1. Report Industry Investment Rating No information regarding the report industry investment rating is provided in the content. 2. Report's Core View The report focuses on the optimization of short strategies for China commodity options, analyzing the performance of different option - selling strategies, exploring directional and timing optimizations, and examining the impact of volatility environments on these strategies. It aims to find better investment opportunities and improve the win - rate of option - selling strategies through various optimization methods [7][12][45]. 3. Summary by Relevant Catalogs 3.1 Backtesting of Short Strategies - **Performance of Short Put Options**: In different gold price scenarios (rally, decline, and range - bounded move), the short put option can earn normal returns in rallies and range - bounded moves but may experience significant drawdowns in declines. In the past year, long - term holding of short put options on gold has shown good results, but protection against sharp declines is needed [7]. - **Directional Optimization of Short Put Options**: By using moving - average (MA) for directional timing (opening positions when the short MA crosses above the long MA and closing otherwise), the strategy has achieved better results in the past year, with a 50% increase in annualized return compared to standalone puts and about a 2% reduction in drawdown [12]. - **Problems with Short Call Options**: In the first half of 2025, the continuous and sharp rise in gold prices led to significant drawdowns in short call option strategies. Backtesting results from 2020.1 - 2025.5 show an annualized return of - 11.87% and a maximum drawdown of - 67.62% [19]. - **Directional Timing Optimization of Short Call Options**: When the 10 - day moving average crosses above the 20 - day moving average, closing short option positions can effectively avoid large drawdowns, reducing drawdowns by about 70%. After hedging, the annualized return of AU improved from - 11.87% to - 0.81%, and the maximum drawdown decreased from - 67.62% to - 20.93% [24]. - **Impact of Volatility on Short Straddle Strategy**: The short straddle strategy can earn income in range - bounded markets but incurs losses in rallies and declines. It has good long - term returns but faces recent drawdowns due to higher volatility [31]. - **Timing Optimization of Short Straddle Strategy**: The short straddle strategy with price - movement timing optimization has an annualized return of 6.05%, a maximum drawdown of - 9.97%, a win - rate of 60.21%, and a trade frequency of 1051 times, which is better than the non - optimized short straddle strategy [36]. 3.2 Volatility Environment Analysis - **Implied Volatility of Commodity Options - Outlook**: The implied volatility of commodity options tends to spike rapidly and decline slowly. This is due to market asymmetry, where sellers suppress IV in range - bounded markets, and when events occur, IV surges due to increased hedging and speculative demand, and then gradually declines as the market stabilizes [45]. - **Implied Volatility of Commodity Options - Example of Copper**: The short straddle strategy for copper options can continuously obtain time value at the Theta end and has a better holding experience as IV downtrends usually last longer. However, it needs to avoid the "double - kill" of Vega and Gamma caused by short - term IV spikes. The report aims to improve the win - rate by filtering short - straddle environments through volatility statistical features [50]. - **Review of Short Straddle Environments in Commodity Options**: Using a 20 - day rolling window to group implied volatility into 10 levels, the weekly performance of short straddle strategies for most commodities shows a "U - shape", performing better at low or high volatility levels and weaker at mid - range volatility. The preferred put - selling ranges are the 20 - day low (below 0.2 percentile) or 20 - day high (above 0.8 percentile), and short - straddling in these ranges for selected 10 commodities can optimize win - rates and payoff ratios [63][68]. - **Example of Lithium Carbonate Options**: When the implied volatility of lithium carbonate options retreats from highs and the option market activity is weak, it is suitable to deploy short option strategies [73].

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The agricultural products options market shows diverse trends. Oilseeds and oils are in a strong - side oscillation, while other sectors like agricultural by - products, soft commodities, and grains present different market conditions. It is recommended to construct option portfolio strategies mainly based on sellers and spot hedging or covered strategies to enhance returns [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - Different agricultural product futures have various price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2509) is 4,113 with a decrease of 8 and a decline rate of 0.19%, and its trading volume is 6.52 million lots with a decrease of 4.61 million lots [3]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of different agricultural product options are different, which can be used to analyze the strength of the underlying market and the turning point of the market. For instance, the volume PCR of soybean No.1 option is 0.61 with a change of 0.02, and the open interest PCR is 0.40 with a change of 0.01 [4]. 3.3 Option Factors - Pressure and Support Levels - From the perspective of option factors, the pressure and support levels of different agricultural product options are identified. For example, the pressure level of soybean No.1 option is 4200 and the support level is 4050 [5]. 3.4 Option Factors - Implied Volatility - The implied volatility of different agricultural product options shows different characteristics. For example, the at - the - money implied volatility of soybean No.1 option is 8.89%, and the weighted implied volatility is 12.10% with a change of - 0.08% [6]. 3.5 Strategies and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The fundamental situation of soybeans is analyzed, including the US soybean good rate and Brazilian soybean premiums. The option strategy suggestions include constructing a neutral call + put option combination strategy for volatility and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: Based on the fundamentals such as daily提货量 and basis, the option strategy suggestions include constructing a neutral call + put option combination strategy for volatility and a long collar strategy for spot hedging [8][9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: Analyzing the fundamentals of oils, such as palm oil production and exports, the option strategy suggestions include constructing a long - biased call + put option combination strategy for volatility and a long collar strategy for spot hedging [10]. - **Peanuts**: Considering the peanut market fundamentals, the option strategy suggestions include constructing a bear spread strategy for directionality and a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - **Pigs**: Based on the fundamentals such as the average weight of pig slaughter and the cold storage rate, the option strategy suggestions include constructing a short - biased call + put option combination strategy for volatility and a covered call strategy for spot [11]. - **Eggs**: Analyzing the egg market fundamentals, the option strategy suggestions include constructing a bear spread strategy for directionality and a short - biased call + put option combination strategy for volatility [12]. - **Apples**: Considering the apple production forecast, the option strategy suggestions include constructing a neutral call + put option combination strategy for volatility [12]. - **Jujubes**: Based on the jujube inventory situation, the option strategy suggestions include constructing a short - biased strangle option combination strategy for volatility and a covered call strategy for spot hedging [13]. 3.5.3 Soft Commodity Options - **Sugar**: Analyzing the sugar market fundamentals, such as the number of vessels waiting to load sugar in Brazilian ports, the option strategy suggestions include constructing a neutral call + put option combination strategy for volatility and a long collar strategy for spot hedging [13]. - **Cotton**: Considering the cotton market fundamentals, such as the spinning mill and weaving mill operating rates, the option strategy suggestions include constructing a long - biased call + put option combination strategy for volatility and a covered call strategy for spot [14]. 3.5.4 Grain Options - **Corn and Starch**: Based on the corn market fundamentals, such as the new corn listing period and weather conditions, the option strategy suggestions include constructing a bear spread strategy for directionality and a short - biased call + put option combination strategy for volatility [14].

1. Report Industry Investment Rating - Not provided in the given 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, showed a high-level oscillating and declining market trend [3]. - The implied volatility of financial options gradually declined to a relatively low level around the mean [3]. - 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 futures with options and short or long futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,559.95, down 13.26 points (-0.37%), with a trading volume of 684.6 billion yuan, a decrease of 161.2 billion yuan [4]. - The Shenzhen Component Index closed at 10,991.32, down 18.45 points (-0.17%), with a trading volume of 913.7 billion yuan, a decrease of 176.4 billion yuan [4]. - The SSE 50 Index closed at 2,754.13, down 21.86 points (-0.79%), with a trading volume of 94.1 billion yuan, a decrease of 37.8 billion yuan [4]. - The CSI 300 Index closed at 4,054.93, down 20.66 points (-0.51%), with a trading volume of 359.7 billion yuan, a decrease of 132.5 billion yuan [4]. - The CSI 500 Index closed at 6,213.20, down 13.14 points (-0.21%), with a trading volume of 254.5 billion yuan, a decrease of 67.8 billion yuan [4]. - The CSI 1000 Index closed at 6,670.47, up 9.29 points (0.14%), with a trading volume of 349.1 billion yuan, a decrease of 52.8 billion yuan [4]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 2.876, down 0.023 (-0.79%), with a trading volume of 8.2351 million shares, an increase of 8.1405 million shares, and a trading value of 2.374 billion yuan, a decrease of 0.376 billion yuan [5]. - The SSE 300 ETF closed at 4.133, down 0.022 (-0.53%), with a trading volume of 6.1157 million shares, an increase of 6.0034 million shares, and a trading value of 2.531 billion yuan, a decrease of 2.157 billion yuan [5]. - The SSE 500 ETF closed at 6.287, down 0.010 (-0.16%), with a trading volume of 1.582 million shares, an increase of 1.5621 million shares, and a trading value of 0.995 billion yuan, a decrease of 0.263 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.091, down 0.010 (-0.91%), with a trading volume of 37.1572 million shares, an increase of 36.6287 million shares, and a trading value of 4.07 billion yuan, a decrease of 1.802 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.064, down 0.010 (-0.93%), with a trading volume of 8.8498 million shares, an increase of 8.7303 million shares, and a trading value of 0.946 billion yuan, a decrease of 0.351 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.263, down 0.021 (-0.49%), with a trading volume of 1.0369 million shares, an increase of 1.0169 million shares, and a trading value of 0.443 billion yuan, a decrease of 0.418 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.510, down 0.007 (-0.28%), with a trading volume of 0.5791 million shares, an increase of 0.562 million shares, and a trading value of 0.146 billion yuan, a decrease of 0.287 billion yuan [5]. - The Shenzhen 100 ETF closed at 2.877, down 0.007 (-0.24%), with a trading volume of 0.4771 million shares, an increase of 0.47 million shares, and a trading value of 0.137 billion yuan, a decrease of 0.069 billion yuan [5]. - The ChiNext ETF closed at 2.303, up 0.002 (0.09%), with a trading volume of 11.3713 million shares, an increase of 11.1732 million shares, and a trading value of 2.621 billion yuan, a decrease of 2.008 billion yuan [5]. 3.3 Option Factor - Volume and Position PCR - For different option varieties, the volume and position PCR values and their changes are provided, which can be used to analyze the market sentiment and potential turning points of the underlying assets [6][7]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points of different option underlying assets are analyzed based on the strike prices with the largest open interest of call and put options [8][10]. 3.5 Option Factor - Implied Volatility - The implied volatility of different option varieties, including at-the-money implied volatility and weighted implied volatility, is presented, along with their changes and comparisons with historical average values [11][12]. 3.6 Strategies and Recommendations - The financial option sector is divided into large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks. Different option strategies are recommended for each sector [13]. - For example, for the financial stock sector (SSE 50 ETF, SSE 50), it is recommended to construct a seller-neutral strategy and a covered call strategy; for the large-cap blue-chip stock sector (SSE 300 ETF, Shenzhen 300 ETF, CSI 300), a short-volatility strategy and a covered call strategy are suggested [14].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. Options strategies are provided for selected varieties in each sector, mainly focusing on constructing option combination strategies dominated by sellers and spot hedging or covered strategies to enhance returns [3][9]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, price change rates, trading volumes, volume changes, open interests, and open interest changes of various energy - chemical option underlying futures contracts, including crude oil, liquefied gas, methanol, etc. For example, the latest price of crude oil SC2509 is 533, with a price increase of 9 and a price change rate of 1.66% [4]. 3.2 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of various energy - chemical options are provided. For example, the open interest PCR of crude oil options is 0.75, indicating a weakening of short - selling power in the near term. Volume PCR and open interest PCR are used to describe the strength of the option underlying market and the turning point of the underlying market respectively [5]. 3.3 Option Factors - Pressure and Support Levels - The pressure and support levels of various energy - chemical option underlying assets are analyzed from the perspective of the strike prices with the largest open interests of call and put options. For example, the pressure level of crude oil is 640 and the support level is 500 [6]. 3.4 Option Factors - Implied Volatility - The implied volatility data of various energy - chemical options are presented, including at - the - money implied volatility, weighted implied volatility, and its changes, annual average implied volatility, call and put implied volatilities, historical 20 - day volatility, and the difference between implied and historical volatilities. For example, the at - the - money implied volatility of crude oil is 32.62% [7]. 3.5 Option Strategies and Recommendations 3.5.1 Energy - related Options - **Crude Oil**: The fundamental situation shows that the UAE port transfer increase implies Iran's return to global supply, while Russia's shipments are still tight. The short - term market is volatile and bullish. Option strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [8]. - **Liquefied Gas**: The supply is abundant, and the short - term market is bearish. Option strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [10]. 3.5.2 Alcohol - related Options - **Methanol**: The port and enterprise inventories are decreasing. The market shows a weak upward trend with pressure. Option strategies include constructing a neutral - biased call + put option combination strategy and a long collar strategy for spot hedging [10]. - **Ethylene Glycol**: The polyester load is rising. The market shows a narrow - range volatile and slightly strong trend with pressure. Option strategies include constructing a short - volatility strategy and a long collar strategy for spot hedging [11]. 3.5.3 Polyolefin - related Options - **Polypropylene**: The inventory situation is complex, and the market shows a weak trend with upward pressure. Option strategies include a long collar strategy for spot hedging [11][12]. 3.5.4 Rubber - related Options - **Rubber**: The social inventory is decreasing. The market shows a low - level consolidation trend. Option strategies include constructing a neutral - biased call + put option combination strategy [13]. 3.5.5 Polyester - related Options - **PTA**: The inventory is increasing. The market shows a slight upward trend with pressure. Option strategies include constructing a neutral - biased call + put option combination strategy [14]. 3.5.6 Alkali - related Options - **Caustic Soda**: The inventory is increasing. The market shows a volatile trend with pressure. Option strategies include a long collar strategy for spot hedging [15]. - **Soda Ash**: The inventory is at a high level and increasing. The market shows a significant decline trend with pressure. Option strategies include constructing a short - volatility combination strategy and a long collar strategy for spot hedging [15]. 3.5.7 Other Options - **Urea**: The enterprise inventory is decreasing but the slope is slowing. The market shows a volatile trend under short - selling pressure. Option strategies include constructing a neutral - biased call + put option combination strategy and a long collar strategy for spot hedging [16].

Report Summary 1. Investment Rating The report does not provide an investment rating for the agricultural products options industry. 2. Core Viewpoints - The agricultural products options market shows different trends across various sectors. Oilseeds and oils are in a relatively strong and volatile state, while other sectors such as by - products, soft commodities, and grains have their own specific trends like range - bound trading or short - term weakness [2]. - The recommended strategy is to construct option portfolio strategies mainly as sellers, along with spot hedging or covered strategies to enhance returns [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Overview - Various agricultural product futures show different price changes, trading volumes, and open interest changes. For example, the price of soybean No.1 (A2509) dropped by 0.63% to 4,126, with a trading volume of 11.89 million lots and a decrease of 1.99 million lots compared to the previous period, and an open interest of 12.87 million lots with a decrease of 0.47 million lots [3]. 3.2 Option Factors - **Volume and Open Interest PCR**: Different option varieties have different volume and open interest PCR values and their changes, which can be used to analyze the strength and turning points of the underlying asset market. For example, the volume PCR of soybean No.1 is 0.38, a decrease of 0.16, and the open interest PCR is 0.39, a decrease of 0.01 [4]. - **Pressure and Support Levels**: From the perspective of the maximum open interest of call and put options, the pressure and support levels of the underlying assets are analyzed. For example, the pressure level of soybean No.1 is 4,300 and the support level is 4,100 [5]. - **Implied Volatility**: Each option variety has different implied volatility values, changes, and differences compared to historical volatility, which can be used to measure the market's expectation of future price fluctuations. For example, the weighted implied volatility of soybean No.1 is 12.36%, a decrease of 0.72% [6]. 3.3 Strategies and Recommendations - **Oilseeds and Oils Options** - **Soybean No.1 and No.2**: The USDA July report adjusted the supply - demand balance of soybeans. The market of soybean No.1 shows a pattern of small - range consolidation with pressure above. Recommended strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The purchase volume of soybean meal shows a certain pattern. The market of soybean meal shows a pattern of weak consolidation with support below followed by a rebound and then a decline. Recommended strategies are similar to those of soybean No.1 [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The palm oil market is affected by export and production factors, showing a pattern of long - position high - level consolidation. Recommended strategies include constructing a long - biased short call + put option combination strategy and a long collar strategy for spot hedging [10]. - **Peanuts**: The peanut market is affected by factors such as supply and demand, showing a pattern of weak consolidation under bearish pressure. Recommended strategies include constructing a bearish spread strategy of put options and a long collar strategy for spot hedging [11]. - **By - product Options** - **Pigs**: The pig market is affected by factors such as supply and demand, showing a pattern of small - range consolidation under bearish pressure. Recommended strategies include constructing a short - biased short call + put option combination strategy and a covered call strategy for spot [11]. - **Eggs**: The egg market is affected by factors such as weather and supply and demand, showing a pattern of weak consolidation with pressure above. Recommended strategies include constructing a bearish spread strategy of put options and a short - biased short call + put option combination strategy [12]. - **Apples**: The apple market is affected by factors such as production and inventory, showing a pattern of gradual rebound with pressure above. Recommended strategies include constructing a neutral short call + put option combination strategy [12]. - **Jujubes**: The jujube market shows a pattern of rebound and then decline with pressure above. Recommended strategies include constructing a short - biased wide - straddle option combination strategy and a covered call strategy for spot hedging [13]. - **Soft Commodity Options** - **Sugar**: The sugar market shows a pattern of rebound after a decline with support below. Recommended strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [13]. - **Cotton**: The cotton market shows a short - term weak pattern. Recommended strategies include constructing a long - biased short call + put option combination strategy and a covered call strategy for spot [14]. - **Grain Options** - **Corn and Starch**: The corn market shows a pattern of weak decline with pressure above. Recommended strategies include constructing a bearish spread strategy of put options and a short - biased short call + put option combination strategy [14].

Report Title - Financial Options Strategy Morning Report, dated July 31, 2025 [1] Core Viewpoints - The stock market shows a bullish oscillating upward trend, with the Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks all performing well [2]. - The implied volatility of financial options has gradually declined to a relatively low level [2]. - For ETF options, it is suitable to construct covered 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]. Market Data Summaries Financial Market Important Indexes - The Shanghai Composite Index closed at 3,615.72, up 6.01 points or 0.17%, with a trading volume of 819.6 billion yuan [3]. - The Shenzhen Component Index closed at 11,203.03, down 86.38 points or 0.77%, with a trading volume of 1,024.7 billion yuan [3]. Option - Based ETFs - The Shanghai 50ETF closed at 2.943, up 0.009 or 0.31%, with a trading volume of 826.17 million shares and a turnover of 2.433 billion yuan [4]. - The Shanghai 300ETF closed at 4.232, down 0.003 or 0.07%, with a trading volume of 950.25 million shares and a turnover of 4.024 billion yuan [4]. Option Factors Volume - to - Open Interest PCR - For the Shanghai 50ETF option, the volume PCR was 0.85 (down 0.08), and the open interest PCR was 1.04 (up 0.04) [5]. - For the Shanghai 300ETF option, the volume PCR was 1.02 (up 0.04), and the open interest PCR was 1.10 (up 0.04) [5]. Pressure and Support Points - The pressure point for the Shanghai 50ETF was 3.10, and the support point was 2.90 [7]. - The pressure point for the Shanghai 300ETF was 4.20, and the support point was 4.10 [7]. Implied Volatility - The weighted implied volatility of the Shanghai 50ETF option was 15.55% (down 0.40%) [9]. - The weighted implied volatility of the Shanghai 300ETF option was 15.75% (down 0.63%) [9]. Strategy and Recommendations Financial Stock Sector (Shanghai 50ETF, Shanghai 50) - Directional strategy: Construct a bull call spread strategy, such as B_510050C2508M02900 and S_510050P2508M03000 [12]. - Volatility strategy: Construct a neutral selling strategy, such as SELL_510050P2508M02850 and SELL_510050P2508M03050 [12]. - Spot long covered strategy: Hold the Shanghai 50ETF and sell call options, such as LONG_510050 + SELL_510050C2508M03000 [12]. Large - Cap Blue - Chip Stock Sector (Shanghai 300ETF, Shenzhen 300ETF, CSI 300) - Directional strategy: Construct a bull call spread strategy, such as B_510300C2508M04200 and S_510300C2508M04400 [12]. - Volatility strategy: Construct a short - volatility strategy by selling call and put options, such as S_510300P2508M04100 and S_510300C2508M04400 [12]. - Spot long covered strategy: Hold the Shanghai 300ETF and sell call options, such as LONG_510300 + SELL_510300C2508M04000 [12].

金融期权 2025/07/30 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偏多头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逐渐下降至均值较低水平平波动。 （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 | | --- | --- | --- | --- | --- | --- | --- | --- | | | | ...

Group 1 - The interbank foreign exchange market showed stable trading with an average daily transaction volume of $208.2 billion in June, a year-on-year increase of 15.7% [2] - The average daily trading volume of the RMB foreign exchange market was $152.4 billion, up 8.9% year-on-year, while foreign currency trading grew over 30% [2] - The US dollar index experienced fluctuations, initially rising and then declining, ending the month at 96.77, a depreciation of 2.68% [3] Group 2 - The RMB exchange rate showed a steady increase, fluctuating between 7.17 and 7.19, with a month-end value of 7.1656, appreciating by 0.94% [4] - The CFETS RMB exchange rate index fell to its lowest level since 2021, closing at 95.35, a cumulative depreciation of 0.64% for the month [4] - The offshore and onshore exchange rates continued to align closely, with the average daily deviation being minimal [5] Group 3 - The foreign exchange market saw a shift towards net selling, with an average daily net selling of $8.51 million, an increase of $5.84 million from May [6] - The market sentiment index rose to 62.78, slightly above the historical average, indicating a stable trading environment [6] Group 4 - The implied volatility of foreign exchange options decreased, with the average daily transaction volume reaching $8.28 billion, a 6.12% increase from the previous month [7] - The short-term implied volatility for the RMB against the USD fell from 3.8% to around 3.5% [7] Group 5 - The interest rate differential between China and the US continued to narrow, with the 10-year US Treasury yield dropping to 4.23% by month-end [8] - The 1-year swap points increased to -1866 basis points, the highest in nearly eight months, indicating a shift in market dynamics [8][9] Group 6 - The US dollar liquidity remained loose, with the domestic dollar financing costs showing a clear advantage [10] - The overnight interest rate differential between domestic and foreign markets remained negative, reaching a new high of -18 basis points by month-end [11]

金融期权 2025-07-25 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： （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偏多头震荡上行的市场行情。 表3：期权因子—量仓PCR | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | （万张) | | （万张） | | PCR | 变化 | PCR | 变化 | | 上证50ETF | 98.71 | -106.85 | 105.03 | -41.25 | 0.89 | 0.30 | 1.09 | -0.23 | | 上证30 ...

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - Corn futures prices dropped slightly, while the implied volatility of corn options rebounded significantly. The futures main contract C2509 closed at 2321 yuan/ton, with an option trading volume of 156,367 lots, an open interest of 440,600 lots, a trading volume PCR of 0.832, and the option weighted implied volatility at 11.43% [1][2]. - Soybean meal futures prices continued to rise, and the implied volatility of soybean meal options increased substantially. The futures main contract M2509 closed at 3095 yuan/ton, with an option trading volume of 384,182 lots, an open interest of 898,113 lots, a trading volume PCR of 0.479, and the option weighted implied volatility at 18.30% [1][2]. 3. Summary by Directory 3.1 Futures Market Data Statistics | Contract | Closing Price | Change | Change Rate (%) | Trading Volume | Volume Change | Open Interest | Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | | C2509 | 2321 | -1 | -0.04 | 696,340 | 192,243 | 923,031 | -52,830 | | M2509 | 3095 | 9 | 0.29 | 1,166,151 | -14,759 | 1,838,499 | -12,733 | [3] 3.2 Option Market Data Statistics | Option Underlying | Trading Volume | Volume Change | Trading Volume PCR | PCR Change | Open Interest | Interest Change | Open Interest PCR | PCR Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Corn | 156,367 | 45,418 | 0.832 | 0.185 | 440,600 | 2,866 | 0.531 | -0.011 | | Soybean Meal | 384,182 | 52,110 | 0.479 | -0.106 | 898,113 | 22,626 | 0.615 | 0.011 | [8] 3.3 Option Volatility Situation | Variety | Option Weighted Implied Volatility (%) | Volatility Change (%) | Change Rate | 30 - Day Historical Volatility (%) | 30 - Day Volatility Quantile | | --- | --- | --- | --- | --- | --- | | Corn | 11.43 | 0.97 | 9.26% | 8.47 | 0.12 | | Soybean Meal | 18.30 | 2.02 | 12.38% | 11.46 | 0.03 | [17]