股指期权数据日报-20251013
Guo Mao Qi Huo·2025-10-13 06:16

Group 1: Report Information - Report title: Stock Index Option Data Daily Report [2] - Date: October 13, 2025 [3] - Author: Li Zeju from the Financial Derivatives Center of Guomao Futures Research Institute [3] - Data sources: Wind, Guomao Futures Research Institute [3] Group 2: Market Performance Index Performance - The Shanghai Composite Index dropped 0.94% to 3,897.03 points, the Shenzhen Component Index fell 2.7%, the ChiNext Index declined 4.55% (the second - highest decline this year), the Northbound 50 dropped 1.24%, the Science and Technology Innovation 50 fell 5.61%, the Wind All - A dropped 1.64%, the Wind A500 fell 2.08%, and the CSI A500 fell 2.29% [4] - A - share trading volume was 2.53 trillion yuan, compared with 2.67 trillion yuan the previous day [4] Specific Index Data | Index | Closing Price | Change (%) | Trading Volume (billion yuan) | Turnover (billion) | | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 2,974.8535 | - 1.51 | 67.28 | 4,616.8341 | | CSI 300 | - | - 1.97 | 7927.43 | 319.02 | | CSI 1000 | - | - 1.49 | 4857.04 | 290.43 | [3] Group 3: CFFEX Stock Index Option Trading Option Volume | Index | Call Option Volume (million) | Put Option Volume (million) | Total Volume (million) | Call Option Open Interest (million) | Put Option Open Interest (million) | Total Open Interest (million) | Volume PCR | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 3.67 | 5.67 | 9.34 | 2.00 | 7.65 | 9.65 | 1.54 | 3.825 | | CSI 300 | 11.29 | 8.11 | 19.40 | 10.20 | 9.05 | 19.25 | 0.72 | 0.89 | | CSI 1000 | 15.71 | 15.22 | 30.94 | 14.65 | 14.43 | 29.08 | 0.97 | 0.98 | [3] Group 4: Volatility Analysis Historical Volatility - The report provides historical volatility and historical volatility cones for SSE 50, CSI 300, and CSI 1000, including 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day historical volatilities, as well as 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values [3][4] Volatility Smile Curve - The report shows the next - month at - the - money implied volatility smile curves for SSE 50, CSI 300, and CSI 1000 [3][4]