金融期权 2026-01-09 金融期权策略早报 | | 理 | | | | | --- | --- | --- | --- | --- | | 李立勤 李仁君 | 高级投研经 产业服务岗 | 从业资格号：F3074095 从业资格号： F03090207 | 交易咨询号：Z0017896 电话：0755-23375255 | 邮箱： lilq@wkqh.cn 邮箱： lirj@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为偏多上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降至历史均值偏下水平。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的卖方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 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 | | --- | --- | --- | --- | --- | --- | --- | --- | | ...

| | 理 | | | | | --- | --- | --- | --- | --- | | 李立勤 李仁君 | 高级投研经 产业服务岗 | 从业资格号：F3074095 从业资格号： F03090207 | 交易咨询号：Z0017896 电话：0755-23375255 | 邮箱： lilq@wkqh.cn 邮箱： lirj@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为偏多上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降至历史均值偏下水平。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的卖方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 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 ...

金融期权 2026-01-06 金融期权策略早报 | | 理 | | | | | --- | --- | --- | --- | --- | | 李立勤 李仁君 | 高级投研经 产业服务岗 | 从业资格号：F3074095 从业资格号： F03090207 | 交易咨询号：Z0017896 电话：0755-23375255 | 邮箱： lilq@wkqh.cn 邮箱： lirj@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为偏多上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降至历史均值偏下水平。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的卖方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | | ...

金融期权策略早报概要： （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。 金融期权 2025-12-31 金融期权策略早报 | | 理 | | | | | --- | --- | --- | --- | --- | | 李立勤 李仁君 | 高级投研经 产业服务岗 | 从业资格号：F3074095 从业资格号： F03090207 | 交易咨询号：Z0017896 电话：0755-23375255 | 邮箱： lilq@wkqh.cn 邮箱： lirj@wkqh.cn | （2）金融期权波动性分析：金融期权隐含波动率下降至历史均值偏下水平。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的卖方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 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 | | --- | --- | --- | --- | --- | --- | --- | --- | ...

两场课程内容详实、层层递进，既有理论高度，又贴近投资实战。两位讲师深入浅出的讲解方式，有效拓展了参与者在ETF领域的知识广度与深度，增强了 大家应对复杂行情的能力，为ETF市场的稳健成长再添动力。 本次活动汇聚了深圳地区众多资深投资者与高净值人群，现场交流氛围浓厚。在互动环节，参会者积极提问，围绕ETF配置思路、行业轮动时机、期权策略 细节等议题与讲师进行了多轮深入探讨，涌现出不少具有参考价值的见解，反映出市场对ETF这一便捷高效投资品种的持续热忱。 展望未来，东方证券将继续发挥专业研究优势，强化与行业各方的协作，不断拓展投资者对ETF及衍生工具的认知边界，助力投资者在科技引领、创新驱动 的时代背景下捕捉长期机遇，共同促进资本市场的高质量发展。 为持续推动投资者教育工作，营造理性投资、价值导向、长远布局的健康市场生态，在上海证券交易所的指导下，中证中小投资者服务中心、东方证券股份 有限公司于2025年11月14日在深圳福田区四季酒店七楼玉兰厅共同举办了"以投资者为本，重回报促发展"沪市ETF主题交流活动。本次活动围绕ETF产品体 系与策略实践展开，着力增强投资者对ETF的认知水平和实操能力。 首场课程由上交所 ...

Report Summary 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 high-level oscillating upward trend [3]. - The implied volatility of financial options has declined to a level below the historical average [3]. - For ETF options, it is suitable to construct a bullish seller strategy and a bull spread combination strategy for call options. For index options, it is suitable to construct a bullish seller strategy, a bull spread combination strategy for call options, and an arbitrage strategy between synthetic long futures with options and short futures [3]. 3. Summary by Related Catalogs Financial Market Index Overview - The Shanghai Composite Index closed at 3,965.28, up 1.60 points or 0.04%, with a trading volume of 903.8 billion yuan [4]. - The Shenzhen Component Index closed at 13,537.10, down 66.80 points or 0.49%, with a trading volume of 1,235.5 billion yuan [4]. - The SSE 50 Index closed at 3,034.63, down 10.77 points or 0.35%, with a trading volume of 117.1 billion yuan [4]. - The CSI 300 Index closed at 4,639.37, down 17.87 points or 0.38%, with a trading volume of 482.6 billion yuan [4]. - The CSI 500 Index closed at 7,430.61, down 28.22 points or 0.38%, with a trading volume of 390.4 billion yuan [4]. - The CSI 1000 Index closed at 7,594.16, down 11.37 points or 0.15%, with a trading volume of 466.9 billion yuan [4]. ETF Market Overview - The SSE 50 ETF closed at 3.109, down 0.011 or 0.35%, with a trading volume of 4.8702 million shares and a turnover of 1.519 billion yuan [5]. - The SSE 300 ETF closed at 4.763, down 0.021 or 0.44%, with a trading volume of 8.5291 million shares and a turnover of 4.070 billion yuan [5]. - The SSE 500 ETF closed at 7.548, down 0.032 or 0.42%, with a trading volume of 3.3780 million shares and a turnover of 2.559 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.417, down 0.002 or 0.14%, with a trading volume of 25.7752 million shares and a turnover of 3.675 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.373, down 0.001 or 0.07%, with a trading volume of 6.8515 million shares and a turnover of 0.946 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.838, down 0.022 or 0.45%, with a trading volume of 2.2579 million shares and a turnover of 1.095 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.979, down 0.012 or 0.40%, with a trading volume of 1.0772 million shares and a turnover of 0.322 billion yuan [5]. - The Shenzhen 100 ETF closed at 3.470, down 0.015 or 0.43%, with a trading volume of 0.7215 million shares and a turnover of 0.251 billion yuan [5]. - The ChiNext ETF closed at 3.205, down 0.021 or 0.65%, with a trading volume of 9.5207 million shares and a turnover of 3.056 billion yuan [5]. Option Factor - Volume and Open Interest PCR - For the SSE 50 ETF option, the volume PCR was 0.96, up 0.08, and the open interest PCR was 0.94, down 0.04 [6]. - For the SSE 300 ETF option, the volume PCR was 0.89, up 0.22, and the open interest PCR was 0.92, down 0.04 [6]. - For the SSE 500 ETF option, the volume PCR was 0.83, down 0.01, and the open interest PCR was 1.05, down 0.03 [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the volume PCR was 0.56, up 0.02, and the open interest PCR was 0.79, down 0.02 [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the volume PCR was 0.75, up 0.26, and the open interest PCR was 0.88, down 0.02 [6]. - For the Shenzhen 300 ETF option, the volume PCR was 0.92, up 0.21, and the open interest PCR was 0.96, down 0.01 [6]. - For the Shenzhen 500 ETF option, the volume PCR was 1.04, up 0.25, and the open interest PCR was 1.07, up 0.03 [6]. - For the Shenzhen 100 ETF option, the volume PCR was 2.34, up 0.91, and the open interest PCR was 1.55, up 0.19 [6]. - For the ChiNext ETF option, the volume PCR was 0.86, up 0.05, and the open interest PCR was 1.07, down 0.05 [6]. - For the SSE 50 index option, the volume PCR was 0.52, up 0.08, and the open interest PCR was 0.69, unchanged [6]. - For the CSI 300 index option, the volume PCR was 0.54, up 0.03, and the open interest PCR was 0.71, unchanged [6]. - For the CSI 1000 index option, the volume PCR was 0.66, up 0.02, and the open interest PCR was 0.98, unchanged [6]. Option Factor - Pressure and Support Levels - For the SSE 50 ETF option, the pressure level was 3.20, and the support level was 3.00 [8]. - For the SSE 300 ETF option, the pressure level was 4.80, and the support level was 4.70 [8]. - For the SSE 500 ETF option, the pressure level was 7.50, and the support level was 7.25 [8]. - For the Huaxia Science and Technology Innovation 50 ETF option, the pressure level was 1.45, and the support level was 1.40 [8]. - For the E Fund Science and Technology Innovation 50 ETF option, the pressure level was 1.50, and the support level was 1.30 [8]. - For the Shenzhen 300 ETF option, the pressure level was 4.90, and the support level was 4.80 [8]. - For the Shenzhen 500 ETF option, the pressure level was 3.00, and the support level was 2.90 [8]. - For the Shenzhen 100 ETF option, the pressure level was 3.50, and the support level was 3.40 [8]. - For the ChiNext ETF option, the pressure level was 3.20, and the support level was 3.10 [8]. - For the SSE 50 index option, the pressure level was 3,100, and the support level was 3,000 [8]. - For the CSI 300 index option, the pressure level was 4,700, and the support level was 4,600 [8]. - For the CSI 1000 index option, the pressure level was 7,600, and the support level was 7,300 [8]. Option Factor - Implied Volatility - For the SSE 50 ETF option, the at-the-money implied volatility was 13.35%, the weighted implied volatility was 13.36%, down 0.27% [11]. - For the SSE 300 ETF option, the at-the-money implied volatility was 15.43%, the weighted implied volatility was 15.05%, down 0.12% [11]. - For the SSE 500 ETF option, the at-the-money implied volatility was 19.30%, the weighted implied volatility was 19.51%, up 0.15% [11]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 27.51%, the weighted implied volatility was 27.14%, up 0.88% [11]. - For the E Fund Science and Technology Innovation 50 ETF option, the at-the-money implied volatility was 27.37%, the weighted implied volatility was 28.03%, up 0.48% [11]. - For the Shenzhen 300 ETF option, the at-the-money implied volatility was 15.51%, the weighted implied volatility was 18.62%, up 1.73% [11]. - For the Shenzhen 500 ETF option, the at-the-money implied volatility was 19.41%, the weighted implied volatility was 19.95%, up 0.77% [11]. - For the Shenzhen 100 ETF option, the at-the-money implied volatility was 19.83%, the weighted implied volatility was 21.21%, down 0.11% [11]. - For the ChiNext ETF option, the at-the-money implied volatility was 26.80%, the weighted implied volatility was 26.69%, up 0.40% [11]. - For the SSE 50 index option, the at-the-money implied volatility was 13.69%, the weighted implied volatility was 14.20%, down 0.36% [11]. - For the CSI 300 index option, the at-the-money implied volatility was 15.88%, the weighted implied volatility was 15.57%, down 0.04% [11]. - For the CSI 1000 index option, the at-the-money implied volatility was 20.07%, the weighted implied volatility was 20.23%, up 0.57% [11]. Strategy and Recommendations - **Financial Stocks Sector (SSE 50 ETF)**: - The SSE 50 ETF showed a high-level oscillating and consolidating trend. - The implied volatility of the SSE 50 ETF option remained at a relatively low level. - The open interest PCR of the SSE 50 ETF option was around 1.00, indicating oscillation. - The pressure level was 3.20, and the support level was 3.00. - Strategies: Construct a neutral seller combination strategy; implement a covered call strategy by holding the SSE 50 ETF and selling call options [14]. - **Large-Cap Blue-Chip Stocks Sector (SSE 300 ETF)**: - The SSE 300 ETF showed a rebound after a decline. - The implied volatility of the SSE 300 ETF option remained at a relatively low level. - The open interest PCR of the SSE 300 ETF option was around 1.00, indicating a weak oscillation. - The pressure level was 4.80, and the support level was 4.70. - Strategies: Construct a short volatility strategy by selling call and put options; implement a covered call strategy by holding the SSE 300 ETF and selling call options [14]. - **Small and Medium-Cap Stocks Sector (SSE 500 ETF)**: - The SSE 500 ETF showed a rebound and then a decline. - The implied volatility of the SSE 500 ETF option remained below the historical average. - The open interest PCR of the SSE 500 ETF option was above 1.00, indicating an oscillating trend. - The pressure level was 7.50, and the support level was 7.00. - Strategies: Construct a short volatility strategy by selling call and put options; implement a covered call strategy by holding the SSE 500 ETF and selling call options [15]. - **Large and Medium-Sized Stocks Sector (Shenzhen 100 ETF)**: - The Shenzhen 100 ETF showed a bullish high-level oscillation and then a decline. - The implied volatility of the Shenzhen 100 ETF option fluctuated around the average level. - The open interest PCR of the Shenzhen 100 ETF option was above 1.00, indicating a bullish oscillating and declining trend. - The pressure level was 3.40, and the support level was 3.30. - Strategies: Construct a short volatility strategy by selling call and put options; implement a covered call strategy by holding the Shenzhen 100 ETF and selling call options [15]. - **ChiNext Sector (ChiNext ETF)**: - The ChiNext ETF showed a bullish high-level oscillation. - The implied volatility of the ChiNext ETF option remained at a relatively high level. - The open interest PCR of the ChiNext ETF option was above 1.00, indicating a strengthening trend. - The pressure level was 3.20, and the support level was 3.00. - Strategies: Construct a short volatility strategy; implement a covered call strategy by holding the ChiNext ETF and selling call options [16]. - **Small and Medium-Cap Stocks Sector (CSI 1000)**: - The CSI 1000 index showed a high-level decline and then an oscillation. - The implied volatility of the CSI 1000 index option fluctuated below the average level. - The open interest PCR of the CSI 1000 index option was around 0.90, indicating a weak oscillating trend. - The pressure level was 7,400, and the support level was 7,000. - Strategies: Construct a short volatility strategy by selling call and put options and dynamically adjust the position to keep the delta negative [16].

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - Short - term stock index fluctuates strongly: Recently, the trading volume of the stock market has gradually increased, and the stock index has risen continuously, indicating that the market risk appetite continues to recover. With the approaching of the new year, positive policy expectations are gradually fermenting. Coupled with the RMB appreciation, a large amount of relatively high - interest time deposits will mature next year, and the "re - allocation" may bring a large amount of incremental capital inflow to the stock market. The positive policy expectations and the capital inflow trend together form the medium - and long - term support for the stock index. As the stock index approaches the previous high, short - term attention should be paid to whether the stock index can break through the technical resistance of the previous high. Overall, the positive factors continue to ferment, and the stock index fluctuates strongly in the short term [3][9][80] - ETF options and stock index options: Adhere to bull spread or ratio spread. Considering that the stock index is upward in the medium - to - long - term, the idea of bull spread or ratio spread bullish can be maintained [4][81] 3. Summary According to Relevant Catalogs 3.1 Market Review 3.1.1 Stock Index Trends - Last week, the stock index fluctuated and consolidated. The recent increase in trading volume and continuous rise of the stock index indicate the continuous recovery of market risk appetite. Positive policy expectations and capital inflow trends form the medium - and long - term support for the stock index. Short - term attention should be paid to the technical resistance of the previous high [9] - The closing prices and price changes of major spot indices such as the Shanghai Composite 50 Index, CSI 300 Index, CSI 500 Index, and CSI 1000 Index are provided [12] 3.1.2 Option Price Trends - The weekly price changes of various option underlying assets are given. For example, 50ETF had a weekly decline of 1.79%, and 300ETF (Shanghai Stock Exchange) had a weekly decline of 0.13% [16][17] - The weekly price changes of the main contracts of various option varieties, including the weekly price changes of call and put contracts at different exercise prices and different contract expiration months, are provided [18] 3.1.3 Stock Index Futures Basis and Monthly Differences - The basis of the four stock index futures varieties: The basis of IF and IH is at a normal quantile level, while IM and IC show a state of significant backwardation in the far - month futures. The inter - period spread between the current quarter and the next quarter of IC and IM futures has declined, indicating that market sentiment is relatively stable and the uncertainty risk in the far - month has decreased [22] 3.2 Option Indicators 3.2.1 PCR Indicators - The trading volume PCR and position PCR of various options, including Shanghai Composite 50ETF options, Shanghai Stock Exchange 300ETF options, etc., and their changes compared with the previous trading day are provided [35] 3.2.2 Implied Volatility - The implied volatility of the at - the - money options in January 2026 and the 30 - trading - day historical volatility of the underlying assets of various options, such as Shanghai Composite 50ETF options, Shanghai Stock Exchange 300ETF options, etc., are provided [53] 3.3 Conclusion - The same as the core viewpoints, short - term stock index fluctuates strongly, and ETF options and stock index options adhere to bull spread or ratio spread [80][81]

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

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

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