Report Industry Investment Rating No relevant content provided. Core View of the Report The report, taking CSI 1000 index options as an example, analyzes the suitability of option spread strategies in a market scenario where the market is expected to rise in the medium to long - term and fluctuate within a range in the short - term. It introduces various option spread strategies, including vertical spread, ratio spread, horizontal spread, diagonal spread, and butterfly spread, and studies their application scenarios through historical data backtesting [3][52]. Summary by Directory 1. Option Portfolio Strategy Construction Ideas - **Non - linear Profit and Loss Structure of Options**: Options have a non - linear profit and loss structure, which provides diverse strategy choices for investors. When constructing option portfolio strategies, multi - dimensional factors such as option position PCR, implied volatility, and the direction of the underlying index should be comprehensively considered [8]. - **Option Position PCR**: As of November 28, the position PCR of CSI 1000 index options was 97.48%, at the 84.9% quantile level since 2023. The decline in position PCR since mid - November indicates a weakening of market sentiment, and the market sentiment remains unclear as the position PCR has not risen above 100% [9]. - **Implied Volatility**: As of November 28, the at - the - money implied volatility of CSI 1000 index options was 17.32%, at the 33.7% quantile level since 2023. Since the implied volatility is at a low level, there is limited room for further decline. When constructing option portfolio strategies, investors should consider holding a positive vega risk exposure [11]. - **Index Fundamental Analysis**: Policy stability of macro - demand, policy support for technological innovation, and continuous inflow of funds into the stock market form the core logic for the medium - to - long - term upward movement of the index. However, due to the risk of the AI asset investment bubble overseas and the increase in the willingness of funds to take short - term profits, the index may fluctuate within a range in the short - term [15]. 2. Introduction to Option Spread Strategies - **Vertical Spread**: It can be divided into bull spread and bear spread. Bull spread is suitable for a moderately bullish market, and bear spread is suitable for a moderately bearish market. This strategy can reduce the cost of premiums and control potential large losses [26][27]. - **Ratio Spread**: It is an asymmetric spread strategy, including bullish ratio spread and bearish ratio spread. It is suitable for investors with specific expectations for market direction or volatility, with the core logic of using option premium income and time - value decay characteristics to pursue profits while controlling risks [30]. - **Horizontal Spread**: Also known as calendar spread, it takes advantage of the asymmetry of time - value decay. It is suitable for a market environment of "price consolidation + rising volatility" and is a time - arbitrage tool in a neutral market [35]. - **Diagonal Spread**: It combines the characteristics of vertical spread and horizontal spread, aiming to profit from the difference in time - value decay and price fluctuations. It can be constructed using call or put options and is suitable for investors with a clear directional judgment on the market but who also want to control risks [37]. - **Butterfly Spread**: A three - leg combination suitable for a range - bound market. It allows investors to lock in a price range and profit when the price of the underlying asset fluctuates within a narrow range, with strictly limited risks [39]. 3. Empirical Comparison of Option Spread Strategies - For the CSI 1000 index in the range of 7000 - 7600, different spread strategies can be selected to control the risk exposure of "bottom - fishing". Through backtesting, the overall performance ranking of strategies is ratio spread > butterfly spread > bull put spread > bull call spread > horizontal spread > diagonal spread, with the diagonal spread being the only losing strategy [45][47]. - The returns of vertical spread strategies are mainly affected by delta, while those of horizontal spread strategies are mainly affected by vega and theta. During the index's rebound, vertical spread strategies perform well, while during the index's decline, horizontal spread strategies may stop losses and repair, and the butterfly spread strategy maintains a relatively stable growth [50][51]. 4. Summary The report concludes that option spread strategies are suitable for a market scenario where the market is expected to rise in the medium to long - term and fluctuate within a range in the short - term. Different strategies have different profit and loss characteristics and application scenarios. For different Delta, theta, and vega scenarios, the optimal spread strategies also vary [52].

2025 年 11 月 30 日 渐行渐近：转债到期和时间价值衰 减压力分析 ——转债凸性与定价系列报告之四 ⚫ （1）剩余期限已缩短至 2.5 年附近，金融、消费转债"老龄化"严重 相关研究 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 王明路 A0230525060003 wangml@swsresearch.com 徐亚 A0230524060002 xuya@swsresearch.com 联系人 徐亚 A0230524060002 xuya@swsresearch.com 债 券 研 究 证 券 研 究 报 告 本研究报告仅通过邮件提供给 中庚基金 使用。1 请务必仔细阅读正文之后的各项信息披露与声明 债 券 策 略 - ⚫ 随着时间自然流失，转债市场剩余期限天然存在缩短趋势，而新券发行是改善转债剩余期 限的核心手段，2024 年以来随着转债新发大幅放缓，转债剩余期限明显缩短。截止到 2025/11/21，转债加权剩余期限仅为 2.53 年左右，剩余期限在 2 年以内的转债余额占 比已逼近 40%。参照历史数据来看，如果转债发行短期不明显放量，每自 ...

Core Viewpoint - The article introduces a tailored options strategy for a "choppy market" called Short Strangle, which allows investors to earn time decay profits even when the market is stagnant [2][3]. Strategy Definition - Short Strangle is defined as a strategy that bets on the volatility of the underlying asset decreasing, where the price does not experience significant upward or downward movement before the options expire [2][3]. - The strategy involves selling one out-of-the-money call option and one out-of-the-money put option with the same expiration date [2]. Investment Significance - Investors can profit from time decay when they expect the underlying asset's price to remain within a narrow range or when implied volatility is overestimated [3]. - The time value of options decreases as the expiration date approaches, allowing investors to potentially keep the entire premium if the options expire worthless [3]. Profit and Loss Calculation - The maximum profit is limited to the total premiums received from selling the options, while the potential loss is theoretically unlimited if the stock price moves beyond the established break-even points [6][7]. - The break-even points are calculated as follows: - Lower point = lower strike price - (premium from call + premium from put) - Upper point = higher strike price + (premium from call + premium from put) [6]. Strategy Characteristics - The strategy is neutral in direction, suitable for markets where the stock price is expected to fluctuate within a small range [6]. - Initial net income is generated from the premiums received from selling the two options, but higher margin requirements are necessary due to the potential for significant losses [6][7]. Comparison with Similar Strategies - Short Strangle is similar to Short Straddle but differs in that it uses out-of-the-money options instead of at-the-money options, resulting in a wider profit range but lower premium income [7]. Practical Application Example - An example is provided where a stock priced at $543 is used to illustrate the Short Strangle strategy, with specific premiums received and break-even calculations [8][10]. - The example shows potential outcomes based on different stock prices at expiration, highlighting the maximum profit and loss scenarios [10]. Usage Recommendations - It is advised to choose shorter expiration dates for the options to mitigate risks associated with unexpected market movements [13]. - Investors should calculate the break-even points to assess the likelihood of the stock price remaining within that range at expiration [13]. - Caution is advised for new investors due to the high potential risks associated with this strategy [14].

Core Viewpoint - The article discusses the "Short Straddle" strategy, which involves selling both call and put options to profit from a stable stock price, particularly in low volatility environments [1][5]. Summary by Sections Strategy Definition - The Short Straddle strategy is defined as betting on low volatility, where the investor sells both a call and a put option with the same strike price and expiration date [1][4]. - The strategy aims to collect premiums from both options, profiting if the stock price remains within a certain range [1][4]. Profit and Loss Calculation - The maximum profit is limited to the total premiums received from selling the options, while the potential loss is theoretically unlimited if the stock price moves significantly outside the defined range [4][10]. - The break-even points are calculated as the strike price plus or minus the total premiums received [4][10]. Market Conditions - This strategy is suitable for market conditions where the stock price is expected to remain stable, such as post-earnings announcements or during periods of low volatility [5][13]. - Investors should be cautious of the high margin requirements due to the potential for significant losses [5][13]. Practical Example - An example is provided where an investor sells a straddle on a stock priced at $152.49, collecting a total premium of $463, with break-even points at $147.87 and $157.13 [8][10]. - Various scenarios are analyzed, showing how profits and losses occur based on the stock price at expiration [10][11]. Recommendations - Investors are advised to maintain additional funds for margin calls and to prepare for potential assignment if options are exercised [13][14]. - It is suggested to use at-the-money options for constructing the strategy and to prefer shorter expiration periods to minimize risk from unexpected price movements [13][14]. - The article emphasizes the importance of calculating break-even points and understanding the risks involved, especially for inexperienced investors [14][15].

Core Viewpoint - The article explains why call options do not rise in price when the futures prices of similar products increase, highlighting significant differences in price-driving factors between futures and options [1]. Group 1: Option Status - Call options may be in an out-of-the-money state, meaning the strike price is significantly higher than the current futures price, resulting in zero intrinsic value [4]. - The Delta value of out-of-the-money options is low, indicating weak sensitivity to price changes in the underlying asset, which limits the price increase of options even when futures rise [4]. Group 2: Time Value Decay - Time value diminishes as the expiration date approaches, leading to a non-linear decay that can offset any gains from rising futures prices [7]. - Deep out-of-the-money options have minimal time value, making them vulnerable to complete erosion of any intrinsic value increase due to time decay [7][8]. Group 3: Implied Volatility - Implied volatility is a key parameter in option pricing; a decrease in implied volatility can lead to a decline in call option prices despite an increase in futures prices [8]. - The relationship between volatility and option prices is characterized by a "see-saw effect," where a drop in implied volatility negatively impacts option prices, counteracting gains from Delta [8]. Group 4: Market Liquidity and Transaction Costs - Poor liquidity in deep out-of-the-money options can widen bid-ask spreads, causing actual transaction prices to appear unchanged despite theoretical price increases [9]. - Large orders from institutional investors can push up market prices, but retail investors may struggle to execute trades at reasonable prices due to insufficient market depth [10]. Group 5: Other Factors - Changes in interest rates have a minimal impact on commodity options compared to stock options, with slight increases in call option prices possible due to higher holding costs [11]. - Differences in exercise styles (American vs. European options) affect time value decay, with European options experiencing more significant losses in time value when futures prices rise [12].