期货研究报告 金融期权 | 日报 2025 年 12 月 4 日 金融期权 专业研究·创造价值 短期内股指延续区间震荡 核心观点 今日各股指均震荡小幅反弹。沪深京三市全天成交额 15617 亿元，较 上日缩量 1219 亿元。目前股指仍然处于震荡整理阶段，市场缺乏主线，资 金交投热情有所下降。一方面，短期内缺乏政策利好的主线，临近年末资金 交投热情下降，资金了结暂时离场的意愿较强，限制了股指的短线上行空 间。另一方面，未来政策面利好预期以及长线资金入市趋势不变，股指的支 撑力量较强，且中央经济工作会议的政策利好预期逐渐发酵，投资者风险偏 好不悲观。总的来说，短期内股指延续区间震荡。 期权方面，考虑到股指中长线向上，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） 姓名：龙奥明 投资咨询业务资格：证监许可【2011】1778 号 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 电话：0571-87006873 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 ...

金融期权 2025-12-04 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降，但维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的卖方策略，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 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | ...

1. Report Industry Investment Rating No 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 in such a market condition [2]. - The implied volatility of financial options has decreased but remains at a relatively high level of fluctuation [2]. - For ETF options, it is suitable to construct a partial - long seller strategy and a call option bull spread combination strategy; for index options, it is suitable to construct a partial - long seller strategy, a call option bull spread combination strategy, and an arbitrage strategy of 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 3,897.71, down 16.29 points or 0.42%, with a trading volume of 627.4 billion yuan, a decrease of 158.2 billion yuan [3]. - The Shenzhen Component Index closed at 13,056.70, down 90.02 points or 0.68%, with a trading volume of 966 billion yuan, a decrease of 122.3 billion yuan [3]. - The Shanghai 50 Index closed at 2,978.47, down 15.21 points or 0.51%, with a trading volume of 79.2 billion yuan, a decrease of 33.6 billion yuan [3]. - The CSI 300 Index closed at 4,554.33, down 22.15 points or 0.48%, with a trading volume of 364.4 billion yuan, a decrease of 99.5 billion yuan [3]. - The CSI 500 Index closed at 7,040.30, down 61.53 points or 0.87%, with a trading volume of 247.4 billion yuan, a decrease of 61.2 billion yuan [3]. - The CSI 1000 Index closed at 7,313.18, down 73.50 points or 1.00%, with a trading volume of 320.2 billion yuan, a decrease of 72.1 billion yuan [3]. 3.2 Option - Based ETF Market Overview - The Shanghai 50 ETF closed at 3.122, down 0.015 or 0.48%, with a trading volume of 4.7913 million lots, an increase of 4.7157 million lots, and a trading value of 1.497 billion yuan, a decrease of 0.865 billion yuan [4]. - The Shanghai 300 ETF closed at 4.666, down 0.021 or 0.45%, with a trading volume of 3.8344 million lots, an increase of 3.7766 million lots, and a trading value of 1.79 billion yuan, a decrease of 0.908 billion yuan [4]. - The Shanghai 500 ETF closed at 7.141, down 0.061 or 0.85%, with a trading volume of 1.5037 million lots, an increase of 1.4905 million lots, and a trading value of 1.074 billion yuan, an increase of 0.127 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.387, down 0.017 or 1.21%, with a trading volume of 20.4745 million lots, an increase of 20.2583 million lots, and a trading value of 2.845 billion yuan, a decrease of 0.166 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.343, down 0.017 or 1.25%, with a trading volume of 7.0641 million lots, an increase of 6.9905 million lots, and a trading value of 0.951 billion yuan, a decrease of 0.043 billion yuan [4]. - The Shenzhen 300 ETF closed at 4.810, down 0.023 or 0.48%, with a trading volume of 1.5974 million lots, an increase of 1.5872 million lots, and a trading value of 0.768 billion yuan, an increase of 0.0276 billion yuan [4]. - The Shenzhen 500 ETF closed at 2.851, down 0.023 or 0.80%, with a trading volume of 0.6382 million lots, an increase of 0.6317 million lots, and a trading value of 0.182 billion yuan, a decrease of 0.0004 billion yuan [4]. - The Shenzhen 100 ETF closed at 3.401, down 0.017 or 0.50%, with a trading volume of 0.5632 million lots, an increase of 0.5573 million lots, and a trading value of 0.0192 billion yuan, a decrease of 0.0009 billion yuan [4]. - The ChiNext ETF closed at 3.052, down 0.021 or 0.68%, with a trading volume of 6.2322 million lots, an increase of 6.1318 million lots, and a trading value of 1.905 billion yuan, a decrease of 1.16 billion yuan [4]. 3.3 Option Factors - Volume and Position PCR - Different option varieties have different volume and position PCR values and their changes, which are used to describe the strength of the option underlying market and the turning point of the underlying market [5][6]. 3.4 Option Factors - Pressure and Support Points - The pressure and support points of different option varieties are determined by the strike prices of the maximum open interest of call and put options [7][9]. 3.5 Option Factors - Implied Volatility - Different option varieties have different implied volatility values, including at - the - money implied volatility and weighted implied volatility, and their changes [10][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. Each board selects some varieties for option strategy suggestions [12]. - For each option variety, the option strategy report is written according to the underlying market analysis, option factor research, and option strategy suggestions [12]. - Specific strategies for different sectors: - Financial stocks (Shanghai 50 ETF): Build a partial - neutral seller combination strategy and a spot long covered call strategy [13]. - Large - cap blue - chip stocks (Shanghai 300 ETF, Shenzhen 300 ETF, etc.): Build a short - volatility strategy of selling call + put options and a spot long covered call strategy [13][14]. - Medium - sized stocks (Shenzhen 100 ETF): Build a short - volatility strategy of selling call + put options and a spot long covered call strategy [14]. - Small - and medium - sized stocks (Shanghai 500 ETF, Shenzhen 500 ETF, CSI 1000): Build a short - volatility strategy of selling call + put options and a spot long covered call strategy [14][15]. - ChiNext board (ChiNext ETF, Huaxia Science and Technology Innovation 50 ETF, E Fund Science and Technology Innovation 50 ETF): Build a short - volatility strategy and a spot long covered call strategy [15].

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 [2]. - The implied volatility of financial options has declined but remains at a relatively high level of fluctuation [2]. - For ETF options, it is suitable to construct a bullish - biased seller strategy and a call option bull spread combination strategy. For stock index options, it is suitable to construct a bullish - biased seller strategy, a call option bull spread combination strategy, and an arbitrage strategy between the synthetic long futures position of options and the short futures position [2]. 3. Summary According to Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,914.01, up 25.41 points or 0.65%, with a trading volume of 785.7 billion yuan and an increase of 139.9 billion yuan in trading volume [3]. - The Shenzhen Component Index closed at 13,146.72, up 162.64 points or 1.25%, with a trading volume of 1088.3 billion yuan and an increase of 148.2 billion yuan in trading volume [3]. - Other important indices such as the SSE 50, CSI 300, CSI 500, and CSI 1000 also showed different degrees of increase and changes in trading volume [3]. 3.2 Option - related Market Overview 3.2.1 Option - based ETF Market - The closing prices, price changes, trading volumes, and trading volume changes of various ETFs such as SSE 50ETF, SSE 300ETF, etc. are presented. For example, the SSE 50ETF closed at 3.137, up 0.024 or 0.77%, with a trading volume of 7.5581 million shares and an increase of 7.4992 million shares in trading volume [4]. 3.2.2 Option Factor - Volume and Position PCR - The volume and position PCR of different option varieties are provided, which are used to describe the strength of the option - based market and the turning point of the market. For example, the volume PCR of SSE 50ETF is 1.04, with a change of 0.02, and the position PCR is 1.03, with a change of 0.04 [5]. 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. For example, the pressure point of SSE 50ETF is 3.20, and the support point is 3.10 [7]. 3.2.4 Option Factor - Implied Volatility - The implied volatility of different option varieties is presented, including at - the - money implied volatility, weighted implied volatility, and the difference between implied and historical volatility. For example, the at - the - money implied volatility of SSE 50ETF is 11.85%, and the weighted implied volatility is 12.15%, with a change of - 0.76% [10]. 3.3 Strategy and Suggestions - The financial option sector is divided into large - cap blue - chip stocks, small - and medium - cap stocks, and ChiNext stocks, with specific option varieties classified into different sectors [12]. - For each sector, option strategies and suggestions are provided, including directional strategies, volatility strategies, and spot long - covered call strategies. For example, for the SSE 50ETF in the financial stock sector, a neutral - biased seller combination strategy is recommended for volatility strategies [13]. 3.4 Option Charts - Option charts of various option varieties such as SSE 50ETF, SSE 300ETF, etc. are presented, including price trends, trading volume and open interest, position PCR, implied volatility, and other information [16][32][47][65][81][96].

Group 1: Investment Rating - No investment rating information is provided in the report. Group 2: Core Views - On December 1, 2025, the stock indices oscillated and rebounded. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1889.4 billion yuan, an increase of 291.7 billion yuan from the previous day. The manufacturing PMI in November was 49.2%, up 0.2 percentage points from the previous month but still below the boom - bust line, indicating insufficient effective domestic demand and strong expectations for policy support. The central economic work conference in December is expected to bring incremental policy benefits. Overseas, the expectation of the Fed's interest rate cut has increased, and the risk of AI asset investment bubble has cooled, reducing market risk - aversion sentiment. In general, the expectations of policy benefits and the trend of long - term capital inflows remain unchanged, providing strong support for the stock indices. It is expected that the stock indices will oscillate strongly in the short term [4]. - For options, considering the medium - to long - term upward trend of the stock indices, a bull spread or ratio spread strategy with a mild bullish view can be adopted [4]. Group 3: Summary of "1 Option Indicators" - On December 1, 2025, 50ETF rose 0.77% to 3.137; 300ETF (Shanghai Stock Exchange) rose 1.12% to 4.687; 300ETF (Shenzhen Stock Exchange) rose 1.05% to 4.833; the CSI 300 Index rose 1.10% to 4576.49; the CSI 1000 Index rose 0.72% to 7386.68; 500ETF (Shanghai Stock Exchange) rose 0.94% to 7.202; 500ETF (Shenzhen Stock Exchange) rose 0.98% to 2.874; the ChiNext ETF rose 1.25% to 3.073; the Shenzhen 100ETF rose 1.42% to 3.418; the SSE 50 Index rose 0.81% to 2993.68; the STAR 50ETF rose 0.79% to 1.40; the E Fund STAR 50ETF rose 0.74% to 1.36 [6]. - The PCR values of various options' trading volume and open interest on December 1, 2025, and their changes compared with the previous trading day are presented 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, ChiNext ETF options, Shenzhen 100ETF options, SSE 50 Index options, STAR 50ETF options, and E Fund STAR 50ETF options [7]. - The implied volatility of at - the - money options in December 2025 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, ChiNext ETF options, Shenzhen 100ETF options, SSE 50 Index options, STAR 50ETF options, and E Fund STAR 50ETF options [8][9]. Group 4: Summary of "2 Related Charts" - **SSE 50ETF Options**: Charts include the SSE 50ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [10][12][14][16][18]. - **SSE 300ETF Options**: Charts cover the SSE 300ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [20][22][24][26][30]. - **SZSE 300ETF Options**: Charts involve the SZSE 300ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [33][35][37]. - **CSI 300 Index Options**: Charts include the CSI 300 Index trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [38][40][42][44][48]. - **CSI 1000 Index Options**: Charts cover the CSI 1000 Index trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [51][54][56][58][60][62]. - **SSE 500ETF Options**: Charts involve the SSE 500ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [65][67][69][71][73][76]. - **SZSE 500ETF Options**: Charts include the SZSE 500ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [77][79][81][83][85][87]. - **ChiNext ETF Options**: Charts cover the ChiNext ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [90][92][94][96][98][100]. - **Shenzhen 100ETF Options**: Charts involve the Shenzhen 100ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [101][103][105][107][109][111]. - **SSE 50 Index Options**: Charts include the SSE 50 Index trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [114][116][118][120][122][124]. - **STAR 50ETF Options**: Charts cover the STAR 50ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [127][129][130][134]. - **E Fund STAR 50ETF Options**: Charts involve the E Fund STAR 50ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [135][137].

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 in this state [3]. - The implied volatility of financial options has decreased but remains at a relatively high level of fluctuation [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, it is suitable to construct a bullish - biased seller strategy, a call option bull spread combination strategy, and an arbitrage strategy between synthetic long option futures and short futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,888.60, up 0.34% with a trading volume of 645.8 billion yuan, a decrease of 52.8 billion yuan [4]. - The Shenzhen Component Index closed at 12,984.08, up 0.85% with a trading volume of 940 billion yuan, a decrease of 71.2 billion yuan [4]. - The Shanghai 50 Index closed at 2,969.62, down 0.09% with a trading volume of 85 billion yuan, a decrease of 20.1 billion yuan [4]. - The CSI 300 Index closed at 4,526.66, up 0.25% with a trading volume of 341.8 billion yuan, a decrease of 76 billion yuan [4]. - The CSI 500 Index closed at 7,031.55, up 1.15% with a trading volume of 243.3 billion yuan, a decrease of 9.8 billion yuan [4]. - The CSI 1000 Index closed at 7,334.21, up 1.06% with a trading volume of 342.2 billion yuan, a decrease of 23.4 billion yuan [4]. 3.2 Option - Based ETF Market Overview - The Shanghai 50 ETF closed at 3.113, up 0.03% with a trading volume of 5.8919 million shares, a decrease of 1.99 billion yuan in trading value [5]. - The Shanghai 300 ETF closed at 4.635, up 0.28% with a trading volume of 5.1923 million shares, an increase of 1.77 billion yuan in trading value [5]. - The Shanghai 500 ETF closed at 7.135, up 1.21% with a trading volume of 1.7733 million shares, a decrease of 0.75 billion yuan in trading value [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.393, up 1.02% with a trading volume of 20.924 million shares, a decrease of 9.34 billion yuan in trading value [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.350, up 1.05% with a trading volume of 7.7909 million shares, a decrease of 4.52 billion yuan in trading value [5]. - The Shenzhen 300 ETF closed at 4.783, up 0.31% with a trading volume of 1.0036 million shares, an increase of 0.73 billion yuan in trading value [5]. - The Shenzhen 500 ETF closed at 2.846, up 1.03% with a trading volume of 0.7437 million shares, an increase of 0.18 billion yuan in trading value [5]. - The Shenzhen 100 ETF closed at 3.370, up 0.36% with a trading volume of 0.7713 million shares, an increase of 0.11 billion yuan in trading value [5]. - The ChiNext ETF closed at 3.035, up 0.76% with a trading volume of 9.0925 million shares, a decrease of 10.67 billion yuan in trading value [5]. 3.3 Option Factor - Volume and Open Interest PCR - For the Shanghai 50 ETF option, the trading volume PCR was 1.02 (up 0.10), and the open interest PCR was 0.99 (up 0.01) [6]. - For the Shanghai 300 ETF option, the trading volume PCR was 1.18 (up 0.15), and the open interest PCR was 1.10 (up 0.03) [6]. - For the Shanghai 500 ETF option, the trading volume PCR was 1.24 (up 0.02), and the open interest PCR was 1.31 (up 0.04) [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume PCR was 0.87 (up 0.08), and the open interest PCR was 1.05 (up 0.02) [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume PCR was 0.96 (up 0.17), and the open interest PCR was 0.91 (unchanged) [6]. - For the Shenzhen 300 ETF option, the trading volume PCR was 1.27 (up 0.09), and the open interest PCR was 1.07 (down 0.01) [6]. - For the Shenzhen 500 ETF option, the trading volume PCR was 1.29 (down 0.13), and the open interest PCR was 0.91 (up 0.03) [6]. - For the Shenzhen 100 ETF option, the trading volume PCR was 2.20 (down 0.46), and the open interest PCR was 1.53 (up 0.03) [6]. - For the ChiNext ETF option, the trading volume PCR was 1.15 (up 0.06), and the open interest PCR was 1.36 (up 0.04) [6]. - For the Shanghai 50 index option, the trading volume PCR was 0.65 (down 0.02), and the open interest PCR was 0.69 (down 0.02) [6]. - For the CSI 300 index option, the trading volume PCR was 0.65 (down 0.03), and the open interest PCR was 0.70 (down 0.01) [6]. - For the CSI 1000 index option, the trading volume PCR was 0.86 (down 0.04), and the open interest PCR was 0.97 (up 0.03) [6]. 3.4 Option Factor - Pressure and Support Points - The pressure point of the Shanghai 50 ETF was 3.20, and the support point was 3.10 [8]. - The pressure point of the Shanghai 300 ETF was 4.70, and the support point was 4.60 [8]. - The pressure point of the Shanghai 500 ETF was 7.25, and the support point was 4.90 [8]. - The pressure point of the Huaxia Science and Technology Innovation 50 ETF was 1.45, and the support point was 1.35 [8]. - The pressure point of the E Fund Science and Technology Innovation 50 ETF was 1.45, and the support point was 0.80 [8]. - The pressure point of the Shenzhen 300 ETF was 5.00, and the support point was 3.50 [8]. - The pressure point of the Shenzhen 500 ETF was 2.85, and the support point was 2.05 [8]. - The pressure point of the Shenzhen 100 ETF was 3.61, and the support point was 2.34 [8]. - The pressure point of the ChiNext ETF was 3.10, and the support point was 3.00 [8]. - The pressure point of the Shanghai 50 index was 3,000, and the support point was 2,900 [8]. - The pressure point of the CSI 300 index was 4,500, and the support point was 4,500 [8]. - The pressure point of the CSI 1000 index was 7,400, and the support point was 7,000 [8]. 3.5 Option Factor - Implied Volatility - The at - the - money implied volatility of the Shanghai 50 ETF option was 12.44%, and the weighted implied volatility was 12.91% (down 0.20%) [11]. - The at - the - money implied volatility of the Shanghai 300 ETF option was 14.15%, and the weighted implied volatility was 14.10% (down 0.19%) [11]. - The at - the - money implied volatility of the Shanghai 500 ETF option was 17.69%, and the weighted implied volatility was 18.46% (down 0.41%) [11]. - The at - the - money implied volatility of the Huaxia Science and Technology Innovation 50 ETF option was 26.79%, and the weighted implied volatility was 27.41% (down 1.08%) [11]. - The at - the - money implied volatility of the E Fund Science and Technology Innovation 50 ETF option was 40.56%, and the weighted implied volatility was 28.28% (down 0.92%) [11]. - The at - the - money implied volatility of the Shenzhen 300 ETF option was 14.28%, and the weighted implied volatility was 17.38% (down 0.70%) [11]. - The at - the - money implied volatility of the Shenzhen 500 ETF option was 18.20%, and the weighted implied volatility was 21.78% (down 3.80%) [11]. - The at - the - money implied volatility of the Shenzhen 100 ETF option was 18.34%, and the weighted implied volatility was 24.74% (down 1.92%) [11]. - The at - the - money implied volatility of the ChiNext ETF option was 26.22%, and the weighted implied volatility was 26.88% (down 1.00%) [11]. - The at - the - money implied volatility of the Shanghai 50 index option was 12.56%, and the weighted implied volatility was 13.55% (up 0.08%) [11]. - The at - the - money implied volatility of the CSI 300 index option was 14.08%, and the weighted implied volatility was 14.42% (down 0.32%) [11]. - The at - the - money implied volatility of the CSI 1000 index option was 18.05%, and the weighted implied volatility was 18.34% (down 0.64%) [11]. 3.6 Strategy and Recommendations - The financial options sector is divided into large - cap blue - chip stocks, small - and medium - sized boards, and the ChiNext board. Specific sub - sectors and corresponding option varieties are provided [13]. - For each sub - sector, option strategies and recommendations are given based on the analysis of the underlying asset market, option factor research, and specific option strategies [13][14]. - For example, for the Shanghai 50 ETF in the financial stock sector, a seller - neutral combination strategy can be constructed for volatility strategies, and a spot long - covered call strategy can also be considered [14].

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 in this state [2]. - The implied volatility of financial options has decreased but remains at a relatively high level of fluctuation [2]. - For ETF options, it is suitable to construct a partial long - side seller strategy and a bull spread strategy for call options; for index options, in addition to the above two strategies, an arbitrage strategy between the synthetic long futures of options and short futures can also be constructed [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,875.26, up 11.07 points or 0.29%, with a trading volume of 698.5 billion yuan, a decrease of 2.5 billion yuan [3]. - The Shenzhen Component Index closed at 12,875.19, down 32.64 points or 0.25%, with a trading volume of 1011.3 billion yuan, a decrease of 71.1 billion yuan [3]. - The Shanghai 50 Index closed at 2,972.27, up 0.47 points or 0.02%, with a trading volume of 105.1 billion yuan, an increase of 7.8 billion yuan [3]. - The CSI 300 Index closed at 4,515.40, down 2.22 points or 0.05%, with a trading volume of 417.8 billion yuan, a decrease of 9.6 billion yuan [3]. - The CSI 500 Index closed at 6,951.28, down 13.76 points or 0.20%, with a trading volume of 253 billion yuan, a decrease of 21.8 billion yuan [3]. - The CSI 1000 Index closed at 7,257.45, up 9.01 points or 0.12%, with a trading volume of 365.6 billion yuan, a decrease of 11.3 billion yuan [3]. 3.2 Option - underlying ETF Market Overview - The closing prices of various option - underlying ETFs showed different degrees of decline, with trading volumes and turnovers also changing accordingly. For example, the Shanghai 50ETF closed at 3.112, down 0.002 or 0.06%, with a trading volume of 6.5124 million shares and a turnover of 2.032 billion yuan, an increase of 576 million yuan [4]. 3.3 Option Factor - Volume and Position PCR - Different option varieties have different volume and position PCR values and their changes, which can be used to analyze the market sentiment and potential turning points of the underlying assets. For example, the volume PCR of the Shanghai 50ETF option is 0.93, an increase of 0.03, and the position PCR is 0.98, an increase of 0.17 [5]. 3.4 Option Factor - Pressure and Support Points - From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support points of option - underlying assets are analyzed. For example, the pressure point of the Shanghai 50ETF is 3.20, and the support point is 3.10 [7]. 3.5 Option Factor - Implied Volatility - The implied volatility of different option varieties shows different characteristics, including at - the - money implied volatility and weighted implied volatility. For example, the at - the - money implied volatility of the Shanghai 50ETF option is 12.52%, and the weighted implied volatility is 13.11%, a decrease of 0.36% [10]. 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 have different option strategies [12]. - **Financial Stock Sector (Shanghai 50ETF)**: The underlying asset shows a high - level volatile and declining trend. It is recommended to construct a partial - neutral seller portfolio strategy and a spot long - covered call strategy [13]. - **Large - and Medium - Sized Stock Sector (Shenzhen 100ETF)**: The underlying asset shows a partial - long high - level volatile trend. A short - volatility strategy and a spot long - covered call strategy are recommended [14]. - **Small - and Medium - Sized Board Sector (Shanghai 500ETF and CSI 1000)**: The underlying assets show high - level volatile and declining trends. Short - volatility strategies and spot long - covered call strategies are recommended [14][15]. - **ChiNext Board Sector (ChiNext ETF)**: The underlying asset shows a high - level volatile trend with a partial - long direction. A short - volatility strategy and a spot long - covered call strategy are recommended [15].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - On November 27, 2025, the stock indices fluctuated throughout the day and closed nearly flat. The total market turnover was 1.70 trillion yuan, a decrease of 93.5 billion yuan from the previous day. Due to weak incremental policy signals recently, the upward momentum of the stock indices has weakened. With the influence of the overseas Fed's interest - rate cut expectations and the risk of AI investment bubbles, the willingness of funds to take profits and leave temporarily has increased, and market sentiment has declined compared to before. - The profit growth of industrial enterprises above designated size from January to October 2025 was 1.9%, with a slowdown in growth rate. Considering the weakening of consumption and investment data in October, there are still strong expectations for policy benefits in the future, and the inflow trend of long - term funds remains unchanged, so the stock indices have strong support. - In general, with the coexistence of bullish and bearish factors, the current market main trend is unclear, and the stock indices will mainly fluctuate within a range in the short term. - Regarding options, considering the long - term upward trend of the stock indices, a bull spread strategy can be considered after a significant correction of the stock indices [4]. 3. Summary of Each Section 3.1 Option Indicators - On November 27, 2025, 50ETF fell 0.06% to 3.112; 300ETF (SSE) fell 0.09% to 4.622; 300ETF (SZSE) fell 0.21% to 4.768; the CSI 300 Index fell 0.05% to 4515.40; the CSI 1000 Index rose 0.12% to 7257.45; 500ETF (SSE) fell 0.21% to 7.050; 500ETF (SZSE) fell 0.28% to 2.817; the GEM ETF fell 0.50% to 3.012; the Shenzhen 100ETF fell 0.36% to 3.358; the SSE 50 Index rose 0.02% to 2972.27; the STAR 50ETF fell 0.22% to 1.38; and the E Fund STAR 50ETF fell 0.30% to 1.34 [6]. - The trading volume PCR and open - interest PCR of various options changed compared to the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 92.73 (previous day: 89.94), and the open - interest PCR was 100.17 (previous day: 100.08) [7]. - The implied volatility of at - the - money options in December 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 SSE 50ETF options in December 2025 was 12.49%, and the 30 - trading - day historical volatility of the underlying asset was 12.36% [8]. 3.2 Relevant Charts - **SSE 50ETF Options**: Included charts of the SSE 50ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [10]. - **SSE 300ETF Options**: Included charts of the SSE 300ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [21]. - **SZSE 300ETF Options**: Included charts of the SZSE 300ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [34]. - **CSI 300 Index Options**: Included charts of the CSI 300 Index trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [46]. - **CSI 1000 Index Options**: Included charts of the CSI 1000 Index trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [59]. - **SSE 500ETF Options**: Included charts of the SSE 500ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [73]. - **SZSE 500ETF Options**: Included charts of the SZSE 500ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [86]. - **GEM ETF Options**: Included charts of the GEM ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [98]. - **Shenzhen 100ETF Options**: Included charts of the Shenzhen 100ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [111]. - **SSE 50 Index Options**: Included charts of the SSE 50 Index trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [124]. - **STAR 50ETF Options**: Included charts of the STAR 50ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [137]. - **E Fund STAR 50ETF Options**: Included charts of the E Fund STAR 50ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [147].

1. Report Industry Investment Rating No relevant content provided. 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 in this state [3]. - The implied volatility of financial options has decreased but remains at a relatively high level of fluctuation [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, it is suitable to construct a bullish - biased seller strategy, a call option bull spread combination strategy, and an arbitrage strategy of long synthetic futures options and short futures [3]. 3. Summary by Directory 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,864.18, down 5.84 points or 0.15%, with a trading volume of 701 billion yuan, a decrease of 21.8 billion yuan [4]. - The Shenzhen Component Index closed at 12,907.83, up 130.52 points or 1.02%, with a trading volume of 1082.3 billion yuan, a decrease of 7 billion yuan [4]. - The Shanghai 50 Index closed at 2,971.80, up 3.60 points or 0.12%, with a trading volume of 97.3 billion yuan, a decrease of 800 million yuan [4]. - The CSI 300 Index closed at 4,517.63, up 27.22 points or 0.61%, with a trading volume of 427.4 billion yuan, an increase of 15.8 billion yuan [4]. - The CSI 500 Index closed at 6,965.05, up 10.44 points or 0.15%, with a trading volume of 274.9 billion yuan, a decrease of 14.3 billion yuan [4]. - The CSI 1000 Index closed at 7,248.45, down 1.50 points or 0.02%, with a trading volume of 377 billion yuan, a decrease of 27.2 billion yuan [4]. 3.2 Option - underlying ETF Market Overview - Multiple ETFs are involved, such as the Shanghai 50 ETF, which closed at 3.114, up 0.004 or 0.13%, with a trading volume of 4.6559 million shares, an increase of 4.5989 million shares, and a trading value of 1.456 billion yuan, a decrease of 316 million yuan [5]. 3.3 Option Factor - Volume and Position PCR - Different option varieties have different volume and position PCR data. For example, the Shanghai 50 ETF option has a trading volume of 69.21 million contracts, a decrease of 23.59 million contracts, a position of 147.66 million contracts, an increase of 0.30 million contracts, a trading volume PCR of 0.90, an increase of 0.02, and a position PCR of 0.82, an increase of 0.03 [6]. 3.4 Option Factor - Pressure and Support Points - For each option variety, the pressure and support points are analyzed. For instance, the Shanghai 50 ETF has a pressure point of 3.20 and a support point of 3.10 [8]. 3.5 Option Factor - Implied Volatility - Different option varieties have different implied volatility data. For example, the Shanghai 50 ETF option has a flat - value implied volatility of 15.82%, a weighted implied volatility of 13.46%, a decrease of 0.60%, an annual average of 16.07%, a call implied volatility of 13.38%, and a put implied volatility of 13.56% [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 varieties have corresponding option strategies [13]. - For example, for the Shanghai 50 ETF in the financial stock sector, the directional strategy is none, and the volatility strategy is to construct a seller - neutral combination strategy to obtain time - value income [14].

1. Report Industry Investment Rating - No relevant content provided. 2. Core Views of the Report - Short - term stock index will mainly fluctuate within a range. Today, all stock indices rose and then fell, with all - day volatile consolidation. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1797.2 billion yuan, a decrease of 29 billion yuan from the previous day. Since November, the incremental policy signals have weakened, the driving force for the upward movement of the stock index has decreased, and the willingness of funds to liquidate and temporarily leave the market has increased. Recently, both the margin trading purchase amount and margin trading balance have declined, indicating that market sentiment has declined compared with before. However, the positive policy expectations and continuous capital inflows have not changed in the medium and long term, and the support force below the stock index has emerged after a short - term correction. Overall, with the interweaving of long and short factors in the short term, the market's main line is still unclear, and the stock index will mainly fluctuate within a range in the short term. [3] - Regarding options, considering the medium - and long - term upward trend of the stock index, a bull spread strategy can be adopted after a significant correction of the stock index. [3] 3. Summary by Relevant Catalogs 3.1 Option Indicators - On November 26, 2025, the 50ETF rose 0.13% to close at 3.114; the 300ETF (Shanghai Stock Exchange) rose 0.63% to close at 4.626; the 300ETF (Shenzhen Stock Exchange) rose 0.80% to close at 4.778; the CSI 300 Index rose 0.61% to close at 4517.63; the CSI 1000 Index fell 0.02% to close at 7248.45; the 500ETF (Shanghai Stock Exchange) rose 0.16% to close at 7.065; the 500ETF (Shenzhen Stock Exchange) rose 0.18% to close at 2.825; the GEM ETF rose 2.23% to close at 3.027; the Shenzhen 100ETF rose 1.72% to close at 3.370; the SSE 50 Index rose 0.12% to close at 2971.80; the STAR 50ETF rose 0.95% to close at 1.38; the E Fund STAR 50ETF rose 1.13% to close at 1.34. [5] - The trading volume PCR and position PCR of various options on November 26, 2025, and their changes compared with the previous trading day are provided in detail, including those of 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 index options, CSI 1000 index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), 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 December 2025 and the 30 - trading - day historical volatility of the underlying assets of various options are presented, such as 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 index options, etc. [7][8] 3.2 Relevant Charts - For each type of option (e.g., 50ETF options, 300ETF options in Shanghai and Shenzhen, etc.), multiple charts are provided, including the underlying asset's trend chart, option volatility chart, trading volume PCR chart, position PCR chart, implied volatility curve chart, and chart of at - the - money implied volatility of each term. [9][20][33]