Dual-Dimension Analysis of Turnover and Open Interest: Evaluation Report on the Investment Value of Hang Seng Index Call Warrants

Technical Coordinate System

$Hang Seng Index (800000.HK)$ Opening at 26,913.68 points today, technical analysis shows the primary support level at 26,633 points (Support 1), with a test area at 26,098 points (Support 2). The main resistance level is set at 27,525 points (Resistance 1), with an upward target reaching 28,066 points (Resistance 2). The reasonable activity range is defined between 26,633 and 27,525 points, while the extended target range stretches from 26,098 to 28,066 points. The current exercise price distribution indicates that the deep in-the-money range (≤26,098 points) and far out-of-the-money range (≥28,066 points) have exceeded the technically reasonable range, qualifying as areas for early speculation.

Segmentation of Structural Ranges

Based on the division of exercise prices relative to the current price and technical levels, the market exhibits five distinct structural layers. The far out-of-the-money range (sentiment/tail risk) includes 45 products with exercise prices concentrated above 28,200 points, indicating strong speculative sentiment in the market. The deep in-the-money range (trend/substitute for underlying stocks) contains 7 products with exercise prices ranging from 25,000 to 25,125 points, providing a substitute function for the underlying stocks. The slightly in-the-money range (efficiency and flexibility) also has 7 products with exercise prices all at 26,733 points, closely aligned with the primary support level. The moderately out-of-the-money range (target position betting) consists of 7 products with exercise prices distributed between 27,600 and 27,738 points, corresponding to technical resistance levels. The in-the-money core range (daily trading tools) includes only 2 products with exercise prices at 26,600 points, positioned near the technical support level.

Concentration Risk in Open Interest Distribution

The total open interest reached 1,498.13 million contracts, with the far out-of-the-money range accounting for a staggering 91.48%, showing extreme concentration. This concentration far exceeds other ranges, with the deep in-the-money, slightly in-the-money, and moderately out-of-the-money ranges collectively accounting for only 8.17%. This over-concentration in a single range located above the technical resistance level reflects market bets on a breakout scenario but simultaneously implies significant structural risks. If the underlying stock fails to effectively break through the 27,525-point resistance, products in this range will face accelerated time decay risk.

Analysis of Trading Behavior

The trading distribution shows that the total trading volume in the deep out-of-the-money range reached 458,424 thousand dollars, accounting for 97.45% of the overall trading, with an average trading volume per product of 10,187.2 thousand dollars. Trading within the technical activity range (slightly in-the-money to mid out-of-the-money) accounted for only 2.22%, indicating that capital primarily flowed into highly speculative deep out-of-the-money products. The trading-to-open-interest ratio exceeded 100 across all ranges, suggesting that the market was dominated by active trading funds, with no significant signs of a wait-and-see open interest pattern.

Assessment of Terms Competitiveness

The mid out-of-the-money range performed best in terms of clause competitiveness, with an implied volatility of 20.85% and an actual leverage of 11.51x, demonstrating structural efficiency. The slightly in-the-money range also showed competitiveness, with 21.43% volatility and 11.37x leverage offering a favorable risk-return ratio. Although the deep out-of-the-money range had high leverage of 14.78x, the 21.87% implied volatility mismatched with technical space, resulting in lower cost-effectiveness. The deep in-the-money range had a leverage of only 5.74x, showing relatively insufficient structural efficiency.

Product examples representing each range

The mid out-of-the-money range is represented by $CT-HSI @EC2606A.C (24109.HK)$ , with a strike price of 27,737 points, implied volatility of 20.71%, and actual leverage of 11.6x, but with limited upside potential due to a technical resistance level 212 points away. The slightly in-the-money range is exemplified by $HS-HSI @EC2605B.C (23723.HK)$ , with a strike price of 26,733 points, implied volatility of 21.34%, and actual leverage of 11.4x; however, attention should be paid to the risk near the support level at 26,633 points.

Structural Risk SummaryThe current maximum structural risk is concentrated in the deep out-of-the-money range, where 91.48% of open interest concentration could lead to significant value erosion if the underlying stock fails to break through technical resistance. Slightly in-the-money products are close to major support levels, and a breach below 26,633 points would trigger a rapid decline in delta. While mid out-of-the-money products demonstrate structural efficiency, their realized value entirely depends on whether the underlying stock can successfully break through the resistance level at 27,525 points.

Market Condition SummaryThe extreme concentration of open interest in the deep out-of-the-money range reflects market sentiment leaning heavily toward speculative breakout expectations, but tepid trading within the technical activity range suggests insufficient confidence in a real breakout, leading to significantly elevated structural risks.

Selected products:

$HS-HSI @EC2605A.C (23188.HK)$

Strike Price: 28,341 points

Expiration Date: 2026-05-28

Actual Leverage: 15.12x

Recommendation Reason: Highest leverage, relatively low implied volatility (21.05%), sufficient liquidity; suitable for aggressive investors optimistic about the short-term Hang Seng Index trend.

$UB-HSI @EC2605B.C (23091.HK)$

Strike Price: 28,341 points

Expiration Date: 2026-05-28

Actual Leverage: 14.69x

Recommendation Reason: Relatively high leverage, delta of 37% indicates reasonable risk control, reasonable implied volatility, and minimal liquidity risk.

$JP-HSI @EC2605A.C (22977.HK)$

Strike Price: 28,200 points

Expiration Date: 2026-05-28

Actual Leverage: 14.1x

Reason for recommendation: Moderate implied volatility, delta of 39%, and high sensitivity to changes in the Hang Seng Index price.

Risk Warning: The above recommendation is based on term analysis. Please read relevant documents carefully and assess your risk tolerance before investing. Warrant prices can rise or fall sharply, and investors may lose their entire investment. Leverage effects can magnify losses; please evaluate investment risks carefully. This article is for reference only and does not constitute any investment advice. Market data, opinions, and analysis contained herein may change at any time without prior notice. We are not responsible for any loss or damage caused by reliance on the information in this article. Technical analysis only indicates whether certain technical conditions are met; asset performance should be comprehensively evaluated with additional data, and trading decisions should not be made solely based on this article. Please note that past performance is not indicative of future results.

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