Huang Yue: Analysis of CSI 500 ETF option trading strategy and investment value analysis

Live theme: CSI 500 ETF option trading strategy and investment value analysis

Live guest: Huangyue Cathay Pacific CSI 500ETF (561350) Fund Manager

Live time: September 8th 15:30

Recently, the relevant departments have launched the options of CSI 500 and GEM. It is currently within the progress. I believe that the relevant options will be introduced without too long. We know that the CSI 500 also has futures. The stock index futures are IC. It should be said that the birth of options will also bring a lot of more interesting and more complicated investment strategies to the CSI 500ETF. I want to talk to you about the investment value of the CSI 500 Index itself, and some investment strategies that combine futures options.

CSI 500 Index characteristics and investment value

From the perspective of index preparation, domestic is the most familiar to ordinary investors or most investors. The Shanghai Stock Exchange Index is the index of all stocks listed on the Shanghai Stock Exchange. For institutional investors, the most familiar index is the CSI 300 Index. The CSI 300 index is a index of stock market value and liquidity in the Shanghai and Shenzhen market value and liquidity. The CSI 500 Index may be more familiar, but it is not necessarily familiar with its preparation rules. Just now that the market value liquidity ranks in the top 300 is the CSI 300, and the number of stocks in the future, which means that the market value liquidity ranks 500 stocks with 301-800 in the market. Essence

The CSI 500 Index is a medium -cap index, not the index of small -cap stocks. Everyone knows that the number of listed companies in our A shares should be 4500 upward, so the range of market value liquidity is definitely not a small -cap stock in 301 to 800. The distribution of its main market value is about half of the index rights in the market value of about 20 billion to 40 billion market value interval.

Compared with the CSI 300, 80%of the Shanghai and Shenzhen 300s are distributed in listed companies with a market value of more than 100 billion, so the CSI 300 is basically a relatively pure large -cap index. The CSI 500 is relatively scattered. Its half of the index weight is distributed in the 200-40 billion market value range. It also has a certain weight in the market value range of 40-60 billion, 60-80 billion, and 80-10 billion yuan. These may be about 25%. 25%weight. On the whole, the CSI 500 Index is mainly based on mid -cap stocks, and the market value is smaller.

If the CSI is 1,000, almost 70%of the index weights are concentrated in a market value listed company with a market value below 20 billion. These three indexes are very distinctive, and 300, 500, and 1000 represent a performance of large -cap stocks, medium -cap, and small -cap stocks.

In addition to the characteristics of the market value, the CSI 500 Index also has some distinctive advantages. The biggest advantage is that the concentration of the CSI 500 Index stock is relatively low, and the proportion of stocks with the first weight in the index is less than 1%. The proportion of the top 10 major weights in its top 10 has increased by less than 10%, which is very different from many other wide -based indexes, such as the Shanghai Stock Exchange 50 Index. In the Shanghai Exchange 50 Index, the weight of the top 10 heavy stocks increases up to more than 50%, so the concentration of individual stocks is high, and the industry concentration is also high. The Shanghai 50 Index is mainly the two proportion of finance and food and beverages. The first three major industries may account for about 60%, and the top five industries account for more than 70%. On the whole, it is an index with a relatively high industry concentration and a higher concentration of individual stocks.

The concentration of the GEM is also high. For example, the weight of the GEM index is about 20%of the weight of the Rendee era, and the weight of Dongcai is about 10%. The two stocks have 30%of the weight. The weights of the top 10 ingredients of the GEM have exceeded 50%. The concentration of individual stocks is also relatively high. The industry concentration of the first three major industries of GEM is close to 70%. Among them, power equipment (that is, new energy) and medicine are the two major industries with high weights of GEM.

Before 2020, the Shanghai and Shenzhen 300 concentrated in the industry, mainly financial+food, drinks or financial+consumer goods. However, after the entire index adjustment in December last year, a large number of new energy stocks were adjusted into the Shanghai and Shenzhen 300 index. The concentration of the top 10 stocks of the CSI 300 Index is between 20%-30%, and the proportion of the top five industries accounts for nearly 60%.

The concentration of CSI 500 is very low. The weight of the top 10 stocks increases up to less than 10%, and the concentration of the top five industries adds up to 40%. The largest industry of CSI 500 is medical creatures, accounting for about 10%, and then rowing down is electronics, military, power equipment, non -silver financial, non -silver finance, computers, basic chemicals, transportation, and steel. On the whole, the industry is relatively balanced.

The characteristics of the CSI 500 Index are also obvious:

(1) Focus on mid -cap stocks. About half of the index weights are distributed in the market value range from 200-40 billion.

(2) The industry concentration and individual stock concentration are scattered compared to other broad -foundation indexes.

On the whole, these two characteristics have led to the CSI 500 index that is more suitable for long -term configuration index.

My personal understanding, the three indexes of CSI 300, CSI 500, and CSI 1000, the concentration of the overall industry and individual stocks is relatively low, and can fully have the effect of dispersing risks. Of course, these three indexes represent the three different characteristics of large -cap stocks, medium -cap stocks, and small -cap stocks. We may have to screen again in the style of large and small plates and then configure. The CSI 500 will be more balanced, because it is the attribute of a medium -cap. In terms of its industry distribution, it is also a periodic and growth industry. The proportion of growth industries and cycle industries in the previous major industries is relatively high. The CSI 300 is relatively consumer and finance. The industry distribution of the industry as a whole is also relatively balanced. These are some characteristics of the three indexes as a whole.

Next, we look at one feature of the 500 index in the past two years. In the past two years, the entire market has still been small and medium -sized. Since last year, the style of the entire small and medium -sized disk began to dominate. Historically, the long-term annualized return rate of the 300 index is about 10%-13%. The long -term return rate of the CSI 500 Index is about 15%. Of course, the long -term return rate of the CSI 500 index is higher, but the volatility is higher. Historically, the long -term annualized volatility of the CSI 500 Index is about 25%, and the annualized volatility of the CSI 300 Index is about 20%.

However, since last year, there was a very interesting phenomenon that the volatility of the CSI 500 last year was lower than the CSI 300. This may be related to the large number of snowball products linked to the CSI 500 last year. Of course, we do not have enough quantitative data to calculate. Because the snowball products themselves are buying and buying, and the more it goes, the more you buy. For example, the release of 100 million snowball products, normally, its initial establishment may be equipped with a position of 20 million-30 million CSI, but it is generally equipped with IC stock index futures. If it falls, you need to buy more For example, the point it knocked in may be 70%or 80%of the issued points. When reaching this position, it is the largest number of positions, and it is about 2 times to 0.5 times that of the initial distribution scale. Because the more it falls, from the perspective of options, the larger the decline, the larger the Δ, it is the process of gradual improvement, but once it falls below the point of the knocking point, its position must quickly approach the return to returning to return. 0, so there may be a large impact near the point of the point. After all, when we start to enter the point, the critical value is relatively far away from the existing price. Really you say that it has fallen below this position. In terms of the current valuation level, it is also difficult.

Overall, it is transit and fluctuations under normal management operations, because the more the products that fall snowballs, the more they buy, this is similar to buying spot. Of course, it is replaced by futures. The more you fall down, the closer to its knocking point, the faster it will buy. For example, at the beginning, it fell 1%, it might buy 50%and another 1%. It may have to buy 7 points or 10 points, which is probably such a situation. Of course, if the index rises up, it is far away from the position of the knocking, and it will calm down this position. On the whole, it should be said that it is a reverse operation that is more and more buying, the more they sell, and the more they sell, and in fact, it will suppress the fluctuation of the relevant index from a certain level. From a historical point of view, the annual return rate of Sino -C Secort 500 is higher than 300. At present, the entire volatility is relatively lower than 300, so the current price / performance ratio of its configuration is relatively high. This is the CSI 500. The index itself.

2. CSI 500ETF option investment strategy

Let's briefly introduce to you, what kind of help can the CSI 500ETF options can bring 500ETF or 500 investors.

(1) The difference between options and futures

First of all, everyone knows that it is a tool for non -linear hedging. For example, if you want to hedge the CSI 500 Index, the target we can choose is the IC stock index futures. The stock index futures are a complete linear hedging tool. For example, if we hold a 100 million CSI 500ETF spot. At this time, if you use the IC to make hedging, how much hedge is equivalent to reducing your own position. Suppose you open here to open it here. The stock index futures with a market value of 20 million are actually equivalent to your spot position to 80 million.

There is also a base difference, unless you go for hedging in advance. Often when the market volatility rises, when the panic is a plunge, it is also the time when the stock index futures have the largest amount of water. Although it may have fallen too much at this time, in order to prevent risks, you open the stock index to the end of the future. The amplitude of the stickers has exceeded the daily sticker. So if you use futures hedging, it is likely to lose a sticker, because at this time the market is often bottomed out. Of course, you may not be able to realize that the market is bottomed out, or you are in your own way to prevent risks. In this position, you will not bet on the market. When continuing to shedding, the amplitude of the sticker water when you do the hedge is relatively high. After the market is bottomed out, the range of futures pads the water back to the normal water level. This is a problem of futures hedging, which has a risk of difference. The risk of the foundation difference is objective, as well as you use options, because when you use options to open, for example, when the risk incident occurs, you go to open options. At this time A higher position. Subsequent, for example, if you feel that the risk is lifted, you want to flatten the position of the hedge. If you go to the level of time, the options will often face another wave of waves, and you may get a lot of losses in the volatility. Therefore, if the options go to open a position when the risk incident occurs, it is likely to face such a problem.

But under normal circumstances, when we use options to hedge, we may often use the insurance strategy of options. For example, I go to buy options, and it is a long -term or left to buy options, not to say that I have appeared in the market in the market. When a sharp decline or panic fall, go to buy options.

I personally think that if you want to hedge, you may use the stock index futures to be slightly better, because the implicit volatility of the futures is too high, and the loss of losses in the future may be very large, especially when you buy one at this time Flat value or slightly virtual value. If you are cheap, buy an option with a slightly virtual value. Because of the panic, it is often when the short emotional release is sufficient. At this time, I go to buy options. I personally think it is not very cost -effective. If I really want to hedge, I feel that it is not as good as futures. Although you are likely to have a bad basis, the proportion of its losses may not be as large as options, which is a situation of panic hedging.

(2) Optional investment strategy-protective loser options right

If you use options hedging, generally, you are either a long -term hedge and long -term insurance strategy. For example, I keep buying some false options, such as the options of virtual two and virtual three grades, itself itself I don't expect myself to choose time success, but I may just prevent the risks of some tails, and some black swan events at the entire probability distribution. The cost is relatively ok.

Another kind, I choose to hedge the left side of the time. When I think that the market has reached a relatively high position, although I don't think that the market will fall behind, but I may think that at least this position holding a position is already a bit uneasy , But you say that you don't need to sell it to sell. This kind of scene is very suitable for hedging. In fact, you can buy a virtual value, such as a virtual duty option such as the two -level and virtual three gear, which is more in line with this operation scene.

For example, at the end of April at the end of April, the market rebounded. From the lowest point in April to the highest point in May to the highest point in May, the CSI 500 rebounded nearly 20%. In mid -June, many people may not be able to take it. I feel that they have rebounded a lot. This position may be adjusted. However, you see that the whole trend is still on a rise, even if you draw a trend line, you have never fallen to the trend line, and he is not willing to sell the spot. After all, you buy the spot in a very low position. On the one hand, you may be worried about the problem of impact costs on the one hand, and on the other hand, you are also worried that you will not buy it after selling the spot. At this time you are tangled and uncomfortable. In fact, if you use options to hedge, even if you use the stock index futures to hedge, no matter what, if you do hedge, it may be a better way to deal with this market. Because after you sell it, it is difficult to buy it again. On the one hand, you may not find a good buying point, and on the other hand, psychologically bears relatively large pressure. Therefore, compared with futures hedging, the biggest advantage is that its income and risk are non -linear.

For example, the 10 million spot positions use options to hedge. It is nothing more than how many market value of futures hedging. In fact, the spot position is equivalent to downgrading positions. This is not much different from selling the spot in your spot. The only difference is that I am worried that the amount is too large. If you sell the spot, there will be impact costs. At this time, I open futures to hedge, or I open futures is relatively flexible, and the futures itself has leverage. I have some technical or fundamentals, and I will open futures hedging at some time. At this time, it is okay to use futures hedging, but overall it is a linear hedge. You hedge the risk of its downward, and actually your upward benefits cannot be obtained. If it is purely buying options to do hedge, it is a non -linear hedge. For example, our current 50ETF has options. If I buy a flat value now, the flat value option may account for about the cost of my spot. The option fee may be about 1.5 to 2 points. The volatility is relatively low. When the hidden volatility is high, your cost may be about 2 to 3 points. On the whole, this cost is okay, because at this time, although this cost does not look low, it will not limit your upward fluctuations, for example, you spend 2 points to 3 points at this position to buy A flat-value equity is equivalent to basically control your downlink fluctuations within 2%-3%. No matter how you fall, you will lose this period of power at most. In the end Within 2%-3%, but all your upward benefits can be obtained. If it continues to rise later, you can enjoy the benefits. Options are basically such an asymmetric non -linear hedge tool, which is relatively suitable for some market characteristics.

In June this year, many people felt very entangled, and the bottom has rebounded a lot. At this time, it may still rise, or it may not rise. At this time, I can buy options, such as spending about 1 point premium, and buying a little option with a slightly false value. If I now have about 5 to 6 points, for example, I buy an option of about two or so, at this time, the cost of hedging may be almost about 1 point. This cost is completely acceptable. If you fall down again, the entire risk will be controlled within a certain range. If the two and three gear are used, it may be almost you can control about 2%-3%, so you earn 6- 7 points. You control your downward risk of 2%-3%, and even if there is a plunge, your actual income is about 4 to 5 points. However, if you continue to rise, all the benefits can be obtained, so it is more suitable for this market.

If options are to hedge open positions, it is still necessary to look at the implicit volatility. If the implicit volatility is in a relatively high position, I think the cost of using options hedge is very high. On the whole, options are more suitable for gently rising markets or they have risen a lot. At this time, everyone is more scared, but at this time, the volatility of the entire options is relatively high.

If it is a very violent market, it is often at the end of the market, which is likely to be enlarged, such as around June to July last year, including GEM, new energy, chips, military industry and other prosperous tracks. In fact, you Seeing that it really rises a large band, the entire volatility is very high, and the daily volatility of the index is about four or five points. One day may increase you three or four points, and the other day may fall two or three points or even three or four points. You use options to hedge with options. I think the cost is very high. Its implicit volatility rate very high.

Although you think it is hedging risk, if you really fall down, it may not be able to hedge, because the cost of hedging is too high, and if it does not fall, for example If you buy a little bit of false value, you may have not yet become a market value after the rapid decline, such as changing from the virtual third gear to the virtual two gear and the first gear. At this time, it may fall in place and start to drop waves. At this time, you will find that you will lose a lot of money.

I think that if you do hedge, the option is more suitable for the left side to buy options and buy premiums when the left side is relatively cheaper (the hidden waves are relatively low), and at this time, you can combine your own profitability, including judgment on the future market. You can buy a slightly false option, which is a risk of plunge. If you slow down, you may feel indifferent, and the effect of volatility of the entire net worth is not so great. This is a strategy of options hedging, which should be said to be effective objectively.

If I go back to test the volatility of its entire history, I keep buying it, and it is estimated that it will not win the index. We use 500 and 300 to take a recovery. If you keep buying, it is equivalent to buying and seeing options for insurance. If you go to hedge risk, it is not cost -effective to watch it for a long time, because it is too expensive to premiums that are too expensive. Essence Even now, when the entire hidden wave is very low, you may have to buy a flat value option, which may be equivalent to 1%-2%of the spot. After 12 months, the cost of annualization is very high. In fact, it is more to prevent the risk of the plunge.

I think it is more suitable for buying options with options. It is more suitable for rising for a while, and then you can't hold it. At this time, its hidden waves are not very expensive, you can buy protective sees of options. In other words, it is still necessary for the left side. Based on a market judgment, you have to buy a protective demeanor when you are hedging. For example, the risk has passed or the back has not fallen. For example, the yin has fallen and shakes. At this time, you feel that you are not so risky, you will flatten the position of the protection of the option, or after the expiration It's basically the case. In addition, if you buy protective loser, especially when you are worried that there may be risk of plunge. At this time, you are to riot about riot. You can buy slightly deficient options, and the cost of options will be lower. (3) Optional investment strategy-preparation strategy

Preparation is a cost -effective strategy. If you sell options, he will collect your security deposit, and you have to have funds to occupy, but if you use the strategy of reaching the position, as long as the market value of your options is smaller than the market value of your spot, he can not receive a deposit. So it is a tool for thickening income.

In fact, the right to sell is to make small money and lose money. I sell options as a whole. The winning rate will be very high. If you look at its yield probability distribution, it will be a very right probability distribution. Normally, it is generally making money to make money. Essence Because you ca n’t make much money by selling options, for example, if you sell an option with a flat value now, you may make about one point a month. At this time, if you plummeted, you must lose a lot of money. Anyway, you have the spot, just to say that you have settled the spot, that is, lock the income limit of your overall combination.

The probability of making small money for sale options is still relatively large, especially if you sell a little bit of options, generally not to rise to this position, because you sell it and look up. The probability of making money is relatively high. Once a significant rise, you are locked when your income is plain, not to say that you lose money, but that your income is locked. For example, the protection of options, the revenue structure of the redeeming position is that I hold the spot income structure. An option is the price of the target, and the other is your income, one horizontal axis and one vertical axis. If it is holding the spot, your income is a slope. If the target rises, you will rise, your income will be more, and you will lose money if you fall.

If you adopt a strategy of reaching the position, your income curve is like this. There will be a top above. This top is because you sell options, which is equivalent to your income and is locked. For example, for example, 50ETF is 2.7 yuan. I sell a 2.8 yuan virtual duty options, and my income is almost locked at 2.8 yuan. If 50ETF continues to rise, it rises to 2.9, 3 yuan. I sold a 2.8 yuan option to open a warehouse. I might have to deliver after rising. If I have to send it, I have no spot, and I can’t make this money. Of course, it can not protect me. Multi -head strategy.

It is OK to prepare for the return of the history of the opening and open warehouse. We have also been tested. It should be said that there will still be some thickened ones, especially it will reduce the entire retracement and fluctuations. After all, when I fall, I can earn the options, because I sell the options to sell, but I can't see it. As long as 50ETF is on the horizontal disk, shock, or falling, no matter how you fall, no matter how you fall or fall, I can earn this period of rights. Therefore, in the shocking market and the decline market, in fact, my income structure is definitely better than simply holding the spot, because it is not income for simply holding the spot as long as it loses. If you prepare for the opening of the position, in the shock market and the unilateral decline, it can increase the income of the period of power, which is equivalent to the decline in the decline of my downlink, and of course it will not be too much.

On the other hand, in the upward market, obviously my upward space is restricted. On the whole, the strategy of preparation for opening and opening a position If you keep reaching it, in fact, your long -term yield may not be able to be able to be able to be able to be able to be able to be able to ETFs that win the target may be slightly lower than the ETF of the standard, but your maximum retracement and overall volatility will be reduced, probably such a strategy. As long as you sell your options, the market that is good for you must be either a shock market or a decline in the market. You can earn option fees. Because you sell the options, you ca n’t look up. As long as you do n’t rise, you can earn the right to the options.

There are several cases for preparation. If you still need to care about the income, you want to make a profit fee, but you also hope not to reduce the income when soaring. In fact, you still have to deal with it. If you prepare it, for example, you break through some key positions, such as the securities sector began to rise continuously. At this time, the option you may have to be redeemed should still be closed. You can't prepare without brain. You may have to make some reserve according to the market conditions, but overall, preparation of it is simply holding the spot and selling options. The efficiency of your funds will be higher. Overall, your yield will be higher, because your funds are occupied less, and it is probably the case. The overall is actually ETF+selling options, but because you hold the spot of ETF, when you sell the options, it will not collect your security deposit, which is equivalent to your capital efficiency.

Some people ask if it is used for short? I think the options are actually short. The options of selling should not be able to see it. It is not to say that it is a decline, but that you ca n’t see it, because you can make money as long as you fluctuate. In addition, there is just the opposite of this issue. If you sell options, you can sell it when the volatility is relatively high. At this time, you can also make a wave of waves. For example, if you sell it to open the position, the options for the preparation of the opening of the warehouse are relatively rising, and then the continuous rise and rising backward adjustment, but it is still in a trend. It may be a feature of the top, but it is not necessarily the top.

For example, the CSI 500 Index, because its volatility of the entire index since last year has actually decreased significantly. The CSI 500 Index has rarely risen and declined by more than 2%on the same day, generally less than 1%or between 1%and 2%. For example, the 500 index may be a large band of rising. When it is up at the bottom, it may volatility at about 1%and 2%. Suddenly, some periods of time start to accelerate, daily rising and downwards They have become very severe, and the volatility of rising and falling is enlarged to about 2%-3%. It may give you 3 points a day. The next day the next day to adjust 2 points and 3 points, especially again In the rising market, at this time, it may be that you can sell it when you are close to the end of the rising market, and you can sell a slightly false option. Because at this time its volatility is enlarged, its entire hidden wave will be very high, and the hidden waves are very high. At this time, you will sell a relatively high price.

Looking back, if this kind of market, in fact, you have made a lot of money when you come in at the bottom, and then the volatility is enlarged again. Of course, if you compare the Buddhist department, you think that it is okay to rise later to me, but I sell an option here, and I don't want to give up my spot position. I sell an option to get a profit anyway. Of course, at this time, it is also possible to protect the position, but the protection of the position is not suitable for options at this time. The futures are all over the water. At this time, if you use futures to hedge, the cost of hedging may be lower. At this time, if you use options hedging, it is not cost -effective, because hidden waves may be higher.

Compared with futures, options are a non -symmetrical and non -linear tool, and you really use options. Whether you are reserved or to buy a warehouse, you have to look at the volatility. When the hidden wave is relatively high, I think the meaning of using options is not much, because if you read it wrong, you will lose a lot of money.

(4) Optional investment strategy-neckline strategy

The first two strategies are more common, and of course there are necklines that are combined. The neckline is actually buying and selling. I do the opening of the warehouse and the buying position. The income structure of the neckline strategy is that there is a top and losses in the income. Compared to protective open warehouses, the bottom of the neckline strategy will be slightly higher. Of course, it must have a top, because you are selling options above, this is the collar strategy. Of course, you can combine the proportion by yourself, including what you sell, you can buy virtual value, you can also sell virtual value, or buy a flat value and sell the value. In short, this can be matched by yourself.

In short, these strategies are mainly related to ETF. This may still have to go to practice and understand. Because what I just said is actually some common situations, probably when you do it, what kind of scene is more suitable, but this is based on some basic option experience. If you have no option experience, I believe I am talking Maybe everyone can't understand or don't have too many gains. Optional is like this. It is not like ETF. We can talk about fundamentals and the situation of some industries. But if you do n’t understand this, he does n’t understand if he does n’t understand, and it ’s difficult for this thing to make you clear in one or two words, or you need to combine everyone’ s practice.

- END -