Report Information - Report Title: Stock Index Option Data Daily Report [2] - Date: September 4, 2025 [3] - Researcher: Li Zeju from the Financial Derivatives Center of Guomao Futures Research Institute [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Market Overview - Index Performance: The Shanghai Composite Index dropped 1.16% to 3,813.56 points, the Shenzhen Component Index fell 0.65%, the ChiNext Index rose 0.95%, the North Securities 50 Index declined 1.49%, the Science and Technology Innovation 50 Index decreased 1.64%, the Wind All - A Index dropped 1.19%, the Wind A500 Index fell 0.73%, and the CSI A500 Index declined 0.65%. A - share trading volume was 2.4 trillion yuan, compared with 2.91 trillion yuan the previous day [5]. - Specific Index Data: - The Shanghai Stock Exchange 50 Index closed at 1,610.65, down 1.07%, with a turnover of 296.0993 billion yuan and a trading volume of 63.72 billion [3]. - The CSI 300 Index closed at 6,556.97, down 0.68%, with a turnover of 254.32 billion yuan and a trading volume of 72.068758 billion [3]. - The CSI 1000 Index closed at 4,866.67, down 1.46%, with a turnover of 290.29 billion yuan [3]. CFFEX Stock Index Option Trading - Option Volume and Open Interest: - For the SSE 50 Index, the call option volume was 7.32 million, the put option volume was 3.70 million, the call option open interest was 5.71 million, and the put option open interest was 4.64 million. The volume PCR was 0.58, and the open - interest PCR was 0.65 [3]. - For the CSI 300 Index, the call option volume was 18.20 million, the put option volume was 11.50 million, the call option open interest was 22.69 million, and the put option open interest was 12.41 million. The volume PCR was 0.58, and the open - interest PCR was 0.83 [3]. - For the CSI 1000 Index, the call option volume was 37.86 million, the put option volume was 20.58 million, the call option open interest was 17.51 million, and the put option open interest was 16.83 million. The volume PCR was 0.84, and the open - interest PCR was 0.96 [3]. Volatility Analysis - Historical Volatility and Volatility Cone: The report presents historical volatility and volatility cones for the SSE 50, CSI 300, and CSI 1000 Indexes, including 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values [3][4]. - Volatility Smile Curve: Volatility smile curves and next - month at - the - money implied volatility are provided for the SSE 50, CSI 300, and CSI 1000 Indexes [3][4].
股指期权数据日报-20250904
Guo Mao Qi Huo·2025-09-04 07:24