中国股指期权备兑策略优化

2025/07/28 More English Reports on【CITIC Futures International Service Platform】https://internationalservice.citicsf.com QualificationNo.F3023159从业资格号InvestmentconsultingNo.Z0013632投资咨询号 QualificationNo.F3005640从业资格号InvestmentconsultingNo.Z0012407投资咨询号 QualificationNo.F3114782从业资格号InvestmentconsultingNo.Z0022424投资咨询号 GuiChenxi桂晨曦CFAPhD JiangQin姜沁 YouPei游培 目录CONTENT 01Differences BetweenEquity Index and ETF Option股指期权与ETF期权差异 02ETF期权备兑单因子择时 Differences BetweenEquity Index and ETF option 股指期权与ETF期权差异 1. Why Consider the Covered Call Strategy为什么考虑备兑策略 ▫Our team’s report series: “Historical Backtesting of Common Option Hedging Strategies”, “Optimization Plan for Covered Call Rebalancing”,“Option Covered Call Strategy Index” 团队系列专题：《期权常用对冲策略历史回测》《备兑策略调仓优化方案》《期权备兑策略指数》 2. Rule Differences Between Index and ETF Options in Covered Call Strategies股指期权与ETF期权备兑相关规则差异 ▫From a regulatory perspective, Equity Index options and ETF options inherently differin the face value of a single contract.从规则上来讲，股指期权和ETF期权在单手合约面值上存在天然差异。 ▫Thefees and margin requirementsfor covered calls are different between the China Financial Futures Exchange (CFFEX), the ShanghaiStock Exchange (SSE), and the Shenzhen Stock Exchange (SZSE) . ▫The SSE and SZSE allow margin offsets for covered orders with the underlying assets, thereby improving capital utilization. ▫上交所和深交所的备兑指令可以利用标的抵扣保证金，提升资金利用率。 2. Rule Differences Between Index and ETF Options in Covered Call Strategies 股指期权与ETF期权备兑相关规则差异Differences in Short Selling Rules Between ETF Options and Equity Index Options 3.Differences in Covered Call Effects BetweenIndex and ETF Options 股指期权与ETF期权备兑效果差异 ▫ThebacktestingperiodranfromJanuary2,2020,toSeptember28,2023.Transactionfeesonshortcallswereexcluded,andthenotionalvalueoftheshortcallwasequaltothatoftheunderlying.Roll-overoccurred5daysbeforeexpiration. ▫Backtestresults:ThecomparisonbetweentheCSI300ETFoptionsandthe000300.SHindexoptions(IO)showedthatthecoveredcallstrategyconstructedbytheIndexoptionswasbetterthantheETFoptions,withanannualizedyieldofabout2.46%higherandamaximumdrawdownof1.82%lower. ▫回测周期：2020年1月2日至2023年的9月28日，不考虑卖权手续费，保证卖权市值与标的市值相等，在合约到期日前5天进行移仓换月。 ▫回测效果：沪市300ETF期权与沪深300股指期权（OI）相比，股指期权构建的备兑策略优于ETF期权，年化收益率大约高2.46%，最大回撤低1.82%。 4. Difference Attribution: Scale/Fees/Premiums and Discounts 差异归因：规模/手续费/升贴水 ▫（1）Contract Size Alignment:After aligning, the performance of the ETF covered call strategyremained largely unchanged, although theactual trading friction tended to be higher.（2）Fees:The impact on the annualized return of Equity Index options remain contained at 0.04.（3）Volatility:We considered recalculating the implied volatility of the call contracts in the position. For Equity Index options, the underlying asset wasconsidered to be the corresponding Equity Index futures price, while for ETF options, the underlying asset was considered tobethe futures pricesynthesized by the option parity formula. The observed return dispersion stemmed primarilyfrom volatility spreads, which reflect the underlyingindex-ETF historical volatility gap. ▫（1）对齐规模：对齐规模后发现ETF备兑策略的表现并未受到影响，尽管实际产生的交易摩擦会更大。（2）手续费：对股指期权的年化收益影响为0.04%，整体影响偏低。（3）波动率：此处考虑重新计算持仓的认购合约的隐含波动率，股指期权标的考虑为对应的股指期货价格，ETF期权标的考虑为期权平价公式合成的期货的价格。从波动率差异来看，在波动率差较大的地方会产生比较大的收益差值。而期权波动率差异核心驱动是指数与ETF自身的历史波动率差值。 Single-Factor Timing 单因子择时 1. Covered Call Timing Signal Summary 备兑择时信号总结 The timing aspect of covered call strategies primarily lies in the call-selling side. When writing calls for longer horizons, itis generally important to avoidperiods of sharp market rallies or sudden spikes in implied volatility. This report aims to construct timing indicators to avoid the market conditions mentioned above and enhance the performance ofcovered call strategies. 备兑策略的择时主要在卖权端的择时，长线卖看涨期权通常需要规避大涨行情以及波动率急速上涨环境。 本报告试图构建择时指标规避上述行情，从而提升备兑策略表现效果。 2. Covered Call Timing Signal: Underlying Bollinger Bands备兑择时信号：标的布林带 ▫Signal Construction Logic:When the underlying price exceeds the rolling 100-day moving average + one standard deviations, it reflects that theIndex is at a relatively high level and may continue to surge. In such cases, the suggested strategy is toclose short call positionsto avoid the riskassociated with significant rallies. ▫信号构建思路：当标的价格高于滚动100天均线+1倍标准差时，反映指数高位，后续仍有冲高可能，此时考虑卖权端空仓，预防大涨带来的卖权风险。 3. Covered Call Timing Signal: Volatility Bollinger Band备兑择时信号：波动率布林带 ▫Signal Construction Logic:Close the positions when volatility is at a low level. Volatility is categorized into high and low levels based on the rollingvolatility 100-day moving average±standard deviation. ▫信号构建思路：波动率低位平仓。根据滚动波动率100日均值±标准差划分波动率相对高低位。 4. Covered Call Timing Signal: Meaning of Open Interest Signal备兑择时信号：持仓量信号的意义 ▫The reference significance of open interest lies in the following: (1) Open interest better reflects the views of option sellers. In options contracts, sellerstypically face higher capital costs, as they are required to post larger margins. (2) In the financial options ma