股指期权数据日报-20251103

Group 1: Report Information - Report Name: Stock Index Option Data Daily Report [2] - Date: November 3, 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 Review Index Performance - Shanghai Composite Index closed down 0.81% at 3954.79 points, Shenzhen Component Index down 1.14%, ChiNext Index down 2.31%, North Securities 50 up 1.89%, Science and Technology Innovation 50 down 3.13%, Wind All A down 0.52%, Wind A500 down 1.4%, and CSI A500 down 1.24% [4] - A-share trading volume was 2.35 trillion yuan, compared with 2.46 trillion yuan the previous day [4] Index Details | Index | Closing Price | Change (%) | Turnover (Billion Yuan) | Volume (Billion) | | --- | --- | --- | --- | --- | | SSE 50 | 1692.86 | -1.15 | 3011.5547 | 6807.12 | | CSI 300 | 4640.6676 | -1.47 | 281.46 | 4755.88 | | CSI 1000 | - | 0.29 | 299.75 | 7506.6746 | [3] CFFEX Stock Index Option Trading | Index | Call Option Volume (Million) | Put Option Volume (Million) | Volume PCR | Call Option Open Interest (Million) | Put Option Open Interest (Million) | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.60 | 0.61 | 0.65 | 7.28 | 2.86 | 0.39 | | CSI 300 | 15.68 | 9.11 | 0.72 | 19.05 | 8.49 | 0.44 | | CSI 1000 | 26.63 | 13.94 | 0.91 | 29.01 | 12.68 | 0.44 | [3] Group 3: Volatility Analysis SSE 50 Volatility - Historical volatility analysis includes historical volatility cone with 10%, 30%, 60%, 90% quantiles, minimum, maximum, and current values [3][4] - Volatility smile curve shows next month's at-the-money implied volatility [4] CSI 300 Volatility - Similar historical volatility analysis and volatility smile curve as SSE 50 [4] CSI 1000 Volatility - Similar historical volatility analysis and volatility smile curve as SSE 50 and CSI 300 [4]