Report Information - Report Date: June 26, 2025 [1] - Analyst: Fan Lijun from Guotou Futures Core Data Summary 50ETF - Price and Volatility: On June 24 - 26, 2025, the price ranged from 2.792 to 2.832. 5HV, 10HV, and 20HV showed fluctuations, with 5HV reaching 12.17% on June 25. The implied volatility (IV) also changed, with the monthly IV reaching 15.07% on June 25 [2]. - Historical Volatility Cone: The maximum historical volatility of 5 - day HV in the past 12 months was 88%, and the minimum was 2% [7]. - Skew Index: The skew index of the main contract month was 91.48 on June 26 [9]. Shanghai 300ETF - Price and Volatility: From June 24 - 26, 2025, the price varied between 3.936 and 4.001. 5HV, 10HV, and 20HV had changes, with 5HV reaching 14.81% on June 25. The monthly IV was 14.85% on June 25 [11]. - Historical Volatility Cone: The maximum historical volatility of 5 - day HV in the past 12 months was 110%, and the minimum was 1% [18]. - Skew Index: The skew index of the main contract month was 91.48 on June 26 [17]. Shenzhen 300ETF - Price and Volatility: During June 24 - 26, 2025, the price was between 4.059 and 4.126. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 14.83% on June 25. The monthly IV was 15.70% on June 25 [21]. - Historical Volatility Cone: The maximum historical volatility of 5 - day HV in the past 12 months was 111%, and the minimum was 1% [29]. - Skew Index: The skew index of the main contract month was 90.04 on June 26 [27]. Shanghai CSI 500ETF - Price and Volatility: From June 23 - 25, 2025, the price ranged from 5.712 to 5.913. 5HV, 10HV, and 20HV changed, with 5HV reaching 20.36% on June 25. The monthly IV was 16.74% on June 25 [31]. - Historical Volatility Cone: The maximum historical volatility of 5 - day HV in the past 12 months was 102%, and the minimum was 5% [38]. - Skew Index: The skew index of the main contract month was 90.75 on June 25 [37]. Shenzhen CSI 500ETF - Price and Volatility: On June 24 - 26, 2025, the price was between 2.320 and 2.361. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 19.69% on June 25. The monthly IV was 18.99% on June 25 [40]. - Historical Volatility Cone: The maximum historical volatility of 5 - day HV in the past 12 months was 434%, and the minimum was 5% [49]. - Skew Index: The skew index of the main contract month was 91.14 on June 26 [47]. GEM ETF - Price and Volatility: From June 24 - 26, 2025, the price varied from 2.044 to 2.109. 5HV, 10HV, and 20HV changed, with 5HV reaching 30.91% on June 25. The monthly IV was 24.91% on June 25 [52]. - Historical Volatility Cone: The maximum historical volatility of 5 - day HV in the past 12 months was 253%, and the minimum was 4% [59]. - Skew Index: The skew index of the main contract month was 86.99 on June 26 [58]. Shenzhen 100ETF - Price and Volatility: During June 24 - 26, 2025, the price was between 2.680 and 2.732. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 18.89% on June 25. The monthly IV was 18.83% on June 25 [63]. - Historical Volatility Cone: The maximum historical volatility of 5 - day HV in the past 12 months was 134%, and the minimum was 4% [70]. - Skew Index: The skew index of the main contract month was 98.36 on June 26 [69]. Science and Technology Innovation 50ETF - Price and Volatility: From June 24 - 26, 2025, the price ranged from 1.029 to 1.048. 5HV, 10HV, and 20HV changed, with 5HV reaching 18.72% on June 26. The monthly IV was 20.49% on June 26 [72]. - Historical Volatility Cone: The maximum historical volatility of 5 - day HV in the past 12 months was 222%, and the minimum was 5% [80]. - Skew Index: The skew index of the main contract month was 80.28 on June 26 [78]. Science and Technology Innovation 50ETF E Fund - Price and Volatility: On June 24 - 26, 2025, the price was between 1.003 and 1.022. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 18.87% on June 26. The monthly IV was 20.97% on June 26 [86]. - Historical Volatility Cone: The maximum historical volatility of 5 - day HV in the past 12 months was 219%, and the minimum was 4% [90]. - Skew Index: The skew index of the main contract month was 79.72 on June 26 [88]. 300 Index - Price and Volatility: From June 24 - 26, 2025, the price ranged from 3904.034 to 3960.066. 5HV, 10HV, and 20HV changed, with 5HV reaching 14.19% on June 25. The monthly IV was 17.09% on June 25 [93]. - Historical Volatility Cone: The maximum historical volatility of 5 - day HV in the past 12 months was 99%, and the minimum was 1% [94]. - Skew Index: The skew index of the main contract month was 85.71 on June 26 [94]. 1000 Index - Price and Volatility: On June 24 - 26, 2025, the price was between 6194.666 and 6276.163. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 23.05% on June 25. The monthly IV was 19.27% on June 25 [95]. - Historical Volatility Cone: The maximum historical volatility of 5 - day HV in the past 12 months was 128%, and the minimum was 8% [104]. - Skew Index: The skew index of the main contract month was 91.75 on June 26 [103]. SSE 50 Index - Price and Volatility: From June 24 - 26, 2025, the price ranged from 2715.922 to 2747.728. 5HV, 10HV, and 20HV changed, with 5HV reaching 11.06% on June 25. The monthly IV was 14.56% on June 25 [105]. - Historical Volatility Cone: The maximum historical volatility of 5 - day HV in the past 12 months was 80%, and the minimum was 2% [110]. - Skew Index: The skew index of the main contract month was 85.47 on June 26 [109].
金融期权波动率日报-20250626
An Xin Qi Huo·2025-06-26 13:03