股指期权数据日报-20250820

Report Summary Market Performance - The Shanghai Composite Index fell 0.02% to 3727.29 points, the Shenzhen Component Index fell 0.12%, the ChiNext Index fell 0.17%, the Beijing Stock Exchange 50 rose 1.27% hitting a new record high, the STAR 50 fell 1.12%, the Wind All - A fell 0.05%, the Wind A500 fell 0.31%, and the CSI A500 fell 0.43%. A - share trading volume was 2.64 trillion yuan, compared with 2.81 trillion yuan the previous day [11]. Index Futures and Options Index Futures - The closing price of the SSE 50 was 2812.4225, down 0.93%, with a trading volume of 62.84 billion and a turnover of 1531.40 billion yuan; the CSI 300 closed at 4223.3741, down 0.38%, with a trading volume of 250.82 billion and a turnover of 5535.36 billion yuan; the CSI 1000 closed at 7242.8494, up 0.07%, with a trading volume of 340.88 billion and a turnover of 5587.81 billion yuan [4]. Index Options - For the SSE 50 index options, the trading volume was 4.84 million contracts (3.76 million for call options and 1.07 million for put options, PCR = 0.29), and the open interest was 6.66 million contracts (4.32 million for call options and 2.34 million for put options, PCR = 0.54). - For the CSI 300 index options, the trading volume was 9.98 million contracts (7.25 million for call options and 2.73 million for put options, PCR = 0.38), and the open interest was 16.36 million contracts (9.18 million for call options and 7.18 million for put options, PCR = 0.78). - For the CSI 1000 index options, the trading volume was 26.82 million contracts (18.08 million for call options and 8.74 million for put options, PCR = 0.48), and the open interest was 25.29 million contracts (12.46 million for call options and 12.83 million for put options, PCR = 1.03) [4]. Volatility Analysis SSE 50 - Historical volatility and volatility smile curves are analyzed, including historical volatility ranges (minimum, maximum, 10% - 90% quantiles) and current values for different time - periods (5 - day, 20 - day, 40 - day, 80 - day, 120 - day), as well as the next - month at - the - money implied volatility [8][10]. CSI 300 - Similar to the SSE 50, historical volatility and volatility smile curves are presented, with historical volatility ranges and current values for different time - periods and the next - month at - the - money implied volatility [10]. CSI 1000 - Historical volatility and volatility smile curves are also analyzed, showing historical volatility ranges and current values for different time - periods and the next - month at - the - money implied volatility [10].