股指期权数据日报-20250919

Report Overview - This is an equity index option data daily report by Guomao Futures Research Institute, with data from September 18, 2025, sourced from Wind and Guomao Futures Research [2][3] Market Review Index Performance - The Shanghai Composite Index rose 0.37% to 3876.34 points, the Shenzhen Component Index rose 1.16%, the ChiNext Index rose 1.95%, the BeiZheng 50 fell 0.6%, the KeChuang 50 rose 0.91%, the Wind All A Index rose 0.67%, the Wind A500 rose 0.72%, and the CSI A500 rose 0.78%. A-share trading volume reached 2.4 trillion yuan, up from 2.37 trillion yuan the previous day [4] Index Quotes | Index | Closing Price | Change (%) | Trading Volume (billion) | Turnover (billion yuan) | | --- | --- | --- | --- | --- | | SSE 50 | 2952.7778 | 0.17 | 1550.34 | 56.67 | | CSI 300 | 4551.023 | 0.61 | 6084.54 | 235.72 | | CSI 1000 | 7554.8125 | 0.95 | 4932.96 | 301.71 | [3] CFFEX Equity Index Option Trading Option Volume and Open Interest | Index | Call Option Volume (million contracts) | Put Option Volume (million contracts) | Volume PCR | Call Option Open Interest (million contracts) | Put Option Open Interest (million contracts) | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 5.78 | 3.90 | 0.48 | 10.55 | 6.45 | 0.64 | | CSI 300 | 11.76 | 6.32 | 0.54 | 24.29 | 13.25 | 0.83 | | CSI 1000 | 25.61 | 18.05 | 0.70 | 43.66 | 19.08 | 1.16 | [3] Volatility Analysis Historical Volatility and Volatility Cone - The report presents historical volatility and volatility cones for SSE 50, CSI 300, and CSI 1000, including 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day historical volatilities, along with 10%, 30%, 60%, and 90% quantile values [3] Volatility Smile Curve - Volatility smile curves for the next - month at - the - money implied volatility are provided for SSE 50, CSI 300, and CSI 1000 [3]