金融期权 2025/08/26 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 | （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，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 | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (亿元) | （亿元） | | | 上证指数 | 000001.SH | 3,883.56 | 57.80 | 1.51 | 13,609 | 2,658 ...

金融期权 2025-08-25 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 | 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 | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (亿元) | （亿元） | | | 上证指数 | 000001.SH | 3,825.76 | 54.66 | 1.45 | 10,951 | 973 | 16.41 | | 深证成指 | 399001.SZ | 12,166.06 | 246.30 | 2.07 | 14,516 | 253 | 29.31 | | 上证50 | 000016.SH | 2,928 ...

投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2025 年 8 月 22 日 金融期权 专业研究·创造价值 股市成交放量，股指大幅上涨 核心观点 今日各股指均大幅上涨，涨幅超过 2%。沪深京三市全天成交额 25788 亿元，较上日放量 872 亿元。股市成交金额连续多个交易日大于 2 万亿元， 说明投资者情绪偏向积极乐观，随着增量资金的入市，推动股指估值端持续 修复。目前政策面利好预期对股指的支撑作用较强，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，推动"消费复苏-企业营收改善-员工薪资提升-居民消费信 心上升"的正向循环。另外从资金面来看，目前资金面偏宽松，固收类资产 收益率较低，财富管理资金后续转移到高收益资产的需求较强，将给股市带 来持续增量资金。7 月的非银存款数据同比大幅多增反映了这种迹象。总的 来说，短期内股市风险偏好较为积极乐观，股指震荡偏强运行。 目前期权隐含波动率有所回升，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 ...

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 showed a market trend of slight fluctuations at high levels [3]. - The implied volatility of financial options gradually rose to fluctuate above the average level [3]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for stock index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [3]. 3. Summaries Based on Relevant Catalogs 3.1 Stock Market Review - The Shanghai Composite Index closed at 3,766.21, up 38.92 points or 1.04%, with a trading volume of 101.75 billion yuan, a decrease of 43.4 billion yuan [4]. - The Shenzhen Component Index closed at 11,926.74, up 105.11 points or 0.89%, with a trading volume of 139.07 billion yuan, a decrease of 136.7 billion yuan [4]. - Other major indices also showed varying degrees of increases [4]. 3.2 Option Underlying ETF Market Overview - The closing prices, price changes, trading volumes, and trading volumes changes of various option underlying ETFs are presented, such as the Shanghai 50 ETF closing at 2.975, up 0.038 or 1.29%, with a trading volume of 10.0375 million shares, an increase of 9.9572 million shares [5]. 3.3 Option Factor - Volume and Position PCR - The volume and position PCR values and their changes of different option varieties are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market [6][7]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points of different option varieties are analyzed from the perspective of the exercise prices with the largest open interest of call and put options [8][10]. 3.5 Option Factor - Implied Volatility - The implied volatility of different option varieties, including at-the-money implied volatility and weighted implied volatility, is presented, with explanations of their calculation methods [11][12]. 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, and different option strategies are recommended for each sector [13]. - For example, for the Shanghai 50 ETF, a short-biased long combination strategy can be constructed to obtain time value income [14].

投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2025 年 8 月 20 日 金融期权 专业研究·创造价值 风险偏好较乐观，股指震荡上涨 核心观点 今日各股指均呈现震荡上涨的走势，早盘震荡整理，午后单边上行。 沪深京三市全天成交额 24484 亿元，较上日缩量 1923 亿元。目前股市成交 金额大于 2 万亿元，说明投资者情绪仍偏向积极乐观。政策面，利好预期对 股指的支撑作用较强，反内卷政策、促消费政策分别从供需两方面推动价格 指数温和回升，促进企业利润修复。资金面，两融资金、机构长线资金、居 民理财资金持续流入股市，流动性宽松下的资金流入对股指的估值修复起 到积极作用。微观层面，科技 AI 产业快速发展，国产替代需求的逻辑升温， 利好中证 500 和中证 1000 指数。总的来说，股指短期内以震荡偏强为主。 目前期权隐含波动率有所回升，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：F3035632 投资咨询证号：Z0014648 电话：0571-87006873 邮箱：longao ...

（2）金融期权波动性分析：金融期权隐含波动率逐渐上升至均值偏上水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建备兑策略和偏中性的双卖策略，垂直价差组合策略；对于 股指期权来说，适合构建偏中性的双卖策略和期权合成期货多头或空头与期货空头或多头做套利策略。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | （%） | (亿元) | （亿元） | | | 上证指数 | 000001.SH | 3,727.29 | -0.74 | -0.02 | 10,609 | -730 | 15.97 | | 深证成指 | 399001.SZ | 11,821.63 | -13.95 | -0.12 | 15,275 | -1,028 | 28.47 | | 上证50 | 000016.SH | 2,812.42 | -26.45 | -0.93 | 1,531 | -90 | 11.50 | | 沪深300 | 0 ...

1. Report Industry Investment Rating - No relevant content provided. 2. Core Viewpoints of the Report - The stock market, including the Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks, shows a bullish upward market trend [2]. - The implied volatility of financial options gradually rises to fluctuate above the mean level [5]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for stock index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies by combining long or short synthetic futures with short or long futures [5]. 3. Summary According to Related Catalogs 3.1 Stock Market Overview - The Shanghai Composite Index closed at 3,728.03, up 31.26 points or 0.85%, with a trading volume of 113.39 billion yuan, an increase of 17.33 billion yuan [3]. - The Shenzhen Component Index closed at 11,835.57, up 200.90 points or 1.73%, with a trading volume of 163.02 billion yuan, an increase of 34.62 billion yuan [3]. - The SSE 50 Index closed at 2,838.87, up 6.00 points or 0.21%, with a trading volume of 16.22 billion yuan, an increase of 2.00 billion yuan [3]. - The CSI 300 Index closed at 4,239.41, up 37.06 points or 0.88%, with a trading volume of 63.54 billion yuan, an increase of 11.67 billion yuan [3]. - The CSI 500 Index closed at 6,668.17, up 99.60 points or 1.52%, with a trading volume of 49.15 billion yuan, an increase of 11.01 billion yuan [3]. - The CSI 1000 Index closed at 7,237.60, up 120.10 points or 1.69%, with a trading volume of 60.69 billion yuan, an increase of 11.44 billion yuan [3]. 3.2 ETF Market Overview - The SSE 50 ETF closed at 2.971, up 0.006 or 0.20%, with a trading volume of 10.9963 million shares, an increase of 10.8610 million shares, and a trading volume of 3.27 billion yuan, a decrease of 0.734 billion yuan [4]. - The SSE 300 ETF closed at 4.327, up 0.032 or 0.75%, with a trading volume of 10.0925 million shares, an increase of 9.9853 million shares, and a trading volume of 4.362 billion yuan, a decrease of 0.222 billion yuan [4]. - The SSE 500 ETF closed at 6.748, up 0.090 or 1.35%, with a trading volume of 4.1868 million shares, an increase of 4.1639 million shares, and a trading volume of 2.825 billion yuan, an increase of 1.31 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.183, up 0.025 or 2.16%, with a trading volume of 58.4308 million shares, an increase of 58.0603 million shares, and a trading volume of 6.905 billion yuan, an increase of 2.647 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.158, up 0.027 or 2.39%, with a trading volume of 12.1470 million shares, an increase of 12.0333 million shares, and a trading volume of 1.402 billion yuan, an increase of 0.126 billion yuan [4]. - The Shenzhen 300 ETF closed at 4.470, up 0.038 or 0.86%, with a trading volume of 2.2153 million shares, an increase of 2.1972 million shares, and a trading volume of 0.989 billion yuan, an increase of 0.192 billion yuan [4]. - The Shenzhen 500 ETF closed at 2.700, up 0.037 or 1.39%, with a trading volume of 1.4289 million shares, an increase of 1.4190 million shares, and a trading volume of 0.385 billion yuan, an increase of 0.124 billion yuan [4]. - The Shenzhen 100 ETF closed at 3.088, up 0.053 or 1.75%, with a trading volume of 0.5945 million shares, an increase of 0.5910 million shares, and a trading volume of 0.183 billion yuan, an increase of 0.079 billion yuan [4]. - The ChiNext ETF closed at 2.582, up 0.073 or 2.91%, with a trading volume of 22.9693 million shares, an increase of 22.8266 million shares, and a trading volume of 5.894 billion yuan, an increase of 2.348 billion yuan [4]. 3.3 Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of various option varieties are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market [6][7]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points of various option varieties are analyzed from the perspective of the strike prices with the largest open interest of call and put options [8][9]. 3.5 Option Factor - Implied Volatility - The implied volatility of various option varieties is presented, including the at-the-money implied volatility and the weighted implied volatility calculated by the trading volume of current and next-month option contracts [10][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. Different strategies are recommended for each sector and option variety based on the analysis of the underlying market, option factors, and specific strategies [12][13][14][15][16]. 3.7 Option Charts - Option charts for various underlying assets, including price trends, trading volume, open interest, PCR, implied volatility, and strike price distributions, are provided to visually present the market conditions and option factors [17][38][52][70][86][102].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The trading volume of financial options reached 13.42 million contracts, indicating relatively active trading in the financial options market. The trading volume of most varieties' PCR ratios was significantly lower than 1, suggesting that the call options in the options market were more popular than the put options [1][3]. - The IV of SSE CSI 500 ETF options increased by 0.11%. On the SSE, the VIX indices of various ETF options rose to varying degrees, while on the CFFEX, the VIX index of CSI 1000 index options decreased by 0.28% [1][3]. 3. Summary by Directory 3.1. Market Quick Overview - **Trading Volume and Open Interest**: The report provides the closing price, price change, option trading volume, option open interest, trading volume PCR, and open interest PCR of multiple options, including SSE SSE 50 ETF, SSE CSI 300 ETF, etc. [9]. - **Volatility**: It presents the implied volatility index (VIX), IV price change, skewness index (SKEW), historical volatility (30 - day and 90 - day), and the difference between implied and historical volatility of multiple options. For example, the VIX of SSE SSE 50 ETF options was 17.65, with an IV increase of 0.06% [10]. 3.2. Product Research - **SSE SSE 50 ETF Options**: Various charts are provided, including the volatility smile curve, volatility term structure, VIX index, SKEW index, trading volume PCR, and open interest PCR [16]. - **SSE CSI 300 ETF Options**: Similar to the above, relevant charts for SSE CSI 300 ETF options are presented [19]. - **SSE CSI 500 ETF Options**: Charts such as the volatility smile curve, volatility term structure, etc., are included [23]. - **SSE STAR 50 ETF Options**: The report shows the volatility smile curve, volatility term structure, and other related information [26]. - **SSE STAR - BOARD 50 ETF Options**: Relevant charts for SSE STAR - BOARD 50 ETF options are provided [30]. - **SZSE CSI 300 ETF Options**: Information on volatility smile curve, volatility term structure, etc., is given [33]. - **SZSE CSI 500 ETF Options**: The report presents various charts related to SZSE CSI 500 ETF options [36].

2025-08-11 ⚫ 综述 上周国内股市震荡走升，沪指短暂回调后连续上涨维持 在 3600 点上方，主要宽基指数全部收涨，中证 1000 领涨 （2.51%），其余指数上涨 1%左右。外部环境方面，由于美 就业数据大幅下修，市场定价 9 月降息概率升高且美政府有 意引导市场流动性宽松预期，股市持续走强。国内方面，市 场预计中美低关税期限继续延长，风险偏好回升，带动指数 走强。7 月物价数据发布，CPI 数据环比上涨 0.4%好于市场 预期，市场预期反正内卷政策产生效果，同时经济回暖速度 加快，带动周一食品饮料等消费板块走强。国内继续推进反 内卷和促销费的政策，从周一市场表现来看市场情绪保持相 对乐观。拉长时间来看，当前部分宽基指数估值依然较低， 经济刺激政策也逐渐发挥效果，美联储降息逐渐临近，RMB 汇率保持强势，内外部环境继续改善，继续保持谨慎乐观的 观点。 金融衍生品中心 沈卓飞 期权高级分析师 从业资格号：F3035508 ⚫ 期权市场 从期权市场来看，由于市场止跌企稳，金融期权隐波 （IV）小幅下降，目前金融期权 IV 处于相对适中的位置。 50、300 期权 IV 在 12%左右，中证 1000 ...

金融期权 2025-08-11 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率逐渐下降至均值较低水平平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建备兑策略和偏中性的双卖策略，垂直价差组合策略；对于 股指期权来说，适合构建偏中性的双卖策略和期权合成期货多头或空头与期货空头或多头做套利策略。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | | | | ...