Report Overview - Report Title: Financial Options Strategy Morning Report [1] - Report Date: September 8, 2025 - Analysts: Lu Pinxian, Huang Kehan [2] 1. Report Industry Investment Rating - Not provided in the report 2. Core Viewpoints - The stock market shows a downward trend in the bullish direction, with the Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks all experiencing a decline [3]. - The implied volatility of financial options has gradually risen to a relatively high level of the mean [3]. - For ETF options, it is suitable to construct a bullish buyer strategy and a call option bull spread combination strategy; for index options, it is suitable to construct a bullish seller strategy, a call option bull spread combination strategy, and an arbitrage strategy between synthetic long futures and short futures [3]. 3. Summary by Directory 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,812.51, up 46.64 points or 1.24%, with a trading volume of 979.1 billion yuan, a decrease of 128.8 billion yuan [4]. - The Shenzhen Component Index closed at 12,590.56, up 471.86 points or 3.89%, with a trading volume of 1325.6 billion yuan, a decrease of 110.8 billion yuan [4]. - The Shanghai 50 Index closed at 2,942.22, up 31.75 points or 1.09%, with a trading volume of 160.9 billion yuan, a decrease of 47.2 billion yuan [4]. - The CSI 300 Index closed at 4,460.32, up 95.12 points or 2.18%, with a trading volume of 664.2 billion yuan, a decrease of 109 billion yuan [4]. - The CSI 500 Index closed at 6,913.95, up 215.51 points or 3.22%, with a trading volume of 432 billion yuan, a decrease of 40 billion yuan [4]. - The CSI 1000 Index closed at 7,245.67, up 204.51 points or 2.90%, with a trading volume of 458.8 billion yuan, a decrease of 29.8 billion yuan [4]. 3.2 Option Underlying ETF Market Overview - The Shanghai 50 ETF closed at 3.072, up 0.038 or 1.25%, with a trading volume of 6.4992 million shares, an increase of 6.3497 million shares, and a trading volume of 1.981 billion yuan, a decrease of 2.56 billion yuan [5]. - The Shanghai 300 ETF closed at 4.554, up 0.098 or 2.20%, with a trading volume of 10.6033 million shares, an increase of 10.4612 million shares, and a trading volume of 4.78 billion yuan, a decrease of 1.572 billion yuan [5]. - The Shanghai 500 ETF closed at 7.011, up 0.232 or 3.42%, with a trading volume of 3.0775 million shares, an increase of 3.0448 million shares, and a trading volume of 2.122 billion yuan, a decrease of 0.115 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.326, up 0.044 or 3.43%, with a trading volume of 49.3775 million shares, an increase of 48.7696 million shares, and a trading volume of 6.437 billion yuan, a decrease of 1.49 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.296, up 0.044 or 3.51%, with a trading volume of 18.547 million shares, an increase of 18.3133 million shares, and a trading volume of 2.358 billion yuan, a decrease of 0.608 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.696, up 0.103 or 2.24%, with a trading volume of 1.3472 million shares, an increase of 1.3157 million shares, and a trading volume of 0.626 billion yuan, a decrease of 0.823 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.800, up 0.090 or 3.32%, with a trading volume of 1.1505 million shares, an increase of 1.1345 million shares, and a trading volume of 0.317 billion yuan, a decrease of 0.121 billion yuan [5]. - The Shenzhen 100 ETF closed at 3.360, up 0.134 or 4.15%, with a trading volume of 0.7764 million shares, an increase of 0.7674 million shares, and a trading volume of 0.256 billion yuan, a decrease of 0.039 billion yuan [5]. - The ChiNext ETF closed at 2.944, up 0.193 or 7.02%, with a trading volume of 27.4208 million shares, an increase of 27.0703 million shares, and a trading volume of 7.802 billion yuan, a decrease of 2.054 billion yuan [5]. 3.3 Option Factor - Volume and Position PCR - The volume and position PCR of various option varieties are provided, which are used to describe the strength of the option underlying market and whether the underlying market has a turning point [6][7]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points of various option varieties are analyzed from the exercise prices of the maximum open interest of call and put options [8][10]. 3.5 Option Factor - Implied Volatility - The implied volatility of various option varieties is provided, including the at-the-money implied volatility and the weighted implied volatility [11][12]. 3.6 Strategy and Recommendations - The financial option sector is divided into large-cap blue-chip stocks, small and medium-sized boards, and the ChiNext board. Different option strategies and recommendations are provided for each sector [13]. - For example, for the financial stock sector (Shanghai 50, Shanghai 50 ETF), a seller bullish combination strategy and a spot long covered call strategy are recommended [14].

1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a market trend of gradually declining on the long side [2]. - The implied volatility of financial options gradually increased to a relatively high level around the mean [2]. - For ETF options, it is suitable to construct a long-biased buyer strategy and a bull spread strategy for call options; for index options, it is suitable to construct a long-biased seller strategy, a bull spread strategy for call options, and an arbitrage strategy between synthetic long futures with options and short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,765.88, down 47.68 points or 1.25%, with a trading volume of 110.79 billion yuan and an increase of 95.6 billion yuan [3]. - The Shenzhen Component Index closed at 12,118.70, down 353.29 points or 2.83%, with a trading volume of 143.64 billion yuan and an increase of 84.6 billion yuan [3]. - The SSE 50 Index closed at 2,910.47, down 50.52 points or 1.71%, with a trading volume of 20.8 billion yuan and an increase of 4.7 billion yuan [3]. - The CSI 300 Index closed at 4,365.21, down 94.62 points or 2.12%, with a trading volume of 77.31 billion yuan and an increase of 11.74 billion yuan [3]. - The CSI 500 Index closed at 6,698.45, down 170.01 points or 2.48%, with a trading volume of 47.2 billion yuan and an increase of 2.24 billion yuan [3]. - The CSI 1000 Index closed at 7,041.15, down 165.72 points or 2.30%, with a trading volume of 48.86 billion yuan and an increase of 0.19 billion yuan [3]. 3.2 Option - Underlying ETF Market Overview - The SSE 50 ETF closed at 3.034, down 0.053 or 1.72%, with a trading volume of 14.9571 million shares and an increase of 14.8452 million shares, and a trading amount of 4.541 billion yuan and an increase of 1.078 billion yuan [4]. - The SSE 300 ETF closed at 4.456, down 0.093 or 2.04%, with a trading volume of 14.2082 million shares and an increase of 14.1163 million shares, and a trading amount of 6.352 billion yuan and an increase of 2.165 billion yuan [4]. - Other ETFs also have corresponding closing prices, price changes, trading volumes, and trading amount changes [4]. 3.3 Option Factor - Volume and Position PCR - For the SSE 50 ETF option, the trading volume was 1.8754 million contracts, an increase of 0.1816 million contracts; the position was 1.8757 million contracts, an increase of 0.2271 million contracts; the volume PCR was 0.94, an increase of 0.19; the position PCR was 0.81, a decrease of 0.06 [5]. - Other option varieties also have corresponding volume, position, volume PCR, and position PCR data and changes [5]. 3.4 Option Factor - Pressure and Support Points - The SSE 50 ETF option had a pressure point of 3.20 and a support point of 3.10 [7]. - Other option varieties also have corresponding pressure and support points [7]. 3.5 Option Factor - Implied Volatility - The SSE 50 ETF option had a at - the - money implied volatility of 20.23%, a weighted implied volatility of 21.65%, an increase of 0.14%, an annual average of 15.61%, a call implied volatility of 22.21%, a put implied volatility of 20.97%, a 20 - day historical volatility of 15.38%, and an implied - historical volatility difference of 6.27% [9]. - Other option varieties also have corresponding implied volatility data [9]. 3.6 Strategy and Recommendations - The financial option sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and the ChiNext board. Different sectors include corresponding option varieties [11]. - For the financial stock sector (SSE 50 ETF, SSE 50), the SSE 50 ETF showed a long - term upward trend with high - level fluctuations and then a decline. The implied volatility of its options was above the mean, the position PCR indicated a volatile market, and the pressure and support points were 3.20 and 3.10 respectively. The recommended strategy was to construct a short - biased long combination strategy [12]. - Other sectors also have corresponding market analysis, option factor research, and strategy recommendations [12][13][14].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - On September 4, 2025, all stock indices showed weak oscillations and significant declines. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2581.9 billion yuan, an increase of 186.2 billion yuan from the previous day, and nearly 3000 stocks declined. Due to the significant gains of some stocks, the profit - taking demand of profit - making funds increased, leading to a short - term technical adjustment in the stock indices, with the CSI 500 and CSI 1000 indices being more affected. However, in the medium - to - long term, the positive policy expectations and loose capital situation strongly support the stock indices, and the logic of their upward movement remains strong. Recently, the joint working group of the Ministry of Finance and the People's Bank of China held its second group leader meeting, indicating a clear expectation of policy support for the economy. The liquidity is relatively loose, and in the context of the "asset shortage", the attractiveness of equity assets is strong, with incremental funds continuously flowing in, which will drive the repair of stock valuations. In general, due to the increased profit - taking demand of profit - making funds, the stock indices are expected to fluctuate widely in the short term. Currently, the implied volatility of options continues to rise. Considering the medium - to - long - term upward trend of the stock indices, one can continue to hold bull spreads or ratio spreads for a mild bullish view [3]. 3. Summary by Related Catalogs 3.1 Option Indicators - On September 4, 2025, the 50ETF fell 1.72% to 3.034; the 300ETF (Shanghai Stock Exchange) fell 2.04% to 4.456; the 300ETF (Shenzhen Stock Exchange) fell 2.11% to 4.593; the CSI 300 Index fell 2.12% to 4365.21; the CSI 1000 Index fell 2.30% to 7041.15; the 500ETF (Shanghai Stock Exchange) fell 2.32% to 6.779; the 500ETF (Shenzhen Stock Exchange) fell 2.62% to 2.710; the GEM ETF fell 4.15% to 2.751; the Shenzhen 100ETF fell 2.54% to 3.226; the SSE 50 Index fell 1.71% to 2910.47; the STAR 50ETF fell 6.08% to 1.28; and the E Fund STAR 50ETF fell 6.22% to 1.25 [5]. - The trading volume PCR and position PCR of various ETF options and index options changed compared to the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 94.23 (75.73 the previous day), and the position PCR was 81.16 (87.40 the previous day) [6]. - The implied volatility of at - the - money options in September 2025 and the 30 - trading - day historical volatility of the underlying assets of various options were reported. For instance, the implied volatility of at - the - money options of SSE 50ETF options in September 2025 was 19.16%, and the 30 - trading - day historical volatility of the underlying asset was 14.44% [7]. 3.2 Related Charts - The report provides a series of charts for different types of options, including the trends, volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different terms of various ETF options and index options such as SSE 50ETF options, SSE 300ETF options, etc. [9][19][32]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Stock market review: The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a market trend of gradually declining on the long side [3]. - Financial options volatility analysis: The implied volatility of financial options gradually increased and fluctuated at a relatively high level [3]. - Financial options strategies and suggestions: For ETF options, it is suitable to construct a long-biased buyer strategy and a bull spread strategy for call options; for index options, it is suitable to construct a long-biased seller strategy, a bull spread strategy for call options, and an arbitrage strategy between synthetic long futures of options and short futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - Major indices such as the Shanghai Composite Index, Shenzhen Component Index, SSE 50, CSI 300, CSI 500, and CSI 1000 all showed declines, with the CSI 1000 having the largest decline of -1.46%. The trading volume of each index also decreased to varying degrees [4]. 3.2 Option - Underlying ETF Market Overview - Most ETFs showed declines, with the ChinaAMC STAR 50 ETF and E Fund STAR 50 ETF having relatively large declines of -2.08% and -2.05% respectively. Only the ChiNext ETF showed an increase of 0.77% [5]. 3.3 Option Factors - Volume and Open Interest PCR - The volume and open interest PCR of most option varieties showed changes, which can be used to describe the strength of the option - underlying market and whether the underlying market has a turning point [6][7]. 3.4 Option Factors - Pressure and Support Points - The pressure and support points of each option variety can be observed from the strike prices with the largest open interest of call and put options [8][10]. 3.5 Option Factors - Implied Volatility - The implied volatility of each option variety fluctuated, and the weighted implied volatility was calculated using the volume - weighted average of the current and next - month option contracts [11][12]. 3.6 Strategies and Suggestions - The financial options sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and the ChiNext board. For each sector, some varieties are selected to provide option strategies and suggestions, including directional strategies, volatility strategies, and spot long - covered strategies [13]. - **Financial stocks sector (SSE 50ETF, SSE 50)**: The SSE 50ETF showed a long - term upward trend followed by a high - level decline. It is recommended to construct a short - biased long combination strategy for volatility and a spot long - covered strategy [14]. - **Large - cap blue - chip stocks sector (SSE 300ETF, Shenzhen 300ETF, CSI 300)**: The SSE 300ETF showed a short - term long - term upward trend followed by a high - level consolidation. It is recommended to construct a bull spread strategy for call options, a short - volatility strategy, and a spot long - covered strategy [15]. - **Large - and medium - sized stocks sector (Shenzhen 100ETF)**: The Shenzhen 100ETF showed a long - term upward trend. It is recommended to construct a bull spread strategy for call options, a short - volatility strategy, and a spot long - covered strategy [16]. - **Small and medium - sized stocks sector (SSE 500ETF, Shenzhen 500ETF, CSI 1000)**: The SSE 500ETF and CSI 1000 showed short - term long - term upward trends followed by high - level declines. It is recommended to construct a bull spread strategy for call options, a short - volatility strategy (for CSI 1000), and a spot long - covered strategy [16][17]. - **ChiNext board (ChiNext ETF, ChinaAMC STAR 50ETF, E Fund STAR 50ETF)**: The ChiNext ETF showed a long - term upward trend followed by a sharp decline. It is recommended to construct a bull call option combination strategy and a spot long - covered strategy [17].

1. Report Industry Investment Rating No relevant content provided. 2. Report's Core View - On September 3, 2025, all stock indices fluctuated and declined. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2.3957 trillion yuan, a decrease of 516.7 billion yuan from the previous day. Due to the significant increase in some stocks, the profit - taking demand of profitable funds has risen, and the recent trading volume of the stock market has shrunk, indicating a certain divergence in market expectations, and the stock indices have entered a short - term technical adjustment. In the long - term, the expectation of policy benefits and the loose capital situation strongly support the stock indices, and the logic of the long - term upward movement of the stock indices remains strong. Anti - involution policies and consumption - promotion policies optimize the supply - demand structure from both the supply and demand sides, promote a moderate increase in the price index, and repair corporate profits. In terms of capital, the margin trading balance has risen rapidly, non - bank deposits have soared, and long - term funds have continued to enter the market. The continuous inflow of incremental funds in the stock market promotes the repair of stock valuations. In general, in the short term, the marginal effect of policy benefit expectations has weakened, and the profit - taking demand of profitable funds has increased. The stock indices are expected to fluctuate widely in the short term. Currently, the implied volatility of options continues to rise. 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 - **ETF and Index Performance**: On September 3, 2025, the 50ETF fell 1.31% to 3.087; the 300ETF (Shanghai Stock Exchange) fell 0.89% to 4.549; the 300ETF (Shenzhen Stock Exchange) fell 0.91% to 4.692; the CSI 300 Index fell 0.68% to 4459.83; the CSI 1000 Index fell 1.46% to 7206.88; the 500ETF (Shanghai Stock Exchange) fell 1.63% to 6.940; the 500ETF (Shenzhen Stock Exchange) fell 1.14% to 2.783; the GEM ETF rose 0.77% to 2.870; the Shenzhen 100ETF fell 0.57% to 3.310; the SSE 50 Index fell 1.07% to 2960.99; the STAR 50ETF fell 2.08% to 1.37; the E Fund STAR 50ETF fell 2.05% to 1.34 [5]. - **Volume and Open Interest PCR**: The volume PCR and open interest PCR of various options showed different changes compared with the previous trading day. For example, the volume PCR of SSE 50ETF options was 75.73 (previous day: 80.63), and the open interest PCR was 88.23 (previous day: 90.60) [6]. - **Implied Volatility and Historical Volatility**: The implied volatility and 30 - day historical volatility of various options in September 2025 were provided. For instance, the implied volatility of the at - the - money options of SSE 50ETF options in September 2025 was 19.94%, and the 30 - day historical volatility of the underlying was 13.93% [7]. 3.2 Relevant Charts - **SSE 50ETF Options**: Charts include the SSE 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [9][11][13]. - **SSE 300ETF Options**: Charts cover the SSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [21][23][25]. - **SZSE 300ETF Options**: Charts involve the SZSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [33][34]. - **CSI 300 Index Options**: Charts include the CSI 300 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [36][37]. - **CSI 1000 Index Options**: Charts cover the CSI 1000 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [38][41][43]. - **SSE 500ETF Options**: Charts include the SSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [52][54][56]. - **SZSE 500ETF Options**: Charts involve the SZSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [65][67][69]. - **GEM ETF Options**: Charts cover the GEM ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [77][79][81]. - **Shenzhen 100ETF Options**: Charts include the Shenzhen 100ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [90][92][94]. - **SSE 50 Index Options**: Charts cover the SSE 50 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [103][106][107]. - **STAR 50ETF Options**: Charts include the STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [117][118][119]. - **E Fund STAR 50ETF Options**: Charts involve the E Fund STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [124][125][126].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks are showing a market trend of bullish upward movement with high-level fluctuations [3]. - The implied volatility of financial options is gradually rising and fluctuating at a relatively high level around the mean [3]. - For ETF options, it is suitable to construct a bullish buyer strategy and a call option bull spread combination strategy; for index options, it is suitable to construct a bullish seller strategy, a call option bull spread combination strategy, and an arbitrage strategy between synthetic long options and short futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,858.13, down 17.40 points or 0.45%, with a trading volume of 122.28 billion yuan and an increase of 1.44 billion yuan in trading volume [4]. - The Shenzhen Component Index closed at 12,553.84, down 275.11 points or 2.14%, with a trading volume of 165.22 billion yuan and an increase of 11.06 billion yuan in trading volume [4]. - The SSE 50 Index closed at 2,992.88, up 11.68 points or 0.39%, with a trading volume of 19.61 billion yuan and an increase of 0.08 billion yuan in trading volume [4]. - The CSI 300 Index closed at 4,490.45, down 33.26 points or 0.74%, with a trading volume of 77.80 billion yuan and an increase of 0.76 billion yuan in trading volume [4]. - The CSI 500 Index closed at 6,961.69, down 148.60 points or 2.09%, with a trading volume of 54.15 billion yuan and an increase of 0.53 billion yuan in trading volume [4]. - The CSI 1000 Index closed at 7,313.88, down 187.27 points or 2.50%, with a trading volume of 59.85 billion yuan and an increase of 3.39 billion yuan in trading volume [4]. 3.2 Option - Based ETF Market Overview - The closing prices, price changes, trading volumes, and trading volume changes of various option - based ETFs such as SSE 50ETF, SSE 300ETF, etc., are presented in detail [5]. 3.3 Option Factor - Volume and Position PCR - The volume, volume change, position, position change, volume PCR, and position PCR of various option varieties such as SSE 50ETF, SSE 300ETF, etc., are provided [6]. 3.4 Option Factor - Pressure and Support Points - The pressure points, support points, and their offsets, as well as the maximum call and put positions of various option varieties are given [8]. 3.5 Option Factor - Implied Volatility - The at - the - money implied volatility, weighted implied volatility, and its change, annual average, call and put implied volatility, historical volatility, and the difference between implied and historical volatility of various option varieties are presented [11]. 3.6 Strategy and Recommendations - The financial option sector is divided into large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks. Specific sub - sectors and corresponding option varieties are identified [13]. - For each sub - sector, based on the analysis of the underlying asset market, option factor research, and option strategy recommendations, specific strategies are proposed: - **Financial Stocks Sector (SSE 50ETF, SSE 50)**: The SSE 50ETF has shown a bullish upward trend with support at the bottom. It is recommended to construct a call option bull spread combination strategy, a short - volatility bullish combination strategy, and a spot long covered call strategy [14]. - **Large - Cap Blue - Chip Stocks Sector (SSE 300ETF, Shenzhen 300ETF, CSI 300)**: The SSE 300ETF has shown a short - term bullish upward trend with high - level consolidation. It is recommended to construct a call option bull spread combination strategy, a short - volatility strategy, and a spot long covered call strategy [14]. - **Large - and Medium - Cap Stocks Sector (Shenzhen 100ETF)**: The Shenzhen 100ETF has shown a bullish upward trend. It is recommended to construct a call option bull spread combination strategy, a short - volatility strategy, and a spot long covered call strategy [15]. - **Small and Medium - Cap Stocks Sector (SSE 500ETF, Shenzhen 500ETF, CSI 1000)**: The SSE 500ETF has shown a short - term bullish upward trend with a high - level pullback. The CSI 1000 has shown a bullish trend with high - level fluctuations. It is recommended to construct a call option bull spread combination strategy, and for the CSI 1000, also a short - volatility strategy [15][16]. - **ChiNext Sector (ChiNext ETF, Huaxia Science and Technology Innovation 50ETF, E Fund Science and Technology Innovation 50ETF)**: The ChiNext ETF has shown a bullish trend with a sharp decline. It is recommended to construct a call option bull spread combination strategy and a spot long covered call strategy [16].

投资咨询业务资格：证监许可【2011】1778 号 专业研究·创造价值 2025 年 9 月 2 日 金融期权 股指走势分化 核心观点 今日各股指走势有所分化，上证 50 与沪深 300 指数表现为震荡整 理，中证 500 与中证 1000 指数表现为震荡下跌。沪深京三市全天成交额 29124亿元，较上日放量 1348 亿元。由于部分股票已经实现较大涨幅，获 利资金的止盈需求有所上升，因此前期涨幅较大的中证 500 与中证 1000 指 数存在技术性调整的风险。不过目前股市成交金额仍处于较高水平，股市风 险偏好整体仍偏向积极，中长期来看股市的上行逻辑仍存。反内卷政策与促 消费政策分别从供应、需求两端推动供需结构优化，促进价格指数温和回 升，促进企业利润修复。资金面，融资余额快速上升，非银存款激增，长期 资金持续入市，股市增量资金的持续流入推动股票估值修复逻辑升温。总的 来说，短期内市场资金有所分歧，短期内股指预计保持宽幅震荡为主。 目前期权隐含波动率持续回升，考虑到股指中长线向上，可以继续持 有牛市价差或比例价差温和看多。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 宝城期货投资咨询部 从业资格证号：F3 ...

1. Report Industry Investment Rating - No information provided in the report 2. Core Views of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks are showing a market trend of bullish upward movement with high-level fluctuations [2] - The implied volatility of financial options is gradually rising and fluctuating at a relatively high level compared to the mean [2] - For ETF options, it is suitable to construct a bullish buyer strategy and a bull spread strategy for call options; for index options, it is suitable to construct a bullish seller strategy, a bull spread strategy for call options, and an arbitrage strategy between synthetic long futures with options and short futures [2] 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,875.53, up 0.46% with a trading volume of 120.83 billion yuan [3] - The Shenzhen Component Index closed at 12,828.95, up 1.05% with a trading volume of 154.16 billion yuan [3] - The SSE 50 Index closed at 2,981.20, up 0.16% with a trading volume of 19.53 billion yuan [3] - The CSI 300 Index closed at 4,523.71, up 0.60% with a trading volume of 77.04 billion yuan [3] - The CSI 500 Index closed at 7,110.29, up 0.94% with a trading volume of 53.62 billion yuan [3] - The CSI 1000 Index closed at 7,501.15, up 0.84% with a trading volume of 56.46 billion yuan [3] 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 3.113, up 0.03% with a trading volume of 9.4711 million shares and a turnover of 2.944 billion yuan [4] - The SSE 300 ETF closed at 4.616, up 0.33% with a trading volume of 11.9399 million shares and a turnover of 5.495 billion yuan [4] - The SSE 500 ETF closed at 7.206, up 0.91% with a trading volume of 1.8308 million shares and a turnover of 1.313 billion yuan [4] - The Huaxia Science and Technology Innovation 50 ETF closed at 1.431, up 1.35% with a trading volume of 44.3074 million shares and a turnover of 6.286 billion yuan [4] - The E Fund Science and Technology Innovation 50 ETF closed at 1.398, up 1.23% with a trading volume of 12.4336 million shares and a turnover of 1.726 billion yuan [4] - The Shenzhen 300 ETF closed at 4.762, up 0.34% with a trading volume of 1.7114 million shares and a turnover of 0.812 billion yuan [4] - The Shenzhen 500 ETF closed at 2.875, up 0.59% with a trading volume of 0.9851 million shares and a turnover of 0.282 billion yuan [4] - The Shenzhen 100 ETF closed at 3.396, up 0.92% with a trading volume of 0.6658 million shares and a turnover of 0.224 billion yuan [4] - The ChiNext ETF closed at 2.927, up 2.16% with a trading volume of 20.641 million shares and a turnover of 5.979 billion yuan [4] 3.3 Option Factor - Volume and Open Interest PCR - For the SSE 50 ETF option, the volume PCR was 0.80 (up 0.14) and the open interest PCR was 0.94 (down 0.01) [5] - For the SSE 300 ETF option, the volume PCR was 0.97 (up 0.16) and the open interest PCR was 1.28 (up 0.04) [5] - For the SSE 500 ETF option, the volume PCR was 0.96 (down 0.01) and the open interest PCR was 1.32 (down 0.01) [5] - For the Huaxia Science and Technology Innovation 50 ETF option, the volume PCR was 0.65 (up 0.03) and the open interest PCR was 1.01 (up 0.03) [5] - For the E Fund Science and Technology Innovation 50 ETF option, the volume PCR was 0.74 (up 0.06) and the open interest PCR was 0.96 (up 0.02) [5] - For the Shenzhen 300 ETF option, the volume PCR was 0.95 (down 0.21) and the open interest PCR was 1.10 (unchanged) [5] - For the Shenzhen 500 ETF option, the volume PCR was 1.07 (up 0.01) and the open interest PCR was 0.84 (down 0.01) [5] - For the Shenzhen 100 ETF option, the volume PCR was 2.02 (up 0.67) and the open interest PCR was 1.15 (up 0.03) [5] - For the ChiNext ETF option, the volume PCR was 0.71 (up 0.08) and the open interest PCR was 1.43 (up 0.08) [5] - For the SSE 50 index option, the volume PCR was 0.50 (up 0.18) and the open interest PCR was 0.66 (up 0.02) [5] - For the CSI 300 index option, the volume PCR was 0.57 (up 0.07) and the open interest PCR was 0.87 (up 0.01) [5] - For the CSI 1000 index option, the volume PCR was 0.78 (up 0.02) and the open interest PCR was 1.13 (up 0.02) [5] 3.4 Option Factor - Pressure and Support Levels - For the SSE 50 ETF, the pressure level was 3.20 and the support level was 3.10 [7] - For the SSE 300 ETF, the pressure level was 4.60 and the support level was 4.40 [7] - For the SSE 500 ETF, the pressure level was 7.00 and the support level was 6.75 [7] - For the Huaxia Science and Technology Innovation 50 ETF, the pressure level was 1.40 and the support level was 1.35 [7] - For the E Fund Science and Technology Innovation 50 ETF, the pressure level was 1.55 and the support level was 1.35 [7] - For the Shenzhen 300 ETF, the pressure level was 4.80 and the support level was 4.70 [7] - For the Shenzhen 500 ETF, the pressure level was 2.85 and the support level was 2.80 [7] - For the Shenzhen 100 ETF, the pressure level was 3.70 and the support level was 3.30 [7] - For the ChiNext ETF, the pressure level was 2.95 and the support level was 2.60 [7] - For the SSE 50 index, the pressure level was 3,000 and the support level was 2,850 [7] - For the CSI 300 index, the pressure level was 4,500 and the support level was 4,250 [7] - For the CSI 1000 index, the pressure level was 7,500 and the support level was 7,000 [7] 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF option, the at-the-money implied volatility was 20.53%, the weighted implied volatility was 21.38% (down 2.33%), and the difference between implied and historical volatility was 7.71% [9] - For the SSE 300 ETF option, the at-the-money implied volatility was 21.15%, the weighted implied volatility was 20.95% (down 2.37%), and the difference between implied and historical volatility was 6.39% [9] - For the SSE 500 ETF option, the at-the-money implied volatility was 25.16%, the weighted implied volatility was 25.01% (down 1.91%), and the difference between implied and historical volatility was 7.88% [9] - For the Huaxia Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 51.00%, the weighted implied volatility was 51.63% (down 6.46%), and the difference between implied and historical volatility was 28.03% [9] - For the E Fund Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 51.18%, the weighted implied volatility was 52.10% (down 6.54%), and the difference between implied and historical volatility was 27.26% [9] - For the Shenzhen 300 ETF option, the at-the-money implied volatility was 21.93%, the weighted implied volatility was 23.97% (down 3.41%), and the difference between implied and historical volatility was 8.02% [9] - For the Shenzhen 500 ETF option, the at-the-money implied volatility was 25.41%, the weighted implied volatility was 30.37% (down 1.21%), and the difference between implied and historical volatility was 13.45% [9] - For the Shenzhen 100 ETF option, the at-the-money implied volatility was 27.35%, the weighted implied volatility was 34.57% (down 0.22%), and the difference between implied and historical volatility was 13.95% [9] - For the ChiNext ETF option, the at-the-money implied volatility was 38.25%, the weighted implied volatility was 38.47% (down 4.25%), and the difference between implied and historical volatility was 14.12% [9] - For the SSE 50 index option, the at-the-money implied volatility was 22.09%, the weighted implied volatility was 21.67% (down 1.33%), and the difference between implied and historical volatility was 6.41% [9] - For the CSI 300 index option, the at-the-money implied volatility was 21.19%, the weighted implied volatility was 20.84% (down 2.50%), and the difference between implied and historical volatility was 6.20% [9] - For the CSI 1000 index option, the at-the-money implied volatility was 26.01%, the weighted implied volatility was 25.73% (down 1.58%), and the difference between implied and historical volatility was 5.83% [9] 3.6 Strategy and Recommendations - **Financial Stocks Sector (SSE 50 ETF, SSE 50)**: Directional strategy - construct a bull spread strategy for call options; volatility strategy - construct a bullish seller strategy; spot long covered call strategy - hold SSE 50 ETF and sell call options [12] - **Large-cap Blue-chip Stocks Sector (SSE 300 ETF, Shenzhen 300 ETF, CSI 300)**: Directional strategy - construct a bull spread strategy for call options; volatility strategy - construct a short volatility strategy by selling call and put options; spot long covered call strategy - hold relevant ETFs and sell call options [12] - **Large and Medium-sized Stocks Sector (Shenzhen 100 ETF)**: Directional strategy - construct a bull spread strategy for call options; volatility strategy - construct a short volatility strategy by selling call and put options; spot long covered call strategy - hold Shenzhen 100 ETF and sell call options [13] - **Small and Medium-cap Stocks Sector (SSE 500 ETF, Shenzhen 500 ETF, CSI 1000)**: Directional strategy - construct a bull spread strategy for call options; volatility strategy - for CSI 1000, construct a short volatility strategy; spot long covered call strategy - hold relevant ETFs and sell call options [13][15] - **ChiNext Sector (ChiNext ETF, Huaxia Science and Technology Innovation 50 ETF, E Fund Science and Technology Innovation 50 ETF)**: Directional strategy - construct a bull spread strategy for call options; volatility strategy - none; spot long covered call strategy - hold relevant ETFs and sell call options [15]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Today, all stock indices fluctuated and consolidated. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 2777.6 billion yuan, a decrease of 52.5 billion yuan compared to the previous day. Currently, the trading volume of the stock market remains at a high level, indicating that the overall market sentiment is still relatively optimistic. In the short term, due to the significant increase in some stocks, there is a risk of technical adjustment caused by profit - taking of profitable funds, and there is a need for funds to rotate between high - and low - valued stocks. The main driving forces for this round of stock index rebound are the positive policy expectations and the loose liquidity in the capital market. Anti - involution policies and consumption - promotion policies promote the optimization of the supply - demand structure from both the supply and demand sides, leading to a moderate recovery of the price index and the repair of corporate profits. In terms of the capital market, the margin trading balance has risen rapidly, non - bank deposits have increased sharply, and long - term funds have continued to enter the market. The continuous inflow of incremental funds into the stock market has boosted the logic of stock valuation repair. Overall, the current market sentiment is generally positive, and the upward trend remains unchanged. However, there are some differences in the short - term market, and the stock index is expected to maintain a loose and volatile trend in the short term. - Currently, the implied volatility of options continues to rise. Considering the long - and medium - term upward trend of the stock index, investors can continue to hold bull spreads or ratio spreads for a moderate bullish view [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On September 1, 2025, the 50ETF rose 0.03% to close at 3.113; the 300ETF (Shanghai Stock Exchange) rose 0.33% to close at 4.616; the 300ETF (Shenzhen Stock Exchange) rose 0.34% to close at 4.762; the CSI 300 Index rose 0.60% to close at 4523.71; the CSI 1000 Index rose 0.84% to close at 7501.15; the 500ETF (Shanghai Stock Exchange) rose 0.91% to close at 7.206; the 500ETF (Shenzhen Stock Exchange) rose 0.59% to close at 2.875; the GEM ETF rose 2.16% to close at 2.927; the Shenzhen 100ETF rose 0.92% to close at 3.396; the SSE 50 Index rose 0.16% to close at 2981.20; the STAR 50ETF rose 1.35% to close at 1.43; the E Fund STAR 50ETF rose 1.23% to close at 1.40 [5]. - 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 79.83 (previous day: 66.32), and the position PCR was 94.29 (previous day: 95.41) [6]. - The implied volatility of at - the - money options in September 2025 and the 30 - trading - day historical volatility of the underlying assets of various options are provided. For instance, the implied volatility of the at - the - money 50ETF option in September 2025 was 21.45%, and the 30 - trading - day historical volatility of the underlying asset was 13.99% [7]. 3.2 Relevant Charts - **50ETF Option**: The report includes charts of the 50ETF option, such as the 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [9][11][13]. - **Shanghai Stock Exchange 300ETF Option**: There are charts showing the 300ETF (Shanghai Stock Exchange) option, including the 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [21][23][25]. - **Shenzhen Stock Exchange 300ETF Option**: Charts for the 300ETF (Shenzhen Stock Exchange) option are presented, including the 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [33][34]. - **CSI 300 Index Option**: Charts related to the CSI 300 index option are provided, including the CSI 300 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [35][36]. - **CSI 1000 Index Option**: There are charts for the CSI 1000 index option, such as the CSI 1000 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [37][38]. - **Shanghai Stock Exchange 500ETF Option**: The report contains charts of the 500ETF (Shanghai Stock Exchange) option, including the 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [51][53][55]. - **Shenzhen Stock Exchange 500ETF Option**: Charts for the 500ETF (Shenzhen Stock Exchange) option are shown, including the 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [64][66][68]. - **GEM ETF Option**: There are charts of the GEM ETF option, including the GEM ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [77][79][81]. - **Shenzhen 100ETF Option**: The report provides charts of the Shenzhen 100ETF option, including the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [90][92][94]. - **SSE 50 Index Option**: Charts related to the SSE 50 index option are included, such as the SSE 50 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [103][105][107]. - **STAR 50ETF Option**: There are charts of the STAR 50ETF option, including the STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [114][115][116]. - **E Fund STAR 50ETF Option**: The report presents charts of the E Fund STAR 50ETF option, including the E Fund STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [120][122][124].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock market shows a bullish upward and high - level oscillating market trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks all presenting such characteristics [3]. - The implied volatility of financial options gradually rises and fluctuates at a relatively high level above the mean [3]. - For ETF options, it is suitable to construct a bullish buyer strategy and a call option bull spread combination strategy; for stock index options, it is suitable to construct a bullish seller strategy, a call option bull spread combination strategy, and an arbitrage strategy of synthetic long futures and short futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,857.93, up 0.37% with a trading volume of 122.17 billion yuan and a volume change of - 43.5 billion yuan [4]. - The Shenzhen Component Index closed at 12,696.15, up 0.99% with a trading volume of 157.66 billion yuan and a volume change of - 129 billion yuan [4]. - The Shanghai 50 Index closed at 2,976.47, up 0.53% with a trading volume of 22.65 billion yuan and a volume change of 31.3 billion yuan [4]. - The CSI 300 Index closed at 4,496.76, up 0.74% with a trading volume of 83.12 billion yuan and a volume change of 91.8 billion yuan [4]. - The CSI 500 Index closed at 7,043.94, up 0.47% with a trading volume of 52.3 billion yuan and a volume change of - 40.6 billion yuan [4]. - The CSI 1000 Index closed at 7,438.68, down 0.11% with a trading volume of 56.51 billion yuan and a volume change of - 66.7 billion yuan [4]. 3.2 Option - related ETF Market Overview - The closing prices, price changes, trading volumes, and trading volume changes of various option - related ETFs are presented, such as the Shanghai 50 ETF closing at 3.112, up 0.55% with a trading volume of 12.4274 million shares and a volume change of 12.3123 million shares [5]. 3.3 Option Factor - Volume and Position PCR - The volume, volume change, position, position change, volume PCR, and position PCR of different option varieties are provided, for example, the Shanghai 50 ETF option has a volume PCR of 0.66 (down 0.14) and a position PCR of 0.95 (up 0.02) [6]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points of different option varieties are given, like the Shanghai 50 ETF has a pressure point of 3.20 and a support point of 3.00 [8]. 3.5 Option Factor - Implied Volatility - The implied volatility data of different option varieties are shown, including the at - the - money implied volatility, weighted implied volatility, and its change, etc. For instance, the Shanghai 50 ETF option has an at - the - money implied volatility of 22.48% and a weighted implied volatility of 23.72% (up 0.16%) [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. Different sectors and corresponding option varieties are recommended for different strategies [13]. - For each sector, specific option strategies are proposed based on the analysis of the underlying market, option factor research, including directional strategies and volatility strategies. For example, in the financial stock sector, for the Shanghai 50 ETF, a call option bull spread combination strategy is recommended for directional trading [14].