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股指期权数据日报-20250626
Guo Mao Qi Huo·2025-06-26 11:56

Market Review - The closing prices of the Shanghai Composite Index, Shenzhen Component Index, ChiNext Index, and CSI 300 were 3455.97, 10393.72, 2128.39, and 3960.07 respectively, with increases of 1.03%, 1.72%, 3.11%, and 1.44% and turnovers of 6201.73 billion yuan, 9826.15 billion yuan, 5184.21 billion yuan, and 3617.27 billion yuan [11]. - The closing prices of SSE 50, CSI 300, and CSI 1000 were 2747.7278, 3960.0662, and 6276.1634 respectively, with increases of 1.17%, 1.44%, and 1.32% and turnovers of 1023.26 billion yuan, 3617.27 billion yuan, and 3349.98 billion yuan respectively. Their trading volumes were 50.86 billion, 187.21 billion, and 247.56 billion respectively [4]. CFFEX Stock Index Option Trading Situation - For SSE 50 options, the trading volume of put options was 5.41 million contracts, the trading volume of call options was 3.96 million contracts, the PCR was 0.37, the option position was 5.13 million contracts, the position of call options was 3.06 million contracts, the position of put options was 2.07 million contracts, and the PCR was 0.67 [4]. - For CSI 300 options, the trading volume of put options was 12.17 million contracts, the trading volume of call options was 8.39 million contracts, the PCR was 0.45, the option position was 14.62 million contracts, the position of call options was 8.81 million contracts, the position of put options was 5.81 million contracts, and the PCR was 0.66 [4]. - For CSI 1000 options, the trading volume of put options was 27.13 million contracts, the trading volume of call options was 16.64 million contracts, the PCR was 0.63, the option position was 21.57 million contracts, the position of call options was 11.12 million contracts, the position of put options was 10.45 million contracts, and the PCR was 0.94 [4]. Volatility Analysis - The historical volatility and volatility smile curve of SSE 50, CSI 300, and CSI 1000 are presented, including the maximum, minimum, percentile values, and current values of historical volatility, as well as the next - month at - the - money implied volatility [9][10][11]