Report Date - The report is dated September 23, 2025 [1] Core View - Near - month implied volatility of stock index options declined, and ETF options are approaching maturity [2] Market Data Summary Underlying Market Statistics - The closing prices of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index were 2919.51, 4519.78, and 7408.07 respectively, with declines of 2.66, 2.83, and 81.41. Their trading volumes were 62.90 billion, 252.83 billion, and 313.26 billion hands, with increases of 15.92 billion, 56.37 billion, and 42.90 billion hands [3]. - Among ETFs, the closing prices of Shanghai Stock Exchange 50 ETF, Huatai - Ber瑞 300 ETF, and Southern 500 ETF were 3.054, 4.622, and 7.277 respectively. Their trading volumes were 11.09 billion, 10.55 billion, and 2.63 billion hands, with increases of 4.75 billion, 4.26 billion, and 0.27 billion hands [3]. Options Market Statistics - For stock index options, the trading volumes of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options were 42,909, 144,639, and 356,629 respectively, with increases of 11,816, 59,101, and 158,745. Their open interests were 65,341, 160,079, and 256,191 respectively, with increases of 3,328, 8,935, and 20,421 [3]. - For ETF options, the trading volumes of Shanghai Stock Exchange 50 ETF Options, Huatai - Ber瑞 300 ETF Options, and Southern 500 ETF Options were 1,454,290, 1,773,324, and 2,672,050 respectively, with increases of 343,922, 777,161, and 1,053,272. Their open interests were 1,832,560, 1,481,812, and 1,365,560 respectively, with changes of - 18,141, 12,508, and 26,037 [3]. Options Volatility Statistics - In the near - month period, the ATM - IV of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options were 20.02%, 20.21%, and 28.14% respectively, with declines of 0.46%, 0.70%, and 0.88% [6]. - For ETF options, the ATM - IV of Shanghai Stock Exchange 50 ETF Options, Huatai - Ber瑞 300 ETF Options, and Southern 500 ETF Options were 17.31%, 16.98%, and 17.05% respectively, with declines of 1.25%, 0.63%, and 3.42% [6]. Chart Analysis - The report provides various charts for different options, including full - contract PCR charts, main - contract skew trend charts, volatility cone charts, and volatility term structure charts for Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, CSI 1000 Index Options, and multiple ETF options [10][14][18]
股票股指期权：近月隐波下行，ETF期权临近到期
Guo Tai Jun An Qi Huo·2025-09-23 12:01