Report Summary 1. Report's Investment Rating for the Industry No investment rating for the industry is 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 experiencing this pattern [3]. - The implied volatility of financial options has dropped to a level below the historical average [3]. - For ETF options, it is suitable to construct a partial long - side seller strategy and a bull spread combination strategy of call options; for index options, in addition to the above two strategies, an arbitrage strategy of long synthetic futures and short futures can be constructed [3]. 3. Summary of Key Points by Category 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,867.92, down 0.55% with a trading volume of 764.6 billion yuan, a decrease of 145.3 billion yuan [4]. - The Shenzhen Component Index closed at 13,112.09, down 1.10% with a trading volume of 1,008.8 billion yuan, a decrease of 173.4 billion yuan [4]. - Other important indices such as the SSE 50, CSI 300, CSI 500, and CSI 1000 also showed varying degrees of decline [4]. 3.2 Option - related Data 3.2.1 Option - based ETF Market Overview - The closing prices of various ETFs, including the SSE 50ETF, SSE 300ETF, etc., showed different degrees of decline, and their trading volumes and trading amounts also changed [5]. 3.2.2 Option Factor - Volume and Position PCR - The volume and position PCR of different option varieties showed different trends, which can reflect the strength of the option underlying market and the turning point of the market [6]. 3.2.3 Option Factor - Pressure and Support Points - The pressure and support points of different option varieties are analyzed from the perspective of the strike prices with the largest open interest of call and put options [8]. 3.2.4 Option Factor - Implied Volatility - The implied volatility of different option varieties is analyzed, including at - the - money implied volatility, weighted implied volatility, etc., and the differences between implied and historical volatilities are compared [11]. 3.3 Strategy and Recommendations 3.3.1 Sector Classification - The financial option sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and the ChiNext board, with specific option varieties corresponding to each sector [13]. 3.3.2 Option Strategies for Each Sector - For each sector, based on the analysis of the underlying market, option factor research, and option strategies are proposed, including directional strategies, volatility strategies, and spot long - side covered call strategies [14][15][16]. 3.4 Option Charts - Charts of various option varieties, such as the SSE 50ETF option, SSE 300ETF option, etc., including price trends, volume and position distributions, and implied volatility trends, are provided to visually present the market conditions [17][31][45][63][79][98].

2025-12-15 ⚫ 综述 上周市场整体呈现先跌后涨的震荡走势，大多数指数略微收 涨，其中创业板指数领涨，周度涨幅达 2.74%。板块方面，通信和 国防军工等行业板块表现突出，周度涨幅分别为 6.27%和 2.80%； 煤炭和石油石化等板块走势偏弱，周度跌幅分别约为 3.64%和 3.52%。上周市场的焦点集中在国内重要会议与美联储的表态上。 近期召开的政治局会议和经济工作会议均强调明年经济工作要坚 持"稳中求进，提质增效"。宏观政策基调整体偏积极，更注重经 济结构平衡与产业升级。美联储在议息会议上表示将通过扩大资 产负债表来维稳美元流动性，此举在一定程度上抑制了美元走势。 总体来看，美元走弱支撑股指震荡偏强，但市场若要开启趋势性 上涨，仍有待国内经济政策的进一步细化与落地。预计短期国内 市场或延续震荡偏强格局，继续继续关注美元流动性变化以及国 内政策的具体落地。 ⚫ 期权市场 上周期权市场中，各品种金融期权隐波（IV）继续下降，均处 于年内较低水平。其中科创 50 期权隐波降幅最深，达 8.66%。当 前科创 50 期权（IV=23%）和创业板指期权（IV=23%）隐波已回落 至近一年中位数以下。 50 ...

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - 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 experiencing high - level fluctuations [2]. - The implied volatility of financial options has decreased but remains at a relatively high level [2]. - For ETF options, it is suitable to construct a partial long - side seller strategy and a bull spread strategy for call options. For index options, in addition to the above strategies, an arbitrage strategy between synthetic long futures with options and short futures can be considered [2]. 3. Summary by Related Catalogs Financial Market Index Overview - Key stock market indices such as the Shanghai Composite Index, Shenzhen Component Index, and others closed lower, with the Shanghai Composite Index closing at 3,873.32, down 0.70%, and the Shenzhen Component Index closing at 13,147.39, down 1.27% [3]. Option - related ETF Market Overview - ETFs such as the SSE 50 ETF, SSE 300 ETF, etc., also generally declined. For example, the SSE 50 ETF closed at 3.120, down 0.38% [4]. Option Factor - Volume and Open Interest PCR - The volume and open interest PCR of different option varieties showed different trends. For example, the volume PCR of the SSE 50 ETF option was 1.08, with a change of 0.23, and the open interest PCR was 0.93, with a change of - 0.05 [5]. Option Factor - Pressure and Support Points - From the perspective of the maximum open interest of call and put options, the pressure and support points of option underlying assets were analyzed. For example, the pressure point of the SSE 50 ETF was 3.20, and the support point was 3.10 [7]. Option Factor - Implied Volatility - The implied volatility of different option varieties also showed different characteristics. For example, the at - the - money implied volatility of the SSE 50 ETF option was 12.36%, and the weighted implied volatility was 13.01%, with a change of 0.49% [10]. Strategy and Recommendations - The financial option sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and ChiNext. Different strategies are recommended for each sector [12]. - For example, for the SSE 50 ETF in the financial stock sector, a partial neutral seller combination strategy can be constructed to obtain time - value income [13].

（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，适合构建偏多头的卖方策略，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 金融期权 2025-12-09 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 | | --- | --- | --- | --- | --- | --- | --- | --- | | ...

金融期权 2025-12-04 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，适合构建偏多头的卖方策略，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 relevant content provided. 2. Core Viewpoints - 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 decreased but remains at a relatively high level of fluctuation [3]. - For ETF options, it is suitable to construct a bullish - biased seller strategy and a call option bull spread combination strategy; for index options, it is suitable to construct a bullish - biased seller strategy, a call option bull spread combination strategy, and an arbitrage strategy of long synthetic futures options and short futures [3]. 3. Summary by Directory 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,864.18, down 5.84 points or 0.15%, with a trading volume of 701 billion yuan, a decrease of 21.8 billion yuan [4]. - The Shenzhen Component Index closed at 12,907.83, up 130.52 points or 1.02%, with a trading volume of 1082.3 billion yuan, a decrease of 7 billion yuan [4]. - The Shanghai 50 Index closed at 2,971.80, up 3.60 points or 0.12%, with a trading volume of 97.3 billion yuan, a decrease of 800 million yuan [4]. - The CSI 300 Index closed at 4,517.63, up 27.22 points or 0.61%, with a trading volume of 427.4 billion yuan, an increase of 15.8 billion yuan [4]. - The CSI 500 Index closed at 6,965.05, up 10.44 points or 0.15%, with a trading volume of 274.9 billion yuan, a decrease of 14.3 billion yuan [4]. - The CSI 1000 Index closed at 7,248.45, down 1.50 points or 0.02%, with a trading volume of 377 billion yuan, a decrease of 27.2 billion yuan [4]. 3.2 Option - underlying ETF Market Overview - Multiple ETFs are involved, such as the Shanghai 50 ETF, which closed at 3.114, up 0.004 or 0.13%, with a trading volume of 4.6559 million shares, an increase of 4.5989 million shares, and a trading value of 1.456 billion yuan, a decrease of 316 million yuan [5]. 3.3 Option Factor - Volume and Position PCR - Different option varieties have different volume and position PCR data. For example, the Shanghai 50 ETF option has a trading volume of 69.21 million contracts, a decrease of 23.59 million contracts, a position of 147.66 million contracts, an increase of 0.30 million contracts, a trading volume PCR of 0.90, an increase of 0.02, and a position PCR of 0.82, an increase of 0.03 [6]. 3.4 Option Factor - Pressure and Support Points - For each option variety, the pressure and support points are analyzed. For instance, the Shanghai 50 ETF has a pressure point of 3.20 and a support point of 3.10 [8]. 3.5 Option Factor - Implied Volatility - Different option varieties have different implied volatility data. For example, the Shanghai 50 ETF option has a flat - value implied volatility of 15.82%, a weighted implied volatility of 13.46%, a decrease of 0.60%, an annual average of 16.07%, a call implied volatility of 13.38%, and a put implied volatility of 13.56% [11]. 3.6 Strategy and Suggestions - The financial option sector is divided into large - cap blue - chip stocks, small - and medium - sized boards, and the ChiNext board. Different sectors and varieties have corresponding option strategies [13]. - For example, for the Shanghai 50 ETF in the financial stock sector, the directional strategy is none, and the volatility strategy is to construct a seller - neutral combination strategy to obtain time - value income [14].

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, with the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks all experiencing such a market condition [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 long - biased buyer strategy and a bullish spread strategy for call options; for index options, it is suitable to construct a long - biased seller strategy, a bullish spread strategy for call options, and an arbitrage strategy between the synthetic long futures of options and short futures [2] 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,870.02, up 33.26 points or 0.87%, with a trading volume of 722.8 billion yuan and an increase of 7.2 billion yuan [3] - The Shenzhen Component Index closed at 12,777.31, up 192.23 points or 1.53%, with a trading volume of 1089.4 billion yuan and an increase of 77.1 billion yuan [3] - The Shanghai 50 Index closed at 2,968.20, up 17.64 points or 0.60%, with a trading volume of 98 billion yuan and a decrease of 12.2 billion yuan [3] - The CSI 300 Index closed at 4,490.40, up 42.36 points or 0.95%, with a trading volume of 411.5 billion yuan and a decrease of 14.3 billion yuan [3] - The CSI 500 Index closed at 6,954.60, up 85.64 points or 1.25%, with a trading volume of 289.2 billion yuan and an increase of 19 billion yuan [3] - The CSI 1000 Index closed at 7,249.95, up 93.54 points or 1.31%, with a trading volume of 404.2 billion yuan and an increase of 35.2 billion yuan [3] 3.2 Option - Based ETF Market Overview - The Shanghai 50 ETF closed at 3.110, up 0.016 or 0.52%, with a trading volume of 5.7006 million shares and a decrease of 1.43 billion yuan in trading value [4] - The Shanghai 300 ETF closed at 4.597, up 0.040 or 0.88%, with a trading volume of 8.9594 million shares and a decrease of 11.49 billion yuan in trading value [4] - The Shanghai 500 ETF closed at 7.054, up 0.084 or 1.21%, with a trading volume of 6.0436 million shares and an increase of 13.86 billion yuan in trading value [4] 3.3 Option Factors - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume PCR is 0.88 (down 0.14), and the position PCR is 0.78 (up 0.02) [5] - For the Shanghai 300 ETF option, the trading volume PCR is 1.15 (up 0.06), and the position PCR is 0.84 (up 0.02) [5] - For the Shanghai 500 ETF option, the trading volume PCR is 1.21 (up 0.04), and the position PCR is 1.01 (up 0.04) [5] 3.4 Option Factors - Pressure and Support Points - The pressure point of the Shanghai 50 ETF is 3.20, and the support point is 3.10 [7] - The pressure point of the Shanghai 300 ETF is 4.80, and the support point is 4.60 [7] - The pressure point of the Shanghai 500 ETF is 7.25, and the support point is 7.00 [7] 3.5 Option Factors - Implied Volatility - The at - the - money implied volatility of the Shanghai 50 ETF option is 12.10%, and the weighted implied volatility is 14.06% (down 2.30%) [10] - The at - the - money implied volatility of the Shanghai 300 ETF option is 14.83%, and the weighted implied volatility is 15.60% (down 1.82%) [10] - The at - the - money implied volatility of the Shanghai 500 ETF option is 19.04%, and the weighted implied volatility is 20.33% (down 0.53%) [10] 3.6 Strategy and Recommendations - The financial options sector is divided into large - cap blue - chip stocks, small - and medium - sized boards, and the ChiNext board. Each board selects some varieties for option strategy recommendations [12] - For the Shanghai 50 ETF, construct a seller - neutral combination strategy for volatility, and a long - spot plus short - call option strategy for the underlying asset [13] - For the Shanghai 300 ETF, construct a short - volatility strategy by selling call and put options, and a long - spot plus short - call option strategy for the underlying asset [13]

（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 | | --- | --- | --- | --- | --- | --- | --- | --- | | ...