1. Report Industry Investment Rating No information provided in the text. 2. Core Viewpoints of the Report - This week, the straddle statistical arbitrage strategy led the option strategies in the CSI 300 stock index options and SSE 50 ETF options, with weekly returns of 0.28% and 0.18% respectively. The strategy of selling the wide - straddle at the maximum position led the option strategies in the CSI 1000 stock index options, with a weekly return of 0.76% [1][6][11][16]. - From January 2024 to the present, the benchmark strategies in the CSI 300, SSE 50 ETF, and CSI 1000 stock index options markets performed best, with cumulative returns of 24.37%, 26.13%, and 30.9% respectively. Among the option strategies, the short - put strategy in the CSI 300 and SSE 50 ETF options, and the protective put strategy in the CSI 1000 stock index options had relatively good performance [6][11][16]. - The three option hedging strategies (covered call, protective put, and collar) can effectively reduce the maximum drawdown of the benchmark in all three markets [7][11][16]. - The three option volatility trading strategies (straddle statistical arbitrage, short - straddle, and selling the wide - straddle at the maximum position) can effectively reduce the strategy's drawdown due to the additional threshold limit in the clustering dimension of implied volatility [7][11][16]. - In the CSI 300 and SSE 50 ETF options, the short - straddle strategy is better than the strategy of selling the wide - straddle at the maximum position in terms of short - selling volatility; in the CSI 1000 stock index options, the short - straddle strategy has better returns [7][11][17]. - The bull call spread strategy has stronger returns than the benchmark in all three markets and can reduce the maximum drawdown because it can avoid tail risks [7][12][17]. 3. Summary by Relevant Catalogs 3.1 This Week's Market Review 3.1.1 CSI 300 Stock Index Option Strategy Review - Based on the CSI 300 index, futures, and options, eight common strategies were back - tested. This week, the straddle statistical arbitrage strategy led with a 0.28% return. From January 2024 to the present, the benchmark performed best with a 24.37% cumulative return, and the short - put strategy led among the option strategies with a 9.79% cumulative return [5][6][7]. 3.1.2 SSE 50 ETF Option Strategy Review - Based on the 50 ETF and its options, eight common strategies were back - tested. This week, the straddle statistical arbitrage strategy led with a 0.18% return. From January 2024 to the present, the benchmark performed best with a 26.13% cumulative return, and the short - put strategy led among the option strategies with a 19.44% cumulative return [8][11]. 3.1.3 CSI 1000 Stock Index Option Strategy Review - Based on the CSI 1000 index, futures, and options, eight common strategies were back - tested. This week, the strategy of selling the wide - straddle at the maximum position led with a 0.76% return. From January 2024 to the present, the benchmark performed best with a 30.9% cumulative return, and the protective put strategy had relatively good performance among the option strategies [13][16]. 3.2 Strategy Specific Descriptions 3.2.1 Covered Call Strategy - Purpose: To enhance returns, commonly used by overseas mutual funds. It can reduce holding costs and enhance stock - holding returns when the underlying asset is expected to rise slightly or not rise [18]. - Construction: For the SSE 50 ETF, buy 1 share of 50 ETF and sell 1 share of a 10% out - of - the - money standard call option. For the CSI 300 stock index futures, buy 1 contract and sell 3 contracts of a 4% out - of - the - money call option [18][21]. 3.2.2 Short - Put Strategy - Purpose: To obtain premium income when the market is stable or not expected to fall sharply [24]. - Construction: Sell at - the - money standard put options, with different settings for the SSE 50 ETF and CSI 300 stock index futures in terms of contract multiplier and fees [24][26]. 3.2.3 Protective Put Strategy - Purpose: To hedge risks when the market goes down while allowing investors to enjoy some upside returns [28]. - Construction: For the SSE 50 ETF, buy 1 share of 50 ETF and 1 share of a 10% out - of - the - money standard put option. For the CSI 300 stock index futures, buy 1 contract and 3 contracts of a 4% out - of - the - money put option [29][31]. 3.2.4 Collar Strategy - Purpose: A neutral strategy that combines the covered call and protective put strategies to provide tail - risk management while reducing hedging costs [34]. - Construction: For the SSE 50 ETF, hold 1 share of 50 ETF, buy 1 share of a 10% out - of - the - money put option, and sell 1 share of a 10% out - of - the - money call option. For the CSI 300 stock index futures, hold 1 contract, buy 3 contracts of a 4% out - of - the - money put option, and sell 3 contracts of a 4% out - of - the - money call option [34][37]. 3.2.5 Straddle Statistical Arbitrage Strategy - Purpose: To trade volatility by taking advantage of the mean - reversion relationship between implied volatility and historical volatility [40]. - Construction: Use a straddle strategy to go long or short on implied volatility. Make decisions based on the difference between implied volatility and historical volatility, and consider the clustering of implied volatility [41]. 3.2.6 Short - Straddle Strategy - Purpose: A strategy to short - sell volatility, aiming to profit from the decline in volatility [46]. - Construction: Sell at - the - money call and put options of the same month, adjust positions according to changes in the at - the - money level and the main contract, and consider the clustering of implied volatility [48][51]. 3.2.7 Strategy of Selling the Wide - Straddle at the Maximum Position - Purpose: To obtain time - value income by constructing a short - wide - straddle option portfolio based on the maximum position levels of call and put options [53]. - Construction: Sell standard call and put options at the maximum position levels, adjust positions according to changes in the maximum position levels and the main contract, and consider the clustering of implied volatility [55][57]. 3.2.8 Bull Call Spread Strategy - Purpose: A low - cost long - call strategy, suitable for when the underlying price is expected to rise moderately in the short term and implied volatility is low [60]. - Construction: Buy at - the - money call options and sell 10% (SSE 50 ETF) or 4% (CSI 300 stock index futures) out - of - the - money call options [61][63].