1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - Today, each stock index fluctuated and rose, with CSI 1000 and CSI 500 leading the gains. The total market turnover of the stock market was 192.18 billion yuan, an increase of 2.46 billion yuan from the previous day. In the medium - to - long term, the positive policy expectations and the trend of capital inflows together form the medium - to - long - term support for the stock index. Currently, positive policy expectations are gradually fermenting. With the appreciation of the RMB, a large number of relatively high - interest time deposits will mature next year, and their "reallocation" may bring a large amount of incremental funds into the stock market. In the short term, the liquidity of the capital market is tightening near the end of the year, policy incremental signals are not yet clear, and the stock index is approaching its previous high, which may cause short - term disturbances. In general, the stock index will maintain a range - bound oscillation in the short term. For options, the current position PCR and implied volatility are both within the normal range, and a bull spread or ratio spread with a mild bullish view can be adopted [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On December 25, 2025, 50ETF rose 0.26% to close at 3.107; 300ETF (SSE) rose 0.19% to close at 4.766; 300ETF (SZSE) rose 0.17% to close at 4.840; the CSI 300 Index rose 0.18% to close at 4642.54; the CSI 1000 Index rose 0.97% to close at 7579.38; 500ETF (SSE) rose 0.86% to close at 7.534; 500ETF (SZSE) rose 0.81% to close at 2.974; the GEM ETF rose 0.31% to close at 3.222; the Shenzhen 100ETF fell 0.09% to close at 3.475; the SSE 50 Index rose 0.25% to close at 3032.84; the STAR 50ETF fell 0.07% to close at 1.42; the E Fund STAR 50ETF fell 0.15% to close at 1.38 [5]. - The trading volume PCR and position PCR of various options on December 25, 2025, and their changes compared with the previous trading day are provided in detail, including 50ETF options, SSE 300ETF options, SZSE 300ETF options, CSI 300 index options, CSI 1000 index options, SSE 500ETF options, SZSE 500ETF options, GEM ETF options, Shenzhen 100ETF options, SSE 50 index options, STAR 50ETF options, and E Fund STAR 50ETF options [6]. - The implied volatility of at - the - money options in January 2026 and the 30 - trading - day historical volatility of the underlying assets of various options are provided, such as 50ETF options, SSE 300ETF options, SZSE 300ETF options, CSI 300 index options, CSI 1000 index options, SSE 500ETF options, SZSE 500ETF options, GEM ETF options, Shenzhen 100ETF options, SSE 50 index options, STAR 50ETF options, and E Fund STAR 50ETF options [7][8]. 3.2 Related Charts - **SSE 50ETF Options**: Include the trend chart of SSE 50ETF, the volatility chart of SSE 50ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [9][11][13][15][19]. - **SSE 300ETF Options**: Include the trend chart of SSE 300ETF, the volatility chart of SSE 300ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [21][23][25][27][29][31]. - **SZSE 300ETF Options**: Include the trend chart of SZSE 300ETF, the volatility chart of SZSE 300ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [34][36][38][40][42][45]. - **CSI 300 Index Options**: Include the trend chart of the CSI 300 index, the volatility chart of CSI 300 index options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [46][48][50][52][54][56]. - **CSI 1000 Index Options**: Include the trend chart of the CSI 1000 index, the volatility chart of CSI 1000 index options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [59][62][63][64][66][68]. - **SSE 500ETF Options**: Include the trend chart of SSE 500ETF, the volatility chart of SSE 500ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [73][75][77][79][81][83]. - **SZSE 500ETF Options**: Include the trend chart of SZSE 500ETF, the volatility chart of SZSE 500ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [86][88][90][92][94][95]. - **GEM ETF Options**: Include the trend chart of GEM ETF, the volatility chart of GEM ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [99][101][103][105][106][109]. - **Shenzhen 100ETF Options**: Include the trend chart of Shenzhen 100ETF, the volatility chart of Shenzhen 100ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [111][113][115][117][119][121]. - **SSE 50 Index Options**: Include the trend chart of the SSE 50 index, the volatility chart of SSE 50 index options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [124][126][128][130][132][134]. - **STAR 50ETF Options**: Include the trend chart of STAR 50ETF, the volatility chart of STAR 50ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [137][138][139][140][142][144]. - **E Fund STAR 50ETF Options**: Include the trend chart of E Fund STAR 50ETF, the volatility chart of E Fund STAR 50ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [145][146][148][149].

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

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

期货研究报告 投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2025 年 12 月 22 日 金融期权 专业研究·创造价值 股指震荡上涨，维持牛市价差 核心观点 今日各股指均震荡上涨。股市全市场成交额 18650 亿元，较上日成交 额放量 1163 亿元。2026 年政策面利好预期逐渐发酵，推动市场风险偏好 逐渐回升，中长线资金配置意愿上升，对股指构成强有力支撑。不过短期 内股市成交量能仍处于较低水平，反应投资者风险偏好仍存分歧，以观望 居多。中长期来看，政策面利好预期以及资金净流入趋势保持向好态势， 股指的支撑力量较强。总的来说，短期内股指维持区间震荡。 期权方面，持仓量 PCR 与隐含波动率表现偏中性，可以牛市价差或者 比例价差温和看涨的思路对待。 （仅供参考，不构成任何投资建议） 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本人承诺以勤勉的职业态度， 独立、客观地出具本报告。本 报告清晰准确地反映了本人的 研究观点。本人不会因本报告 中的具体推荐意见或观点而直 接或间接接收到任何形式的报 ...

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

Report Summary 1. Report Industry Investment Rating No information about the industry investment rating is provided in the document. 2. Core Viewpoints - The stock market shows a high - level volatile upward trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks all performing this way [3]. - The implied volatility of financial options has dropped to a level below the historical average [3]. - For ETF options, it is suitable to construct a partial long seller strategy and a call option bull spread combination strategy; for index options, in addition to the above two strategies, an arbitrage strategy of combining long synthetic futures with short futures can also be constructed [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,870.28, up 45.47 points or 1.19%, with a trading volume of 766.8 billion yuan and an increase of 33.5 billion yuan [4]. - The Shenzhen Component Index closed at 13,224.51, up 309.85 points or 2.40%, with a trading volume of 1,044.3 billion yuan and an increase of 53.4 billion yuan [4]. - The Shanghai 50 Index closed at 2,991.68, up 36.89 points or 1.25%, with a trading volume of 107.5 billion yuan and an increase of 4.1 billion yuan [4]. - The CSI 300 Index closed at 4,579.88, up 82.32 points or 1.83%, with a trading volume of 452.5 billion yuan and an increase of 62 billion yuan [4]. - The CSI 500 Index closed at 7,137.83, up 136.52 points or 1.95%, with a trading volume of 302.4 billion yuan and an increase of 17.4 billion yuan [4]. - The CSI 1000 Index closed at 7,288.74, up 107.12 points or 1.49%, with a trading volume of 366.3 billion yuan and an increase of 4.6 billion yuan [4]. 3.2 Option - Based ETF Market Overview - The Shanghai 50 ETF closed at 3.058, up 0.035 or 1.16%, with a trading volume of 8.8631 million shares and an increase of 8.7844 million shares, and a trading value of 2.696 billion yuan and an increase of 0.253 billion yuan [5]. - The Shanghai 300 ETF closed at 4.699, up 0.079 or 1.71%, with a trading volume of 10.8561 million shares and an increase of 10.7792 million shares, and a trading value of 5.079 billion yuan and an increase of 1.52 billion yuan [5]. - Other ETFs also have corresponding closing prices, price changes, trading volume, and trading value changes [5]. 3.3 Option Factor - Volume and Position PCR - Different option varieties have different volume, volume changes, position, position changes, volume PCR, and position PCR values [6]. For example, the volume PCR of the Shanghai 50 ETF option decreased by 0.45 to 0.88, and the position PCR increased by 0.11 to 0.98 [6]. 3.4 Option Factor - Pressure and Support Points - For different option varieties, the pressure points, support points, and their offsets are provided. For example, the pressure point of the Shanghai 50 ETF is 3.12 with an offset of - 0.08, and the support point is 3.02 with an offset of - 0.08 [8]. 3.5 Option Factor - Implied Volatility - Different option varieties have different at - the - money implied volatility, weighted implied volatility, and their changes. For example, the weighted implied volatility of the Shanghai 50 ETF option decreased by 0.41 to 13.64% [11]. 3.6 Strategy and Suggestions - The financial option sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and the ChiNext board, with specific sub - sectors and corresponding option varieties [13]. - For each sector, option strategies are provided based on the analysis of the underlying asset market, option factor research, and specific option strategies. For example, for the financial stock sector (Shanghai 50 ETF), a partial neutral seller combination strategy can be constructed, and a spot long covered call strategy can also be used [14].

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

Report Summary 1. Report's Investment Rating for the Industry No investment rating for the industry is provided in the content. 2. Core Viewpoints of the Report - The stock market shows a high - level volatile upward trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks all experiencing this pattern [3]. - The implied volatility of financial options has dropped to a level below the historical average [3]. - For ETF options, it is suitable to construct a partial long - side seller strategy and a bull spread combination strategy of call options; for index options, in addition to the above two strategies, an arbitrage strategy of long synthetic futures and short futures can be constructed [3]. 3. Summary of Key Points by Category 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,867.92, down 0.55% with a trading volume of 764.6 billion yuan, a decrease of 145.3 billion yuan [4]. - The Shenzhen Component Index closed at 13,112.09, down 1.10% with a trading volume of 1,008.8 billion yuan, a decrease of 173.4 billion yuan [4]. - Other important indices such as the SSE 50, CSI 300, CSI 500, and CSI 1000 also showed varying degrees of decline [4]. 3.2 Option - related Data 3.2.1 Option - based ETF Market Overview - The closing prices of various ETFs, including the SSE 50ETF, SSE 300ETF, etc., showed different degrees of decline, and their trading volumes and trading amounts also changed [5]. 3.2.2 Option Factor - Volume and Position PCR - The volume and position PCR of different option varieties showed different trends, which can reflect the strength of the option underlying market and the turning point of the market [6]. 3.2.3 Option Factor - Pressure and Support Points - The pressure and support points of different option varieties are analyzed from the perspective of the strike prices with the largest open interest of call and put options [8]. 3.2.4 Option Factor - Implied Volatility - The implied volatility of different option varieties is analyzed, including at - the - money implied volatility, weighted implied volatility, etc., and the differences between implied and historical volatilities are compared [11]. 3.3 Strategy and Recommendations 3.3.1 Sector Classification - The financial option sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and the ChiNext board, with specific option varieties corresponding to each sector [13]. 3.3.2 Option Strategies for Each Sector - For each sector, based on the analysis of the underlying market, option factor research, and option strategies are proposed, including directional strategies, volatility strategies, and spot long - side covered call strategies [14][15][16]. 3.4 Option Charts - Charts of various option varieties, such as the SSE 50ETF option, SSE 300ETF option, etc., including price trends, volume and position distributions, and implied volatility trends, are provided to visually present the market conditions [17][31][45][63][79][98].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The stock market shows a high - level volatile upward trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks all performing in this way [3]. - The implied volatility of financial options has declined to a level below the historical average [3]. - For ETF options, it is suitable to construct a partial long - side seller strategy and a bull spread combination strategy of call options; for index options, it is suitable to construct a partial long - side seller strategy, a bull spread combination strategy of call options, and an arbitrage strategy of synthetic long futures with options and short futures [3]. 3. Summary According to Related Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,889.35, up 16.03 points or 0.41% with a trading volume of 910 billion yuan and an increase of 145.6 billion yuan in trading volume [4]. - The Shenzhen Component Index closed at 13,258.33, up 110.94 points or 0.84% with a trading volume of 1,182.3 billion yuan and an increase of 89.5 billion yuan in trading volume [4]. - The SSE 50 Index closed at 2,994.64, up 17.61 points or 0.59% with a trading volume of 137.3 billion yuan and an increase of 40.3 billion yuan in trading volume [4]. - The CSI 300 Index closed at 4,580.95, up 28.77 points or 0.63% with a trading volume of 523.9 billion yuan and an increase of 91.4 billion yuan in trading volume [4]. - The CSI 500 Index closed at 7,169.79, up 86.90 points or 1.23% with a trading volume of 373.1 billion yuan and an increase of 72.4 billion yuan in trading volume [4]. - The CSI 1000 Index closed at 7,370.94, up 58.95 points or 0.81% with a trading volume of 422.8 billion yuan and an increase of 40.8 billion yuan in trading volume [4]. 3.2 Option - Underlying ETF Market Overview - The SSE 50 ETF closed at 3.134, up 0.014 or 0.45% with a trading volume of 6.3103 million shares and an increase of 6.2611 million shares in trading volume, and a trading amount of 1.971 billion yuan and an increase of 0.434 billion yuan in trading amount [5]. - The SSE 300 ETF closed at 4.694, up 0.026 or 0.56% with a trading volume of 8.6715 million shares and an increase of 8.6095 million shares in trading volume, and a trading amount of 4.057 billion yuan and an increase of 1.147 billion yuan in trading amount [5]. - Other ETFs also have their respective closing prices, price changes, trading volumes, and trading amounts as detailed in the report [5]. 3.3 Option Factors - Volume and Position PCR - For the SSE 50 ETF option, the trading volume was 873,200 contracts, an increase of 153,600 contracts; the open interest was 1,355,600 contracts, a decrease of 19,200 contracts; the trading volume PCR was 1.08, an increase of 0.01; the open - interest PCR was 0.96, an increase of 0.04 [6]. - Other option varieties also have their corresponding volume and position PCR data as shown in the report [6]. 3.4 Option Factors - Pressure and Support Points - For the SSE 50 ETF, the pressure point is 3.20 and the support point is 3.10 [8]. - Other option - underlying assets also have their respective pressure and support points as presented in the report [8]. 3.5 Option Factors - Implied Volatility - The at - the - money implied volatility of the SSE 50 ETF option was 12.00%, the weighted implied volatility was 12.27%, a decrease of 0.74 percentage points; the annual average was 15.95% [11]. - Other option varieties also have their corresponding implied volatility data as detailed in the report [11]. 3.6 Strategy and Suggestions 3.6.1 Financial Stock Sector (SSE 50 ETF) - The SSE 50 ETF showed a high - level volatile and consolidating trend with pressure above. The implied volatility of its options remained at a level below the average. The open - interest PCR was around 0.90, indicating a sideways trend. The pressure point was 3.20 and the support point was 3.10. Directional strategy: None. Volatility strategy: Construct a seller - neutral combination strategy to obtain time - value income and dynamically adjust the position delta to keep it neutral. Spot long - covered strategy: Hold the SSE 50 ETF and sell call options [14]. 3.6.2 Large - Cap Blue - Chip Stock Sector (SSE 300 ETF) - The SSE 300 ETF showed a rebound after a decline, with the implied volatility of its options remaining at a level below the average. The open - interest PCR was above 1.00, indicating an upward - biased trend. The pressure point was 4.80 and the support point was 4.60. Directional strategy: None. Volatility strategy: Construct a short - volatility strategy of selling call and put options to obtain option time - value income. Spot long - covered strategy: Hold the SSE 300 ETF and sell call options [14]. 3.6.3 Small - and Medium - Cap Stock Sector (SSE 500 ETF) - The SSE 500 ETF showed a rebound after a decline with support below and pressure above. The implied volatility of its options remained at a level below the historical average. The open - interest PCR was above 1.00, indicating a strong sideways trend. The pressure point was 7.50 and the support point was 7.00. Directional strategy: None. Volatility strategy: Construct a short - volatility strategy of selling call and put options to obtain option time - value income. Spot long - covered strategy: Hold the SSE 500 ETF and sell call options [15]. 3.6.4 Large - and Medium - Sized Stock Sector (SZSE 100 ETF) - The SZSE 100 ETF showed a partial long - side high - level volatile and slightly upward trend. The implied volatility of its options fluctuated around the average level. The open - interest PCR was above 1.00, indicating an upward - biased and sideways - declining trend. The pressure point was 3.40 and the support point was 3.30. Directional strategy: None. Volatility strategy: Construct a short - volatility strategy of selling call and put options to obtain option time - value income. Spot long - covered strategy: Hold the SZSE 100 ETF and sell call options [15]. 3.6.5 ChiNext Sector (ChiNext ETF) - The ChiNext ETF showed a bullish and rebound trend. The implied volatility of its options remained at a relatively high level. The open - interest PCR was above 1.00, indicating a strengthening trend. The pressure point was 3.20 and the support point was 3.00. Directional strategy: None. Volatility strategy: Construct a short - volatility strategy to obtain time - value income. Spot long - covered strategy: Hold the ChiNext ETF and sell call options [16]. 3.6.6 Small - and Medium - Cap Stock Sector (CSI 1000) - The CSI 1000 index showed a rebound after a decline and a sideways - consolidating trend with pressure above. The implied volatility of its index options fluctuated at a level below the average. The open - interest PCR was below 1.00, indicating a sideways and weak trend. The pressure point was 7400 and the support point was 7000. Directional strategy: None. Volatility strategy: Construct a short - volatility strategy of selling call and put options to obtain option time - value income and dynamically adjust the position to keep the delta short [16].

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - On December 12, 2025, all stock indices oscillated and rebounded. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2.12 trillion yuan, an increase of 233.5 billion yuan from the previous day [3]. - The Central Economic Work Conference pointed out that in 2026, China will continue to implement a more proactive fiscal policy and a moderately loose monetary policy. The key tasks for next year are to focus on domestic demand and build a strong domestic market, and to adhere to innovation - driven development and cultivate new growth drivers. Policy benefits in expanding domestic demand and supporting technological innovation will continue and intensify, which will play a positive role in stabilizing total economic demand and promoting structural transformation and upgrading. The risk appetite of the stock market has recovered, driving the stock index to rebound [3]. - External risk factors have eased, and the domestic liquidity environment is relatively loose. In the short term, the risk appetite of the stock market is relatively positive and optimistic. Overall, the expectation of policy benefits is gradually fermenting, and the stock index will be mainly oscillating and strengthening in the short term [3]. - For options, considering the long - term upward trend of the stock index, a bull spread or ratio spread strategy with a moderately bullish view can be adopted [3]. Summary by Relevant Catalogs 1 Option Indicators - **ETF and Index Performance**: On December 12, 2025, 50ETF rose 0.45% to 3.134; 300ETF (Shanghai Stock Exchange) rose 0.56% to 4.694; 300ETF (Shenzhen Stock Exchange) rose 0.55% to 4.766; the CSI 300 Index rose 0.63% to 4580.95; the CSI 1000 Index rose 0.81% to 7370.94; 500ETF (Shanghai Stock Exchange) rose 1.17% to 7.285; 500ETF (Shenzhen Stock Exchange) rose 1.20% to 2.872; the ChiNext ETF rose 0.89% to 3.174; the Shenzhen 100ETF rose 0.58% to 3.449; the SSE 50 Index rose 0.59% to 2994.64; the STAR 50ETF rose 1.87% to 1.42; and the E Fund STAR 50ETF rose 1.63% to 1.37 [5]. - **Volume and Position PCR**: The report provides the volume PCR and position PCR of various options on December 12, 2025, and their values on the previous trading day, including 50ETF options, SSE 300ETF options, etc [6]. - **Implied Volatility and Historical Volatility**: The report presents the implied volatility of at - the - money options in December 2025 and the 30 - trading - day historical volatility of the underlying assets for various options, such as 50ETF options, SSE 300ETF options [7][8]. 2 Relevant Charts - **SSE 50ETF Options**: The report includes charts of the SSE 50ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [9][10][11]. - **SSE 300ETF Options**: There are charts of the SSE 300ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [20][21][22]. - **SZSE 300ETF Options**: Charts cover the SZSE 300ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [32][33][34]. - **CSI 300 Index Options**: The report shows charts of the CSI 300 index trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [44][45][46]. - **CSI 1000 Index Options**: There are charts of the CSI 1000 index trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [57][58][59]. - **SSE 500ETF Options**: Charts include the SSE 500ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [71][72][73]. - **SZSE 500ETF Options**: The report provides charts of the SZSE 500ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [84][85][86]. - **ChiNext ETF Options**: There are charts of the ChiNext ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [97][98][99]. - **Shenzhen 100ETF Options**: The report shows charts of the Shenzhen 100ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [110][111][112]. - **SSE 50 Index Options**: Charts cover the SSE 50 index trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [123][124][125]. - **STAR 50ETF Options**: There are charts of the STAR 50ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [136][137][138]. - **E Fund STAR 50ETF Options**: The report provides charts of the E Fund STAR 50ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [145][146][147].