Report Summary 1. Report Industry Investment Rating No information about the industry investment rating is provided in the given content. 2. Report's Core View No clear core view is presented in the given content. The document mainly provides a large amount of data on various financial products such as ETFs and indices, including historical volatility, implied volatility, and related price trends. 3. Summary by Related Catalogs 3.1 50ETF - On June 16, 2025, the underlying price was 2.753, with 5HV at 8.25%, 10HV at 5.68%, 20HV at 5.92%, and the current month's IV at 11.21%. The IV percentile for the current month in the past 1 year was 4.80%, and in the past 2 years was 2.40%. The next month's IV was 12.16%, with an IV percentile of 5.70% in the past 1 year and 11.30% in the past 2 years [1][2]. - The current month's contract has 7 days until expiration [1]. 3.2 Shanghai 300ETF - On June 16, 2025, the underlying price was 3.990, with 5HV at 9.45%, 10HV at 6.81%, 20HV at 6.89%, and the current month's IV at 0.32%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 0.20%. The next month's IV was 0.36%, with an IV percentile of 0.40% in the past 1 year and 0.20% in the past 2 years [9]. - The current month's contract has 7 days until expiration [9]. 3.3 Shenzhen 300ETF - On June 16, 2025, the underlying price was 4.026, with 5HV at 9.82%, 10HV at 7.08%, 20HV at 7.04%, and the current month's IV at 13.11%. The IV percentile for the current month in the past 1 year was 20.40%, and in the past 2 years was 16.70%. The next month's IV was 12.75%, with an IV percentile of 12.20% in the past 1 year and 10.10% in the past 2 years [15]. - The current month's contract has 7 days until expiration [15]. 3.4 Shanghai CSI 500ETF - On June 16, 2025, the underlying price was 5.797, with 5HV at 10.82%, 10HV at 9.26%, 20HV at 9.77%, and the current month's IV at 0.00%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 0.20%. The next month's IV was 0.00%, with an IV percentile of 0.40% in the past 1 year and 0.20% in the past 2 years [26]. - The current month's contract has 7 days until expiration [26]. 3.5 Shenzhen CSI 500ETF - On June 16, 2025, the underlying price was 2.319, with 5HV at 12.27%, 10HV at 10.15%, 20HV at 10.73%, and the current month's IV at 14.23%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 14.10%. The next month's IV was 15.64%, with an IV percentile of 1.20% in the past 1 year and 25.80% in the past 2 years [37]. - The current month's contract has 7 days until expiration [37]. 3.6 ChiNext ETF - On June 16, 2025, the underlying price was 2.037, with 5HV at 16.59%, 10HV at 13.76%, 20HV at 14.11%, and the current month's IV at 17.99%. The IV percentile for the current month in the past 1 year was 2.40%, and in the past 2 years was 9.80%. The next month's IV was 19.57%, with an IV percentile of 8.00% in the past 1 year and 23.90% in the past 2 years [49]. - The current month's contract has 7 days until expiration [49]. 3.7 Shenzhen 100ETF - On June 16, 2025, the underlying price was 3.725, with 5HV at 11.72%, 10HV at 9.51%, 20HV at 11.55%. The data for the current month's IV and related IV percentiles showed errors (VALUE!) [59]. - The current month's contract has -1 days until expiration [59]. 3.8 Science and Technology Innovation 50ETF - On June 16, 2025, the underlying price was 1.021, with 5HV at 12.36%, 10HV at 13.16%, 20HV at 12.46%, and the current month's IV at 18.11%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 4.90%. The next month's IV was 20.29%, with an IV percentile of 2.10% in the past 1 year and 17.30% in the past 2 years [68]. - The current month's contract has 7 days until expiration [68]. 3.9 Science and Technology Innovation 50ETF E Fund - On June 16, 2025, the underlying price was 0.995, with 5HV at 11.77%, 10HV at 13.04%, 20HV at 12.35%, and the current month's IV at 17.64%. The IV percentile for the current month in the past 1 year was 9.30%, and in the past 2 years was 5.70%. The next month's IV was 19.64%, with an IV percentile of 8.00% in the past 1 year and 17.30% in the past 2 years [78]. - The current month's contract has 7 days until expiration [78]. 3.10 300 Index - On June 16, 2025, the underlying price was 3873.795, with 5HV at 9.23%, 10HV at 6.91%, 20HV at 7.42%, and the current month's IV at 11.17%. The IV percentile for the current month in the past 1 year was 1.60%, and in the past 2 years was 0.80%. The next month's IV was 13.05%, with an IV percentile of 11.40% in the past 1 year and 5.90% in the past 2 years [88]. - The current month's contract has 4 days until expiration [88]. 3.11 1000 Index - On June 16, 2025, the underlying price was 6147.460, with 5HV at 13.88%, 10HV at 12.77%, 20HV at 13.82%, and the current month's IV at 15.88%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 19.60%. The next month's IV was 17.74%, with an IV percentile of 0.40% in the past 1 year and 28.40% in the past 2 years [90]. - The current month's contract has 4 days until expiration [90]. 3.12 Shanghai Composite 50 Index - On June 16, 2025, the underlying price was 2685.009, with 5HV at 7.42%, 10HV at 5.31%, 20HV at 6.19%, and the current month's IV at 11.56%. The IV percentile for the current month in the past 1 year was 3.60%, and in the past 2 years was 1.80%. The next month's IV was 43.63%, with an IV percentile of 51.80% in the past 1 year and 75.80% in the past 2 years [100]. - The current month's contract has 4 days until expiration [100].
金融期权波动率日报-20250616
Guo Tou Qi Huo·2025-06-16 11:56