【中信期货】中国黄金期权波动率及策略配置-250626（10页）.pdf

1、重要提示：重要提示：本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人投资建议。我司不会因为关注、收到或阅读本报告内容而视本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人投资建议。我司不会因为关注、收到或阅读本报告内容而视相关人员为客户。相关人员为客户。This report is not a service under the futures trading consulting business.The opinions and information provided are for reference only and do n

2、ot constitute investment advice to anyone.The company will not consider relevant personnel as formal clients only due to their attention,receipt,or reading of this report.Investment consulting business qualification：CSRC License 2012 No.669 投资咨询业务资格：证监许可【2012】669 号 2024-10-09 中 信 期 货 国 际 化 研 究中 信 期

3、货 国 际 化 研 究|中 信 期 货 研 究 所中 信 期 货 研 究 所 International 中信期货国际化研究中信期货国际化研究|CITIC Futures International Research 2025/06/26 China Gold Options Volatility and Strategies 姜 沁 Jiang Qin 从业资格号 Qualification No：F3005640 投资咨询号 Consulting No.：Z0012407 桂晨曦 Gui Chenxi 从业资格号 Qualification No：F3023159 投资咨询号 Consul

4、ting No.：Z0013632 康遵禹 Kang Zunyu 从业资格号 Qualification No：F03090802 投资咨询号 Consulting No.：Z0016853 金月婷 Jin Yueting 从业资格号 Qualification No：F03108244 投资咨询号 Consulting No.：Z0021458 中国中国黄金期权波动率及策略配置黄金期权波动率及策略配置 CITIC Futures International Service Platform：https:/ 摘要摘要 Abstract The average volatility risk p

5、remium for gold options has increased significantly over the past year,advancing from the five-year average of approximately 18%to levels exceeding 21%.Backtesting demonstrates the stability of short put strategies.This advantage has become particularly pronounced over the past two years,with the st

6、rategy showing significantly increasing return.The short one-strike out-of-the-money put strategy delivered an annualized return of approximately 12.8%.During high-volatility periods in the first half of the year,long straddles on gold options demonstrated opportunities.Conversely,previously holding