金融期权 2025-06-06 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (亿元) | （亿元） | | | 上证指数 | 000001.SH | 3,384.10 | 7.90 | 0.23 | 4,982 | 514 | 14.64 | | 深证成指 | 399001.SZ | 10,203.50 | 58.92 | 0.58 | 7,922 | 860 | 25.20 | | 上证50 | 000016.SH | 2,692.13 | ...

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

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

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - The energy - chemical sector is divided into energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others. For each selected option variety, strategies are provided based on the analysis of the underlying market, option factor research, and option strategy suggestions. The overall strategy is to construct option portfolio strategies mainly as sellers and spot hedging or covered strategies to enhance returns [2][8] 3. Summary by Related 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 petroleum gas, methanol, etc [3] 3.2 Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of various energy - chemical options are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively [4] 3.3 Option Factor - 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 interest of call and put options [5] 3.4 Option Factor - 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, call and put implied volatility, historical volatility, and the difference between implied and historical volatility [6] 3.5 Option Strategies and Suggestions 3.5.1 Energy - related Options - **Crude Oil**: The fundamental situation shows that the price has soared, and OPEC +'s production increase is lower than expected. The market has shown a large - amplitude oscillating pattern. Option strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [7] - **Liquefied Petroleum Gas**: The factory inventory has slightly increased, and the port inventory has decreased. The market is in a weak and bearish state. Strategies include constructing a bearish short call + put option combination strategy and a long collar strategy for spot hedging [9] 3.5.2 Alcohol - related Options - **Methanol**: The port and enterprise inventories have increased, and the market has shown a weak and bearish rebound pattern. Strategies include constructing a neutral short call + put option combination strategy and a long collar strategy for spot hedging [9] - **Ethylene Glycol**: The port inventory has decreased, and the market has shown a pattern of short - term bullish rise followed by a decline at a high level. Strategies include constructing a short - volatility strategy and a long + put + short call option strategy for spot hedging [10] 3.5.3 Polyolefin - related Options - **Polypropylene**: The downstream start - up rate has decreased, and the market is in a bearish trend. Strategies include constructing a bearish spread strategy of put options and a long + put + short call option strategy for spot hedging [10] 3.5.4 Rubber - related Options - **Rubber**: The domestic main production areas have entered the full - scale tapping period. The market is in a bearish downward pattern. Strategies include constructing a bearish spread strategy of put options and a bearish short call + put option combination strategy [11] 3.5.5 Polyester - related Options - **PTA**: The overall load of the polyester industry is low, and the PTA market has shown a pattern of bullish rise followed by high - level oscillation. Strategies include constructing a neutral short call + put option combination strategy [11] 3.5.6 Alkali - related Options - **Caustic Soda**: New production facilities are expected to be put into operation, and the market is in a short - term oscillating pattern. Strategies include constructing a bearish wide - straddle option combination strategy and a covered call strategy for spot hedging [12] - **Soda Ash**: The production has increased, and the inventory has decreased slightly. The market is in a bearish downward pattern. Strategies include constructing a bearish spread strategy of put options, a bearish short call + put option combination strategy, and a long collar strategy for spot hedging [12] 3.5.7 Urea Options - The inventory has increased, and the market has shown a pattern of oscillating decline. Strategies include constructing a neutral short call + put option combination strategy and a long + put + short call option strategy for spot hedging [13]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a weak and volatile trend [2]. - The implied volatility of financial options fluctuated at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for stock index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary by Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,347.49, down 15.96 points or 0.47%, with a trading volume of 443.4 billion yuan, a decrease of 10.4 billion yuan [3]. - The Shenzhen Component Index closed at 10,040.63, down 86.58 points or 0.85%, with a trading volume of 695.8 billion yuan, a decrease of 35.9 billion yuan [3]. - The Shanghai 50 Index closed at 2,678.70, down 12.20 points or 0.45%, with a trading volume of 57.6 billion yuan, an increase of 4.4 billion yuan [3]. - The CSI 300 Index closed at 3,840.23, down 18.47 points or 0.48%, with a trading volume of 199.4 billion yuan, a decrease of 10.1 billion yuan [3]. - The CSI 500 Index closed at 5,671.07, down 48.84 points or 0.85%, with a trading volume of 137.7 billion yuan, a decrease of 10.4 billion yuan [3]. - The CSI 1000 Index closed at 6,026.56, down 63.02 points or 1.03%, with a trading volume of 228 billion yuan, a decrease of 4.5 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The Shanghai 50 ETF closed at 2.749, down 0.005 or 0.18%, with a trading volume of 8.85 million lots, an increase of 8.7617 million lots, and a trading value of 2.428 billion yuan, a decrease of 0.05 billion yuan [4]. - The Shanghai 300 ETF closed at 3.959, down 0.007 or 0.18%, with a trading volume of 7.3703 million lots, an increase of 7.2812 million lots, and a trading value of 2.911 billion yuan, a decrease of 6.21 billion yuan [4]. - The Shanghai 500 ETF closed at 5.694, down 0.033 or 0.58%, with a trading volume of 3.3454 million lots, an increase of 3.3134 million lots, and a trading value of 1.904 billion yuan, an increase of 0.73 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.030, down 0.010 or 0.96%, with a trading volume of 17.1703 million lots, an increase of 16.936 million lots, and a trading value of 1.77 billion yuan, a decrease of 6.56 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.005, down 0.009 or 0.89%, with a trading volume of 3.8226 million lots, an increase of 3.7767 million lots, and a trading value of 0.384 billion yuan, a decrease of 0.79 billion yuan [4]. - The Shenzhen 300 ETF closed at 3.987, down 0.012 or 0.30%, with a trading volume of 1.5187 million lots, an increase of 1.5044 million lots, and a trading value of 0.604 billion yuan, an increase of 0.35 billion yuan [4]. - The Shenzhen 500 ETF closed at 2.272, down 0.017 or 0.74%, with a trading volume of 1.1149 million lots, an increase of 1.1037 million lots, and a trading value of 0.253 billion yuan, a decrease of 0.02 billion yuan [4]. - The Shenzhen 100 ETF closed at 2.647, down 0.020 or 0.75%, with a trading volume of 0.3502 million lots, an increase of 0.3479 million lots, and a trading value of 0.093 billion yuan, an increase of 0.33 billion yuan [4]. - The ChiNext ETF closed at 1.972, down 0.017 or 0.85%, with a trading volume of 6.6123 million lots, an increase of 6.5188 million lots, and a trading value of 1.304 billion yuan, a decrease of 5.46 billion yuan [4]. 3.3 Option Factor - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume was 918,600 contracts, an increase of 12,800 contracts; the open interest was 1,230,300 contracts, an increase of 62,000 contracts; the trading volume PCR was 1.15, an increase of 0.15; the open interest PCR was 0.98, a decrease of 0.00 [5]. - For the Shanghai 300 ETF option, the trading volume was 675,300 contracts, a decrease of 53,200 contracts; the open interest was 1,070,700 contracts, an increase of 49,800 contracts; the trading volume PCR was 1.03, an increase of 0.06; the open interest PCR was 0.82, a decrease of 0.02 [5]. - For the Shanghai 500 ETF option, the trading volume was 927,500 contracts, a decrease of 357,000 contracts; the open interest was 1,133,200 contracts, an increase of 10,100 contracts; the trading volume PCR was 1.00, an increase of 0.16; the open interest PCR was 1.02, a decrease of 0.07 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 358,700 contracts, a decrease of 185,800 contracts; the open interest was 1,277,500 contracts, an increase of 33,400 contracts; the trading volume PCR was 0.85, an increase of 0.17; the open interest PCR was 0.67, an increase of 0.00 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 100,500 contracts, a decrease of 48,500 contracts; the open interest was 420,500 contracts, an increase of 11,200 contracts; the trading volume PCR was 0.95, an increase of 0.23; the open interest PCR was 0.71, an increase of 0.02 [5]. - For the Shenzhen 300 ETF option, the trading volume was 88,000 contracts, a decrease of 11,200 contracts; the open interest was 195,900 contracts, an increase of 15,400 contracts; the trading volume PCR was 1.15, an increase of 0.25; the open interest PCR was 0.88, an increase of 0.01 [5]. - For the Shenzhen 500 ETF option, the trading volume was 98,600 contracts, a decrease of 30,000 contracts; the open interest was 271,800 contracts, an increase of 5,400 contracts; the trading volume PCR was 1.27, an increase of 0.35; the open interest PCR was 0.87, an increase of 0.02 [5]. - For the Shenzhen 100 ETF option, the trading volume was 29,600 contracts, a decrease of 8,800 contracts; the open interest was 85,600 contracts, an increase of 5,400 contracts; the trading volume PCR was 1.22, an increase of 0.11; the open interest PCR was 0.91, a decrease of 0.03 [5]. - For the ChiNext ETF option, the trading volume was 747,500 contracts, a decrease of 155,700 contracts; the open interest was 1,111,400 contracts, an increase of 77,700 contracts; the trading volume PCR was 1.06, an increase of 0.25; the open interest PCR was 0.75, a decrease of 0.03 [5]. - For the Shanghai 50 index option, the trading volume was 22,100 contracts, a decrease of 100 contracts; the open interest was 62,400 contracts, an increase of 1,100 contracts; the trading volume PCR was 0.64, an increase of 0.05; the open interest PCR was 0.64, a decrease of 0.00 [5]. - For the CSI 300 index option, the trading volume was 50,300 contracts, a decrease of 6,600 contracts; the open interest was 168,300 contracts, an increase of 2,800 contracts; the trading volume PCR was 0.71, an increase of 0.11; the open interest PCR was 0.67, a decrease of 0.00 [5]. - For the CSI 1000 index option, the trading volume was 131,400 contracts, a decrease of 65,500 contracts; the open interest was 254,200 contracts, an increase of 2,800 contracts; the trading volume PCR was 1.04, an increase of 0.08; the open interest PCR was 0.91, a decrease of 0.01 [5]. 3.4 Option Factor - Pressure and Support Points - For the Shanghai 50 ETF option, the underlying closing price was 2.749, the at-the-money strike price was 2.75, the pressure point was 2.80, the support point was 2.65 [7]. - For the Shanghai 300 ETF option, the underlying closing price was 3.959, the at-the-money strike price was 4.00, the pressure point was 4.00, the support point was 4.00 [7]. - For the Shanghai 500 ETF option, the underlying closing price was 5.694, the at-the-money strike price was 5.75, the pressure point was 5.75, the support point was 5.50 [7]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.030, the at-the-money strike price was 1.05, the pressure point was 1.05, the support point was 1.00 [7]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 1.005, the at-the-money strike price was 1.00, the pressure point was 1.05, the support point was 0.95 [7]. - For the Shenzhen 300 ETF option, the underlying closing price was 3.987, the at-the-money strike price was 4.00, the pressure point was 4.20, the support point was 3.80 [7]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.272, the at-the-money strike price was 2.25, the pressure point was 2.40, the support point was 2.15 [7]. - For the Shenzhen 100 ETF option, the underlying closing price was 2.647, the at-the-money strike price was 2.65, the pressure point was 2.65, the support point was 2.65 [7]. - For the ChiNext ETF option, the underlying closing price was 1.972, the at-the-money strike price was 1.95, the pressure point was 2.00, the support point was 1.95 [7]. - For the Shanghai 50 index option, the underlying closing price was 2,678.70, the at-the-money strike price was 2,700, the pressure point was 2,800, the support point was 2,600 [7]. - For the CSI 300 index option, the underlying closing price was 3,840.23, the at-the-money strike price was 3,850, the pressure point was 4,000, the support point was 3,900 [7]. - For the CSI 1000 index option, the underlying closing price was 6,026.56, the at-the-money strike price was 6,000, the pressure point was 6,200, the support point was 5,800 [7]. 3.5 Option Factor - Implied Volatility - For the Shanghai 50 ETF option, the at-the-money implied volatility was 13.03%, the weighted implied volatility was 13.85%, a decrease of 0.16%, the annual average was 17.93%, the call implied volatility was 13.59%, the put implied volatility was 14.10%, the 20-day historical volatility was 12.81%, and the implied - historical volatility difference was 1.04 [9]. - For the Shanghai 300 ETF option, the at-the-money implied volatility was 12.90%, the weighted implied volatility was 14.35%, a decrease of 0.00%, the annual average was 18.62%, the call implied volatility was 14.23%, the put implied volatility was 14.47%, the 20-day historical volatility was 13.42%, and the implied - historical volatility difference was 0.93 [9]. - For the Shanghai 500 ETF option, the at-the-money implied volatility was 16.43%, the weighted implied volatility was 17.78%, a decrease of 0.69%, the annual average was 23.51%, the call implied volatility was 17.30%, the put implied volatility was 18.21%, the 20-day historical volatility was 16.91%, and the implied - historical volatility difference was 0.87 [9]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 22.12%, the weighted implied volatility was 25.57%, an increase of 0.50%, the annual average was 35.55%, the call implied volatility was 25.33%, the put implied volatility was 25.86%, the 20-day historical volatility was 24.88%, and the implied - historical volatility difference was 0.69 [9]. - For the E Fund Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 21.96%, the weighted implied volatility was 26.52%, an increase of 0.04%, the annual average was 35.98%, the call implied volatility was 26.74%, the put implied volatility was 26.29%, the 20-day historical volatility was 25.21%, and the implied - historical volatility difference was 1.31 [9]. - For the Shenzhen 300 ETF option, the at-the-money implied volatility was 13.21%, the weighted implied volatility was 15.97%, a decrease of 0.26%, the annual average was 19.81%, the call implied volatility was 15.36%, the put implied volatility was 16.50%, the 20-day historical volatility was 14.73%, and the implied - historical volatility difference was 1.24 [9]. - For the Shenzhen 500 ETF option, the at-the-money implied volatility was 17.02%, the weighted implied volatility was 19.94%,

1. Report Investment Rating - No investment rating for the industry is provided in the report. 2. Core Viewpoints - The agricultural product options market shows diverse trends. Oilseeds and oils are in a range - bound consolidation, with some showing a weak trend. By - products maintain a volatile trend, soft commodities like sugar are weak and cotton is in a high - level consolidation after a rebound, and grains such as corn and starch are gradually warming up and then in a narrow - range consolidation. 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. Summary by Category 3.1 Futures Market Overview - Different agricultural product futures have different price changes, trading volumes, and open interest changes. For example, the latest price of soybean No.1 (A2507) is 4,117, up 6 with a 0.15% increase, trading volume is 8.89 million lots (down 1.15 million lots), and open interest is 13.38 million lots (down 1.06 million lots) [3]. 3.2 Option Factors 3.2.1 Volume and Open Interest PCR - The volume PCR and open interest PCR of various agricultural product options are different, which are used to describe the strength of the option underlying market and the turning point of the underlying market respectively. For example, the volume PCR of soybean No.1 is 0.57 (down 0.44), and the open interest PCR is 0.51 (up 0.02) [4]. 3.2.2 Pressure and Support Levels - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support levels of option underlyings are analyzed. For example, the pressure level of soybean No.1 is 4300 and the support level is 4000 [5]. 3.2.3 Implied Volatility - The implied volatility of various agricultural product options also varies. For example, the at - the - money implied volatility of soybean No.1 is 9.92%, and the weighted implied volatility is 14.48% (up 0.98%) [6]. 3.3 Strategy and Recommendations 3.3.1 Oilseeds and Oils Options - **Soybean No.1 and No.2**: The US soybean futures price is mainly in a downward trend. The soybean No.1 shows a high - level consolidation trend. It is recommended to construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [7]. - **Soybean Meal and Rapeseed Meal**: The trading volume of soybean meal has decreased. The market shows a rebound after a decline. It is recommended to construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [9]. - **Palm Oil, Soybean Oil, and Rapeseed Oil**: The trading volume of oils is weak, and the inventory is sufficient. It is recommended to construct a neutral call + put option combination strategy for volatility, and a long collar strategy for spot hedging [10]. - **Peanuts**: The supply is abundant and the demand is weak. It is recommended to construct a bull call spread strategy for direction, and a long + put + short call option strategy for spot hedging [11]. 3.3.2 By - product Options - **Pigs**: The market shows a pattern of increasing supply and weak demand. It is recommended to construct a neutral call + put option combination strategy for volatility, and a covered call strategy for spot hedging [11]. - **Eggs**: The supply is sufficient and the demand is weak. It is recommended to construct a bear put spread strategy for direction, and a short - biased call + put option combination strategy for volatility [12]. - **Apples**: The de - stocking speed has slowed down. It is recommended to construct a bear put spread strategy for direction, and a short - biased call + put option combination strategy for volatility [12]. - **Jujubes**: It is in the off - season and the price is at a low level. It is recommended to construct a bear put spread strategy for direction, a short - strangle option combination strategy for volatility, and a covered call strategy for spot hedging [13]. 3.3.3 Soft Commodity Options - **Sugar**: The Brazilian sugar export situation has changed. The market shows a weak and volatile trend. It is recommended to construct a short - biased call + put option combination strategy for volatility, and a long collar strategy for spot hedging [13]. - **Cotton**: The Brazilian cotton export volume has decreased. The market shows a pattern of rebound and then decline. It is recommended to construct a neutral call + put option combination strategy for volatility, and a covered call strategy for spot hedging [14]. 3.3.4 Grain Options - **Corn and Starch**: The corn price is affected by factors such as traders' behavior and wheat price. The market shows a pattern of shock and then rise. It is recommended to construct a neutral call + put option combination strategy for volatility [14].

金融期权 2025/05/28 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均表现为震荡偏弱走势。 （2）金融期权波动性分析：金融期权隐含波动率历史较低水平水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建备兑策略和偏中性的双卖策略，垂直价差组合策略；对于 股指期权来说，适合构建偏中性的双卖策略和期权合成期货多头或空头与期货空头或多头做套利策略。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） ...

Core Viewpoint - Recent tariff events have led to significant market volatility, prompting the construction of VIX indicators for major A-share indices and the use of Spline interpolation to create implied volatility surfaces, which revealed effective timing strategies across various indices, particularly with a 22.3% annualized absolute return for the China Securities 1000 Index [1][43]. Group 1: VIX and Market Timing - The VIX is a benchmark indicator for measuring the expected volatility of the S&P 500 index over the next 30 days, reflecting market participants' consensus on short-term risk [2][6]. - The VIX's effectiveness as a timing indicator is limited in the A-share market due to differing market dynamics compared to the US, where VIX peaks often correlate with market bottoms [2][7]. - A-share indices do not exhibit the same clear relationship between VIX peaks and market bottoms, leading to weaker overall timing effectiveness [2][7]. Group 2: Implied Volatility and Timing Strategies - Implied volatility (IV) provides a richer data dimension compared to VIX, allowing for more nuanced insights into market sentiment through the construction of an implied volatility surface [3][15]. - The study found that the ratio of deep out-of-the-money put options' IV to call options' IV can serve as a timing indicator, with varying effectiveness based on the expiration dates of the options [3][20]. - Spline interpolation was employed to create a more stable IV surface, enhancing the reliability of the timing indicators derived from it [3][23]. Group 3: Performance of Timing Strategies - The timing strategy based on IV sentiment indicators showed significant effectiveness, particularly for the China Securities 1000 Index, achieving an annualized absolute return of 18% and an excess return of 24% [4][31]. - The strategy's success is attributed to a high win rate rather than the profit-loss ratio, with the China Securities 1000 Index options demonstrating the best performance among tested indices [4][31]. - The use of index futures in conjunction with the timing strategy further enhanced returns, with an annualized absolute return of 22.3% and an excess return of 28.5% when using the China Securities 1000 index futures as the trading vehicle [4][38].

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：上证综指数震荡上行高位盘整，大盘蓝筹股偏强震荡，而中小盘股和创业板股表现为高位盘整。 （2）金融期权波动性分析：金融期权隐含波动率历史较低水平水平波动。 金融期权 2025/05/20 （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 A-share market experienced a rebound with leading weights driving the increase [1] - All types of options saw increased trading activity and rising open interest, indicating a more active market [2] - The trading volume and open interest for various ETF options were significant, with the highest being the CSI 500 ETF options at 1,807,038 contracts traded and an open interest of 1,268,751 contracts [2] Group 2 - All option underlying assets closed in the green, and implied volatility increased, reflecting improved market sentiment [3] - The weighted implied volatility for major ETF options showed a range from 0.1432 for the CSI 300 index options to 0.2749 for the Huaxia Sci-Tech 50 ETF options [3] - The outlook for the stock market remains strong, with expectations of continued high implied volatility and strategies focusing on volatility [3]