股指期权数据日报-20251022

Report Summary 1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core View - The report presents the daily data of stock index options, including the performance of major indices, trading volume and open interest of index options, and volatility analysis of different indices [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - Index Performance: The Shanghai Composite Index rose 1.36% to 3916.33 points, the Shenzhen Component Index rose 2.06%, the ChiNext Index rose 3.02%, the Northbound 50 Index rose 2.04%, the STAR 50 Index rose 2.81%, the Wind All - A Index rose 1.62%, the Wind A500 Index rose 1.66%, and the CSI A500 Index rose 1.65%. A - share trading volume reached 1.89 trillion yuan, compared with 1.75 trillion yuan the previous day [4]. - Specific Index Data: The closing price of the SSE 50 was 3007.2634, with a 1.09% increase and a trading volume of 55.30 billion yuan and a turnover of 1.4727 billion. The CSI 300 had a 1.53% increase and a trading volume of 237.25 billion yuan, and the CSI 1000 closed at 7344.0468, up 1.45% with a trading volume of 348.159 billion yuan [3]. 3.2 CFFEX Stock Index Options Trading Situation - Trading Volume and Open Interest: For the SSE 50, the call option trading volume was 2.27 million contracts, the put option trading volume was 2.54 million contracts, the call option open interest was 3.28 million contracts, and the put option open interest was 3.65 million contracts. For the CSI 300, the call option trading volume was 0.64 million contracts, the put option trading volume was 14.26 million contracts, the call option open interest was 6.20 million contracts, and the put option open interest was 9.40 million contracts. For the CSI 1000, the call option trading volume was 20.38 million contracts, the put option trading volume was 11.42 million contracts, the call option open interest was 8.97 million contracts, and the put option open interest was 12.36 million contracts [3]. - PCR: The SSE 50's trading volume PCR was 0.87, and the open - interest PCR was 0.69. The CSI 300's trading volume PCR was 0.77, and the open - interest PCR was 0.806. The CSI 1000's trading volume PCR was 0.79, and the open - interest PCR was 0.94 [3]. 3.3 Volatility Analysis - Historical Volatility and Volatility Cone: The report shows the historical volatility and volatility cone for the SSE 50, CSI 300, and CSI 1000, including different percentile values and the current value at different time points [3][4]. - Volatility Smile Curve: It also presents the volatility smile curves for the next - month at - the - money implied volatility of the SSE 50, CSI 300, and CSI 1000 [3][4].