金融期权 2025/08/06 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的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率逐渐下降至均值较低水平平波动。 （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 | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | ...

金融期权 2025-08-05 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 | （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的市场行情。 表2：期权标的ETF市场概况 | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (万份) | | (亿元) | | | 上证50ETF | 510050.SH | 2.890 | 0.014 | 0.49 | 479.90 | 471.66 | 13.83 | -9.91 | | 上证300ETF | 510300.SH | 4.152 ...

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints - The stock market has a relatively strong risk appetite, and stock indices are oscillating upwards. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets is 1518.2 billion yuan, a decrease of 101.7 billion yuan from the previous day. The trading volume remains above 1.5 trillion yuan, indicating a high - level risk appetite among stock market investors [3]. - The economy showed strong resilience in the second quarter, reducing the short - term expectation of policy intensification. The subsequent incremental positive factors need to wait until October, so the positive policy drive has weakened recently [3]. - Since late June, some stocks have achieved significant gains, and some profit - taking funds have a need to lock in profits. Therefore, the stock indices have a short - term need for technical consolidation. However, external risk factors are easing, domestic economic data shows resilience, the stock market risk appetite is at a high level, and there are few negative factors. In the short term, the stock indices are more likely to rise than fall. Overall, the stock indices are upward - trending in the long - term and will mainly oscillate within a range in the short - term [3]. - The implied volatility of options is currently in the normal range. Considering the long - term upward trend of stock indices, investors can continue to hold bull spreads or ratio spreads for a mild bullish view [3]. 3. Summary by Relevant Catalogs 3.1 Option Indicators - **ETF and Index Performance**: On August 4, 2025, 50ETF rose 0.49% to 2.890; 300ETF (Shanghai Stock Exchange) rose 0.46% to 4.152; 300ETF (Shenzhen Stock Exchange) rose 0.38% to 4.279; the CSI 300 Index rose 0.39% to 4070.70; the CSI 1000 Index rose 1.04% to 6739.69; 500ETF (Shanghai Stock Exchange) rose 0.76% to 6.335; 500ETF (Shenzhen Stock Exchange) rose 1.08% to 2.537; the GEM ETF rose 0.43% to 2.313; the Shenzhen 100ETF rose 0.31% to 2.886; the SSE 50 Index rose 0.55% to 2769.39; the STAR 50ETF rose 1.19% to 1.10; and the E Fund STAR 50ETF rose 1.22% to 1.08 [5]. - **Volume and Open Interest PCR**: Different ETF and index options have different volume and open interest PCR values, and most of them have changed compared to the previous trading day. For example, the volume PCR of SSE 50ETF options was 106.66 (previous day: 109.66), and the open interest PCR was 89.70 (previous day: 84.31) [6]. - **Implied Volatility and Historical Volatility**: The implied volatility and 30 - day historical volatility of different options are also presented. For instance, the implied volatility of SSE 50ETF options' August 2025 at - the - money options was 13.67%, and the 30 - day historical volatility of the underlying was 9.69% [7]. 3.2 Relevant Charts - The report provides a series of charts for different types of options, including the trend of the underlying, option volatility, volume PCR, open interest PCR, implied volatility curves, and the implied volatility of at - the - money options for different terms. For example, for SSE 50ETF options, there are charts showing the SSE 50ETF trend, option volatility, volume PCR, etc. [9][10][11]

1. Report Industry Investment Rating - Not provided in the given 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, showed a high-level oscillating and declining market trend [3]. - The implied volatility of financial options gradually declined to a relatively low level around 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 futures with 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 3,559.95, down 13.26 points (-0.37%), with a trading volume of 684.6 billion yuan, a decrease of 161.2 billion yuan [4]. - The Shenzhen Component Index closed at 10,991.32, down 18.45 points (-0.17%), with a trading volume of 913.7 billion yuan, a decrease of 176.4 billion yuan [4]. - The SSE 50 Index closed at 2,754.13, down 21.86 points (-0.79%), with a trading volume of 94.1 billion yuan, a decrease of 37.8 billion yuan [4]. - The CSI 300 Index closed at 4,054.93, down 20.66 points (-0.51%), with a trading volume of 359.7 billion yuan, a decrease of 132.5 billion yuan [4]. - The CSI 500 Index closed at 6,213.20, down 13.14 points (-0.21%), with a trading volume of 254.5 billion yuan, a decrease of 67.8 billion yuan [4]. - The CSI 1000 Index closed at 6,670.47, up 9.29 points (0.14%), with a trading volume of 349.1 billion yuan, a decrease of 52.8 billion yuan [4]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 2.876, down 0.023 (-0.79%), with a trading volume of 8.2351 million shares, an increase of 8.1405 million shares, and a trading value of 2.374 billion yuan, a decrease of 0.376 billion yuan [5]. - The SSE 300 ETF closed at 4.133, down 0.022 (-0.53%), with a trading volume of 6.1157 million shares, an increase of 6.0034 million shares, and a trading value of 2.531 billion yuan, a decrease of 2.157 billion yuan [5]. - The SSE 500 ETF closed at 6.287, down 0.010 (-0.16%), with a trading volume of 1.582 million shares, an increase of 1.5621 million shares, and a trading value of 0.995 billion yuan, a decrease of 0.263 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.091, down 0.010 (-0.91%), with a trading volume of 37.1572 million shares, an increase of 36.6287 million shares, and a trading value of 4.07 billion yuan, a decrease of 1.802 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.064, down 0.010 (-0.93%), with a trading volume of 8.8498 million shares, an increase of 8.7303 million shares, and a trading value of 0.946 billion yuan, a decrease of 0.351 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.263, down 0.021 (-0.49%), with a trading volume of 1.0369 million shares, an increase of 1.0169 million shares, and a trading value of 0.443 billion yuan, a decrease of 0.418 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.510, down 0.007 (-0.28%), with a trading volume of 0.5791 million shares, an increase of 0.562 million shares, and a trading value of 0.146 billion yuan, a decrease of 0.287 billion yuan [5]. - The Shenzhen 100 ETF closed at 2.877, down 0.007 (-0.24%), with a trading volume of 0.4771 million shares, an increase of 0.47 million shares, and a trading value of 0.137 billion yuan, a decrease of 0.069 billion yuan [5]. - The ChiNext ETF closed at 2.303, up 0.002 (0.09%), with a trading volume of 11.3713 million shares, an increase of 11.1732 million shares, and a trading value of 2.621 billion yuan, a decrease of 2.008 billion yuan [5]. 3.3 Option Factor - Volume and Position PCR - For different option varieties, the volume and position PCR values and their changes are provided, which can be used to analyze the market sentiment and potential turning points of the underlying assets [6][7]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points of different option underlying assets are analyzed based on the strike prices with the largest open interest of call and put options [8][10]. 3.5 Option Factor - Implied Volatility - The implied volatility of different option varieties, including at-the-money implied volatility and weighted implied volatility, is presented, along with their changes and comparisons with historical average values [11][12]. 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 option strategies are recommended for each sector [13]. - For example, for the financial stock sector (SSE 50 ETF, SSE 50), it is recommended to construct a seller-neutral strategy and a covered call strategy; for the large-cap blue-chip stock sector (SSE 300 ETF, Shenzhen 300 ETF, CSI 300), a short-volatility strategy and a covered call strategy are suggested [14].

1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - Today, all stock indices fluctuated and consolidated. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1619.9 billion yuan, a decrease of 342 billion yuan from the previous day. Due to the significant gains of some stocks since late June, some profit - taking funds have a need to lock in profits, so the stock indices have a short - term need for technical consolidation. The recent decline in the trading volume of the stock market indicates a decline in investors' risk appetite. Since incremental policy benefits may need to wait until the Fourth Plenary Session of the 20th CPC Central Committee in October, the driving force of policy benefits has weakened marginally in the short term. In general, the stock indices are expected to fluctuate within a range in the short term. Currently, the implied volatility of options has rebounded. Considering the long - term upward trend of the stock indices, investors can continue to hold bull spreads or ratio spreads for a mild bullish view [3] 3. Summary by Relevant Catalogs 3.1 Option Indicators - On August 1, 2025, the 50ETF fell 0.79% to 2.876; the 300ETF (Shanghai Stock Exchange) fell 0.53% to 4.133; the 300ETF (Shenzhen Stock Exchange) fell 0.49% to 4.263; the CSI 300 Index fell 0.51% to 4054.93; the CSI 1000 Index rose 0.14% to 6670.47; the 500ETF (Shanghai Stock Exchange) fell 0.16% to 6.287; the 500ETF (Shenzhen Stock Exchange) fell 0.28% to 2.510; the GEM ETF rose 0.09% to 2.303; the Shenzhen 100ETF fell 0.24% to 2.877; the SSE 50 Index fell 0.79% to 2754.13; the STAR 50ETF fell 0.91% to 1.09; the E Fund STAR 50ETF fell 0.93% to 1.06 [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 109.66 (previous day: 92.57), and the position PCR was 86.82 (previous day: 87.58) [6] - The implied volatility of at - the - money options in August 2025 and the 30 - trading - day historical volatility of the underlying assets of various options are provided. For instance, the implied volatility of at - the - money SSE 50ETF options in August 2025 was 14.49%, and the 30 - trading - day historical volatility of the underlying asset was 9.33% [7] 3.2 Relevant Charts - **SSE 50ETF Options**: Include charts of the SSE 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [9][11][13] - **SSE 300ETF Options**: Include charts of the SSE 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [19][21] - **SZSE 300ETF Options**: Include charts of the SZSE 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [22][24] - **CSI 300 Index Options**: Include charts of the CSI 300 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [35][37] - **CSI 1000 Index Options**: Include charts of the CSI 1000 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [48][51] - **SSE 500ETF Options**: Include charts of the SSE 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [62][64] - **SZSE 500ETF Options**: Include charts of the SZSE 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [75][78] - **GEM ETF Options**: Include charts of the GEM ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [89][91] - **Shenzhen 100ETF Options**: Include charts of the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [102][104] - **SSE 50 Index Options**: Include charts of the SSE 50 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [115][118] - **STAR 50ETF Options**: Include charts of the STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [129][131] - **E Fund STAR 50ETF Options**: Include charts of the E Fund STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [133][136]

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - The stock market, including the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks, shows a market trend of high - level shock and decline [2]. - The implied volatility of financial options gradually declines to a relatively low level around the mean [2]. - Different option strategies are suitable for different types of financial options. For ETF options, covered strategies, neutral double - selling strategies, and vertical spread combination strategies are appropriate. For index options, neutral double - selling strategies and arbitrage strategies between option synthetic futures and futures are recommended [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,573.21, down 42.51 points or 1.18%, with a trading volume of 845.9 billion yuan and an increase of 26.3 billion yuan in trading volume [3]. - The Shenzhen Component Index closed at 11,009.77, down 193.26 points or 1.73%, with a trading volume of 1090.1 billion yuan and an increase of 65.5 billion yuan in trading volume [3]. - Other important indices such as the SSE 50, CSI 300, CSI 500, and CSI 1000 also showed different degrees of decline [3]. 3.2 Option - related Data - **ETF Option Market Overview**: Various ETFs, including SSE 50ETF, SSE 300ETF, etc., showed price declines, and there were corresponding changes in trading volume and trading value [4]. - **Option Factor - Volume and Position PCR**: Different option varieties have different volume and position PCR values and their changes, which can be used to describe the strength of the option underlying market and the turning point of the underlying market [5][6]. - **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 are obtained [7][8]. - **Option Factor - Implied Volatility**: The implied volatility of different option varieties is at different levels, and there are differences in the changes of weighted implied volatility [9][10]. 3.3 Strategy and Recommendations - **Market Segmentation**: The financial option sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and ChiNext. Each sector includes different option varieties [11]. - **Option Strategies for Each Sector** - **Financial Stocks**: For SSE 50ETF and SSE 50, the underlying asset shows a high - level shock and decline trend. Neutral selling strategies and covered call strategies are recommended [12]. - **Large - Cap Blue - Chip Stocks**: For SSE 300ETF, SZSE 300ETF, and CSI 300, the underlying asset also shows a high - level shock and decline trend. Short - volatility strategies and covered call strategies are recommended [12]. - **Large - and Medium - Sized Stocks**: For SZSE 100ETF, short - volatility strategies and covered call strategies are recommended [13]. - **Small and Medium - Sized Boards**: For SSE 500ETF, SZSE 500ETF, and CSI 1000, different strategies are recommended according to the market trend of the underlying assets, including short - volatility strategies and covered call strategies [13][14]. - **ChiNext**: For ChiNext ETF, Huaxia Science and Technology Innovation 50ETF, and E Fund Science and Technology Innovation 50ETF, bullish call option combination strategies and short - volatility strategies are recommended [14]. 3.4 Option Charts - The report provides a large number of option - related charts, including price trends, trading volume and open interest, PCR, implied volatility, etc., of SSE 50ETF, SSE 300ETF, SSE 500ETF, ChiNext ETF, SZSE 100ETF, and CSI 1000 index options, which help to visually understand the market situation of different option varieties [15][34][54][73][95][111]

Report Title - Financial Options Strategy Morning Report, dated July 31, 2025 [1] Core Viewpoints - The stock market shows a bullish oscillating upward trend, with the Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks all performing well [2]. - The implied volatility of financial options has gradually declined to a relatively 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]. Market Data Summaries Financial Market Important Indexes - The Shanghai Composite Index closed at 3,615.72, up 6.01 points or 0.17%, with a trading volume of 819.6 billion yuan [3]. - The Shenzhen Component Index closed at 11,203.03, down 86.38 points or 0.77%, with a trading volume of 1,024.7 billion yuan [3]. Option - Based ETFs - The Shanghai 50ETF closed at 2.943, up 0.009 or 0.31%, with a trading volume of 826.17 million shares and a turnover of 2.433 billion yuan [4]. - The Shanghai 300ETF closed at 4.232, down 0.003 or 0.07%, with a trading volume of 950.25 million shares and a turnover of 4.024 billion yuan [4]. Option Factors Volume - to - Open Interest PCR - For the Shanghai 50ETF option, the volume PCR was 0.85 (down 0.08), and the open interest PCR was 1.04 (up 0.04) [5]. - For the Shanghai 300ETF option, the volume PCR was 1.02 (up 0.04), and the open interest PCR was 1.10 (up 0.04) [5]. Pressure and Support Points - The pressure point for the Shanghai 50ETF was 3.10, and the support point was 2.90 [7]. - The pressure point for the Shanghai 300ETF was 4.20, and the support point was 4.10 [7]. Implied Volatility - The weighted implied volatility of the Shanghai 50ETF option was 15.55% (down 0.40%) [9]. - The weighted implied volatility of the Shanghai 300ETF option was 15.75% (down 0.63%) [9]. Strategy and Recommendations Financial Stock Sector (Shanghai 50ETF, Shanghai 50) - Directional strategy: Construct a bull call spread strategy, such as B_510050C2508M02900 and S_510050P2508M03000 [12]. - Volatility strategy: Construct a neutral selling strategy, such as SELL_510050P2508M02850 and SELL_510050P2508M03050 [12]. - Spot long covered strategy: Hold the Shanghai 50ETF and sell call options, such as LONG_510050 + SELL_510050C2508M03000 [12]. Large - Cap Blue - Chip Stock Sector (Shanghai 300ETF, Shenzhen 300ETF, CSI 300) - Directional strategy: Construct a bull call spread strategy, such as B_510300C2508M04200 and S_510300C2508M04400 [12]. - Volatility strategy: Construct a short - volatility strategy by selling call and put options, such as S_510300P2508M04100 and S_510300C2508M04400 [12]. - Spot long covered strategy: Hold the Shanghai 300ETF and sell call options, such as LONG_510300 + SELL_510300C2508M04000 [12].

Report Summary 1. Investment Rating There is no information about the industry investment rating in the report. 2. Core Viewpoints - On July 30, 2025, the stock indexes fluctuated narrowly. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 187.1 billion yuan, an increase of 4.17 billion yuan from the previous day [3]. - A Politburo meeting was held today, emphasizing the implementation of existing policies, including a more proactive fiscal policy and a moderately loose monetary policy, with a focus on boosting consumption and supporting technological innovation. The meeting also pointed out the need to enhance the attractiveness and inclusiveness of the domestic capital market and consolidate the stable and positive momentum of the capital market, indicating that policies to stabilize stock market expectations will continue [3]. - The incremental positive effects of the Politburo meeting are limited. Since late June, some stocks have achieved significant gains, and some profit - taking funds have a need to take profits. Therefore, the driving force for the short - term upward movement of the stock index will weaken. New incremental positive policy effects are expected to await the policy guidance of the Fourth Plenary Session of the 20th CPC Central Committee in October [3]. - Currently, the trading volume of the stock market is at a relatively high percentile level, and market risk appetite has recovered. It is expected that the stock index will mainly fluctuate strongly in the short term [3]. - The implied volatility of options has rebounded. Considering that the stock index continues its upward trend, investors can continue to hold bull spreads or ratio spreads to take a mild long - position [3]. 3. Summary by Sections 3.1 Option Indicators - **ETF and Index Performance**: On July 30, 2025, the 50ETF rose 0.31% to 2.943; the 300ETF (SSE) fell 0.07% to 4.232; the 300ETF (SZSE) fell 0.02% to 4.366; the CSI 300 Index fell 0.02% to 4151.24; the CSI 1000 Index fell 0.82% to 6718.48; the 500ETF (SSE) fell 0.65% to 6.389; the 500ETF (SZSE) fell 0.62% to 2.553; the ChiNext ETF fell 1.59% to 2.345; the Shenzhen 100ETF fell 0.84% to 2.943; the SSE 50 Index rose 0.38% to 2819.35; the STAR 50ETF fell 1.16% to 1.11; the E Fund STAR 50ETF fell 1.09% to 1.09 [5]. - **Volume and Position PCR**: The volume PCR and position PCR of various options changed compared to the previous trading day. For example, the volume PCR of SSE 50ETF options was 85.10 (previous day: 92.74), and the position PCR was 104.29 (previous day: 100.17) [6]. - **Implied Volatility and Historical Volatility**: The implied volatility and 30 - trading - day historical volatility of various options in August 2025 are provided. For instance, the implied volatility of SSE 50ETF options' at - the - money options in August 2025 was 15.75%, and the 30 - trading - day historical volatility of the underlying was 8.12% [7]. 3.2 Related Charts The report provides a series of charts for different types of options, including the trend of the underlying, volatility, volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility of options such as SSE 50ETF options, SSE 300ETF options, SZSE 300ETF options, etc. These charts show the historical data from 2023 to 2025, helping investors analyze the performance and trends of different options [9][20][23].

金融期权 2025/07/30 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、大盘蓝筹股、中小盘股和创业板股表现为偏多头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逐渐下降至均值较低水平平波动。 （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 | | --- | --- | --- | --- | --- | --- | --- | --- | | | | ...

1. Report Industry Investment Rating - No information provided in the content 2. Core Viewpoints of the Report - Today, all stock indices fluctuated and rose. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1829.3 billion yuan, an increase of 63.2 billion yuan from the previous day. The current market sentiment remains positive and optimistic, with the stock market trading volume at a relatively high percentile level, and investors' risk appetite continues to recover. However, from a technical perspective, since late June, some stocks have achieved significant gains, and some profit - taking funds may need to take profits, so the stock indices may need a period of consolidation. In general, the stock indices will fluctuate with a slight upward trend in the short term, and attention should be paid to the policy guidance of the Political Bureau meeting. Currently, the implied volatility of options has rebounded. Considering that the stock indices continue to trend upward, investors can continue to hold bull spreads or ratio spreads for a moderate bullish view [4] 3. Summary According to Related Catalogs 3.1 Option Indicators - On July 29, 2025, the 50ETF rose 0.17% to close at 2.934; the 300ETF (Shanghai Stock Exchange) rose 0.50% to close at 4.235; the 300ETF (Shenzhen Stock Exchange) rose 0.39% to close at 4.367; the CSI 300 Index rose 0.39% to close at 4152.02; the CSI 1000 Index rose 0.65% to close at 6773.88; the 500ETF (Shanghai Stock Exchange) rose 0.63% to close at 6.431; the 500ETF (Shenzhen Stock Exchange) rose 0.63% to close at 2.569; the ChiNext ETF rose 1.75% to close at 2.383; the Shenzhen 100ETF rose 0.78% to close at 2.968; the SSE 50 Index rose 0.21% to close at 2808.59; the STAR 50ETF rose 1.35% to close at 1.13; the E Fund STAR 50ETF rose 1.29% to close at 1.10 [6] - The trading volume PCR and position PCR of various options changed compared to the previous trading day. For example, the trading volume PCR of the 50ETF option was 92.74 (previous day: 97.75), and the position PCR was 103.12 (previous day: 97.48) [7] - The implied volatility of the at - the - money options in August 2025 and the 30 - trading - day historical volatility of the underlying assets were reported. For instance, the implied volatility of the at - the - money options of the 50ETF option in August 2025 was 15.93%, and the 30 - trading - day historical volatility of the underlying asset was 8.15% [8] 3.2 Related Charts - Multiple charts were presented, including the trends, volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different terms of various options such as the 50ETF option, 300ETF option (Shanghai and Shenzhen Stock Exchanges), CSI 300 Index option, CSI 1000 Index option, 500ETF option (Shanghai and Shenzhen Stock Exchanges), ChiNext ETF option, Shenzhen 100ETF option, SSE 50 Index option, STAR 50ETF option, and E Fund STAR 50ETF option [10][20][23]