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国投期货期权日报-20251009
Guo Tou Qi Huo·2025-10-09 12:35
  1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report No clear core viewpoints are presented in the given text. The report mainly provides data on various financial products such as ETFs and indices, including their prices, price changes, implied volatility (IV), IV quantiles, skew indices, and related historical trends. 3. Summaries by Related Catalogs 3.1 General Information - The report covers multiple financial products including 50ETF, Shanghai 300ETF, Shenzhen 300ETF, Shanghai CSI 500ETF, Shenzhen CSI 500ETF, ChiNext ETF, Shenzhen 100ETF, Science and Technology Innovation 50ETF, Science and Technology Innovation Board 50ETF, 300 Index, 1000 Index, and Shanghai 50 Index [1][3][11][19][25][31][40][49][54][61][67][71] - The current month's contract expiration is 9 days away for most products, except for the 300 Index, 1000 Index, and Shanghai 50 Index, where it is 6 days away [1][3][11][19][25][31][40][49][54][61][67][71] 3.2 Price and Price Change Data - For each product, the report provides the price, price change percentage, current - month IV, and next - month IV for specific dates (2025/9/29, 2025/9/30, 2025/10/9) [1][3][11][19][25][31][40][49][54][61][67][71] 3.3 Implied Volatility (IV) Data - IV quantiles for the current month and next month over the past 1 and 2 years are provided for each product [1][3][11][19][25][31][40][49][54][61][67][71] - ATM IV term structures and intraday trends of different - month at - the - money IV are presented [1][3][11][19][25][31][40][49][54][61][67][71] 3.4 Skew Index Data - The skew index is calculated as the ratio of the implied volatility of a call option with a delta of 0.75 to that of a call option with a delta of 0.25. The skew index values for the current day, yesterday, two days ago, three days ago, and four days ago are provided for each product [2][7][18][22][30][37][43][51][56][66][70][76] 3.5 Other Data - Smile curves of the main - month options for each product are presented [2][5][18][21][30][36][42][50][55][66][70][75] - Price, IV, and volume trends over the past 1 and 3 years are provided for each product [1][3][11][19][25][31][40][49][54][61][67][71] - Price, IV, and open - interest PCR trends are also provided for each product [2][8][18][23][30][38][45][53][58][66][70][77]