金融期权 2025/04/30 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：上证综指数偏上窄幅盘整，大盘蓝筹股偏强震荡，而中小盘股和创业板股偏弱盘整。 （2）金融期权波动性分析：金融期权隐含波动率历史均值偏下水平波动。 （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 | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | ...

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - Today, all stock indices fluctuated and consolidated. The stock market trading volume was 1138.9 billion yuan, a decrease of 123.5 billion yuan from the previous day. The current trading volume of the stock market is around 1 trillion yuan, indicating relatively stable market sentiment, but investors' willingness to chase higher is not strong [3]. - Recently, the marginal decline of overseas tariff uncertainty risk has boosted market sentiment, but Trump's statements may still fluctuate, so one should not be overly optimistic about overseas factors. Domestically, when the policy will be introduced depends on the performance of macro - economic indicators. The expectation of policy intensification can provide strong bottom support for the stock index, but the short - term upward momentum has also weakened [3]. - As the stock index rebounds to the gap position in early April, market investors will tend to wait and see, waiting for the settlement of external uncertainties and clear signals of domestic policy introduction. In general, with both long and short factors present, the stock index is expected to fluctuate within a range in the short term. In the options market, bull spreads or ratio spreads can be arranged [3]. Summary by Relevant Catalogs 1 Option Indicators - On April 24, 2025, the 50ETF rose 0.26% to close at 2.715; the 300ETF (SSE) remained unchanged at 3.882; the 300ETF (SZSE) fell 0.13% to close at 3.912; the CSI 300 Index fell 0.07% to close at 3784.36; the CSI 1000 Index fell 1.07% to close at 5920.48; the 500ETF (SSE) fell 0.41% to close at 5.605; the 500ETF (SZSE) fell 0.31% to close at 2.241; the ChiNext ETF fell 0.63% to close at 1.907; the Shenzhen 100ETF fell 0.35% to close at 2.596; the SSE 50 Index rose 0.25% to close at 2655.36; the Science and Technology Innovation 50ETF fell 1.03% to close at 1.05; the E Fund Science and Technology Innovation 50ETF fell 0.97% to close at 1.03 [5]. - The PCR values of various options' trading volume and open interest changed compared with the previous trading day. For example, the trading volume PCR of the 50ETF option was 101.56 (previous day: 82.27), and the open - interest PCR was 96.09 (previous day: 90.40) [6]. - The implied volatility of the May 2025 at - the - money options and the 30 - trading - day historical volatility of the underlying assets of various options were provided. For example, the implied volatility of the May 2025 at - the - money option of the 50ETF option was 13.44%, and the 30 - trading - day historical volatility of the underlying asset was 21.40% [7]. 2 Relevant Charts - **SSE 50ETF Option**: Included charts such as the SSE 50ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [9][10][11]. - **SSE 300ETF Option**: Included charts such as the SSE 300ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [20][21]. - **SZSE 300ETF Option**: Included charts such as the SZSE 300ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [23][24]. - **CSI 300 Index Option**: Included charts such as the CSI 300 index trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [26][27]. - **CSI 1000 Index Option**: Included charts such as the CSI 1000 index trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [38][39]. - **SSE 500ETF Option**: Included charts such as the SSE 500ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [51][52]. - **SZSE 500ETF Option**: Included charts such as the SZSE 500ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [63][64]. - **ChiNext ETF Option**: Included charts such as the ChiNext ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [76][77]. - **Shenzhen 100ETF Option**: Included charts such as the Shenzhen 100ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [87][88]. - **SSE 50 Index Option**: Included charts such as the SSE 50 index trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [100][101]. - **Science and Technology Innovation 50ETF Option**: Included charts such as the Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [112][113]. - **E Fund Science and Technology Innovation 50ETF Option**: Included charts such as the E Fund Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and implied volatility of at - the - money options for different terms [117][118].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The overall financial options showed small fluctuations, and the implied volatility of financial options fluctuated around the historical average level [3]. - 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 short or long futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,280.34, up 4.34 points or 0.13%, with a trading volume of 442.6 billion yuan, a decrease of 46.6 billion yuan [4]. - The Shenzhen Component Index closed at 9,759.05, down 15.68 points or 0.16%, with a trading volume of 556.9 billion yuan, a decrease of 65.8 billion yuan [4]. - The SSE 50 Index closed at 2,659.90, up 1.40 points or 0.05%, with a trading volume of 71.4 billion yuan, a decrease of 17.9 billion yuan [4]. - The CSI 300 Index closed at 3,772.22, down 0.60 points or 0.02%, with a trading volume of 209 billion yuan, a decrease of 52.7 billion yuan [4]. - The CSI 500 Index closed at 5,557.01, up 0.15 points or 0.00%, with a trading volume of 148.3 billion yuan, a decrease of 15.5 billion yuan [4]. - The CSI 1000 Index closed at 5,839.56, up 4.22 points or 0.07%, with a trading volume of 212.9 billion yuan, a decrease of 16.5 billion yuan [4]. 3.2 Option - underlying ETF Market Overview - The closing prices of various ETFs showed different changes, and the trading volumes and turnovers also had corresponding fluctuations. For example, the SSE 50 ETF closed at 2.718, up 0.003 or 0.11%, with a trading volume of 11.6633 million shares and a turnover of 3.166 billion yuan, a decrease of 3.089 billion yuan [5]. 3.3 Option Factor - Volume and Position PCR - The volume and position PCR of different option varieties showed different trends. For example, the volume PCR of the SSE 50 ETF option was 0.81, a decrease of 0.19, and the position PCR was 0.78, an increase of 0.01 [6]. 3.4 Option Factor - Pressure and Support Points - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support points of different option - underlying assets were obtained. For example, the pressure point of the SSE 50 ETF was 2.75, and the support point was 2.65 [8]. 3.5 Option Factor - Implied Volatility - The implied volatility of different option varieties showed different levels and changes. For example, the at - the - money implied volatility of the SSE 50 ETF option was 14.89%, and the weighted implied volatility was 16.50%, a decrease of 0.20% [10]. 3.6 Strategy and Suggestions - The financial options sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and the growth enterprise board. Different sectors have different option strategies and suggestions [12]. - For each option variety, option strategy reports are prepared according to the analysis of the underlying asset market, option factor research, and option strategy suggestions [12]. - **Financial Stocks Sector (SSE 50 ETF, SSE 50)**: The SSE 50 ETF showed a mild upward trend with support below. The implied volatility fluctuated around the average, and the position PCR indicated a weakening of short - selling sentiment. Strategies included constructing a short - volatility strategy and a covered call strategy [13]. - **Large - cap Blue - chip Stocks Sector (SSE 300 ETF, SZSE 300 ETF, CSI 300)**: The SSE 300 ETF showed a range - bound trend with pressure above and support below. The implied volatility fluctuated around the average, and the position PCR indicated a release of short - selling pressure. Strategies included constructing a short - volatility strategy and a covered call strategy [14]. - **Large - and Medium - sized Stocks Sector (SZSE 100 ETF)**: The SZSE 100 ETF showed a weak range - bound trend with pressure above. The implied volatility fluctuated below the historical average, and the position PCR indicated a weakening of short - selling and an increase in long - buying. Strategies included constructing a short - volatility strategy and a covered call strategy [15]. - **Small and Medium - sized Boards Sector (SSE 500 ETF, SZSE 500 ETF, CSI 1000)**: The SSE 500 ETF showed a weak range - bound trend under short - selling pressure. The implied volatility fluctuated around the historical average, and the position PCR indicated a weakening of short - selling pressure. Strategies included constructing a short - volatility strategy and a covered call strategy [15]. - **Growth Enterprise Board Sector (Growth Enterprise Market ETF, Huaxia Science and Technology Innovation 50 ETF, E Fund Science and Technology Innovation 50 ETF)**: The Growth Enterprise Market ETF showed a weak range - bound trend with pressure above. The implied volatility remained at a relatively high historical level, and the position PCR indicated strong short - selling pressure. Strategies included constructing a bear - spread combination strategy, a short - volatility strategy, and a covered call strategy [16].

Investment Rating - The report does not explicitly provide an investment rating for the financial options industry Core Insights - The stock market shows slight increases in major indices, with the Shanghai Composite Index at 3,429.76, up 0.11% [4] - Implied volatility for financial options is gradually rising towards historical average levels [3] - Suggested strategies for ETF options include constructing covered call strategies and neutral double selling strategies, while index options are recommended for neutral double selling and synthetic futures arbitrage strategies [3] Summary by Sections Market Overview - The Shanghai Composite Index closed at 3,429.76, with a slight increase of 3.63 points or 0.11% [4] - The Shenzhen Component Index closed at 11,014.75, up 56.93 points or 0.52% [4] ETF Options Market Overview - The Shanghai 50 ETF closed at 2.800, with a slight increase of 0.07% [5] - The Shanghai 300 ETF closed at 4.103, up 0.22% [5] - The Shanghai 500 ETF closed at 6.126, with an increase of 0.43% [5] Options Factors - PCR - The PCR for the Shanghai 50 ETF is reported at 0.83, indicating a neutral market sentiment [6] - The PCR for the Shanghai 300 ETF is at 0.79, suggesting a similar neutral sentiment [6] - The PCR for the Shanghai 500 ETF is at 0.79, indicating a balanced market [6] Options Strategy Recommendations - For the Shanghai 50 ETF, a neutral strategy involving selling both call and put options is recommended to capture time value [15] - For the Shanghai 300 ETF, a similar neutral strategy is suggested, with specific options contracts provided [16] - For the Shenzhen 100 ETF, a combination of selling call and put options is also recommended to maintain a neutral delta position [16] Volatility Analysis - Implied volatility for the Shanghai 50 ETF is at 16.14%, while the Shanghai 300 ETF is at 15.91% [11] - The implied volatility for the Shenzhen 100 ETF is higher at 19.13%, indicating greater market expectations of price movement [11] Support and Resistance Levels - The resistance level for the Shanghai 50 ETF is at 2.80, with support at 2.70 [15] - The resistance level for the Shanghai 300 ETF is at 4.10, with support at 4.00 [16] - The Shenzhen 100 ETF has a resistance level at 3.60 and support at 2.80 [16]

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The stock market is experiencing narrow fluctuations with a slight increase, with total market turnover at 1,564.2 billion yuan, down 56.7 billion yuan from the previous day. Recent policies aimed at boosting consumption and supporting technological innovation are gradually being implemented, leading to a recovery in market sentiment. However, the upward momentum for technology stocks is expected to slow down as the earnings season approaches, with limited recovery anticipated in earnings. The focus is shifting from technology stock valuation recovery to consumer recovery expectations, although internal growth in consumption remains insufficient. The report anticipates a weakening of policy-driven rebound momentum in the near term, with stock indices expected to fluctuate within a range [3][4][5]. Summary by Sections Market Overview - The stock market is seeing a slight increase in indices, with a total turnover of 1,564.2 billion yuan, reflecting a decrease of 56.7 billion yuan from the previous day. The market sentiment is improving due to the implementation of policies aimed at boosting consumption and supporting technological innovation [3]. Sector Performance - Technology stocks have shown significant valuation recovery, but the report suggests that the upward momentum may slow down as the earnings season approaches. The focus is shifting towards consumer recovery expectations, although the internal growth rate of consumption is still lacking [3][4]. Policy Impact - The report indicates that the impact of policy measures is expected to weaken in the near term, particularly as April approaches, which may lead to a reduction in the momentum of policy-driven rebounds [3][4]. Options Market - Implied volatility for options remains stable, with expectations of moderate increases in the market. The report maintains a bullish spread outlook for options [3][4].

Investment Rating - The report does not explicitly provide an investment rating for the financial options industry Core Insights - The stock market is experiencing slight fluctuations, with the Shanghai Composite Index and Shenzhen Component Index maintaining a small range of movement [3] - Implied volatility for financial options remains below historical averages, indicating a stable market environment [3][11] - Suggested strategies for ETF options include constructing covered call strategies and neutral double selling strategies, while index options are recommended for neutral double selling and arbitrage strategies [3] Summary by Sections Market Overview - The Shanghai Composite Index closed at 3,379.83, up by 0.41% with a trading volume of 59.23 billion [4] - The Shenzhen Component Index closed at 10,861.16, up by 0.33% with a trading volume of 88.96 billion [4] ETF Options Market - The Shanghai 50 ETF closed at 2.739, with a trading volume of 616.19 million and a slight increase of 0.44% [5] - The Shanghai 300 ETF closed at 4.035, with a trading volume of 1,002.92 million, also showing a 0.30% increase [5] Options Factors - The PCR (Put-Call Ratio) for the Shanghai 50 ETF is at 0.79, indicating a balanced market sentiment [6] - The implied volatility for the Shanghai 50 ETF is at 13.80%, which is below the annual average of 18.54% [11] Strategy Recommendations - For the Shanghai 50 ETF, a neutral strategy involving selling both call and put options is recommended to capture time value [15] - For the Shanghai 300 ETF, a similar neutral strategy is suggested, with a focus on maintaining a delta-neutral position [16] - The report emphasizes the importance of dynamic adjustments to maintain neutral positions in the options market [14][16]