期货研究报告 投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2025 年 11 月 26 日 金融期权 专业研究·创造价值 短期内股指区间震荡为主 核心观点 今日各股指均冲高回落，全天震荡整理。沪深京三市全天成交额 17972 亿元，较上日缩量 290 亿元。11 月以来政策面增量信号减弱，股指上行驱 动有所减弱，资金了结暂时离场的意愿上升，近期融资买入金额与融资余额 均有所回落，表明市场情绪相对此前有所回落。不过政策面利好预期与资金 持续流入在中长看并未改变，股指短线回调之后下方支撑力量显现。总的来 说，短期内多空因素交织下市场主线尚不明晰，短期内股指区间震荡为主。 期权方面，考虑到股指中长线向上，股指深度回调之后可以牛市价差 思路对待。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 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， 本人承诺以勤勉的职业态度， 独立、客观地出具本报 ...

金融期权 2025-11-26 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 | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | | 标的 | 标的合约 | 收盘价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 成交额 | 额变化 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万份) | | (亿元) | | | 上证50ETF | 510050.SH | 3.110 | 0.016 | 0.52 | 570.06 | 563.87 | 17.72 | -1.43 | | 上证300ETF | 510300.SH | 4.597 | 0.040 | 0.88 | 895.94 | 884.38 | 41.21 | -11.49 | | 上证5 ...

期货研究报告 投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2025 年 11 月 25 日 金融期权 专业研究·创造价值 支撑力量较强，股指震荡反弹 核心观点 今日各股指均震荡反弹。沪深京三市全天成交额 18262 亿元，较上日 放量 858 亿元。由于年内政策继续加码的必要性不强，近期政策面的增量信 号减弱，投资者了结意愿上升，融资成交金额与融资余额均有所回落，反应 出市场交投情绪有所回落。短期内股指存在技术性整固的需求。不过 12 月 中央经济工作会议的政策利好预期仍存，政策面利好预期与资金持续流入 趋势这两方面并未发生改变，股指中长期来看不悲观。短线显著回调之后下 方支撑较强。总的来说，短期内股指区间震荡为主。 期权方面，考虑到股指中长线向上，股指深度回调之后可以牛市价差 思路对待。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 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 ...

（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，但维持较高水平波动。 金融期权 2025-11-25 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 | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： 金融期权研究 表3：期权因子—量仓PCR （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，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 2025-11-24 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 | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@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，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，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 | 标的 | 标的合约 | 收盘价 | 涨跌 | 涨跌幅 | 成交量 | 量变化 | 成交额 | 额变化 | | --- | --- | --- | --- | --- | --- | --- | -- ...

1. Report Industry Investment Rating - No information provided in the content 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 volatile upward market trend [2]. - The implied volatility of financial options has decreased but remains at a relatively high level of fluctuation [2]. - For ETF options, it is suitable to construct a bullish buyer strategy and a bull spread strategy for call options; for index options, it is suitable to construct a bullish seller strategy, a bull spread strategy for call options, and an arbitrage strategy between synthetic long futures of options and short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Indexes - The Shanghai Composite Index closed at 3,931.05, down 15.69 (-0.40%), with a trading volume of 711.3 billion yuan, a decrease of 9.6 billion yuan, and a PE of 16.46 [3]. - The Shenzhen Component Index closed at 12,980.82, down 99.27 (-0.76%), with a trading volume of 996.8 billion yuan, a decrease of 8.2 billion yuan, and a PE of 29.93 [3]. - The Shanghai 50 Index closed at 3,008.29, down 12.06 (-0.40%), with a trading volume of 101 billion yuan, an increase of 1.4 billion yuan, and a PE of 12.03 [3]. - The SSE 300 Index closed at 4,564.95, down 23.34 (-0.51%), with a trading volume of 415.1 billion yuan, an increase of 29.8 billion yuan, and a PE of 14.14 [3]. - The CSI 500 Index closed at 7,061.95, down 60.80 (-0.85%), with a trading volume of 254.2 billion yuan, a decrease of 2.6 billion yuan, and a PE of 32.17 [3]. - The CSI 1000 Index closed at 7,340.41, down 46.80 (-0.63%), with a trading volume of 356.7 billion yuan, a decrease of 10.5 billion yuan, and a PE of 46.45 [3]. 3.2 Option - underlying ETF Market - The Shanghai 50 ETF closed at 3.156, down 0.009 (-0.28%), with a trading volume of 3.8637 million shares, an increase of 3.7926 million shares, and a trading value of 1.225 billion yuan, a decrease of 1.029 billion yuan [4]. - The Shanghai 300 ETF closed at 4.676, down 0.021 (-0.45%), with a trading volume of 5.6194 million shares, an increase of 5.5337 million shares, and a trading value of 2.645 billion yuan, a decrease of 1.382 billion yuan [4]. - The Shanghai 500 ETF closed at 7.170, down 0.057 (-0.79%), with a trading volume of 3.0324 million shares, an increase of 3.0077 million shares, and a trading value of 2.184 billion yuan, an increase of 0.397 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.396, down 0.017 (-1.20%), with a trading volume of 23.5876 million shares, an increase of 23.399 million shares, and a trading value of 3.317 billion yuan, an increase of 0.644 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.352, down 0.017 (-1.24%), with a trading volume of 6.5031 million shares, an increase of 6.4286 million shares, and a trading value of 0.886 billion yuan, a decrease of 0.137 billion yuan [4]. - The Shenzhen 300 ETF closed at 4.826, down 0.019 (-0.39%), with a trading volume of 1.2255 million shares, an increase of 1.2138 million shares, and a trading value of 0.594 billion yuan, an increase of 0.029 billion yuan [4]. - The Shenzhen 500 ETF closed at 2.865, down 0.024 (-0.83%), with a trading volume of 0.594 million shares, an increase of 0.5872 million shares, and a trading value of 0.171 billion yuan, a decrease of 0.026 billion yuan [4]. - The Shenzhen 100 ETF closed at 3.363, down 0.021 (-0.62%), with a trading volume of 0.6624 million shares, an increase of 0.6534 million shares, and a trading value of 0.225 billion yuan, a decrease of 0.081 billion yuan [4]. - The ChiNext ETF closed at 3.026, down 0.031 (-1.01%), with a trading volume of 13.808 million shares, an increase of 13.6755 million shares, and a trading value of 4.222 billion yuan, an increase of 0.162 billion yuan [4]. 3.3 Option Factors - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume was 978,500 contracts, a decrease of 38,300 contracts; the open interest was 1,510,500 contracts, a decrease of 19,200 contracts; the volume PCR was 0.94, a decrease of 0.12; the position PCR was 0.87, a decrease of 0.02 [5]. - For the Shanghai 300 ETF option, the trading volume was 1,167,700 contracts, a decrease of 68,200 contracts; the open interest was 1,443,800 contracts, an increase of 3,800 contracts; the volume PCR was 0.94, a decrease of 0.20; the position PCR was 0.91, a decrease of 0.04 [5]. - For the Shanghai 500 ETF option, the trading volume was 1,603,400 contracts, an increase of 34,900 contracts; the open interest was 1,492,900 contracts, an increase of 22,400 contracts; the volume PCR was 0.93, a decrease of 0.17; the position PCR was 1.04, a decrease of 0.04 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 1,440,700 contracts, a decrease of 27,400 contracts; the open interest was 2,532,800 contracts, an increase of 33,700 contracts; the volume PCR was 0.69, a decrease of 0.16; the position PCR was 0.79, a decrease of 0.03 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 323,700 contracts, an increase of 28,100 contracts; the open interest was 669,100 contracts, an increase of 12,900 contracts; the volume PCR was 1.03, a decrease of 0.01; the position PCR was 0.77, a decrease of 0.01 [5]. - For the Shenzhen 300 ETF option, the trading volume was 182,700 contracts, a decrease of 15,500 contracts; the open interest was 327,400 contracts, a decrease of 10,000 contracts; the volume PCR was 1.03, a decrease of 0.56; the position PCR was 0.91, a decrease of 0.07 [5]. - For the Shenzhen 500 ETF option, the trading volume was 369,500 contracts, an increase of 120,500 contracts; the open interest was 447,800 contracts, an increase of 400 contracts; the volume PCR was 1.78, an increase of 0.20; the position PCR was 0.70, a decrease of 0.03 [5]. - For the Shenzhen 100 ETF option, the trading volume was 128,900 contracts, an increase of 52,800 contracts; the open interest was 155,500 contracts, a decrease of 2,600 contracts; the volume PCR was 1.81, a decrease of 0.08; the position PCR was 1.29, a decrease of 0.12 [5]. - For the ChiNext ETF option, the trading volume was 2,098,800 contracts, an increase of 208,600 contracts; the open interest was 2,080,200 contracts, an increase of 19,300 contracts; the volume PCR was 0.90, a decrease of 0.06; the position PCR was 0.97, a decrease of 0.05 [5]. - For the Shanghai 50 index option, the trading volume was 54,100 contracts, an increase of 5,700 contracts; the open interest was 78,200 contracts, an increase of 1,600 contracts; the volume PCR was 0.59, a decrease of 0.08; the position PCR was 0.74, an increase of 0.01 [5]. - For the SSE 300 index option, the trading volume was 170,200 contracts, an increase of 4,100 contracts; the open interest was 236,000 contracts, an increase of 1,100 contracts; the volume PCR was 0.60, a decrease of 0.11; the position PCR was 0.78, a decrease of 0.01 [5]. - For the CSI 1000 index option, the trading volume was 336,200 contracts, a decrease of 25,500 contracts; the open interest was 347,200 contracts, an increase of 3,900 contracts; the volume PCR was 0.77, a decrease of 0.05; the position PCR was 0.89, a decrease of 0.02 [5]. 3.4 Option Factors - Pressure and Support Points - For the Shanghai 50 ETF, the underlying closing price was 3.156, the at - the - money strike price was 3.20, the pressure point was 3.20 with an offset of 0.00, the support point was 3.10 with an offset of 0.00, the maximum call open interest was 151,449 contracts, and the maximum put open interest was 99,449 contracts [7]. - For the Shanghai 300 ETF, the underlying closing price was 4.676, the at - the - money strike price was 4.70, the pressure point was 4.80 with an offset of 0.00, the support point was 4.60 with an offset of 0.00, the maximum call open interest was 107,595 contracts, and the maximum put open interest was 77,161 contracts [7]. - For the Shanghai 500 ETF, the underlying closing price was 7.170, the at - the - money strike price was 7.25, the pressure point was 7.50 with an offset of 0.00, the support point was 7.00 with an offset of 0.00, the maximum call open interest was 130,547 contracts, and the maximum put open interest was 87,079 contracts [7]. - For the Huaxia Science and Technology Innovation 50 ETF, the underlying closing price was 1.396, the at - the - money strike price was 1.40, the pressure point was 1.50 with an offset of 0.00, the support point was 1.35 with an offset of 0.00, the maximum call open interest was 139,380 contracts, and the maximum put open interest was 88,753 contracts [7]. - For the E Fund Science and Technology Innovation 50 ETF, the underlying closing price was 1.352, the at - the - money strike price was 1.35, the pressure point was 1.40 with an offset of - 0.10, the support point was 1.30 with an offset of 0.00, the maximum call open interest was 24,023 contracts, and the maximum put open interest was 19,237 contracts [7]. - For the Shenzhen 300 ETF, the underlying closing price was 4.826, the at - the - money strike price was 4.80, the pressure point was 4.90 with an offset of - 0.10, the support point was 4.70 with an offset of 0.00, the maximum call open interest was 19,268 contracts, and the maximum put open interest was 18,301 contracts [7]. - For the Shenzhen 500 ETF, the underlying closing price was 2.865, the at - the - money strike price was 2.85, the pressure point was 2.90 with an offset of - 0.20, the support point was 2.85 with an offset of 0.10, the maximum call open interest was 20,946 contracts, and the maximum put open interest was 14,193 contracts [7]. - For the Shenzhen 100 ETF, the underlying closing price was 3.363, the at - the - money strike price was 3.40, the pressure point was 3.61 with an offset of 0.00, the support point was 3.32 with an offset of 0.00, the maximum call open interest was 6,053 contracts, and the maximum put open interest was 7,559 contracts [7]. - For the ChiNext ETF, the underlying closing price was 3.026, the at - the - money strike price was 3.00, the pressure point was 3.10 with an offset of - 0.10, the support point was 3.00 with an offset of 0.00, the maximum call open interest was 144,175 contracts, and the maximum put open interest was 85,630 contracts [7]. - For the Shanghai 50 index option, the underlying closing price was 3,008.29, the at - the - money strike price was 3,000, the pressure point was 3,100 with an offset of 50, the support point was 2,900 with an offset of - 100, the maximum call open interest was 3,441 contracts, and the maximum put open interest was 2,106 contracts [7]. - For the SSE 300 index option, the underlying closing price was 4,564.95, the at - the - money strike price was 4,550, the pressure point was 4,700 with an offset of 0, the support point was 4,500 with an offset of - 100, the maximum call open interest was 6,788 contracts, and the maximum put open interest was 3,673 contracts [7]. - For the CSI 1000 index option, the underlying closing price was 7,340.41, the at - the - money strike price was 7,300, the pressure point was 7,400 with an offset of - 100, the support point was 7,000 with an offset of - 200, the maximum call open interest was 9,706 contracts, and the maximum put open interest was 6,047 contracts [7]. 3.5 Option Factors - Implied Volatility - For the Shanghai 50 ETF option, the at - the - money implied volatility was 14.09%, the weighted implied volatility was 14.88%, a decrease of 0.36%, the annual average was 16

金融期权 2025-11-20 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 | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@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，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，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 2025-11-19 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 | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@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，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，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）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，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，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 2025-11-18 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 | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | | ...

金融期权 2025-11-17 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 | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@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，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，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 | | --- | --- | --- | --- | --- | --- | --- | --- | | ...