Core Insights - The article discusses the strategy of buying in-the-money call options to capitalize on market mispricing in a deeply discounted futures market [1][5] - It highlights the characteristics of in-the-money options and their pricing dynamics, particularly in a market where option prices are below their intrinsic values [1][5] Pricing Characteristics - Discount refers to the state where futures prices are lower than spot prices, specifically in options, it indicates that option prices are below their intrinsic values [1] - For example, if the current index level is 6000 and the strike price of an in-the-money call option is 5500, the intrinsic value is 500 points, while the market price is only 484.8 points, indicating a pricing discrepancy of 15.2 points [1] Profit Pathway - As the option's expiration date approaches, the option price converges towards its intrinsic value, allowing investors to gain from the difference between intrinsic value and purchase cost if the discount is not fully corrected [2] - In-the-money call options have limited loss characteristics, where investors only lose the premium paid if the underlying asset declines significantly, unlike futures which can incur unlimited losses [2] - The Delta of deeply in-the-money call options is close to 1, meaning their price movements closely follow the underlying asset, providing dual profit opportunities from both price appreciation and discount correction [2] Risk and Trading Considerations - Time decay (Theta risk) can still affect in-the-money options, necessitating strict control over holding periods [3] - Liquidity risk may arise with certain deep in-the-money options due to low trading volumes, leading to wider bid-ask spreads or difficulties in closing positions [3] - Market sentiment can quickly shift, requiring timely profit-taking or adjustments in holding strategies based on market conditions [3] Case Study Analysis - A specific example involves buying a 5500 strike in-the-money call option with a market price of 484.8 points, where the intrinsic value is 544.2 points, indicating a discount of 59.4 points [4] - If the index remains at 6000 at expiration, the option value converges to 500 points, yielding a profit of 15.2 points; if the index rises to 6200, the profit increases to 200 points [4] - A hedging strategy can involve selling higher strike call options to reduce premium costs and lock in some profits [4] Conclusion - The strategy of buying in-the-money call options to "eat the discount" leverages market pricing discrepancies and convergence characteristics, offering controlled risk and significant leverage [5]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - Today, all stock indices fluctuated within a narrow range. Although the uncertainty of overseas tariffs has increased, its marginal impact is gradually weakening. Domestic macro - economic indicators have weakened marginally, leading to an increased expectation of policy - side benefits in the market. With the rising expectation of policy benefits, the market sentiment is positive and optimistic, and the short - term downside risk of stock indices is small. However, overseas uncertainties and weak domestic demand suppress the upward momentum of stock indices from the aspects of risk preference and profit expectation respectively, making it easy for the upward movement of stock indices to encounter resistance. The policy guidance of the Lujiazui Forum on June 18 and its game with market expectations can be regarded as a turning point in the market. In general, the upward and downward spaces of current stock indices are both limited, and it is expected that stock indices will maintain a range - bound oscillation in the short term. [4] - Currently, the implied volatility of options is at a relatively low historical quantile level. Considering the strong support of stock indices, bull spread or ratio spread long positions can be arranged. [4] 3. Summary by Related Catalogs 3.1 Option Indicators - On June 6, 2025, 50ETF rose 0.07% to close at 2.756; 300ETF (SSE) rose 0.05% to close at 3.986; 300ETF (SZSE) rose 0.07% to close at 4.021; the CSI 300 Index fell 0.09% to close at 3873.98; the CSI 1000 Index fell 0.23% to close at 6152.84; 500ETF (SSE) rose 0.02% to close at 5.785; 500ETF (SZSE) fell 0.04% to close at 2.309; the ChiNext ETF fell 0.30% to close at 2.017; the Shenzhen 100ETF fell 0.11% to close at 2.673; the SSE 50 Index fell 0.12% to close at 2688.85; the STAR 50ETF fell 0.38% to close at 1.05; the E Fund STAR 50ETF fell 0.39% to close at 1.02. [6] - The trading volume PCR and position PCR of various options on June 6, 2025, and their comparison with the previous trading day are provided in detail, such as the trading volume PCR of SSE 50ETF options being 84.80 (previous trading day: 83.04), and the position PCR being 94.15 (previous trading day: 94.86). [7] - The implied volatility of at - the - money options in June 2025 and the 30 - trading - day historical volatility of the underlying assets for various options are presented, for example, the implied volatility of at - the - money SSE 50ETF options in June 2025 is 12.32%, and the 30 - trading - day historical volatility of the underlying asset is 8.37%. [8] 3.2 Related Charts - **SSE 50ETF Options**: Include charts of SSE 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [10][11][12] - **SSE 300ETF Options**: Comprise charts of SSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [20][21] - **SZSE 300ETF Options**: Contain charts of SZSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [23][24] - **CSI 300 Index Options**: Include charts of CSI 300 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [36][37] - **CSI 1000 Index Options**: Comprise charts of CSI 1000 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [49][50] - **SSE 500ETF Options**: Contain charts of SSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [62][63] - **SZSE 500ETF Options**: Include charts of SZSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [74][75] - **ChiNext ETF Options**: Comprise charts of ChiNext ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [86][87] - **Shenzhen 100ETF Options**: Contain charts of Shenzhen 100ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [99][100] - **SSE 50 Index Options**: Include charts of SSE 50 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [112][113] - **STAR 50ETF Options**: Comprise charts of STAR 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [124][125] - **E Fund STAR 50ETF Options**: Contain charts of E Fund STAR 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [129][130]

Group 1: Report Industry Investment Rating - None provided in the content Group 2: Core Viewpoints of the Report - Today, all stock indexes rose rapidly in the early morning, but their subsequent trends diverged. CSI 1000 and CSI 500 remained stable at high levels, while SSE 50 and SSE 300 fell from their highs and gave back some gains. The total turnover of the stock market was 121.34 billion yuan, an increase of 17.95 billion yuan from the previous day, indicating a recovery in market sentiment [3]. - The US International Trade Court blocked the tariff policy announced by US President Trump on April 2, and ruled that Trump overstepped his authority. The legal challenges faced by the US government's tariff policy eased tariff concerns and boosted the risk appetite of the stock market. However, the tariff issue still faces significant uncertainties in the later stage, and the final ruling may require the intervention of the US Supreme Court. Therefore, the impact of this news on market sentiment is short - term [3]. - Currently, the upside and downside spaces of stock indexes are relatively limited. The policy support and the need to stabilize stock market expectations have a strong supporting effect, while external uncertainties and weak domestic demand suppress the upward momentum of stock indexes from the aspects of risk appetite and profit expectations respectively. It is expected that stock indexes will maintain a range - bound oscillation in the short term [3]. - The implied volatility of options is currently within the normal range, and the implied volatility of options has rebounded recently. Considering the long - term upward trend of stock indexes, bull spreads or ratio spreads long portfolios can be arranged [3]. Group 3: Summary by Related Catalogs 1. Option Indicators - On May 29, 2025, 50ETF rose 0.25% to close at 2.754; 300ETF (SSE) rose 0.61% to close at 3.966; 300ETF (SZSE) rose 0.58% to close at 3.999; SSE 300 Index rose 0.59% to close at 3858.70; CSI 1000 Index rose 1.76% to close at 6089.58; 500ETF (SSE) rose 1.42% to close at 5.727; 500ETF (SZSE) rose 1.46% to close at 2.289; ChiNext ETF rose 1.53% to close at 1.989; Shenzhen 100ETF rose 0.95% to close at 2.667; SSE 50 Index rose 0.29% to close at 2690.89; STAR 50ETF rose 1.66% to close at 1.04; E Fund STAR 50ETF rose 1.60% to close at 1.01 [5]. - The trading volume PCR and position PCR of various options on May 29, 2025 and the previous trading day are provided, showing the changes in trading volume and position ratios of different options [6]. - The implied volatility of at - the - money options in June 2025 and the 30 - day historical volatility of the underlying assets for various options are presented, reflecting the volatility characteristics of different options [7][8] 2. Related Charts - Multiple charts are provided for different types of options, including the trends, volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different terms of SSE 50ETF options, SSE 300ETF options, SZSE 300ETF options, SSE 300 Index options, CSI 1000 Index options, SSE 500ETF options, SZSE 500ETF options, ChiNext ETF options, Shenzhen 100ETF options, SSE 50 Index options, STAR 50ETF options, and E Fund STAR 50ETF options [9][20][23]