金融期权：隐波与标的走势呈现负相关性，市场看涨情绪下降

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The implied volatility of financial options is negatively correlated with the underlying asset's movement, and the market's bullish sentiment has declined [1] Summary by Relevant Catalogs 1. Option Market Trading Overview - The total daily average trading volume of all options is 10.129 million lots, with a total daily average turnover of 11.5072668 billion yuan. The trading volume and turnover of each option variety vary, with ETF options generally having higher trading volume and turnover compared to index options [1] 2. Option Volatility Statistics - On the last trading day of the week, the ATM - IV, IV change, same - term HV, HV change, Skew, Skew change, VIX, and VIX change of different options are presented. For example, the ATM - IV of Shanghai 50 Index Options is 15.25% with a 1.67% change, and its same - term HV is 17.36% with a 7.97% change [3] 3. Option Liquidity - Multiple charts are used to show the changes in total trading volume, total open interest, total turnover, total trading market value, and total open - interest market value of financial options, as well as the trading volume and open - interest proportions of each option variety [4][6][8] 4. Option Volatility Level - Last week, there was a divergence between the at - the - money implied volatility (ATM - IV) and historical volatility (HV) of options. The current ATM - IV of different options ranges from 15.25% to 44.43%. The underlying assets and ATM - IV showed a negative correlation last week, with correlation coefficients ranging from - 2.62% to - 84.04% [9][23][29] 5. Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of options can reflect the market's bull - bear sentiment to some extent. Multiple charts show the PCR trends and daily -环比 incremental percentages of different options [36][37][38] 6. Market Support and Resistance Levels - The key support and resistance levels of different option underlying assets are provided. For example, the key support level of the Shanghai 50 Index is 2900, and the resistance level is 3000; the key support level of the CSI 1000 Index is 7000, and the resistance level is 7600 [52]