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股票股指期权：震荡降波，指数高位可考虑构建看跌期权保护
Guo Tai Jun An Qi Huo·2025-09-12 13:19

Report Industry Investment Rating - Not provided in the content Core Viewpoint - In the stock index options market, there is a trend of volatility decline. When the index is at a high level, investors can consider constructing put options for protection [1] Summary by Related Catalogs Option Market Data Statistics - Underlying Market Statistics: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and other underlying assets showed different changes. For example, the Shanghai Composite 50 Index closed at 2968.54, down 14.54 points; the CSI 300 Index closed at 4522.00, down 26.04 points; the CSI 1000 Index closed at 7422.88, up 23.00 points. The trading volumes of these underlying assets also had corresponding changes [1] - Option Market Statistics: The trading volumes and open interests of various option products changed. For example, the trading volume of Shanghai Composite 50 Index options was 57,617, down 5,024; the open interest was 93,475, up 266. The VL - PCR and OI - PCR of different options also showed different values [1] Option Volatility Statistics - Near - month Options: The ATM - IV of various options decreased to different extents. For example, the ATM - IV of Shanghai Composite 50 Index options was 15.99%, down 0.77%; the ATM - IV of CSI 300 Index options was 16.14%, down 1.05%. The HV and Skew of different options also had corresponding changes [4] - Next - month Options: Similar to the near - month options, the ATM - IV of next - month options also showed a downward trend in most cases. For example, the ATM - IV of Shanghai Composite 50 Index options was 19.56%, down 1.01%; the ATM - IV of CSI 300 Index options was 20.65%, down 0.24% [4] Option Index Data Statistics - For each type of option (such as Shanghai Composite 50 Index options, CSI 300 Index options, etc.), there are corresponding full - contract PCR charts, main - contract skewness trend charts, volatility cone charts, and volatility term structure charts, which visually display the relevant data changes of these options [8][12][17]