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股票股指期权：上行升波，偏度大幅上升，可考虑牛市看涨价差策略
Guo Tai Jun An Qi Huo·2025-08-13 11:50

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core Viewpoint The stock index options showed an upward volatility increase, with a significant rise in skewness. It is advisable to consider the bullish call spread strategy [1]. 3. Summary of Different Parts Market Data Statistics - Underlying Market: Included the closing price, change, trading volume, and change in trading volume of various indexes and ETFs such as the Shanghai Composite 50 Index, CSI 300 Index, and Shenzhen Component 100 ETF. Also presented the synthetic futures and basis of the current and next months [1]. - Option Market: Provided the trading volume, change, open interest, change, VL - PCR, OI - PCR, and the maximum positions of call and put options (near - month) for different stock index options and ETF options, like the Shanghai Composite 50 Index option and Huatai - Ba瑞 300ETF option [1]. Option Volatility Statistics - Near - month: Showed the ATM - IV, IV change, same - term HV, HV change, Skew, Skew change, VIX, and VIX change for various options, including the Shanghai Composite 50 Index option and CSI 1000 Index option [4]. - Next - month: Displayed the ATM - IV, IV change, same - term HV, HV change, Skew, and Skew change for different options [4]. Option Charts - Shanghai Composite 50 Index Option: Included the full - contract PCR chart, main - contract skewness chart, volatility cone chart, and volatility term - structure chart [8]. - CSI 300 Index Option: Had the main - contract volatility chart, full - contract PCR chart, main - contract skewness chart, volatility cone chart, and volatility term - structure chart [12][13]. - CSI 1000 Index Option: Contained the main - contract volatility chart, full - contract PCR chart, main - contract skewness chart, volatility cone chart, and volatility term - structure chart [15][17]. - ETF Options: Each type of ETF option (such as Shanghai Composite 50ETF option, Huatai - Ba瑞 300ETF option) had corresponding main - contract volatility charts, full - contract PCR charts, main - contract skewness charts, volatility cone charts, and volatility term - structure charts [19][23][34].