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股指期权数据日报-20250508
Guo Mao Qi Huo·2025-05-08 11:09

Report Summary 1. Market Performance - The Shanghai Composite Index closed up 0.8% at 3342.67 points with heavy volume, the Shenzhen Component Index rose 0.22%, the ChiNext Index rose 0.51%, the North Securities 50 fell 0.46%, the Science and Technology Innovation 50 rose 0.36%, and the CSI A500 rose 0.51% in the previous trading day. A-share trading volume reached 1.51 trillion yuan, compared with 1.36 trillion yuan the previous day [8]. - The closing prices and changes of major stock - index futures are as follows: the Shanghai 50 closed at 2670.7023 with a 0.87% increase, the CSI 300 at 3831.627 with a 0.61% increase, and the CSI 1000 at 6111.4946 with a 0.14% increase. Their trading volumes were 806.55 billion yuan, 2860.11 billion yuan, and 2965.22 billion yuan respectively, and trading volumes were 47.06 billion, 161.17 billion, and 233.92 billion respectively [4]. 2. Option Trading - The trading and holding data of stock - index options on the CFFEX are as follows: for the Shanghai 50, option trading volume was 3.06 million contracts (2.06 million for call options and 1.00 million for put options, PCR = 0.48), and open interest was 6.67 million contracts (4.07 million for call options and 2.60 million for put options, PCR = 0.64); for the CSI 300, option trading volume was 8.91 million contracts (5.79 million for call options and 3.12 million for put options, PCR = 0.54), and open interest was 18.23 million contracts (10.73 million for call options and 7.50 million for put options, PCR = 0.70); for the CSI 1000, option trading volume was 26.48 million contracts (16.13 million for call options and 10.35 million for put options, PCR = 0.64), and open interest was 25.44 million contracts (13.97 million for call options and 11.47 million for put options, PCR = 0.82) [4]. 3. Volatility Analysis - The report presents historical volatility chains and implied volatility smile curves for the Shanghai 50, CSI 300, and CSI 1000, including minimum, maximum, percentile values, and current values of historical volatility, as well as implied volatility of next - month at - the - money options [8].