金融期权 2025/06/27 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在高位小幅震荡。 （2）金融期权波动性分析：金融期权隐含波动率维持在均值偏上水平。 表3：期权因子—量仓PCR | 期权品种 | 成交量 | 量变化 | 持仓量 | 仓变化 | 成交量 | 量PCR | 持仓量 | 仓PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | （万张) | | （万张） | | PCR | 变化 | PCR | 变化 | | 上证50ETF | 92.72 | -75.69 | 102.31 | -43.78 | 0.79 | 0 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a trend of rising after reaching a high, with the ChiNext rising the most at 3.18% [3]. - The implied volatility of financial options increased significantly, reaching a level above the mean [3]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for stock index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and short or long futures [3]. 3. Summary by Relevant Catalogs 3.1 Stock Market Short Review - The Shanghai Composite Index closed at 3,455.97, up 35.41 points or 1.04%, with a trading volume of 620.2 billion yuan and an increase of 75.3 billion yuan [4]. - The Shenzhen Component Index closed at 10,393.72, up 176.10 points or 1.72%, with a trading volume of 982.6 billion yuan and an increase of 112.9 billion yuan [4]. - The Shanghai 50 Index closed at 2,747.73, up 31.81 points or 1.17%, with a trading volume of 102.3 billion yuan and an increase of 13.3 billion yuan [4]. - The CSI 300 Index closed at 3,960.07, up 56.03 points or 1.44%, with a trading volume of 361.7 billion yuan and an increase of 67.5 billion yuan [4]. - The CSI 500 Index closed at 5,862.55, up 96.72 points or 1.68%, with a trading volume of 239.3 billion yuan and an increase of 47.3 billion yuan [4]. - The CSI 1000 Index closed at 6,276.16, up 81.50 points or 1.32%, with a trading volume of 335 billion yuan and an increase of 31.3 billion yuan [4]. 3.2 Financial Option Volatility Analysis - The implied volatility of financial options increased significantly, reaching a level above the mean [3]. 3.3 Financial Option Strategies and Recommendations - For ETF options, suitable strategies include covered strategies, neutral double-selling strategies, and vertical spread combination strategies [3]. - For stock index options, suitable strategies include neutral double-selling strategies and arbitrage strategies between synthetic long or short options and short or long futures [3]. 3.4 Option Factor Analysis - **Volume and Open Interest PCR**: The volume and open interest PCR of various options showed different trends, with some decreasing and some increasing [6]. - **Pressure and Support Points**: The pressure and support points of various options were analyzed, providing reference for option trading [8]. - **Implied Volatility**: The implied volatility of various options was at different levels, with some above the mean and some at the mean [10]. 3.5 Strategy and Recommendations for Different Sectors - **Financial Stocks Sector (Shanghai 50ETF, Shanghai 50)**: The Shanghai 50ETF showed a short-term bullish upward trend. It is recommended to construct a bullish option bull spread combination strategy, a seller neutral strategy, and a covered call strategy [13]. - **Large-Cap Blue-Chip Stocks Sector (Shanghai 300ETF, Shenzhen 300ETF, CSI 300)**: These stocks showed a short-term bullish upward trend. It is recommended to construct a short volatility strategy by selling call and put options and a covered call strategy [13]. - **Large-Mid Cap Stocks Sector (Shenzhen 100ETF)**: The Shenzhen 100ETF showed a short-term bullish upward trend. It is recommended to construct a short volatility strategy by selling call and put options and a covered call strategy [14]. - **Small and Medium Cap Stocks Sector (Shanghai 500ETF, Shenzhen 500ETF, CSI 1000)**: These stocks showed a short-term bullish upward trend. It is recommended to construct a short volatility strategy by selling call and put options and a covered call strategy [14][15]. - **ChiNext Sector (ChiNext ETF, Huaxia Science and Technology Innovation 50ETF, E Fund Science and Technology Innovation 50ETF)**: These stocks showed a short-term bullish upward trend. It is recommended to construct a short volatility strategy by selling call and put options and a covered call strategy [15].

1. Report's Industry Investment Rating - No information provided in the report. 2. Core Viewpoints of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks all closed higher, with the ChiNext having the largest increase of 2.3% [2]. - The implied volatility of financial options fluctuates at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,420.57, up 38.98 points or 1.15%, with a trading volume of 544.9 billion yuan and an increase of 102.1 billion yuan [3]. - The Shenzhen Component Index closed at 10,217.63, up 169.24 points or 1.68%, with a trading volume of 869.7 billion yuan and an increase of 189.9 billion yuan [3]. - The SSE 50 Index closed at 2,715.92, up 31.15 points or 1.16%, with a trading volume of 89.1 billion yuan and an increase of 17 billion yuan [3]. - The CSI 300 Index closed at 3,904.03, up 46.13 points or 1.20%, with a trading volume of 294.2 billion yuan and an increase of 61.7 billion yuan [3]. - The CSI 500 Index closed at 5,765.84, up 91.67 points or 1.62%, with a trading volume of 191.9 billion yuan and an increase of 45.9 billion yuan [3]. - The CSI 1000 Index closed at 6,194.67, up 116.44 points or 1.92%, with a trading volume of 303.7 billion yuan and an increase of 63.7 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 2.792, up 0.030 or 1.09%, with a trading volume of 9.5885 million shares and an increase of 9.513 million shares, and a trading value of 2.676 billion yuan and an increase of 600 million yuan [4]. - The SSE 300 ETF closed at 3.936, up 0.045 or 1.16%, with a trading volume of 12.2455 million shares and an increase of 12.1706 million shares, and a trading value of 4.815 billion yuan and an increase of 1.907 billion yuan [4]. - The SSE 500 ETF closed at 5.804, up 0.092 or 1.61%, with a trading volume of 3.8429 million shares and an increase of 3.8237 million shares, and a trading value of 2.225 billion yuan and an increase of 1.132 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.029, up 0.017 or 1.68%, with a trading volume of 33.0888 million shares and an increase of 32.8645 million shares, and a trading value of 3.393 billion yuan and an increase of 1.126 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.003, up 0.017 or 1.72%, with a trading volume of 7.5166 million shares and an increase of 7.4729 million shares, and a trading value of 751 million yuan and an increase of 321 million yuan [4]. - The Shenzhen 300 ETF closed at 4.059, up 0.041 or 1.02%, with a trading volume of 3.3225 million shares and an increase of 3.3131 million shares, and a trading value of 1.348 billion yuan and an increase of 971 million yuan [4]. - The Shenzhen 500 ETF closed at 2.320, up 0.034 or 1.49%, with a trading volume of 591,700 shares and an increase of 585,900 shares, and a trading value of 137 million yuan and an increase of 5 million yuan [4]. - The Shenzhen 100 ETF closed at 2.680, up 0.036 or 1.36%, with a trading volume of 438,200 shares and an increase of 436,000 shares, and a trading value of 117 million yuan and an increase of 59 million yuan [4]. - The ChiNext ETF closed at 2.044, up 0.046 or 2.30%, with a trading volume of 12.3884 million shares and an increase of 12.3277 million shares, and a trading value of 2.518 billion yuan and an increase of 1.311 billion yuan [4]. 3.3 Option Factor - Volume and Open Interest PCR - For the SSE 50 ETF option, the trading volume was 1.6182 million contracts, an increase of 268,800 contracts; the open interest was 1.4507 million contracts, a decrease of 145,800 contracts; the trading volume PCR was 0.83, a decrease of 0.33; the open interest PCR was 1.09, an increase of 0.08 [5]. - For the SSE 300 ETF option, the trading volume was 1.3402 million contracts, an increase of 330,400 contracts; the open interest was 1.2484 million contracts, a decrease of 129,100 contracts; the trading volume PCR was 0.78, a decrease of 0.26; the open interest PCR was 0.90, an increase of 0.02 [5]. - For the SSE 500 ETF option, the trading volume was 1.7774 million contracts, an increase of 247,200 contracts; the open interest was 1.2693 million contracts, a decrease of 165,600 contracts; the trading volume PCR was 0.83, a decrease of 0.30; the open interest PCR was 1.13, an increase of 0.04 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 793,300 contracts, an increase of 221,800 contracts; the open interest was 1.6652 million contracts, a decrease of 104,200 contracts; the trading volume PCR was 0.55, a decrease of 0.32; the open interest PCR was 0.67, a decrease of 0.01 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 204,300 contracts, an increase of 89,300 contracts; the open interest was 517,600 contracts, a decrease of 22,500 contracts; the trading volume PCR was 0.61, a decrease of 0.14; the open interest PCR was 0.70, no change [5]. - For the Shenzhen 300 ETF option, the trading volume was 137,900 contracts, an increase of 12,800 contracts; the open interest was 251,900 contracts, a decrease of 2,800 contracts; the trading volume PCR was 0.82, a decrease of 0.30; the open interest PCR was 1.05, a decrease of 0.02 [5]. - For the Shenzhen 500 ETF option, the trading volume was 163,800 contracts, an increase of 22,800 contracts; the open interest was 323,100 contracts, a decrease of 8,900 contracts; the trading volume PCR was 0.94, a decrease of 0.16; the open interest PCR was 1.00, a decrease of 0.01 [5]. - For the Shenzhen 100 ETF option, the trading volume was 65,600 contracts, an increase of 2,700 contracts; the open interest was 115,900 contracts, a decrease of 6,600 contracts; the trading volume PCR was 1.02, a decrease of 0.16; the open interest PCR was 1.01, an increase of 0.05 [5]. - For the ChiNext ETF option, the trading volume was 1.6269 million contracts, an increase of 520,900 contracts; the open interest was 1.4497 million contracts, an increase of 13,000 contracts; the trading volume PCR was 0.73, a decrease of 0.20; the open interest PCR was 0.87, an increase of 0.06 [5]. - For the SSE 50 index option, the trading volume was 45,800 contracts, an increase of 19,900 contracts; the open interest was 48,200 contracts, an increase of 4,500 contracts; the trading volume PCR was 0.50, a decrease of 0.15; the open interest PCR was 0.66, a decrease of 0.05 [5]. - For the CSI 300 index option, the trading volume was 89,000 contracts, an increase of 31,600 contracts; the open interest was 134,700 contracts, an increase of 6,700 contracts; the trading volume PCR was 0.51, a decrease of 0.28; the open interest PCR was 0.65, an increase of 0.01 [5]. - For the CSI 1000 index option, the trading volume was 202,000 contracts, an increase of 60,200 contracts; the open interest was 204,900 contracts, an increase of 15,000 contracts; the trading volume PCR was 0.77, a decrease of 0.19; the open interest PCR was 0.92, an increase of 0.05 [5]. 3.4 Option Factor - Pressure and Support Points - For the SSE 50 ETF option, the underlying closing price was 2.792, the at-the-money strike price was 2.80, the pressure point was 2.75, the support point was 2.75, the maximum open interest for calls was 59,310 contracts, and the maximum open interest for puts was 76,308 contracts [7]. - For the SSE 300 ETF option, the underlying closing price was 3.936, the at-the-money strike price was 3.90, the pressure point was 3.90, the support point was 3.90, the maximum open interest for calls was 43,474 contracts, and the maximum open interest for puts was 45,172 contracts [7]. - For the SSE 500 ETF option, the underlying closing price was 5.804, the at-the-money strike price was 5.75, the pressure point was 6.00, the support point was 5.75, the maximum open interest for calls was 64,711 contracts, and the maximum open interest for puts was 65,312 contracts [7]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.029, the at-the-money strike price was 1.05, the pressure point was 1.05, the support point was 1.00, the maximum open interest for calls was 64,485 contracts, and the maximum open interest for puts was 60,194 contracts [7]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 1.003, the at-the-money strike price was 1.00, the pressure point was 1.05, the support point was 1.00, the maximum open interest for calls was 17,966 contracts, and the maximum open interest for puts was 12,670 contracts [7]. - For the Shenzhen 300 ETF option, the underlying closing price was 4.059, the at-the-money strike price was 4.10, the pressure point was 4.10, the support point was 4.00, the maximum open interest for calls was 8,218 contracts, and the maximum open interest for puts was 7,063 contracts [7]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.320, the at-the-money strike price was 2.30, the pressure point was 2.30, the support point was 2.25, the maximum open interest for calls was 6,719 contracts, and the maximum open interest for puts was 9,208 contracts [7]. - For the Shenzhen 100 ETF option, the underlying closing price was 2.680, the at-the-money strike price was 2.70, the pressure point was 2.70, the support point was 2.45, the maximum open interest for calls was 3,135 contracts, and the maximum open interest for puts was 5,593 contracts [7]. - For the ChiNext ETF option, the underlying closing price was 2.044, the at-the-money strike price was 2.05, the pressure point was 2.05, the support point was 2.00, the maximum open interest for calls was 45,814 contracts, and the maximum open interest for puts was 60,845 contracts [7]. - For the SSE 50 index option, the underlying closing price was 2,715.92, the at-the-money strike price was 2,700, the pressure point was 2,700, the support point was 2,650, the maximum open interest for calls was 4,320 contracts, and the maximum open interest for puts was 1,711 contracts [7]. - For the CSI 300 index option, the underlying closing price was 3,904.03, the at-the-money strike price was 3,900, the pressure point was 3,900, the support point was 3,850, the maximum open interest for calls was 6,156 contracts, and the maximum open interest for puts was 4,793 contracts [7]. - For the CSI 1000 index option, the underlying closing price was 6,194.67, the at-the-money strike price was 6,200, the pressure point was 6,200, the support point was 6,000, the maximum open interest for calls was 7,454 contracts, and the maximum open interest for puts was 7,050 contracts [7]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF option, the at-the-money implied volatility was 11.94%, the weighted implied volatility was 12.94%, an increase of 0.34%, the annual average was 8.95%, the call implied volatility was 13.04%, the put implied volatility was 12.82%, the 20-day historical volatility was 12.55%, and the difference between implied and historical volatility was 0.40% [9]. - For the SSE 300 ETF option, the at-the-money implied volatility was 11.96%, the weighted implied volatility was 13.20%, an increase of 0.66%, the annual average was 9.35%, the call implied volatility was 13.32%, the put implied volatility was 13.03%, the 20-day historical volatility was 13.00%, and the difference between implied and historical volatility was 0.20% [9]. - For the SSE 500 ETF option, the at-the-money implied volatility was 13.64%, the weighted implied volatility was 16.48%, an increase of 1.26%, the annual average was 11.82%, the call implied volatility was 16.54%, the put implied volatility was 16.41%, the

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints of the Report - The Shanghai Composite Index and large-cap blue-chip stocks are consolidating and fluctuating at high levels, while small and medium-cap stocks and ChiNext stocks are showing a trend of fluctuating recovery [2]. - The implied volatility of financial options is fluctuating at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for stock index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short futures of options and short or long futures [2]. 3. Summary by Relevant Catalogs 3.1 Stock Market Review - The Shanghai Composite Index closed at 3,381.58, up 21.69 points or 0.65%, with a trading volume of 442.8 billion yuan, an increase of 31.9 billion yuan [3]. - The Shenzhen Component Index closed at 10,048.39, up 43.36 points or 0.43%, with a trading volume of 679.8 billion yuan, an increase of 23 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The closing prices of various ETFs showed different degrees of increase, with the trading volume and turnover also showing corresponding changes [4]. 3.3 Option Factors - Volume and Position PCR - The volume and position PCR of different option varieties showed different trends, which can be used to describe the strength of the option underlying market and whether the underlying market has a turning point [5][6]. 3.4 Option Factors - Pressure Points and Support Points - The pressure points and support points of different option varieties can be analyzed from the exercise prices with the largest open interest of call and put options [7][8]. 3.5 Option Factors - Implied Volatility - The implied volatility of different option varieties showed different trends, with the weighted implied volatility and its changes varying [9][10]. 3.6 Strategies and Recommendations - The financial option sector is divided into large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks. Different sectors are given corresponding option strategies and recommendations [11]. - For each option variety, the option strategy report is compiled according to the underlying market analysis, option factor research, and option strategy recommendations [11].

1. Report Industry Investment Rating - No relevant content found 2. Core Viewpoints of the Report - The Shanghai Composite Index and large-cap blue-chip stocks are consolidating and oscillating at high levels, while small and medium-cap stocks and ChiNext stocks are showing slight oscillations [2]. - The implied volatility of financial options is fluctuating at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies. For index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,359.90, down 2.21 points or 0.07%, with a trading volume of 410.9 billion yuan, a decrease of 62.4 billion yuan [3]. - The Shenzhen Component Index closed at 10,005.03, down 46.93 points or 0.47%, with a trading volume of 656.8 billion yuan, a decrease of 120.6 billion yuan [3]. - The SSE 50 Index closed at 2,673.72, up 8.20 points or 0.31%, with a trading volume of 63.2 billion yuan, a decrease of 900 million yuan [3]. - The CSI 300 Index closed at 3,846.64, up 3.55 points or 0.09%, with a trading volume of 213.5 billion yuan, a decrease of 21.3 billion yuan [3]. - The CSI 500 Index closed at 5,639.51, down 37.32 points or 0.66%, with a trading volume of 135 billion yuan, a decrease of 27.6 billion yuan [3]. - The CSI 1000 Index closed at 5,999.59, down 48.63 points or 0.80%, with a trading volume of 226.5 billion yuan, a decrease of 44.3 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 2.749, up 0.016 or 0.59%, with a trading volume of 7.8823 million lots, an increase of 7.8016 million lots, and a trading value of 2.165 billion yuan, a decrease of 410 million yuan [4]. - The SSE 300 ETF closed at 3.878, up 0.005 or 0.13%, with a trading volume of 4.2304 million lots, an increase of 4.1704 million lots, and a trading value of 1.642 billion yuan, a decrease of 690 million yuan [4]. - The SSE 500 ETF closed at 5.679, down 0.039 or 0.68%, with a trading volume of 3.2364 million lots, an increase of 3.2144 million lots, and a trading value of 1.842 billion yuan, an increase of 578 million yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.006, down 0.006 or 0.59%, with a trading volume of 18.0799 million lots, an increase of 17.8544 million lots, and a trading value of 1.825 billion yuan, a decrease of 465 million yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 0.982, down 0.006 or 0.61%, with a trading volume of 3.9684 million lots, an increase of 3.9184 million lots, and a trading value of 391 million yuan, a decrease of 104 million yuan [4]. - The Shenzhen 300 ETF closed at 4.000, up 0.005 or 0.13%, with a trading volume of 864,300 lots, an increase of 854,100 lots, and a trading value of 346 million yuan, a decrease of 60 million yuan [4]. - The Shenzhen 500 ETF closed at 2.272, down 0.013 or 0.57%, with a trading volume of 712,200 lots, an increase of 707,900 lots, and a trading value of 162 million yuan, an increase of 63 million yuan [4]. - The Shenzhen 100 ETF closed at 2.643, down 0.002 or 0.08%, with a trading volume of 182,000 lots, an increase of 180,000 lots, and a trading value of 48 million yuan, a decrease of 6 million yuan [4]. - The ChiNext ETF closed at 1.988, down 0.017 or 0.85%, with a trading volume of 5.9267 million lots, an increase of 5.8568 million lots, and a trading value of 1.183 billion yuan, a decrease of 225 million yuan [4]. 3.3 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR are used to describe the strength of the option underlying market and the turning point of the underlying market [6]. - Different option varieties have different volume and open interest PCR values and changes [5] 3.4 Option Factor - Pressure and Support Points - The pressure and support points of option factors are determined by the strike prices with the largest open interest of call and put options [8]. - Different option varieties have different pressure and support points [7] 3.5 Option Factor - Implied Volatility - The implied volatility of options includes at-the-money implied volatility, weighted implied volatility, call implied volatility, and put implied volatility [9]. - Different option varieties have different implied volatility values and changes [9] 3.6 Strategy and Recommendations - The financial options sector is divided into large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks [11]. - Different sectors have different option strategies and recommendations, including directional strategies, volatility strategies, and spot long covered strategies [12][13][14]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Shanghai Composite Index and large-cap blue-chip stocks are consolidating and fluctuating at high levels, while small and medium-cap stocks and ChiNext stocks are showing weak fluctuations [2]. - The implied volatility of financial options is fluctuating at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary According to Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,362.11, down 26.70 points or 0.79%, with a trading volume of 473.3 billion yuan, an increase of 32.2 billion yuan [3]. - The Shenzhen Component Index closed at 10,051.97, down 123.62 points or 1.21%, with a trading volume of 777.4 billion yuan, an increase of 27.3 billion yuan [3]. - The SSE 50 Index closed at 2,665.52, down 14.40 points or 0.54%, with a trading volume of 64 billion yuan, an increase of 1.9 billion yuan [3]. - The CSI 300 Index closed at 3,843.09, down 31.88 points or 0.82%, with a trading volume of 234.8 billion yuan, an increase of 4.3 billion yuan [3]. - The CSI 500 Index closed at 5,676.83, down 69.04 points or 1.20%, with a trading volume of 162.7 billion yuan, an increase of 8.1 billion yuan [3]. - The CSI 1000 Index closed at 6,048.22, down 87.16 points or 1.42%, with a trading volume of 270.8 billion yuan, an increase of 14.4 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The closing prices of various ETFs showed different degrees of decline, with trading volumes and turnovers also changing [4]. 3.3 Option Factor - Volume and Position PCR - The volume and position PCR of different option varieties showed different trends, reflecting the market sentiment and potential turning points of the underlying assets [5]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points of different option varieties were analyzed from the perspective of the strike prices with the largest open interest of call and put options [7]. 3.5 Option Factor - Implied Volatility - The implied volatility of different option varieties was at different levels, and the weighted implied volatility also showed different changes [9]. 3.6 Strategy and Suggestions - The financial options sector is divided into large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks. Different options strategies are proposed for each sector [11]. - For each option variety, the underlying market analysis, option factor research, and option strategy suggestions are provided [11].

Report Industry Investment Rating - Not provided in the content Core Viewpoints - On June 19, 2025, stock indices oscillated and declined. The probability of the US getting involved in the Middle East has increased, raising the risk of an escalation of the Middle - East geopolitical crisis, which has suppressed the risk appetite of the stock market. Domestically, although consumption data showed resilience under national subsidy policies, weak credit and inflation data indicated insufficient endogenous growth momentum in domestic demand, leading to an increased expectation of policy support. However, the profit expectation of stocks has not been repaired yet, and the support for stock indices mainly comes from loose capital and risk appetite. New incremental policies are needed for stock indices to continue rising. There are still uncertainties externally, such as the evolution of the tariff war after the suspension period ends in early July and the development of the Middle - East geopolitical crisis. In the short term, market risk appetite tends to be defensive, and stock indices will mainly oscillate within a range, waiting for new driving forces. Since the implied volatility of options is at a relatively low historical quantile level and the support for stock indices is strong, bull spreads or ratio spreads long - position portfolios can be arranged [3] Summary by Relevant Catalogs 1 Option Indicators - On June 19, 2025, 50ETF fell 0.62% to 2.733; 300ETF (SSE) fell 0.79% to 3.873; 300ETF (SZSE) fell 0.87% to 3.995; CSI 300 Index fell 0.82% to 3843.09; CSI 1000 Index fell 1.42% to 6048.22; 500ETF (SSE) fell 1.00% to 5.718; 500ETF (SZSE) fell 1.13% to 2.285; ChiNext ETF fell 1.43% to 2.005; Shenzhen 100ETF fell 1.08% to 2.645; SSE 50 Index fell 0.54% to 2665.52; STAR 50ETF fell 0.59% to 1.01; E Fund STAR 50ETF fell 0.40% to 0.99 [5] - The trading volume PCR and position PCR of various options changed compared with the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 103.41 (previous day: 91.03), and the position PCR was 87.00 (previous day: 90.00) [6] - The implied volatility of at - the - money options in June 2025 or July 2025 and the 30 - trading - day historical volatility of underlying assets were provided for different options. For instance, the implied volatility of at - the - money SSE 50ETF options in June 2025 was 11.64%, and the 30 - trading - day historical volatility of the underlying asset was 8.44% [7] 2 Related Charts - **SSE 50ETF Options**: Included charts of SSE 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different tenors [9][11][13] - **SSE 300ETF Options**: Included charts of SSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different tenors [20][22][23] - **SZSE 300ETF Options**: Included charts of SZSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different tenors [23][25][27] - **CSI 300 Index Options**: Included charts of CSI 300 Index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different tenors [35][37][39] - **CSI 1000 Index Options**: Included charts of CSI 1000 Index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different tenors [48][50][52] - **SSE 500ETF Options**: Included charts of SSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different tenors [62][64][66] - **SZSE 500ETF Options**: Included charts of SZSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different tenors [76][78][80] - **ChiNext ETF Options**: Included charts of ChiNext ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different tenors [89][91][93] - **Shenzhen 100ETF Options**: Included charts of Shenzhen 100ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different tenors [102][104][106] - **SSE 50 Index Options**: Included charts of SSE 50 Index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different tenors [115][117][119] - **STAR 50ETF Options**: Included charts of STAR 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different tenors [128][130][132] - **E Fund STAR 50ETF Options**: Included charts of E Fund STAR 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different tenors [131][133][136]

1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - The Shanghai Composite Index and large-cap blue-chip stocks are consolidating and fluctuating at high levels, while small and medium-cap stocks and ChiNext stocks are showing signs of oscillating recovery [2]. - The implied volatility of financial options is fluctuating at a relatively low historical level [2]. - For ETF options, it is suitable to construct covered call strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary Based on Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,388.81, up 1.40 points or 0.04%, with a trading volume of 441 billion yuan, a decrease of 17 billion yuan [3]. - The Shenzhen Component Index closed at 10,175.59, up 24.16 points or 0.24%, with a trading volume of 750.1 billion yuan, an increase of 9 billion yuan [3]. - The SSE 50 Index closed at 2,679.92, down 4.03 points or -0.15%, with a trading volume of 62.1 billion yuan, a decrease of 14 billion yuan [3]. - The CSI 300 Index closed at 3,874.97, up 4.59 points or 0.12%, with a trading volume of 230.6 billion yuan, an increase of 10.2 billion yuan [3]. - The CSI 500 Index closed at 5,745.87, down 5.04 points or -0.09%, with a trading volume of 154.5 billion yuan, a decrease of 56 billion yuan [3]. - The CSI 1000 Index closed at 6,135.39, down 6.08 points or -0.10%, with a trading volume of 256.5 billion yuan, a decrease of 44 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 2.750, down 0.003 or -0.11%, with a trading volume of 4.2768 million lots, an increase of 4.2196 million lots, and a trading volume of 1.176 billion yuan, a decrease of 395 million yuan [4]. - The SSE 300 ETF closed at 3.904, up 0.003 or 0.08%, with a trading volume of 4.808 million lots, an increase of 4.7597 million lots, and a trading volume of 1.874 billion yuan, a decrease of 51 million yuan [4]. - The SSE 500 ETF closed at 5.776, down 0.009 or -0.16%, with a trading volume of 1.5013 million lots, an increase of 1.479 million lots, and a trading volume of 866 million yuan, a decrease of 427 million yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.018, up 0.006 or 0.59%, with a trading volume of 21.4129 million lots, an increase of 21.1578 million lots, and a trading volume of 2.175 billion yuan, a decrease of 411 million yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 0.992, up 0.004 or 0.40%, with a trading volume of 425,150 lots, an increase of 419,150 lots, and a trading volume of 421 million yuan, a decrease of 173 million yuan [4]. - The Shenzhen 300 ETF closed at 4.030, up 0.006 or 0.15%, with a trading volume of 598,600 lots, an increase of 593,900 lots, and a trading volume of 241 million yuan, an increase of 53 million yuan [4]. - The Shenzhen 500 ETF closed at 2.311, down 0.001 or -0.04%, with a trading volume of 471,400 lots, an increase of 457,000 lots, and a trading volume of 109 million yuan, a decrease of 223 million yuan [4]. - The Shenzhen 100 ETF closed at 2.674, up 0.010 or 0.38%, with a trading volume of 222,100 lots, an increase of 219,600 lots, and a trading volume of 59 million yuan, a decrease of 6 million yuan [4]. - The ChiNext ETF closed at 2.034, up 0.006 or 0.30%, with a trading volume of 4.9311 million lots, an increase of 4.8886 million lots, and a trading volume of 1 billion yuan, an increase of 136 million yuan [4]. 3.3 Option Factor - Volume and Position PCR - For the SSE 50 ETF option, the trading volume was 890,100 contracts, an increase of 105,400 contracts; the open interest was 1.4762 million contracts, a decrease of 1,600 contracts; the trading volume PCR was 0.91, a decrease of 0.21; the open interest PCR was 0.90, a decrease of 0.01 [5]. - For the SSE 300 ETF option, the trading volume was 1.0424 million contracts, an increase of 368,800 contracts; the open interest was 1.214 million contracts, a decrease of 6,000 contracts; the trading volume PCR was 0.95, an increase of 0.08; the open interest PCR was 0.86, an increase of 0.01 [5]. - For the SSE 500 ETF option, the trading volume was 1.7361 million contracts, an increase of 469,900 contracts; the open interest was 1.3216 million contracts, an increase of 15,200 contracts; the trading volume PCR was 0.87, a decrease of 0.06; the open interest PCR was 1.05, a decrease of 0.06 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 562,300 contracts, an increase of 108,500 contracts; the open interest was 1.6534 million contracts, a decrease of 2,200 contracts; the trading volume PCR was 1.03, an increase of 0.35; the open interest PCR was 0.67, an increase of 0.01 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 129,500 contracts, a decrease of 49,000 contracts; the open interest was 497,200 contracts, a decrease of 6,500 contracts; the trading volume PCR was 0.83, a decrease of 0.14; the open interest PCR was 0.70, an increase of 0.01 [5]. - For the Shenzhen 300 ETF option, the trading volume was 91,800 contracts, an increase of 4,700 contracts; the open interest was 244,100 contracts, an increase of 9,400 contracts; the trading volume PCR was 1.09, a decrease of 0.82; the open interest PCR was 1.02, an increase of 0.03 [5]. - For the Shenzhen 500 ETF option, the trading volume was 120,700 contracts, an increase of 38,500 contracts; the open interest was 327,500 contracts, an increase of 4,300 contracts; the trading volume PCR was 1.20, a decrease of 0.03; the open interest PCR was 1.06, unchanged [5]. - For the Shenzhen 100 ETF option, the trading volume was 56,000 contracts, an increase of 12,800 contracts; the open interest was 123,200 contracts, an increase of 1,700 contracts; the trading volume PCR was 1.14, a decrease of 0.02; the open interest PCR was 0.99, an increase of 0.03 [5]. - For the ChiNext ETF option, the trading volume was 818,800 contracts, an increase of 60,800 contracts; the open interest was 1.416 million contracts, a decrease of 2,200 contracts; the trading volume PCR was 1.01, a decrease of 0.01; the open interest PCR was 0.92, an increase of 0.03 [5]. - For the SSE 50 index option, the trading volume was 30,200 contracts, an increase of 7,300 contracts; the open interest was 74,500 contracts, an increase of 200 contracts; the trading volume PCR was 0.53, a decrease of 0.02; the open interest PCR was 0.60, an increase of 0.01 [5]. - For the CSI 300 index option, the trading volume was 76,800 contracts, an increase of 14,600 contracts; the open interest was 196,800 contracts, a decrease of 100 contracts; the trading volume PCR was 0.65, a decrease of 0.01; the open interest PCR was 0.69, an increase of 0.03 [5]. - For the CSI 1000 index option, the trading volume was 212,700 contracts, an increase of 23,000 contracts; the open interest was 289,700 contracts, an increase of 2,000 contracts; the trading volume PCR was 1.00, an increase of 0.07; the open interest PCR was 0.95, a decrease of 0.01 [5]. 3.4 Option Factor - Pressure and Support Levels - For the SSE 50 ETF option, the underlying closing price was 2.750, the at-the-money strike price was 2.75, the pressure level was 2.80, the support level was 2.75, the maximum call open interest was 115,632 contracts, and the maximum put open interest was 84,480 contracts [7]. - For the SSE 300 ETF option, the underlying closing price was 3.904, the at-the-money strike price was 3.90, the pressure level was 3.91, the support level was 3.81, the maximum call open interest was 94,197 contracts, and the maximum put open interest was 71,517 contracts [7]. - For the SSE 500 ETF option, the underlying closing price was 5.776, the at-the-money strike price was 5.75, the pressure level was 5.75, the support level was 5.50, the maximum call open interest was 111,552 contracts, and the maximum put open interest was 95,770 contracts [7]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.018, the at-the-money strike price was 1.00, the pressure level was 1.05, the support level was 1.00, the maximum call open interest was 165,118 contracts, and the maximum put open interest was 99,204 contracts [7]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 0.992, the at-the-money strike price was 1.00, the pressure level was 1.05, the support level was 0.95, the maximum call open interest was 52,455 contracts, and the maximum put open interest was 27,069 contracts [7]. - For the Shenzhen 300 ETF option, the underlying closing price was 4.030, the at-the-money strike price was 4.00, the pressure level was 4.10, the support level was 4.00, the maximum call open interest was 15,998 contracts, and the maximum put open interest was 17,450 contracts [7]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.311, the at-the-money strike price was 2.30, the pressure level was 2.30, the support level was 2.25, the maximum call open interest was 13,303 contracts, and the maximum put open interest was 19,503 contracts [7]. - For the Shenzhen 100 ETF option, the underlying closing price was 2.674, the at-the-money strike price was 2.65, the pressure level was 2.70, the support level was 2.65, the maximum call open interest was 10,793 contracts, and the maximum put open interest was 7,531 contracts [7]. - For the ChiNext ETF option, the underlying closing price was 2.034, the at-the-money strike price was 2.05, the pressure level was 2.05, the support level was 2.00, the maximum call open interest was 88,352 contracts, and the maximum put open interest was 108,969 contracts [7]. - For the SSE 50 index option, the underlying closing price was 2,679.92, the at-the-money strike price was 2,700, the pressure level was 2,700, the support level was 2,500, the maximum call open interest was 2,263 contracts, and the maximum put open interest was 985 contracts [7]. - For the CSI 300 index option, the underlying closing price was 3,874.97, the at-the-money strike price was 3,850, the pressure level was 3,900, the support level was 3,850, the maximum call open interest was 4,261 contracts, and the maximum put open interest was 2,796 contracts [7]. - For the CSI 1000 index option, the underlying closing price was 6,135.39, the at-the-money strike price was 6,100, the pressure level was 6,100, the support level was 5,800, the maximum call open interest was 4,426 contracts, and the maximum put open interest was 3,624 contracts [7]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF option, the at-the-money implied volatility was 12.36%, the weighted implied volatility was 13.07%, an increase of 0.53%; the annual average was 9.09%; the call implied volatility was 13.12%, the put implied volatility was 13.01%; the 20-day historical volatility was 12.65%, and the difference between implied and historical volatility was 0.42% [9]. - For the SSE 300 ETF option, the at-the-money implied volatility was 12.69%, the weighted implied volatility was 14.10%, an increase of 0.66%; the annual average was 9.52%; the call implied volatility was 13.98%, the put implied volatility was 14.24%; the 20-day historical volatility was 13.20%, and the difference between implied and historical volatility was 0.90% [9]. - For the SSE 500 ETF option, the at-the-money implied volatility was 15.05%, the weighted implied volatility was 17.00%, an increase of 1.72%; the annual average was 12.02%; the call implied volatility was 17.01%, the put implied volatility was 16.98%; the 20-day historical volatility was 16.13%, and the difference between implied and historical volatility was 0.86% [9]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 19.75%, the weighted implied volatility was 24.12%, an increase of 0.18%; the annual

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Shanghai Composite Index and large-cap blue-chip stocks are consolidating and fluctuating at high levels, while small and medium-cap stocks and ChiNext stocks are showing signs of a fluctuating recovery [2]. - The implied volatility of financial options is fluctuating at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,387.40, down 1.32 points or 0.04%, with a trading volume of 458 billion yuan, a decrease of 23.6 billion yuan [3]. - The Shenzhen Component Index closed at 10,151.43, down 12.12 points or 0.12%, with a trading volume of 749.2 billion yuan, an increase of 15.7 billion yuan [3]. - The Shanghai 50 Index closed at 2,683.95, down 1.06 points or 0.04%, with a trading volume of 63.5 billion yuan, a decrease of 5.3 billion yuan [3]. - The CSI 300 Index closed at 3,870.38, down 3.42 points or 0.09%, with a trading volume of 220.4 billion yuan, a decrease of 26.5 billion yuan [3]. - The CSI 500 Index closed at 5,750.91, down 16.90 points or 0.29%, with a trading volume of 160.1 billion yuan, a decrease of 10.9 billion yuan [3]. - The CSI 1000 Index closed at 6,141.47, down 5.99 points or 0.10%, with a trading volume of 260.9 billion yuan, an increase of 7.8 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The closing prices, price changes, trading volumes, and trading volume changes of various ETFs such as the Shanghai 50 ETF, Shanghai 300 ETF, and others are presented [4]. 3.3 Option Factor - Volume and Open Interest PCR - The volume and open interest PCR values and their changes for different option varieties are provided, which can be used to analyze the strength of the underlying option market and potential turning points [5]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points for different option varieties are determined based on the strike prices with the largest open interest in call and put options [7][8]. 3.5 Option Factor - Implied Volatility - The implied volatility data for different option varieties, including at-the-money implied volatility, weighted implied volatility, and their changes, are presented [9]. 3.6 Strategies and Recommendations - The financial options sector is divided into large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks, with specific option strategies recommended for each sector [11]. - For each sector, specific option strategies are provided based on the analysis of the underlying asset market, option factor research, and option strategy suggestions [12][13][14].

金融期权 2025/06/16 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、大盘蓝筹股高位盘整震荡，中小盘股和创业板股表现为震荡回落。 （2）金融期权波动性分析：金融期权隐含波动率历史较低水平水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建备兑策略和偏中性的双卖策略，垂直价差组合策略；对于 股指期权来说，适合构建偏中性的双卖策略和期权合成期货多头或空头与期货空头或多头做套利策略。 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 | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （ ...