股票股指期权：市场震荡，ETF期权临近到期，期限波动率差扩大

Report Overview - The report focuses on the stock index options market on September 19, 2025, indicating that the market was volatile, ETF options were approaching expiration, and the term volatility spread widened [1]. Market Data Statistics Underlying Market Statistics - The Shanghai Composite 50 Index closed at 2909.74, down 3.08, with a trading volume of 5.724 billion shares, a decrease of 1.762 billion shares. The synthetic futures for the current month and next month were 2915.73 and 2924.47 respectively, with basis points of 5.99 and 14.72 [1]. - The CSI 300 Index closed at 4501.92, up 3.81, with a trading volume of 22.504 billion shares, a decrease of 8.482 billion shares. The synthetic futures for the current month and next month were 4491.27 and 4492.47 respectively, with basis points of -10.65 and -9.45 [1]. - The CSI 1000 Index closed at 7438.19, down 38.21, with a trading volume of 29.59 billion shares, a decrease of 10.27 billion shares. The synthetic futures for the current month and next month were 7354.67 and 7298.73 respectively, with basis points of -83.52 and -139.46 [1]. - Various ETFs also showed different closing prices, trading volumes, and changes, such as the Shanghai Composite 50 ETF closing at 3.045, down 0.003, with a trading volume of 656 million shares, a decrease of 649 million shares [1]. Options Market Statistics - For the Shanghai Composite 50 Index options, the trading volume was 62,129, a decrease of 56,460, and the open interest was 55,579, a decrease of 48,318. The VL - PCR was 67.73%, and the OI - PCR was 60.10%. The maximum call and put open interests in the near - month were at strike prices of 3000 and 2850 respectively [1]. - Similar data were provided for other index options and ETF options, including the CSI 300 Index options, CSI 1000 Index options, and various ETF options [1]. Options Volatility Statistics - In the near - month, for the Shanghai Composite 50 Index options, the ATM - IV was 21.01%, a decrease of 2.19%, the same - term HV was 13.63%, a decrease of 0.07%, the Skew was 11.81%, an increase of 1.10%, and the VIX was 19.38, a decrease of 2.509 [4]. - Similar volatility data were presented for other index options and ETF options, both in the near - month and next - month [4]. Index and ETF Option Charts - The report includes various charts for different index and ETF options, such as the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term - structure chart for the Shanghai Composite 50 Index options, CSI 300 Index options, CSI 1000 Index options, and multiple ETF options [8][12][15].