indicate high implied volatility, strong long - term bullish power, with a pressure level of 560 and a support level of 450. - Strategies include constructing a bullish call spread for directional gains, a neutral short call + put option combination for time - value gains, and a long collar strategy for spot hedging [8]. - **Liquefied Petroleum Gas (LPG) Options** - Fundamental factors such as rising crude oil prices and increased summer oil consumption have affected the LPG market. The market shows an oversold rebound. - Option factors suggest that implied volatility fluctuates around the historical average, and the short - term bearish power is weakening, with a pressure level of 5200 and a support level of 4000. - Strategies include a neutral short call + put option combination and a long collar strategy for spot hedging [10]. - **Methanol Options** - Port inventory has increased, and the market shows a weak bearish oversold rebound. - Option factors indicate that implied volatility fluctuates around the historical average, and the bearish power above is weakening, with a pressure level of 2500 and a support level of 1975. - Strategies include a bullish call spread, a short call + put option combination with a long - biased delta, and a long collar strategy for spot hedging [10]. - **Ethylene Glycol Options** - Port inventory is expected to increase, and the market shows a short - term bullish rise followed by a decline. - Option factors suggest high implied volatility, a range - bound and relatively strong market, with a pressure level of 4500 and a support level of 4300. - Strategies include a short - volatility strategy and a long collar strategy for spot hedging [11]. - **Polyolefin Options (Polypropylene, etc.)** - Polypropylene downstream开工率 is low, and inventory levels vary. The market shows a rebound in a bearish trend. - Option factors indicate that implied volatility is above the historical average, and the open - interest PCR is below 1.00, with a pressure level of 7500 and a support level of 6800. - Strategies include a long collar strategy for spot hedging [11]. - **Rubber Options** - Overseas production is not at a high level, and tire inventory is high. The market shows a bearish downward rebound. - Option factors suggest that implied volatility fluctuates around the average, and the open - interest PCR is below 0.60, with a pressure level of 21000 and a support level of 13000. - Strategies include a bearish put spread, a short call + put option combination with a short - biased delta [12]. - **Polyester Options (PTA, etc.)** - PTA inventory shows a short - term slowdown in destocking. The market shows a high - level shock and decline. - Option factors indicate high implied volatility, a strengthening market, with a pressure level of 5000 and a support level of 3800. - Strategies include a neutral short call + put option combination [13]. - **Caustic Soda Options** - Production has decreased, and inventory has increased. The market shows a bearish downward trend. - Option factors suggest that implied volatility is below the average, and the open - interest PCR is below 0.60, with a pressure level of 2520 and a support level of 2080. - Strategies include a bearish put spread, a short wide - straddle option combination, and a covered spot hedging strategy [14]. - **Soda Ash Options** - The spot market is weak, and the market shows a bearish low - level consolidation. - Option factors indicate that implied volatility is below the historical average, and the open - interest PCR is below 0.50, with a pressure level of 1300 and a support level of 1100. - Strategies include a bearish put spread, a short call + put option combination with a short - biased delta, and a long collar strategy for spot hedging [14]. - **Urea Options** - Inventory has increased, and prices have declined. The market shows an inverted "V" shape. - Option factors suggest that implied volatility is below the average, and the open - interest PCR is above 1.00, with a pressure level of 1900 and a support level of 1700. - Strategies include a bearish put spread, a short call + put option combination with a short - biased delta, and a long collar strategy for spot hedging [15].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The energy and chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [8]. - Strategies suggest constructing option - combination strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Various energy and chemical futures showed different price movements, volume changes, and open - interest changes. For example, crude oil (SC2508) had a latest price of 476, a rise of 1, and a volume of 2.69 million lots with a decrease of 0.52 million lots compared to the previous period [3]. 3.2 Option Factors - Volume and Open - Interest PCR - PCR indicators were used to describe the strength of the option underlying market and the turning points. For instance, the open - interest PCR of crude oil was 1.20, indicating an increase in the long - side strength [4]. 3.3 Option Factors - Pressure and Support Levels - Pressure and support levels were determined from the strike prices of the maximum open - interest of call and put options. For example, the pressure level of crude oil was 570 and the support level was 400 [5]. 3.4 Option Factors - Implied Volatility - Implied volatility was calculated using different methods. For example, the weighted implied volatility of crude oil was 28.09% with a decrease of 1.08% [6]. 3.5 Strategy and Recommendations for Each Option Type - **Energy - related Options (Crude Oil)**: Based on fundamental and technical analysis, strategies included constructing a short - neutral call + put option combination strategy and a long - collar strategy for spot hedging [7]. - **LPG Options**: With a weak - bearish market, strategies involved constructing a short - bearish call + put option combination strategy and a long - collar strategy for spot hedging [9]. - **Alcohol - related Options (Methanol and Ethylene Glycol)**: Strategies included constructing short - neutral or short - volatility option combination strategies and long - collar strategies for spot hedging [9][10]. - **Polyolefin - related Options (Polypropylene, etc.)**: Strategies included constructing a bear - spread strategy for put options and long - collar strategies for spot hedging [10]. - **Rubber Options**: Strategies included constructing a bear - spread strategy for put options and a short - bearish call + put option combination strategy [11]. - **Polyester - related Options (PTA, etc.)**: Strategies included constructing a short - neutral call + put option combination strategy [12]. - **Alkali - related Options (Caustic Soda and Soda Ash)**: Strategies included constructing bear - spread strategies for put options, short - bearish option combination strategies, and long - collar or covered - call strategies for spot hedging [13]. - **Urea Options**: Strategies included constructing a bear - spread strategy for put options, a short - bearish call + put option combination strategy, and a long - collar strategy for spot hedging [14].

金融期权 2025/06/11 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、中小盘股和创业板震荡回落，科创板股跌幅较大，跌幅约2%。 （2）金融期权波动性分析：金融期权隐含波动率历史较低水平水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建备兑策略和偏中性的双卖策略，垂直价差组合策略；对于 股指期权来说，适合构建偏中性的双卖策略和期权合成期货多头或空头与期货空头或多头做套利策略。 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 2025/06/10 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、大盘蓝筹股高位盘整震荡，中小盘股和创业板股表现为震荡回暖。 （2）金融期权波动性分析：金融期权隐含波动率历史较低水平水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建备兑策略和偏中性的双卖策略，垂直价差组合策略；对于 股指期权来说，适合构建偏中性的双卖策略和期权合成期货多头或空头与期货空头或多头做套利策略。 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 2025-06-06 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： | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (亿元) | （亿元） | | | 上证指数 | 000001.SH | 3,384.10 | 7.90 | 0.23 | 4,982 | 514 | 14.64 | | 深证成指 | 399001.SZ | 10,203.50 | 58.92 | 0.58 | 7,922 | 860 | 25.20 | | 上证50 | 000016.SH | 2,692.13 | ...

1. Report Industry Investment Rating No relevant content found. 2. Core Viewpoints of the Report - The agricultural product sector is mainly divided into beans, oils, agricultural by - products, soft commodities, grains, and others [8]. - Each sector selects some varieties for option strategy suggestions, and each option variety prepares an option strategy report according to the analysis of the underlying market, option factor research, and option strategy suggestions [8]. - The overall market trends are: oil and oil - bearing agricultural products are in a range - bound consolidation, oils and beans are in a weak market, agricultural by - products maintain a volatile market, soft commodity sugar continues to be weak, cotton is in a high - level consolidation pattern after a rebound, and grains such as corn and starch gradually recover and then consolidate in a narrow range. Strategies suggest constructing option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various option underlying futures contracts are presented, including beans (such as soybean No.1, soybean No.2, soybean meal), oils (such as palm oil, soybean oil, rapeseed oil), agricultural by - products (such as eggs, live pigs, peanuts), soft commodities (such as sugar, cotton), grains (such as corn, starch), and logs [3]. 3.2 Option Factor - Volume and Open Interest PCR - The volume PCR, volume PCR changes, open interest PCR, and open interest PCR changes of various option varieties are provided, which can be used to analyze the strength of the option underlying market and whether the underlying market has a turning point [4]. 3.3 Option Factor - Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support levels of the option underlying are analyzed, including the pressure points, pressure point offsets, support points, support point offsets, the largest open interest of calls, and the largest open interest of puts for each option variety [5]. 3.4 Option Factor - Implied Volatility - The at - the - money implied volatility, weighted implied volatility, weighted implied volatility changes, annual average, call implied volatility, put implied volatility, 20 - day historical volatility, and the difference between implied and historical volatility of various option varieties are presented [6]. 3.5 Option Strategies and Suggestions 3.5.1 Oil and Oil - Bearing Options - **Soybean No.1 and No.2**: The US soybean futures prices are mainly in a downward trend due to factors such as trade disputes, normal spring sowing weather, weak export demand, and weak US soybean oil. The soybean No.1 has a high - level consolidation pattern. Option strategies include constructing a neutral call + put option combination strategy for volatility, and a long collar strategy for spot long - position hedging [7]. - **Soybean Meal and Rapeseed Meal**: The average daily trading volume of soybean meal has decreased. The soybean meal has a rebound and consolidation pattern after a decline. Option strategies include constructing a neutral call + put option combination strategy for volatility, and a long collar strategy for spot long - position hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The trading volume of oils is weak, and the inventory is relatively sufficient. Palm oil is in a range - bound consolidation. Option strategies include constructing a neutral call + put option combination strategy for volatility, and a long collar strategy for spot long - position hedging [10]. - **Peanuts**: The supply is relatively loose, and the demand is weak. Peanuts are in a rebound pattern after a decline. Option strategies include constructing a bull - spread combination strategy for direction, and a long collar strategy for spot long - position hedging [11]. 3.5.2 Agricultural By - Product Options - **Live Pigs**: The domestic market shows a situation of increasing supply and weak demand. Live pigs are in a wide - range consolidation pattern. Option strategies include constructing a neutral call + put option combination strategy for volatility, and a covered call strategy for spot long - position hedging [11]. - **Eggs**: The supply is sufficient, and the demand is lackluster. Eggs are in a weak downward pattern. Option strategies include constructing a bear - spread combination strategy for direction, and a short - biased call + put option combination strategy for volatility [12]. - **Apples**: The de - stocking speed has slowed down. Apples are in a weak downward pattern. Option strategies include constructing a bear - spread combination strategy for direction, and a short - biased call + put option combination strategy for volatility [12]. - **Red Dates**: Red dates are in a traditional off - season, and the price is at a historical low. They are in a weak downward pattern. Option strategies include constructing a bear - spread combination strategy for direction, a short - strangle option combination strategy for volatility, and a covered call strategy for spot long - position hedging [13]. 3.5.3 Soft Commodity Options - **Sugar**: The Brazilian sugar export situation has changed, and sugar is in a weak downward pattern. Option strategies include constructing a short - biased call + put option combination strategy for volatility, and a long collar strategy for spot long - position hedging [13]. - **Cotton**: The Brazilian cotton export volume has decreased. Cotton is in a pattern of rebound and then decline. Option strategies include constructing a neutral call + put option combination strategy for volatility, and a covered call strategy for spot long - position hedging [14]. 3.5.4 Grain Options - **Corn and Starch**: Corn is affected by factors such as traders' inventory holding and wheat harvest. It is in a pattern of wide - range consolidation and then decline. Option strategies include constructing a neutral call + put option combination strategy for volatility [14].

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The stock market shows a consolidation and oscillation pattern after a rise and fall, with the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks all following this trend [2]. - The implied volatility of financial options fluctuates at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double - selling strategies, and vertical spread combination strategies; for stock index options, it is suitable to construct neutral double - selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,361.98, up 0.43% with a trading volume of 468.3 billion yuan and an increase of 24.9 billion yuan in trading volume [3]. - The Shenzhen Component Index closed at 10,057.17, up 0.16% with a trading volume of 673.1 billion yuan and a decrease of 22.7 billion yuan in trading volume [3]. - The Shanghai 50 Index closed at 2,687.30, up 0.32% with a trading volume of 59.1 billion yuan and an increase of 1.4 billion yuan in trading volume [3]. - The CSI 300 Index closed at 3,852.01, up 0.31% with a trading volume of 226.8 billion yuan and an increase of 27.4 billion yuan in trading volume [3]. - The CSI 500 Index closed at 5,694.84, up 0.42% with a trading volume of 160 billion yuan and an increase of 22.3 billion yuan in trading volume [3]. - The CSI 1000 Index closed at 6,070.04, up 0.72% with a trading volume of 234.3 billion yuan and an increase of 6.3 billion yuan in trading volume [3]. 3.2 Option - related Data 3.2.1 Option - related ETF Market Overview - The Shanghai 50 ETF closed at 2.748, down 0.04% with a trading volume of 5.0126 million shares and a decrease of 1.05 billion yuan in trading volume [4]. - The Shanghai 300 ETF closed at 3.957, down 0.05% with a trading volume of 5.9679 million shares and a decrease of 549 million yuan in trading volume [4]. - The Shanghai 500 ETF closed at 5.703, up 0.16% with a trading volume of 1.3751 million shares and a decrease of 1.12 billion yuan in trading volume [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.034, up 0.39% with a trading volume of 15.149 million shares and a decrease of 201 million yuan in trading volume [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.008, up 0.30% with a trading volume of 3.488 million shares and a decrease of 32 million yuan in trading volume [4]. - The Shenzhen 300 ETF closed at 3.989, up 0.05% with a trading volume of 701,900 shares and a decrease of 325 million yuan in trading volume [4]. - The Shenzhen 500 ETF closed at 2.278, up 0.26% with a trading volume of 631,000 shares and a decrease of 110 million yuan in trading volume [4]. - The Shenzhen 100 ETF closed at 2.644, down 0.11% with a trading volume of 121,200 shares and a decrease of 61 million yuan in trading volume [4]. - The ChiNext ETF closed at 1.977, up 0.25% with a trading volume of 5.7588 million shares and a decrease of 164 million yuan in trading volume [4]. 3.2.2 Option Factor - Volume and Position PCR - The PCR indicators of various options are presented, including changes in trading volume, position, volume PCR, and position PCR, which are used to describe the strength of the option underlying market and the turning point of the underlying market [5][6]. 3.2.3 Option Factor - Pressure and Support Points - The pressure and support points of various options are analyzed from the perspective of the strike prices with the largest open interest of call and put options [7][8]. 3.2.4 Option Factor - Implied Volatility - The implied volatility data of various options are provided, including at - the - money implied volatility, weighted implied volatility, and its changes, as well as the difference between implied and historical volatility [9][10]. 3.3 Strategy and Recommendations - The financial options sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and the ChiNext board [11]. - For the financial stock sector (Shanghai 50 ETF, Shanghai 50): Directional strategy is to construct a bullish call spread combination; volatility strategy is to construct a neutral selling strategy; and a covered call strategy is also recommended [12]. - For the large - cap blue - chip stock sector (Shanghai 300 ETF, Shenzhen 300 ETF, CSI 300): Directional strategy is not recommended; volatility strategy is to construct a short - volatility selling call + put option combination; and a covered call strategy is recommended [12]. - For the large - medium - sized stock sector (Shenzhen 100 ETF): Directional strategy is not recommended; volatility strategy is to construct a short - volatility selling call + put option combination; and a covered call strategy is recommended [13]. - For the small - medium - sized stock sector (Shanghai 500 ETF, Shenzhen 500 ETF, CSI 1000): Directional strategy is not recommended; volatility strategy is to construct a short - biased selling call + put option combination; and a covered call strategy is recommended [13][14]. - For the ChiNext board (ChiNext ETF, Huaxia Science and Technology Innovation 50 ETF, E Fund Science and Technology Innovation 50 ETF): Directional strategy is not recommended; volatility strategy is to construct a short - biased selling call + put option combination; and a covered call strategy is recommended [14].