金融期权 2026-01-09 金融期权策略早报 | | 理 | | | | | --- | --- | --- | --- | --- | | 李立勤 李仁君 | 高级投研经 产业服务岗 | 从业资格号：F3074095 从业资格号： F03090207 | 交易咨询号：Z0017896 电话：0755-23375255 | 邮箱： lilq@wkqh.cn 邮箱： lirj@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为偏多上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降至历史均值偏下水平。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的卖方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | ...

金融期权 2026-01-08 金融期权策略早报 | | 理 | | | | | --- | --- | --- | --- | --- | | 李立勤 李仁君 | 高级投研经 产业服务岗 | 从业资格号：F3074095 从业资格号： F03090207 | 交易咨询号：Z0017896 电话：0755-23375255 | 邮箱： lilq@wkqh.cn 邮箱： lirj@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为偏多上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降至历史均值偏下水平。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的卖方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | ...

| | 理 | | | | | --- | --- | --- | --- | --- | | 李立勤 李仁君 | 高级投研经 产业服务岗 | 从业资格号：F3074095 从业资格号： F03090207 | 交易咨询号：Z0017896 电话：0755-23375255 | 邮箱： lilq@wkqh.cn 邮箱： lirj@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为偏多上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降至历史均值偏下水平。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的卖方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (亿元) | （亿元 ...

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock market, including the Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks, shows a high-level oscillating upward trend [3]. - The implied volatility of financial options has declined to a level below the historical average [3]. - For ETF options, it is suitable to construct a bullish seller strategy and a bull spread combination strategy for call options. For index options, it is suitable to construct a bullish seller strategy, a bull spread combination strategy for call options, and an arbitrage strategy between synthetic long futures with options and short futures [3]. 3. Summary by Related Catalogs Financial Market Index Overview - The Shanghai Composite Index closed at 3,965.28, up 1.60 points or 0.04%, with a trading volume of 903.8 billion yuan [4]. - The Shenzhen Component Index closed at 13,537.10, down 66.80 points or 0.49%, with a trading volume of 1,235.5 billion yuan [4]. - The SSE 50 Index closed at 3,034.63, down 10.77 points or 0.35%, with a trading volume of 117.1 billion yuan [4]. - The CSI 300 Index closed at 4,639.37, down 17.87 points or 0.38%, with a trading volume of 482.6 billion yuan [4]. - The CSI 500 Index closed at 7,430.61, down 28.22 points or 0.38%, with a trading volume of 390.4 billion yuan [4]. - The CSI 1000 Index closed at 7,594.16, down 11.37 points or 0.15%, with a trading volume of 466.9 billion yuan [4]. ETF Market Overview - The SSE 50 ETF closed at 3.109, down 0.011 or 0.35%, with a trading volume of 4.8702 million shares and a turnover of 1.519 billion yuan [5]. - The SSE 300 ETF closed at 4.763, down 0.021 or 0.44%, with a trading volume of 8.5291 million shares and a turnover of 4.070 billion yuan [5]. - The SSE 500 ETF closed at 7.548, down 0.032 or 0.42%, with a trading volume of 3.3780 million shares and a turnover of 2.559 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.417, down 0.002 or 0.14%, with a trading volume of 25.7752 million shares and a turnover of 3.675 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.373, down 0.001 or 0.07%, with a trading volume of 6.8515 million shares and a turnover of 0.946 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.838, down 0.022 or 0.45%, with a trading volume of 2.2579 million shares and a turnover of 1.095 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.979, down 0.012 or 0.40%, with a trading volume of 1.0772 million shares and a turnover of 0.322 billion yuan [5]. - The Shenzhen 100 ETF closed at 3.470, down 0.015 or 0.43%, with a trading volume of 0.7215 million shares and a turnover of 0.251 billion yuan [5]. - The ChiNext ETF closed at 3.205, down 0.021 or 0.65%, with a trading volume of 9.5207 million shares and a turnover of 3.056 billion yuan [5]. Option Factor - Volume and Open Interest PCR - For the SSE 50 ETF option, the volume PCR was 0.96, up 0.08, and the open interest PCR was 0.94, down 0.04 [6]. - For the SSE 300 ETF option, the volume PCR was 0.89, up 0.22, and the open interest PCR was 0.92, down 0.04 [6]. - For the SSE 500 ETF option, the volume PCR was 0.83, down 0.01, and the open interest PCR was 1.05, down 0.03 [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the volume PCR was 0.56, up 0.02, and the open interest PCR was 0.79, down 0.02 [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the volume PCR was 0.75, up 0.26, and the open interest PCR was 0.88, down 0.02 [6]. - For the Shenzhen 300 ETF option, the volume PCR was 0.92, up 0.21, and the open interest PCR was 0.96, down 0.01 [6]. - For the Shenzhen 500 ETF option, the volume PCR was 1.04, up 0.25, and the open interest PCR was 1.07, up 0.03 [6]. - For the Shenzhen 100 ETF option, the volume PCR was 2.34, up 0.91, and the open interest PCR was 1.55, up 0.19 [6]. - For the ChiNext ETF option, the volume PCR was 0.86, up 0.05, and the open interest PCR was 1.07, down 0.05 [6]. - For the SSE 50 index option, the volume PCR was 0.52, up 0.08, and the open interest PCR was 0.69, unchanged [6]. - For the CSI 300 index option, the volume PCR was 0.54, up 0.03, and the open interest PCR was 0.71, unchanged [6]. - For the CSI 1000 index option, the volume PCR was 0.66, up 0.02, and the open interest PCR was 0.98, unchanged [6]. Option Factor - Pressure and Support Levels - For the SSE 50 ETF option, the pressure level was 3.20, and the support level was 3.00 [8]. - For the SSE 300 ETF option, the pressure level was 4.80, and the support level was 4.70 [8]. - For the SSE 500 ETF option, the pressure level was 7.50, and the support level was 7.25 [8]. - For the Huaxia Science and Technology Innovation 50 ETF option, the pressure level was 1.45, and the support level was 1.40 [8]. - For the E Fund Science and Technology Innovation 50 ETF option, the pressure level was 1.50, and the support level was 1.30 [8]. - For the Shenzhen 300 ETF option, the pressure level was 4.90, and the support level was 4.80 [8]. - For the Shenzhen 500 ETF option, the pressure level was 3.00, and the support level was 2.90 [8]. - For the Shenzhen 100 ETF option, the pressure level was 3.50, and the support level was 3.40 [8]. - For the ChiNext ETF option, the pressure level was 3.20, and the support level was 3.10 [8]. - For the SSE 50 index option, the pressure level was 3,100, and the support level was 3,000 [8]. - For the CSI 300 index option, the pressure level was 4,700, and the support level was 4,600 [8]. - For the CSI 1000 index option, the pressure level was 7,600, and the support level was 7,300 [8]. Option Factor - Implied Volatility - For the SSE 50 ETF option, the at-the-money implied volatility was 13.35%, the weighted implied volatility was 13.36%, down 0.27% [11]. - For the SSE 300 ETF option, the at-the-money implied volatility was 15.43%, the weighted implied volatility was 15.05%, down 0.12% [11]. - For the SSE 500 ETF option, the at-the-money implied volatility was 19.30%, the weighted implied volatility was 19.51%, up 0.15% [11]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 27.51%, the weighted implied volatility was 27.14%, up 0.88% [11]. - For the E Fund Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 27.37%, the weighted implied volatility was 28.03%, up 0.48% [11]. - For the Shenzhen 300 ETF option, the at-the-money implied volatility was 15.51%, the weighted implied volatility was 18.62%, up 1.73% [11]. - For the Shenzhen 500 ETF option, the at-the-money implied volatility was 19.41%, the weighted implied volatility was 19.95%, up 0.77% [11]. - For the Shenzhen 100 ETF option, the at-the-money implied volatility was 19.83%, the weighted implied volatility was 21.21%, down 0.11% [11]. - For the ChiNext ETF option, the at-the-money implied volatility was 26.80%, the weighted implied volatility was 26.69%, up 0.40% [11]. - For the SSE 50 index option, the at-the-money implied volatility was 13.69%, the weighted implied volatility was 14.20%, down 0.36% [11]. - For the CSI 300 index option, the at-the-money implied volatility was 15.88%, the weighted implied volatility was 15.57%, down 0.04% [11]. - For the CSI 1000 index option, the at-the-money implied volatility was 20.07%, the weighted implied volatility was 20.23%, up 0.57% [11]. Strategy and Recommendations - **Financial Stocks Sector (SSE 50 ETF)**: - The SSE 50 ETF showed a high-level oscillating and consolidating trend. - The implied volatility of the SSE 50 ETF option remained at a relatively low level. - The open interest PCR of the SSE 50 ETF option was around 1.00, indicating oscillation. - The pressure level was 3.20, and the support level was 3.00. - Strategies: Construct a neutral seller combination strategy; implement a covered call strategy by holding the SSE 50 ETF and selling call options [14]. - **Large-Cap Blue-Chip Stocks Sector (SSE 300 ETF)**: - The SSE 300 ETF showed a rebound after a decline. - The implied volatility of the SSE 300 ETF option remained at a relatively low level. - The open interest PCR of the SSE 300 ETF option was around 1.00, indicating a weak oscillation. - The pressure level was 4.80, and the support level was 4.70. - Strategies: Construct a short volatility strategy by selling call and put options; implement a covered call strategy by holding the SSE 300 ETF and selling call options [14]. - **Small and Medium-Cap Stocks Sector (SSE 500 ETF)**: - The SSE 500 ETF showed a rebound and then a decline. - The implied volatility of the SSE 500 ETF option remained below the historical average. - The open interest PCR of the SSE 500 ETF option was above 1.00, indicating an oscillating trend. - The pressure level was 7.50, and the support level was 7.00. - Strategies: Construct a short volatility strategy by selling call and put options; implement a covered call strategy by holding the SSE 500 ETF and selling call options [15]. - **Large and Medium-Sized Stocks Sector (Shenzhen 100 ETF)**: - The Shenzhen 100 ETF showed a bullish high-level oscillation and then a decline. - The implied volatility of the Shenzhen 100 ETF option fluctuated around the average level. - The open interest PCR of the Shenzhen 100 ETF option was above 1.00, indicating a bullish oscillating and declining trend. - The pressure level was 3.40, and the support level was 3.30. - Strategies: Construct a short volatility strategy by selling call and put options; implement a covered call strategy by holding the Shenzhen 100 ETF and selling call options [15]. - **ChiNext Sector (ChiNext ETF)**: - The ChiNext ETF showed a bullish high-level oscillation. - The implied volatility of the ChiNext ETF option remained at a relatively high level. - The open interest PCR of the ChiNext ETF option was above 1.00, indicating a strengthening trend. - The pressure level was 3.20, and the support level was 3.00. - Strategies: Construct a short volatility strategy; implement a covered call strategy by holding the ChiNext ETF and selling call options [16]. - **Small and Medium-Cap Stocks Sector (CSI 1000)**: - The CSI 1000 index showed a high-level decline and then an oscillation. - The implied volatility of the CSI 1000 index option fluctuated below the average level. - The open interest PCR of the CSI 1000 index option was around 0.90, indicating a weak oscillating trend. - The pressure level was 7,400, and the support level was 7,000. - Strategies: Construct a short volatility strategy by selling call and put options and dynamically adjust the position to keep the delta negative [16].

金融期权 2025-12-26 金融期权策略早报 | | 理 | | | | | --- | --- | --- | --- | --- | | 李立勤 李仁君 | 高级投研经 产业服务岗 | 从业资格号：F3074095 从业资格号： F03090207 | 交易咨询号：Z0017896 电话：0755-23375255 | 邮箱： lilq@wkqh.cn 邮箱： lirj@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降至历史均值偏下水平。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的卖方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | ...

1. Report Industry Investment Rating - No information provided in the document. 2. Core Viewpoints of the Report - The stock market shows a high - level volatile upward trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks all performing in this way [2]. - The implied volatility of financial options has declined to a level below the historical average [2]. - For ETF options, it is suitable to construct a partial long - side seller strategy and a bull spread combination strategy of call options; for stock index options, it is suitable to construct a partial long - side seller strategy, a bull spread combination strategy of call options, and an arbitrage strategy of synthetic long futures with options and short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,940.95, up 20.97 (0.53%), with a trading volume of 773.9 billion yuan, a decrease of 32.9 billion yuan, and a PE of 16.46 [3]. - The Shenzhen Component Index closed at 13,486.42, up 117.43 (0.88%), with a trading volume of 1106.3 billion yuan, an increase of 13.4 billion yuan, and a PE of 31.16 [3]. - The Shanghai 50 Index closed at 3,025.18, down 2.34 (- 0.08%), with a trading volume of 91.3 billion yuan, a decrease of 19.2 billion yuan, and a PE of 11.78 [3]. - The CSI 300 Index closed at 4,634.06, up 13.32 (0.29%), with a trading volume of 406.4 billion yuan, a decrease of 26.8 billion yuan, and a PE of 14.11 [3]. - The CSI 500 Index closed at 7,352.04, up 95.25 (1.31%), with a trading volume of 331.9 billion yuan, an increase of 3.4 billion yuan, and a PE of 33.37 [3]. - The CSI 1000 Index closed at 7,506.38, up 113.96 (1.54%), with a trading volume of 406.3 billion yuan, an increase of 9.1 billion yuan, and a PE of 45.83 [3]. 3.2 Option - Based ETF Market Overview - The Shanghai 50 ETF closed at 3.099, up 0.001 (0.03%), with a trading volume of 6.6204 million shares, an increase of 6.5481 million shares, and a trading value of 2.05 billion yuan, a decrease of 0.191 billion yuan [4]. - The Shanghai 300 ETF closed at 4.757, up 0.017 (0.36%), with a trading volume of 5.3343 million shares, an increase of 5.2535 million shares, and a trading value of 2.531 billion yuan, a decrease of 1.302 billion yuan [4]. - The Shanghai 500 ETF closed at 7.470, up 0.096 (1.30%), with a trading volume of 3.5037 million shares, an increase of 3.4852 million shares, and a trading value of 2.611 billion yuan, an increase of 1.246 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.423, up 0.013 (0.92%), with a trading volume of 20.6799 million shares, an increase of 20.4685 million shares, and a trading value of 2.927 billion yuan, a decrease of 0.059 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.378, up 0.013 (0.95%), with a trading volume of 6.2588 million shares, an increase of 6.1892 million shares, and a trading value of 0.858 billion yuan, a decrease of 0.095 billion yuan [4]. - The Shenzhen 300 ETF closed at 4.832, up 0.020 (0.42%), with a trading volume of 1.1571 million shares, an increase of 1.1332 million shares, and a trading value of 0.558 billion yuan, a decrease of 0.594 billion yuan [4]. - The Shenzhen 500 ETF closed at 2.950, up 0.043 (1.48%), with a trading volume of 1.1667 million shares, an increase of 1.1590 million shares, and a trading value of 0.343 billion yuan, an increase of 0.0118 billion yuan [4]. - The Shenzhen 100 ETF closed at 3.478, up 0.010 (0.29%), with a trading volume of 0.9761 million shares, an increase of 0.9682 million shares, and a trading value of 0.338 billion yuan, an increase of 0.0063 billion yuan [4]. - The ChiNext ETF closed at 3.212, up 0.027 (0.85%), with a trading volume of 7.8286 million shares, an increase of 7.7340 million shares, and a trading value of 2.505 billion yuan, a decrease of 0.51 billion yuan [4]. 3.3 Option Factors - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume was 788,200 contracts, a decrease of 92,600 contracts; the position was 1,281,300 contracts, a decrease of 22,700 contracts; the volume PCR was 0.76, a decrease of 0.16; the position PCR was 1.02, a decrease of 0.01 [5]. - For the Shanghai 300 ETF option, the trading volume was 894,700 contracts, a decrease of 121,200 contracts; the position was 1,311,300 contracts, an increase of 12,400 contracts; the volume PCR was 0.83, a decrease of 0.09; the position PCR was 1.10, unchanged [5]. - For the Shanghai 500 ETF option, the trading volume was 1,435,500 contracts, an increase of 258,900 contracts; the position was 1,196,300 contracts, a decrease of 7,800 contracts; the volume PCR was 0.94, a decrease of 0.31; the position PCR was 1.33, an increase of 0.12 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 1,185,800 contracts, a decrease of 92,800 contracts; the position was 2,395,700 contracts, an increase of 8,400 contracts; the volume PCR was 0.66, a decrease of 0.06; the position PCR was 0.94, an increase of 0.02 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 256,100 contracts, a decrease of 5,900 contracts; the position was 640,100 contracts, an increase of 300 contracts; the volume PCR was 0.68, a decrease of 0.19; the position PCR was 0.95, unchanged [5]. - For the Shenzhen 300 ETF option, the trading volume was 350,700 contracts, an increase of 96,200 contracts; the position was 336,100 contracts, a decrease of 6,600 contracts; the volume PCR was 0.94, an increase of 0.03; the position PCR was 1.04, an increase of 0.03 [5]. - For the Shenzhen 500 ETF option, the trading volume was 434,300 contracts, an increase of 134,400 contracts; the position was 418,100 contracts, an increase of 9,200 contracts; the volume PCR was 1.20, an increase of 0.12; the position PCR was 1.18, an increase of 0.14 [5]. - For the Shenzhen 100 ETF option, the trading volume was 43,400 contracts, a decrease of 44,900 contracts; the position was 123,200 contracts, a decrease of 1,100 contracts; the volume PCR was 1.03, a decrease of 0.36; the position PCR was 1.40, a decrease of 0.08 [5]. - For the ChiNext ETF option, the trading volume was 1,763,900 contracts, a decrease of 305,000 contracts; the position was 1,854,200 contracts, a decrease of 89,300 contracts; the volume PCR was 0.78, a decrease of 0.29; the position PCR was 1.50, an increase of 0.11 [5]. - For the Shanghai 50 index option, the trading volume was 22,500 contracts, an increase of 1,600 contracts; the position was 47,500 contracts, an increase of 2,300 contracts; the volume PCR was 0.49, a decrease of 0.24; the position PCR was 0.65, a decrease of 0.01 [5]. - For the CSI 300 index option, the trading volume was 94,600 contracts, an increase of 20,000 contracts; the position was 154,400 contracts, an increase of 7,500 contracts; the volume PCR was 0.55, a decrease of 0.09; the position PCR was 0.68, a decrease of 0.01 [5]. - For the CSI 1000 index option, the trading volume was 248,400 contracts, an increase of 91,200 contracts; the position was 251,600 contracts, an increase of 5,700 contracts; the volume PCR was 0.64, a decrease of 0.13; the position PCR was 0.99, an increase of 0.05 [5]. 3.4 Option Factors - Pressure Points and Support Points - For the Shanghai 50 ETF, the pressure point was 3.10, with an offset of - 0.10; the support point was 3.00, with an offset of 0; the maximum call position was 56,894, and the maximum put position was 52,007 [7]. - For the Shanghai 300 ETF, the pressure point was 4.80, with an offset of 0; the support point was 4.60, with an offset of 0; the maximum call position was 67,750, and the maximum put position was 71,553 [7]. - For the Shanghai 500 ETF, the pressure point was 7.50, with an offset of 0.25; the support point was 7.25, with an offset of 0; the maximum call position was 60,932, and the maximum put position was 89,703 [7]. - For the Huaxia Science and Technology Innovation 50 ETF, the pressure point was 1.40, with an offset of 0; the support point was 1.40, with an offset of 0; the maximum call position was 78,670, and the maximum put position was 82,504 [7]. - For the E Fund Science and Technology Innovation 50 ETF, the pressure point was 1.50, with an offset of 0; the support point was 1.25, with an offset of 0; the maximum call position was 21,257, and the maximum put position was 16,418 [7]. - For the Shenzhen 300 ETF, the pressure point was 4.90, with an offset of 0; the support point was 4.80, with an offset of 0; the maximum call position was 10,781, and the maximum put position was 8,352 [7]. - For the Shenzhen 500 ETF, the pressure point was 2.90, with an offset of 0; the support point was 2.90, with an offset of 0; the maximum call position was 9,793, and the maximum put position was 8,231 [7]. - For the Shenzhen 100 ETF, the pressure point was 3.60, with an offset of 0; the support point was 3.40, with an offset of 0.20; the maximum call position was 2,861, and the maximum put position was 2,702 [7]. - For the ChiNext ETF, the pressure point was 3.20, with an offset of 0; the support point was 3.10, with an offset of 0; the maximum call position was 77,483, and the maximum put position was 68,255 [7]. - For the Shanghai 50 index option, the pressure point was 3,050, with an offset of - 50; the support point was 3,000, with an offset of 0; the maximum call position was 2,552, and the maximum put position was 2,127 [7]. - For the CSI 300 index option, the pressure point was 4,600, with an offset of 0; the support point was 4,600, with an offset of 100; the maximum call position was 10,751, and the maximum put position was 5,706 [7]. - For the CSI 1000 index option, the pressure point was 7,500, with an offset of 0; the support point was 7,200, with an offset of 0; the maximum call position was 7,147, and the maximum put position was 7,722 [7]. 3.5 Option Factors - Implied Volatility - For the Shanghai 50 ETF option, the at - the - money implied volatility was 10.04%, the weighted implied volatility was 12.95%, an increase of 0.63%, the annual average was 15.99%, the call implied volatility was 13.15%, the put implied volatility was 12.67%, the 20 - day historical volatility was 12.03%, and the implied - historical volatility difference was 0.92% [10]. - For the Shanghai 300 ETF option, the at - the - money implied volatility was 30.99%, the weighted implied volatility was 14.69%, an increase of 0.82%, the annual average was 16.61%, the call implied volatility was 14.66%, the put implied volatility was 14.73%, the 20 - day historical volatility was 13.40%, and the implied - historical volatility difference was 1.29% [10]. - For the Shanghai 500 ETF option, the at - the - money implied volatility was 16.44%, the weighted implied volatility was 18.63%, an increase of 1.44%, the annual average was 20.38%, the call implied volatility was 18.37%, the put implied volatility was 18.93%, the 20 - day historical volatility was 17.09%, and the implied - historical volatility difference was 1.54% [10]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 47.69%, the weighted implied volatility was 25.38%, an increase of 0.70%, the annual average was 33.82%, the call implied volatility was 25.55%, the put implied volatility was 25.14%, the 20 - day historical volatility was 25.64%, and the implied - historical volatility difference was - 0.26% [10]. - For the E Fund Science and Technology Innovation 50 ETF option, the at

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The stock market shows a high - level volatile upward trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks all experiencing such a market condition [3]. - The implied volatility of financial options has dropped to a level below the historical average [3]. - For ETF options, it is suitable to construct a bullish - biased seller strategy and a call option bull spread combination strategy; for index options, in addition to the above two strategies, an arbitrage strategy of long synthetic futures and short futures can also be constructed [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,919.98, up 2.61 points or 0.07%, with a trading volume of 8,069 billion yuan and an increase of 171 billion yuan in trading volume [4]. - The Shenzhen Component Index closed at 13,368.99, up 36.26 points or 0.27%, with a trading volume of 10,930 billion yuan and an increase of 208 billion yuan in trading volume [4]. - The Shanghai 50 Index closed at 3,027.52, up 7.29 points or 0.24%, with a trading volume of 1,105 billion yuan and an increase of 37 billion yuan in trading volume [4]. - The CSI 300 Index closed at 4,620.73, up 9.11 points or 0.20%, with a trading volume of 4,331 billion yuan and a decrease of 151 billion yuan in trading volume [4]. - The CSI 500 Index closed at 7,256.79, up 1.13 points or 0.02%, with a trading volume of 3,286 billion yuan and an increase of 14 billion yuan in trading volume [4]. - The CSI 1000 Index closed at 7,392.42, down 15.93 points or 0.22%, with a trading volume of 3,972 billion yuan and an increase of 160 billion yuan in trading volume [4]. 3.2 Option - Underlying ETF Market Overview - The Shanghai 50 ETF closed at 3.098, up 0.006 or 0.19%, with a trading volume of 722.71 million shares and an increase of 717.27 million shares, and a trading volume of 22.41 billion yuan and an increase of 5.59 billion yuan [5]. - The Shanghai 300 ETF closed at 4.740, up 0.010 or 0.21%, with a trading volume of 808.34 million shares and an increase of 799.97 million shares, and a trading volume of 38.33 billion yuan and a decrease of 1.24 billion yuan [5]. - The Shanghai 500 ETF closed at 7.374, up 0.006 or 0.08%, with a trading volume of 185.06 million shares and an increase of 182.24 million shares, and a trading volume of 13.65 billion yuan and a decrease of 7.12 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.410, up 0.005 or 0.36%, with a trading volume of 2,114.00 million shares and an increase of 2,087.48 million shares, and a trading volume of 29.86 billion yuan and a decrease of 7.29 billion yuan [5]. 3.3 Option Factor - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume was 88.08 million contracts, an increase of 15.23 million contracts; the open interest was 130.40 million contracts, an increase of 4.81 million contracts; the trading volume PCR was 0.92, an increase of 0.13; the open - interest PCR was 1.02, an increase of 0.05 [6]. - For the Shanghai 300 ETF option, the trading volume was 101.59 million contracts, a decrease of 0.29 million contracts; the open interest was 129.89 million contracts, an increase of 3.28 million contracts; the trading volume PCR was 0.92, an increase of 0.03; the open - interest PCR was 1.10, an increase of 0.07 [6]. 3.4 Option Factor - Pressure and Support Points - The pressure point of the Shanghai 50 ETF is 3.20, and the support point is 3.00 [8]. - The pressure point of the Shanghai 300 ETF is 4.80, and the support point is 4.60 [8]. 3.5 Option Factor - Implied Volatility - The at - the - money implied volatility of the Shanghai 50 ETF option is 11.04%, the weighted implied volatility is 12.32%, a decrease of 1.21%, and the annual average is 15.99% [11]. - The at - the - money implied volatility of the Shanghai 300 ETF option is 13.20%, the weighted implied volatility is 13.87%, a decrease of 1.38%, and the annual average is 16.60% [11]. 3.6 Strategy and Suggestions - The financial options sector is divided into large - cap blue - chip stocks, small - and medium - sized boards, and the ChiNext board. Different sectors are recommended with corresponding option strategies [13]. - For the Shanghai 50 ETF in the financial stock sector, a seller - neutral combination strategy can be constructed to obtain time - value income, and a spot long - covered call strategy can also be adopted [14]. - For the Shanghai 300 ETF in the large - cap blue - chip stock sector, a short - volatility strategy of selling call and put options can be constructed, and a spot long - covered call strategy can also be used [14].

金融期权 2025-12-22 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 李立勤 | 高级投研经 理 | 从业资格号： F3074095 | 电话：0755-23375252 | 邮箱：lilq@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降至历史均值偏下水平。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的卖方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | ...

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - The stock market shows a high - level oscillating upward trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks all in this market condition [3]. - The implied volatility of financial options has declined to a level below the historical average [3]. - For ETF options, it is suitable to construct a partial long - position seller strategy and a call option bull spread combination strategy; for index options, it is suitable to construct a partial long - position seller strategy, a call option bull spread combination strategy, and an arbitrage strategy between the synthetic long futures of options and short futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,876.37, up 6.09 points or 0.16%, with a trading volume of 704.9 billion yuan, a decrease of 61.9 billion yuan, and a PE of 16.22 [4]. - The Shenzhen Component Index closed at 13,053.97, down 170.54 points or 1.29%, with a trading volume of 950.6 billion yuan, a decrease of 93.7 billion yuan, and a PE of 30.25 [4]. - The Shanghai 50 Index closed at 2,998.52, up 6.84 points or 0.23%, with a trading volume of 82.7 billion yuan, a decrease of 24.8 billion yuan, and a PE of 11.72 [4]. - The CSI 300 Index closed at 4,552.79, down 27.08 points or 0.59%, with a trading volume of 382.1 billion yuan, a decrease of 70.4 billion yuan, and a PE of 13.96 [4]. - The CSI 500 Index closed at 7,100.84, down 37.00 points or 0.52%, with a trading volume of 275.5 billion yuan, a decrease of 26.9 billion yuan, and a PE of 32.29 [4]. - The CSI 1000 Index closed at 7,272.40, down 16.34 points or 0.22%, with a trading volume of 349.0 billion yuan, a decrease of 17.3 billion yuan, and a PE of 44.37 [4]. 3.2 Option - related Market Conditions 3.2.1 Option - based ETF Market - The closing prices, price changes, trading volumes, and trading volume changes of various option - based ETFs such as SSE 50 ETF, SSE 300 ETF, etc. are provided, with different trends in price and trading volume [5]. 3.2.2 Option Factor - Volume and Position PCR - The volume and position PCR data of different option varieties are presented, which can be used to analyze the strength of the option underlying market and the turning point of the market [6]. 3.2.3 Option Factor - Pressure and Support Points - The pressure and support points of different option varieties are given, which are determined from the strike prices of the maximum positions of call and put options [8][10]. 3.2.4 Option Factor - Implied Volatility - The implied volatility data of different option varieties are provided, including at - the - money implied volatility, weighted implied volatility, etc. [11][12]. 3.3 Strategies and Recommendations - The financial options sector is divided into large - cap blue - chip stocks, small - and medium - sized boards, and the ChiNext board, with different option varieties in each sector [13]. - For each sector, option strategies and recommendations are provided, including directional strategies and volatility strategies, and most of them involve constructing short - volatility strategies to obtain time - value returns [14][15][16]. 3.4 Option Chart Analysis - Charts of various option varieties such as SSE 50 ETF options, SSE 300 ETF options, etc. are provided, including price trend charts, volume and position charts, PCR charts, and implied volatility charts, which can be used for in - depth analysis of option market conditions [17][37][54]

金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 李立勤 | 高级投研经 理 | 从业资格号： F3074095 | 电话：0755-23375252 | 邮箱：lilq@wkqh.cn | 金融期权 2025-12-17 （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降至历史均值偏下水平。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的卖方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 金融期权策略早报概要： 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | ...