核心观点 主要观点 • 上周各期权隐含波动率表现为先扬后抑震荡回落格局，周一至周三盘中受海外流动性等因素影响隐含波动率出 现局部冲高，但我们亦注意到此过程中国内A股韧性十足，周四周五随着市场情绪的修复隐含波动率再度创出此 轮新低。当前11月IO、HO和MO期权平值隐波均值分别在13.95%、14%和18.3%左右，与30日历史波动率相比分别 溢价-2.89个百分点、-2个百分点和-0.3个百分点左右，溢价整体处于历史偏低水平，预计隐波继续回落空间相 对有限，波动率聚集性特征下或将继续呈现低位震荡格局。 • 隐波的不断回落显示期权市场更多以震荡上行进行定价，短期各指数向上加速概率仍旧偏低。 股指期权 • 持仓PCR值出现明显上行，看涨期权卖方在上周最后两个交易日均有明显减仓趋势，显示资金观点更多认为指数 下方空间不大。 • MO看跌期权持仓密集区在行权价7400点以下区域，IO看跌期权则在行权价4700点处依旧持仓极高，但结合技术 形态我们更倾向于用上周低点附近作为11月看跌期权卖方的防守区域。 2 • 综合而言，11月合约剩余时间将进入最后两周，时间价值衰减加快。一方面前期11月虚值看跌期权卖方仍可考 虑继续 ...

Core Viewpoint - The A-share market is expected to maintain a bullish trend in Q4 2025, but faces increased macroeconomic uncertainties, particularly regarding US-China trade policies, leading to heightened market volatility. Investors are encouraged to utilize options to create a balanced portfolio to navigate this turbulence and enhance returns [1]. Group 1: Market Trends - In Q3 2025, the market favored trading growth-oriented index options, with the CSI 1000 index options holding a market share of 33.29%, a slight decrease of 2.9 percentage points from the previous quarter. The Southern CSI 500 ETF options followed with an 18.05% share, down 4 percentage points, while the ChiNext ETF options rose to 12.85%, an increase of 4.2 percentage points [2]. - The PCR (Put-Call Ratio) values for major financial options showed an upward trend, with the CSI 300 index options rising from 65% to around 100%, and the CSI 1000 index options increasing from 95% to approximately 120%, before retreating to a range of 90%-100% [2]. Group 2: Volatility Analysis - Implied volatility for options exhibited a clear pattern of rising and then declining in Q3 2025. The average implied volatility for CSI 300 and CSI 1000 options peaked at 24.11% and around 29% respectively in late August, before decreasing to approximately 15% and 22% [3]. - The implied volatility reached historical highs, with CSI 300 and CSI 1000 options touching the 90% and 87% percentiles over the past three years, indicating a more rational investor sentiment compared to previous market surges [3]. Group 3: Future Outlook - Looking ahead to Q4, the market remains in a bullish phase, with the CSI 300 index's bond-equity ratio at a two-standard-deviation extreme below the past three-year average. Implied volatility is at historical lows, but there is potential for an upward spike due to US-China trade uncertainties [5]. - Investors are advised to consider selling out-of-the-money put options after market sentiment stabilizes, as this strategy offers a higher margin of safety compared to direct long positions in index futures. Additionally, a shift from unilateral upward movement to a range-bound market is anticipated, suggesting that investors holding long positions in index futures should consider selling out-of-the-money call options to generate additional income [5].