[Table_Info1] 证券研究报告 [Table_Title] 证券研究报告 / 基金研究报告 缓冲型 ETF 国内实践探索 报告摘要： [Table_Summary] 本报告系统梳理并评估缓冲型 ETF 的产品设计逻辑、工程实现路径、主 要风险来源与治理要点，旨在为基金管理人、渠道方与监管机构提供一 套可审计、可回放的试点建议与实务清单。缓冲型 ETF 通过在每个结果 周期内以四腿期权组合（深度实值买入 Call、平值买入 Put、卖出虚值 Put 与卖出虚值 Call）合成敞口，从而在限定下行（Buffer）的同时对上行收 益设定明确上限（Cap）。与传统被动 ETF 不同，此类产品的关键并非静 态标的配置，而是重置日的市场快照、期权定价与成交执行三要素共同 决定的动态再投资路径。 在定价维度上，缓冲型 ETF 的 Cap 并非发行人任意设计的宣传参数，而 是由当日隐含波动率曲线、Skew 形态、利率与股息预期、期权流动性与 做市商风险偏好等市场变量共同内生生成。实现接近"零成本"或资金平 衡的权利金结构需精确匹配买入保护与卖出融资腿的权利金差额，因此 重置日的定价模型、IV 曲线拟合方法与成交滑点 ...

Core Viewpoint - The article discusses the high implied volatility of Shanghai silver options, suggesting that investors can develop corresponding options strategies based on their predictions of Shanghai silver futures prices. The volatility is influenced by macroeconomic or geopolitical events, leading to significant short-term fluctuations in precious metals options [1][8]. Group 1: Market Overview - Last week, precious metal futures surged, with the implied volatility of Shanghai silver options reaching a historical high of over 65%, indicating a strong market expectation for price fluctuations [1][3]. - As of December 26, 2025, the total trading volume of options contracts was 607,227, a decrease of 308.93% from the previous trading day, while total open interest increased by 12.36% to 344,794 contracts [3]. Group 2: Volatility Analysis - Implied volatility is a key variable in options pricing, and high implied volatility often indicates that options may be overvalued, especially if it significantly exceeds historical volatility [4][8]. - The article emphasizes the importance of understanding the relationship between implied volatility and options pricing, noting that higher volatility typically leads to higher option premiums [5][8]. Group 3: Options Strategies - Investors are advised to consider various options strategies in the context of high implied volatility, such as buying out-of-the-money call options for potential high returns, while being aware of the risks associated with time decay and volatility regression [9][15]. - The bull call spread strategy is recommended for those expecting limited price increases, allowing investors to reduce the cost of buying call options while still benefiting from upward price movements [10][12]. - The covered call strategy is suggested for investors holding long positions in Shanghai silver futures, enabling them to enhance returns by selling out-of-the-money call options [13][15].

期权的理论研究可以分为期权定价、交易策略和风险管理三个方面，其中，期权定价是交易策略和风险管理的理论基础。我们 从定价的角度来看，期权的价格变动可以用以下数学公式表示： $\Lambda V_{\rm option}\approx delta\cdot\Delta S+\frac{1}{2}$_gamma$\cdot\Delta S^{2}-$theta$\cdot\Delta T+$vega$\cdot\Delta\sigma+$rho$\cdot\Delta r$_ 由于利率变动较小，对期权的价格影响较为有限，剩下四个较为重要的研究维度分别是方向（delta）、加速度（gamma）、波 动率(vega)和时间价值(theta)，这四个维度可以解释大部分期权价格的变化。虽然从数学的角度看还有更为高阶的分解，但是高 阶部分对期权的价格影响较小，这里不再做更细微的分析。 在金融市场中，期权策略对于各类市场参与者具有重要的实践意义和价值。期权交易策略为投资者提供了灵活的投资方式，合 理运用期权策略可以有效实现风险管理，优化资产配置，增强投资收益。本文系统梳理了期权策略的四个核心维度及其相互关 系，构建了期权波动率 ...

Group 1 - The article outlines the core fundamentals of options, pricing models, risk measurement tools (Greek letters), and practical trading applications, providing a theoretical foundation for pricing analysis, risk monitoring, and strategy construction in options trading [1] - Options are defined as the right of the holder to buy or sell an asset at a fixed price within a specific time frame, categorized into call options (buy) and put options (sell) with distinct definitions and payoff formulas [1] Group 2 - The article presents the options pricing parity formula, which establishes a no-arbitrage pricing relationship between call and put options for the same underlying asset, strike price, and expiration date [2] - It describes two investment portfolios that demonstrate the equivalence of the current values of call and put options, reinforcing the no-arbitrage principle [3] Group 3 - The Black-Scholes pricing formula for European call and put options is detailed, including the variables involved such as the current asset price, strike price, time to expiration, risk-free interest rate, and annualized volatility [4] - The core logic of the Black-Scholes formula is explained as the expected value of the option's payoff under a risk-neutral probability measure [4] Group 4 - The article discusses the components of option value, distinguishing between intrinsic value (immediate exercise profit) and time value (the portion of the option price exceeding intrinsic value), which is influenced by volatility and time to expiration [5] Group 5 - Greek letters are introduced as quantitative indicators of the impact of changes in underlying price, volatility, time, and interest rates on option value, with key metrics such as Delta, Gamma, Vega, Theta, and Rho defined and compared for call and put options [6]

Core Viewpoint - The article emphasizes the risks associated with being an options seller, arguing that the rules favor the buyer and that selling options can lead to significant losses over time [2][5][11]. Group 1: Options Trading Insights - The author believes that options are more favorable to buyers due to limited losses and unlimited potential gains, contrasting this with the risks faced by sellers [2][5]. - The article discusses the misconception that out-of-the-money options have no value, asserting that they can still hold significant worth and should not be dismissed [3][4]. - It highlights the limitations of the Black-Scholes (BS) pricing model, suggesting that relying solely on this model may lead to missed opportunities for undervalued options [4][7]. Group 2: Human Behavior in Trading - The article explores the psychological aspects of trading, noting that both buyers and sellers can fall into traps due to their inherent risk-seeking behaviors [5][6]. - It suggests that the allure of quick profits can lead traders to make irrational decisions, often resulting in losses [5][10]. Group 3: Options as a Risk Management Tool - The article posits that options should primarily be viewed as tools for hedging and enhancing portfolio resilience rather than mere speculative instruments [8][10]. - It emphasizes the versatility of options in constructing various risk-return profiles, making them valuable in investment strategies [8].

Core Insights - The report emphasizes the importance of understanding the Black-Scholes (BS) model as a foundational option pricing model, despite its limitations in practical applications [6][7][8] - It highlights the advantages of using Monte Carlo simulation for pricing convertible bonds, particularly in accounting for complex features such as redemption and down-round clauses [34][41] - The report discusses the relationship between implied volatility and actual bond pricing, suggesting that discrepancies can indicate market conditions [20][25][26] Group 1: BS Model and Its Applications - The BS model is a fundamental option pricing model that assumes stock prices follow a geometric Brownian motion, which is crucial for understanding option pricing [6][9] - The report outlines the application of the BS model in calculating implied volatility, theoretical pricing, and Greek letters, which are essential for assessing convertible bonds [20][31] - It notes that the BS model's limitations include its inability to account for certain bond features, leading to potential overvaluation or undervaluation of convertible bonds [26][18] Group 2: Monte Carlo Simulation - Monte Carlo simulation is presented as a method that can effectively incorporate the impact of bond features on pricing, contrasting with the BS model's separation of bond value and option value [34][41] - The report details the steps involved in Monte Carlo simulation, including generating random stock price paths and evaluating cash flows based on bond features [34][37] - It concludes that while Monte Carlo simulation may require more computational resources, it often yields more accurate pricing results compared to the BS model, especially in bear markets [41][46] Group 3: Investment Strategies - The report suggests constructing investment strategies based on the pricing discrepancies identified through BS and Monte Carlo simulations, focusing on undervalued convertible bonds [34][41] - It emphasizes the importance of Greek letters in developing investment strategies, as they provide insights into the sensitivity of bond prices to various factors [31][32] - The report indicates that strategies based on BS pricing deviations and Monte Carlo simulations have historically outperformed traditional low-price strategies [41][49]

Core Insights - The article discusses the evolution and significance of the binomial option pricing model, which serves as a crucial complement to the Black-Scholes model in the field of option pricing [1][10]. Group 1: Historical Context - The Black-Scholes model revolutionized option pricing in the 1970s, providing a mathematical framework that gained widespread acceptance in both academia and practice [1]. - The limitations of the Black-Scholes model, such as its strict assumptions about market conditions, led to the development of the binomial model by Cox, Ross, and Rubinstein in 1979 [2][10]. Group 2: Binomial Model Fundamentals - The binomial model divides the option's life into multiple discrete time intervals, allowing for a more intuitive representation of asset price movements [2]. - In each time interval, the asset price can either increase or decrease, creating a branching structure similar to a binomial tree [2][3]. - The model operates under the no-arbitrage principle, ensuring that there are no risk-free profit opportunities in the market [2]. Group 3: Pricing Mechanism - The single-period model serves as the foundation for the multi-period binomial model, where option values are calculated recursively from the expiration date back to the present [5]. - The risk-neutral probability is a key concept in the model, simplifying the calculation of expected option values [4][6]. Group 4: Application to American Options - The binomial model is particularly suited for pricing American options, which can be exercised at any time before expiration, by evaluating the option's value at each node [8]. - The model allows for the comparison of holding the option until expiration versus exercising it early, thus accurately reflecting the value of early exercise [8]. Group 5: Limitations and Challenges - Despite its advantages, the binomial model faces challenges such as exponential growth in computational nodes with increasing periods, which can hinder real-time pricing in high-frequency trading [9]. - The model's accuracy is highly dependent on the volatility input; discrepancies between assumed and actual market volatility can lead to significant pricing errors [9]. Group 6: Future Outlook - The binomial model has become a foundational tool in option pricing, addressing the limitations of the Black-Scholes model and adapting to complex derivatives [10]. - Ongoing advancements in algorithms and technology are expected to expand the model's applicability, supporting risk management and valuation across various financial products [10].

Core Viewpoint - The recent period has seen a wave of credit rating downgrades in the convertible bond market, raising concerns about credit risks associated with these bonds [1][2]. Group 1: Rating Downgrades - Multiple convertible bonds, including Baichuang Convertible Bond, Wentai Convertible Bond, and Puli Convertible Bond, have faced rating downgrades due to performance losses, debt pressures, and industry policy impacts [2]. - Baichuang Changyin's credit rating was downgraded from "A+" to "A" by Zhongzheng Pengyuan, with a stable outlook, primarily due to expected losses in 2024 and continuous losses in Q1 2025 [5][6]. - Wentai Technology's credit rating was adjusted to "AA-" by Zhongxin International, with a stable outlook, due to a decline in business diversification and expected significant revenue drops following the sale of its product integration business [8]. Group 2: Market Impact - Despite the downgrades, the overall impact on the A-share market has been limited, with most low-priced convertible bonds not showing significant fluctuations [11]. - The month of June is typically a critical window for rating changes, and while there were downgrades this year, the market did not experience the same adjustment pressures as in previous years [12]. - According to Xinyi Securities, the overall pricing of convertible bonds has improved due to rising underlying stock prices and adjustments in bond conversion rights, indicating a shift in focus from credit risk to option pricing [13][14].