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股票股指期权：下行升波，部分品种偏度转向负偏
Guo Tai Jun An Qi Huo·2025-10-10 15:08

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report Stock index options are experiencing a downward increase in volatility, and the skewness of some varieties has shifted to negative skew [2]. 3. Summary According to Relevant Catalogs 3.1 Option Market Data Statistics - Underlying Market Statistics: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and other indexes all declined. Their trading volumes also decreased, except for the Shanghai Composite 50 ETF, Huatai-PineBridge CSI 300 ETF, and other ETFs, which showed an increase [3]. - Option Market Statistics: The trading volumes of the Shanghai Composite 50 Index Option, Shanghai Composite 50 ETF Option, and other options decreased, while the trading volumes of the CSI 300 Index Option, Huatai-PineBridge CSI 300 ETF Option, and other options increased. The open interest of most options increased [3]. - Option Volatility Statistics: The ATM-IV of most options increased, and the HV also showed an upward trend. The skewness of some options shifted to negative skew [6]. 3.2 Option Index Data Statistics - PCR (Put-Call Ratio): The VL-PCR and OI-PCR of most options are relatively high, indicating a strong bearish sentiment in the market [3]. - Maximum Open Interest: The maximum open interest of call options and put options in the near - month contracts of different options varies, which can reflect the market's expectations of the future price range of the underlying assets [3]. 3.3 Option Charts - Volatility Cone and Volatility Term Structure: Different option varieties have different volatility cone and volatility term structure charts, which can help analyze the historical and current volatility levels and term structure characteristics of options [10][14][20]. - PCR Chart and Skewness Chart: The PCR chart and skewness chart of different option varieties can reflect the market sentiment and the probability distribution of the underlying asset price changes [10][15][19].