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].

Core Insights - The flexibility and adaptability of options strategies have been crucial for Qin Feng, the third prize winner of the "Zhengzhou Commodity Exchange Options Player Award" in this year's volatile market environment [1] - Qin Feng focuses on commodity options, valuing their unique advantages over futures, such as greater flexibility and more controllable risks [1] Trading Strategy - Qin Feng's trading strategy is based on three core factors: the future trend of the underlying asset, current volatility levels, and the rate of time decay [2] - She employs a "sell out-of-the-money call options" strategy, which allows her to profit from time decay without needing to predict price peaks or turning points accurately [1][2] Risk Management - The risk management system is a comprehensive "system engineering" approach, consisting of three main lines of defense [3] - The first line is position management, ensuring the "safety bottom line" of funds by avoiding excessive bets on a single asset or strategy [3] - The second line involves strategic risk diversification to prevent "one-way risk exposure," often using a "double sell" strategy by selling both call and put options [3] - The third line is a "combinatorial stop-loss" approach, which includes both hard stop-loss limits and options-specific "Greek letter stop-losses" to monitor risks [3] Market Perspective - Qin Feng views each market fluctuation as an essential "required course," emphasizing that options should not be seen merely as profit-making tools but as sophisticated risk management instruments [4] - A deep understanding of the rules and strict adherence to risk control are deemed necessary for long-term success in the options market [4]