Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - Corn futures prices showed slight fluctuations, with the main futures contract C2509 closing at 2260 yuan/ton. Corn option trading volume was 99,520 lots, and the open interest was 501,612 lots. The option-implied volatility decreased slightly [2]. - Soybean meal futures prices rebounded slightly, with the main futures contract M2601 closing at 3091 yuan/ton. Soybean meal option trading volume was 356,912 lots, and the open interest was 1,072,147 lots. The option-implied volatility continued to rise [2]. 3. Summary by Directory 3.1 Futures Market Data Statistics - **Corn (C2509)**: Closed at 2260 yuan/ton, down 2 yuan or 0.09%. Trading volume was 232,359 lots, a decrease of 35,998 lots. Open interest was 605,565 lots, a decrease of 32,610 lots [3]. - **Soybean Meal (M2601)**: Closed at 3091 yuan/ton, up 19 yuan or 0.62%. Trading volume was 1,107,230 lots, a decrease of 436,933 lots. Open interest was 1,757,131 lots, an increase of 62,078 lots [3]. 3.2 Option Market Data Statistics - **Corn Options**: Trading volume was 99,520 lots, a decrease of 18,373 lots. The trading volume PCR was 0.532, an increase of 0.003. Open interest was 501,612 lots, a decrease of 2619 lots [8]. - **Soybean Meal Options**: Trading volume was 356,912 lots, a decrease of 104,136 lots. The trading volume PCR was 0.765, an increase of 0.021. Open interest was 1,072,147 lots, a decrease of 3249 lots [8]. 3.3 Option Volatility Situation - **Corn Options**: The option-weighted implied volatility was 12.30%, a decrease of 0.81 percentage points or 6.16%. The 30-day historical volatility was 8.42%, and the 30-day volatility quantile was 0.13 [17]. - **Soybean Meal Options**: The option-weighted implied volatility was 18.86%, an increase of 0.48 percentage points or 2.63%. The 30-day historical volatility was 11.40%, and the 30-day volatility quantile was 0.02 [17].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock market shows a bullish upward trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks all performing well [3]. - The implied volatility of financial options has gradually declined to a relatively low average level [3]. - 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 [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Indexes - The Shanghai Composite Index closed at 3,647.55, up 12.42 points or 0.34%, with a trading volume of 75.13 billion yuan, an increase of 3.78 billion yuan [4]. - The Shenzhen Component Index closed at 11,291.43, up 162.75 points or 1.46%, with a trading volume of 107.56 billion yuan, an increase of 7.9 billion yuan [4]. - The SSE 50 Index closed at 2,789.90, up 0.72 points or 0.03%, with a trading volume of 9.03 billion yuan, an increase of 750 million yuan [4]. - The CSI 300 Index closed at 4,122.51, up 17.54 points or 0.43%, with a trading volume of 36.07 billion yuan, an increase of 5.22 billion yuan [4]. - The CSI 500 Index closed at 6,391.76, up 68.26 points or 1.08%, with a trading volume of 27.7 billion yuan, an increase of 1.79 billion yuan [4]. - The CSI 1000 Index closed at 6,943.94, up 105.81 points or 1.55%, with a trading volume of 40.12 billion yuan, an increase of 1.96 billion yuan [4]. 3.2 Option - underlying ETF Market - The SSE 50 ETF closed at 2.912, up 0.002 or 0.07%, with a trading volume of 6.4122 million lots, an increase of 6.3828 million lots, and a trading value of 1.869 billion yuan, an increase of 1.013 billion yuan [5]. - The SSE 300 ETF closed at 4.202, up 0.019 or 0.45%, with a trading volume of 6.8815 million lots, an increase of 6.8392 million lots, and a trading value of 2.892 billion yuan, an increase of 1.12 billion yuan [5]. - Other ETFs also have detailed closing prices, price changes, trading volumes, and trading value changes as shown in the report [5]. 3.3 Option Factors - Volume and Position PCR - For the SSE 50 ETF option, the trading volume was 907,200 lots, an increase of 219,100 lots; the open interest was 1,517,400 lots, an increase of 40,200 lots; the volume PCR was 0.88, a decrease of 0.04; the position PCR was 0.94, a decrease of 0.01 [6]. - Similar data for other option varieties are presented in the report, including changes in trading volume, open interest, volume PCR, and position PCR [6]. 3.4 Option Factors - Pressure and Support Points - For the SSE 50 ETF, the pressure point was 2.90, the support point was 2.90, the maximum call option open interest was 107,063, and the maximum put option open interest was 102,825 [8]. - Other option - underlying assets also have corresponding pressure points, support points, and maximum open - interest data [8]. 3.5 Option Factors - Implied Volatility - The at - the - money implied volatility of the SSE 50 ETF option was 12.65%, the weighted implied volatility was 12.72%, a decrease of 0.11%, the annual average was 15.08%, the call option implied volatility was 12.83%, the put option implied volatility was 12.56%, the 20 - day historical volatility was 13.34%, and the difference between implied and historical volatility was - 0.63% [11]. - Similar implied volatility data for other option varieties are provided in the report [11]. 3.6 Strategies and Recommendations - **Financial Stocks Sector (SSE 50 ETF, SSE 50)**: The SSE 50 ETF has been in a high - level consolidation since July. The implied volatility is below the average, and the position PCR is around 1.00, indicating a sideways market. The pressure point is 3.10, and the support point is 2.90. Strategies include constructing a neutral seller strategy and a covered call strategy [14]. - **Large - cap Blue - chip Stocks Sector (SSE 300 ETF, Shenzhen 300 ETF, CSI 300)**: The SSE 300 ETF has shown a high - level shock since June. The implied volatility is below the average, and the position PCR is around 1.00. The pressure point is 4.30, and the support point is 4.10. Strategies include constructing a short - volatility strategy and a covered call strategy [14]. - **Large - and Medium - cap Stocks Sector (Shenzhen 100 ETF)**: The Shenzhen 100 ETF has been in a wide - range shock and then an upward trend. The implied volatility is around the average, and the position PCR is around 1.00, indicating a slightly bullish sideways market. The pressure point is 2.90, and the support point is 2.50. Strategies include constructing a short - volatility strategy and a covered call strategy [15]. - **Small - and Medium - cap Stocks Sector (SSE 500 ETF, Shenzhen 500 ETF, CSI 1000)**: The SSE 500 ETF has shown a bullish upward trend. The implied volatility is below the average, and the position PCR of the SSE 500 ETF is above 1.00, indicating a bullish sideways market. The pressure point of the SSE 500 ETF is 6.50, and the support point is 6.25. For the CSI 1000, a bullish call option combination strategy and a short - volatility strategy are recommended [15][16]. - **ChiNext Sector (ChiNext ETF, Huaxia Science and Technology Innovation 50 ETF, E Fund Science and Technology Innovation 50 ETF)**: The ChiNext ETF has been in a high - level shock. The implied volatility is below the historical average, and the position PCR is around 1.00, indicating a bullish sideways market. The pressure point is 2.35, and the support point is 2.30. Strategies include constructing a bullish call option combination strategy and a short - volatility strategy [16].

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The agricultural product options market shows diversified trends. Oilseeds and oils are in a strong - oscillating pattern, oils, and agricultural by - products maintain an oscillating trend, soft commodities like sugar have a slight oscillation, cotton's bullish rise has declined, and grains such as corn and starch are in a weak and narrow - range consolidation. It is recommended to construct option combination 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 - Different agricultural product futures have different price trends, trading volumes, and open interest changes. For example, soybean No.1 (A2509) closed at 4,078, down 20 (-0.49%), with a trading volume of 6.28 million lots and an open interest of 7.15 million lots; palm oil (P2509) closed at 9,236, up 158 (1.74%), with a trading volume of 56.74 million lots and an open interest of 30.00 million lots [3]. 3.2 Option Factor - Volume and Open Interest PCR - PCR indicators are used to describe the strength of the option underlying market and the turning point of the market. For example, the volume PCR of soybean No.1 is 0.52, with a change of 0.03, and the open interest PCR is 0.39, with a change of 0.01 [4]. 3.3 Option Factor - Pressure and Support Levels - From the perspective of the maximum open interest of call and put options, the pressure and support levels of the option underlying are analyzed. For example, the pressure level of soybean No.1 is 4,300, and the support level is 4,050 [5]. 3.4 Option Factor - Implied Volatility - Implied volatility includes at - the - money implied volatility and weighted implied volatility. For example, the at - the - money implied volatility of soybean No.1 is 9.165, and the weighted implied volatility is 13.16, with a change of - 0.38 [6]. 3.5 Strategy and Recommendations 3.5.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The fundamental situation of soybeans shows that the CNF premium and import cost of Brazilian soybeans are rising, and the weather in the US soybean - growing area may have a positive impact. The soybean No.1 market has formed a pattern of small - range consolidation with upper pressure. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The daily提货 volume of soybean meal has decreased slightly, and the basis has increased. The market shows a pattern of weak consolidation and then a rebound. It is recommended to construct a neutral short call + put option combination strategy and a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The production and inventory of palm oil are expected to increase. The palm oil market is in a pattern of bullish high - level consolidation. It is recommended to construct a bullish short call + put option combination strategy and a long collar strategy for spot hedging [10]. - **Peanuts**: The trading volume of peanuts has decreased, and the price has declined. The market is in a pattern of weak consolidation under bearish pressure. It is recommended to construct a bearish spread strategy of put options and a long collar strategy for spot hedging [11]. 3.5.2 Agricultural By - product Options - **Pigs**: The spot price of pigs has declined slightly. The market is in a pattern of weak consolidation under bearish pressure. It is recommended to construct a bearish short call + put option combination strategy and a covered strategy for spot hedging [11]. - **Eggs**: The spot price of eggs has declined significantly. The market is in a bearish pattern with upper pressure. It is recommended to construct a bearish spread strategy of put options and a bearish short call + put option combination strategy [12]. - **Apples**: The expected output of apples has increased, and the inventory has decreased. The market is in a pattern of continuous recovery with upper pressure. It is recommended to construct a neutral short call + put option combination strategy [12]. - **Jujubes**: The inventory of jujubes has decreased, and the market has improved. The market is in a short - term bullish rebound pattern. It is recommended to construct a bullish spread strategy of call options, a bullish short strangle option combination strategy, and a covered hedging strategy for spot [13]. 3.5.3 Soft Commodity Options - **Sugar**: The domestic sugar market is expected to increase production, and the import policy has tightened. The market is in a bearish pattern with upper pressure. It is recommended to construct a bearish short call + put option combination strategy and a long collar strategy for spot hedging [13]. - **Cotton**: The import and shipment of US cotton by China are in a certain proportion. The market is in a short - term bearish pattern. It is recommended to construct a bullish short call + put option combination strategy and a covered strategy for spot [14]. 3.5.4 Grain Options - **Corn and Starch**: The corn auction has a certain turnover rate, and the spot price has continued to decline. The market is in a bearish pattern with upper pressure. It is recommended to construct a bearish spread strategy of put options and a bearish short call + put option combination strategy [14].

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoint The overall trend of agricultural products shows that oilseeds and oils are in a strong - oscillating state, while other products such as agricultural by - products, soft commodities, and grains are in an oscillating or weak - oscillating state. It is recommended to construct option portfolio strategies mainly based on sellers, as well as spot hedging or covered strategies to enhance returns [2]. 3. Detailed Summaries by Content 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest of various agricultural product futures are presented, including soybeans, soybean meal, palm oil, etc. For example, the latest price of soybean No.1 (A2509) is 4,109, down 6 points with a decline of 0.15% [3]. 3.2 Option Factors - **Volume and Open Interest PCR**: The volume and open interest PCR of various options are calculated, which are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the volume PCR of soybean No.1 is 0.50, and the open interest PCR is 0.39 [4]. - **Pressure and Support Levels**: The pressure and support levels of various option underlying assets are analyzed from the perspective of the strike prices with the largest open interest of call and put options. For example, the pressure level of soybean No.1 is 4,200, and the support level is 4,050 [5]. - **Implied Volatility**: The implied volatility of various options is analyzed, including at - the - money implied volatility and weighted implied volatility. For example, the at - the - money implied volatility of soybean No.1 is 9.52% [6]. 3.3 Option Strategies and Recommendations - **Oilseeds and Oils Options** - **Soybean No.1 and No.2**: Fundamentals show that the import cost of Brazilian soybeans has increased, and the weather in the US soybean - producing areas may have a positive impact. The market is in a weak - oscillating state. Option strategies include constructing a neutral call + put option combination strategy and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The daily提货 volume of soybean meal has decreased slightly, and the basis has increased. The market shows a pattern of weak consolidation followed by a rebound. Option strategies are similar to those of soybeans, including neutral option combination strategies and long collar strategies for spot hedging [8][9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The production and inventory of palm oil have increased. The market is in a long - position high - level consolidation state. Option strategies include constructing a long - biased call + put option combination strategy and a long collar strategy for spot hedging [10]. - **Peanuts**: The trading volume has decreased, and the price has declined. The market is in a weak - oscillating state. Option strategies include constructing a bear spread strategy for directional trading and a long collar strategy for spot hedging [11]. - **Agricultural By - product Options** - **Pigs**: The spot price has declined slightly. The market is in a weak - oscillating state. Option strategies include constructing a short - biased call + put option combination strategy and a covered call strategy for spot hedging [11]. - **Eggs**: The spot price has declined significantly. The market is in a weak - bearish state. Option strategies include constructing a bear spread strategy for directional trading and a short - biased call + put option combination strategy [12]. - **Apples**: The expected output has increased, and the market is in a state of continuous recovery. Option strategies include constructing a neutral call + put option combination strategy [12]. - **Jujubes**: The inventory has decreased, and the market is in a short - term bullish state. Option strategies include constructing a bull spread strategy for directional trading, a wide - straddle option combination strategy, and a covered call strategy for spot hedging [13]. - **Soft Commodity Options** - **Sugar**: The domestic market is in a state of continuous production increase, and the market is in a weak - bearish state. Option strategies include constructing a short - biased call + put option combination strategy and a long collar strategy for spot hedging [13]. - **Cotton**: The import and shipment of US cotton are normal, and the market is in a short - term weak state. Option strategies include constructing a long - biased call + put option combination strategy and a covered call strategy for spot hedging [14]. - **Grain Options** - **Corn and Starch**: The auction volume and成交 rate of corn are normal, and the market is in a weak - bearish state. Option strategies include constructing a bear spread strategy for directional trading and a short - biased call + put option combination strategy [14].

Industry Investment Rating - No investment rating information provided in the report Core Viewpoints - Today, all stock indices fluctuated within a narrow range. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1736.3 billion yuan, a decrease of 116.2 billion yuan from the previous day. The economic indicators in the first half of the year showed strong resilience, and the expectation of short - term policy intensification has weakened, but the expectation of policy support still exists. Policy support and the expectation of anti - involution policy benefits have promoted the recovery of the stock market's risk appetite, combined with the suspension of overseas uncertainty risks, jointly driving the recovery of the stock market's risk appetite. Considering that some stocks have achieved significant gains, there is a need for technical consolidation in the market outlook. With the approaching deadline of the Sino - US tariff suspension period, there is a possibility of consolidation and accumulation of momentum for stock indices in the short term. However, in the long term, the upward trend of stock indices remains unchanged. Currently, the risk appetite of the stock market is relatively positive, and it is expected that stock indices will maintain a volatile and slightly stronger trend in the short term. Since the implied volatility of options is currently in the normal range and stock indices are expected to rise in the medium and long term, investors can continue to hold bull spreads or ratio spreads for a moderate bullish view [3] Summary by Directory 1 Option Indicators - **ETF and Index Performance**: On August 8, 2025, 50ETF fell 0.38% to 2.910; 300ETF (Shanghai Stock Exchange) fell 0.24% to 4.183; 300ETF (Shenzhen Stock Exchange) fell 0.25% to 4.315; CSI 300 Index fell 0.24% to 4104.97; CSI 1000 Index fell 0.35% to 6838.13; 500ETF (Shanghai Stock Exchange) fell 0.17% to 6.397; 500ETF (Shenzhen Stock Exchange) fell 0.16% to 2.556; ChiNext ETF fell 0.34% to 2.312; Shenzhen 100ETF fell 0.24% to 2.893; SSE 50 Index fell 0.33% to 2789.17; STAR 50ETF fell 1.44% to 1.10; E Fund STAR 50ETF fell 1.38% to 1.07 [5] - **Volume PCR and Open Interest PCR**: The volume PCR and open interest PCR data of various options on August 8, 2025, and their changes compared with the previous trading day are provided, including 50ETF options, SSE 300ETF options, SZSE 300ETF options, CSI 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 [6] - **Implied Volatility and Historical Volatility**: The implied volatility of at - the - money options in August 2025 and the 30 - day historical volatility of the underlying assets of various options are presented, such as 50ETF options, SSE 300ETF options, SZSE 300ETF options, CSI 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 [7][8] 2 Related Charts - **50ETF Options**: Include charts of 50ETF trends, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different terms [9][10][11] - **SSE 300ETF Options**: Include charts of SSE 300ETF trends, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different terms [20][21] - **SZSE 300ETF Options**: Include charts of SZSE 300ETF trends, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different terms [23][24] - **CSI 300 Index Options**: Include charts of CSI 300 index trends, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different terms [36][37] - **CSI 1000 Index Options**: Include charts of CSI 1000 index trends, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different terms [49][50] - **SSE 500ETF Options**: Include charts of SSE 500ETF trends, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different terms [62][63] - **SZSE 500ETF Options**: Include charts of SZSE 500ETF trends, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different terms [75][76] - **ChiNext ETF Options**: Include charts of ChiNext ETF trends, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different terms [90][91] - **Shenzhen 100ETF Options**: Include charts of Shenzhen 100ETF trends, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different terms [101][102] - **SSE 50 Index Options**: Include charts of SSE 50 index trends, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different terms [114][115] - **STAR 50ETF Options**: Include charts of STAR 50ETF trends, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different terms [128][129] - **E Fund STAR 50ETF Options**: Include charts of E Fund STAR 50ETF trends, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different terms [131][132]

金融期权 2025/08/08 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 | （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 | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (亿元) ...

1. Report Industry Investment Rating - No information provided in the report regarding industry investment rating 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 oscillating market trend [2] - The implied volatility of financial options gradually declines and fluctuates at a relatively low level around the mean [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 appropriate 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 Important Index Overview - The Shanghai Composite Index closed at 3,633.99, up 16.40 points or 0.45%, with a trading volume of 707.2 billion yuan and an increase of 50.8 billion yuan [3] - The Shenzhen Component Index closed at 11,177.78, up 70.82 points or 0.64%, with a trading volume of 1026.8 billion yuan and an increase of 87.1 billion yuan [3] - The Shanghai 50 Index closed at 2,797.42, up 6.69 points or 0.24%, with a trading volume of 88.4 billion yuan and an increase of 10.6 billion yuan [3] - The CSI 300 Index closed at 4,113.49, up 10.04 points or 0.24%, with a trading volume of 307.7 billion yuan and an increase of 0.7 billion yuan [3] - The CSI 500 Index closed at 6,357.38, up 54.14 points or 0.86%, with a trading volume of 263.8 billion yuan and an increase of 28.1 billion yuan [3] - The CSI 1000 Index closed at 6,861.31, up 73.83 points or 1.09%, with a trading volume of 399.1 billion yuan and an increase of 50.5 billion yuan [3] 3.2 Option - Underlying ETF Market Overview - The Shanghai 50 ETF closed at 2.918, up 0.006 or 0.21%, with a trading volume of 3.2878 million shares and a decrease of 3.2154 million shares, and a trading value of 959 million yuan and a decrease of 1.14 billion yuan [4] - The Shanghai 300 ETF closed at 4.194, up 0.011 or 0.26%, with a trading volume of 4.0894 million shares and a decrease of 4.0346 million shares, and a trading value of 1.713 billion yuan and a decrease of 570 million yuan [4] - The Shanghai 500 ETF closed at 6.428, up 0.052 or 0.82%, with a trading volume of 1.7198 million shares and an increase of 1.7077 million shares, and a trading value of 1.103 billion yuan and an increase of 336 million yuan [4] 3.3 Option Factors - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume was 702,200 contracts (a decrease of 216,900 contracts), the open interest was 1,454,000 contracts (a decrease of 76,900 contracts), the volume PCR was 0.94 (a decrease of 0.05), and the position PCR was 0.94 (a decrease of 0.01) [5] - For the Shanghai 300 ETF option, the trading volume was 680,200 contracts (a decrease of 195,700 contracts), the open interest was 1,344,400 contracts (a decrease of 73,000 contracts), the volume PCR was 1.08 (an increase of 0.05), and the position PCR was 0.95 (a decrease of 0.02) [5] 3.4 Option Factors - Pressure and Support Points - The pressure point of the Shanghai 50 ETF is 2.90, and the support point is 2.90 [7] - The pressure point of the Shanghai 300 ETF is 4.30, and the support point is 4.10 [7] 3.5 Option Factors - Implied Volatility - The at - the - money implied volatility of the Shanghai 50 ETF option is 13.00%, the weighted implied volatility is 13.20% (a decrease of 0.17%), the average annual implied volatility is 15.25%, the call implied volatility is 13.23%, the put implied volatility is 13.15%, the 20 - day historical volatility is 13.84%, and the difference between implied and historical volatility is - 0.64% [9] - The at - the - money implied volatility of the Shanghai 300 ETF option is 13.57%, the weighted implied volatility is 13.86% (a decrease of 0.01%), the average annual implied volatility is 15.89%, the call implied volatility is 13.94%, the put implied volatility is 13.77%, the 20 - day historical volatility is 14.22%, and the difference between implied and historical volatility is - 0.36% [9] 3.6 Strategies and Recommendations 3.6.1 Financial Stocks Sector (Shanghai 50 ETF, Shanghai 50) - The Shanghai 50 ETF has been in a high - level oscillating trend since July, with short - term resistance above and support below [12] - The implied volatility of the Shanghai 50 ETF option fluctuates below the mean [12] - The position PCR of the Shanghai 50 ETF option is around 0.90, indicating a sideways market [12] - Directional strategy: None [12] - Volatility strategy: Construct a neutral short - option strategy to obtain time - value income and dynamically adjust the position delta to keep it neutral, such as SELL_510050P2508M02850 and SELL_510050C2508M02950 [12] - Covered call strategy: Hold the Shanghai 50 ETF and sell call options, such as LONG_510050 + SELL_510050C2508M03000 [12] 3.6.2 Large - Cap Blue - Chip Stocks Sector (Shanghai 300 ETF, Shenzhen 300 ETF, CSI 300) - The Shanghai 300 ETF has been in a high - level oscillating trend since July, with short - term resistance above and support below [13] - The implied volatility of the Shanghai 300 ETF option fluctuates below the mean [13] - The position PCR of the Shanghai 300 ETF option is around 1.00, indicating a sideways market [13] - Directional strategy: None [13] - Volatility strategy: Construct a short - volatility strategy by selling call and put options to obtain option time - value, such as S_510300P2508M04000 and S_510300C2508M04300 [13] - Covered call strategy: Hold the Shanghai 300 ETF and sell call options, such as LONG_510300 + SELL_510300C2508M04000 [13]

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].