期货研究报告 金融期权 | 日报 2025 年 12 月 4 日 金融期权 专业研究·创造价值 短期内股指延续区间震荡 核心观点 今日各股指均震荡小幅反弹。沪深京三市全天成交额 15617 亿元，较 上日缩量 1219 亿元。目前股指仍然处于震荡整理阶段，市场缺乏主线，资 金交投热情有所下降。一方面，短期内缺乏政策利好的主线，临近年末资金 交投热情下降，资金了结暂时离场的意愿较强，限制了股指的短线上行空 间。另一方面，未来政策面利好预期以及长线资金入市趋势不变，股指的支 撑力量较强，且中央经济工作会议的政策利好预期逐渐发酵，投资者风险偏 好不悲观。总的来说，短期内股指延续区间震荡。 期权方面，考虑到股指中长线向上，可以牛市价差或者比例价差温和 看涨的思路对待。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 投资咨询业务资格：证监许可【2011】1778 号 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 电话：0571-87006873 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本 ...

1. Report Industry Investment Rating - No relevant content provided. 2. Core Views of the Report - Short - term stock index will mainly fluctuate within a range. Today, all stock indices rose and then fell, with all - day volatile consolidation. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1797.2 billion yuan, a decrease of 29 billion yuan from the previous day. Since November, the incremental policy signals have weakened, the driving force for the upward movement of the stock index has decreased, and the willingness of funds to liquidate and temporarily leave the market has increased. Recently, both the margin trading purchase amount and margin trading balance have declined, indicating that market sentiment has declined compared with before. However, the positive policy expectations and continuous capital inflows have not changed in the medium and long term, and the support force below the stock index has emerged after a short - term correction. Overall, with the interweaving of long and short factors in the short term, the market's main line is still unclear, and the stock index will mainly fluctuate within a range in the short term. [3] - Regarding options, considering the medium - and long - term upward trend of the stock index, a bull spread strategy can be adopted after a significant correction of the stock index. [3] 3. Summary by Relevant Catalogs 3.1 Option Indicators - On November 26, 2025, the 50ETF rose 0.13% to close at 3.114; the 300ETF (Shanghai Stock Exchange) rose 0.63% to close at 4.626; the 300ETF (Shenzhen Stock Exchange) rose 0.80% to close at 4.778; the CSI 300 Index rose 0.61% to close at 4517.63; the CSI 1000 Index fell 0.02% to close at 7248.45; the 500ETF (Shanghai Stock Exchange) rose 0.16% to close at 7.065; the 500ETF (Shenzhen Stock Exchange) rose 0.18% to close at 2.825; the GEM ETF rose 2.23% to close at 3.027; the Shenzhen 100ETF rose 1.72% to close at 3.370; the SSE 50 Index rose 0.12% to close at 2971.80; the STAR 50ETF rose 0.95% to close at 1.38; the E Fund STAR 50ETF rose 1.13% to close at 1.34. [5] - The trading volume PCR and position PCR of various options on November 26, 2025, and their changes compared with the previous trading day are provided in detail, including those of 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 index options, CSI 1000 index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), GEM ETF options, Shenzhen 100ETF options, SSE 50 index options, STAR 50ETF options, and E Fund STAR 50ETF options. [6] - The implied volatility of at - the - money options in December 2025 and the 30 - trading - day historical volatility of the underlying assets of various options are presented, such as 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 index options, etc. [7][8] 3.2 Relevant Charts - For each type of option (e.g., 50ETF options, 300ETF options in Shanghai and Shenzhen, etc.), multiple charts are provided, including the underlying asset's trend chart, option volatility chart, trading volume PCR chart, position PCR chart, implied volatility curve chart, and chart of at - the - money implied volatility of each term. [9][20][33]

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The short - term view for IH2509 is oscillatory, the medium - term view is upward, and the intraday view is oscillatory and bullish. The overall view is oscillatory and bullish, supported by positive policy expectations [1]. - For IF, IH, IC, and IM, the intraday view is oscillatory and bullish, and the medium - term view is upward. The overall reference view is oscillatory and bullish. Although the main support comes from positive policy expectations, short - term upward momentum is weakening, and the market is expected to oscillate within a range [5]. 3. Summary by Related Catalogs 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector | Variety | Short - term | Medium - term | Intraday | Viewpoint Reference | Core Logic | | --- | --- | --- | --- | --- | --- | | IH2509 | Oscillatory | Upward | Oscillatory and bullish | Oscillatory and bullish | Policy - end positive expectations provide strong support [1] | 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - Yesterday, all stock indices continued to oscillate within a narrow range. The total stock market turnover was 1405.1 billion yuan, a decrease of 91.4 billion yuan from the previous day [5]. - The main support for stock indices comes from positive policy expectations. Due to unstable domestic demand and weak credit and inflation data, the market expects more policies to support economic demand and is concerned about the policy guidance of the Politburo meeting in July [5]. - Since late June, the stock indices have risen significantly, so the short - term upward momentum has weakened. The recent decline in trading volume indicates a cooling of the market's chasing sentiment [5].

Report's Investment Rating - No investment rating is provided in the report. Core Viewpoints - The short - term view of the stock index is that it will mainly fluctuate within a range, while the medium - term view is an upward trend. The core logic is that although there are policy - side positive expectations, there is a lack of clear short - term policy signals, and overseas geopolitical and tariff issues also affect market sentiment [1][4]. Summary by Related Catalogs Variety Viewpoint Reference - Financial Futures Stock Index Sector - For the IH2509 variety, the short - term view is oscillatory, the medium - term view is upward, the intraday view is oscillatory and bullish, and the overall view is range - bound. The core logic is that policy - side positive expectations provide strong support [1]. Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The intraday view of IF, IH, IC, and IM is oscillatory and bullish, the medium - term view is upward, and the reference view is range - bound. Last Friday, the stock index trends were oscillatory and differentiated, with IH and IF slightly rising and IC and IM slightly falling. The central bank's 6 - month LPR quote was in line with market expectations. Domestic macro - economic indicators have weakened marginally, and there is a need for more demand - supporting policies, increasing policy - side positive expectations. However, there are no clear short - term policy signals, and the policy - side driving force is insufficient in the short term. Overseas, the Middle - East geopolitical crisis and the approaching tariff - war deadline affect market sentiment, so the stock index will mainly fluctuate within a range in the short term [4].

Report Summary 1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core Views - The short - term view of the stock index is range - bound, the medium - term view is upward, and the intraday view is slightly bullish. For IH2506, the short - term is in a range, the medium - term is upward, and the intraday is slightly bullish, with policy - side positive expectations providing strong support [1][4]. - Although overseas uncertainties and weak domestic demand suppress the upward momentum of the stock index, the expectation of policy support due to weak macro - economic indicators provides strong bottom support. The market turning point can be observed from the policy guidance of the Lujiazui Forum on June 18th and its game with market expectations [4]. 3. Summary by Relevant Content 3.1 Variety View Reference - Financial Futures Stock Index Sector - For IH2506, the short - term is a range, the medium - term is upward, the intraday is slightly bullish, and the overall view is range - bound. The core logic is that policy - side positive expectations provide strong support [1]. 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The intraday view of IF, IH, IC, and IM is slightly bullish, the medium - term view is upward, and the reference view is range - bound. Yesterday, the stock indices were volatile in the morning and fell rapidly in the afternoon, closing down for the whole day. The Sino - US economic and trade consultation mechanism's first meeting started in London, with high uncertainty in the results, leading to a wait - and - see market sentiment. Overseas uncertainties and weak domestic demand suppress the upward momentum of the stock index, but weak macro - economic indicators increase the expectation of policy support, providing strong bottom support. The market turning point can be observed from the Lujiazui Forum on June 18th [4].