股票股指期权：隐波与标的走势盘中呈现正相关，市场情绪积极

Report Summary 1. Core View - The implied volatility of stock index options showed a positive correlation with the underlying asset price movement during intraday trading, indicating positive market sentiment [1]. 2. Market Data Statistics 2.1 Underlying Market Statistics | Underlying Asset | Closing Price | Change | Trading Volume (Billion Hands) | Volume Change (Billion Hands) | Current Month Synthetic Futures | Current Month Basis | Next Month Synthetic Futures | Next Month Basis | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 Index | 3053.86 | 15.51 | 49.08 | 1.41 | 3054.60 | 0.74 | 3054.27 | 0.41 | | CSI 300 Index | 4695.05 | 16.26 | 236.03 | 23.53 | 4688.60 | -6.45 | 4675.67 | -19.38 | | CSI 1000 Index | 7563.25 | 21.38 | 274.36 | 6.47 | 7511.93 | -51.32 | 7431.27 | -131.99 | | SSE 50 ETF | 3.201 | 0.015 | 4.41 | -0.04 | 3.204 | 0.003 | 3.206 | 0.005 | | Huatai-PineBridge CSI 300 ETF | 4.807 | 0.012 | 4.48 | -0.91 | 4.802 | -0.005 | 4.797 | -0.010 | | Southern CSI 500 ETF | 7.448 | 0.008 | 1.12 | 0.09 | 7.410 | -0.038 | 7.354 | -0.094 | | Huaxia Science and Technology Innovation 50 ETF | 1.478 | -0.009 | 22.92 | 2.19 | 1.479 | 0.001 | 1.470 | -0.008 | | E Fund Science and Technology Innovation 50 ETF | 1.432 | -0.010 | 5.61 | 0.85 | 1.431 | -0.001 | 1.421 | -0.011 | | Harvest CSI 300 ETF | 4.960 | 0.019 | 1.13 | -0.44 | 4.954 | -0.006 | 4.949 | -0.011 | | Harvest CSI 500 ETF | 2.973 | 0.005 | 0.68 | 0.07 | 2.960 | -0.013 | 2.938 | -0.035 | | ChiNext ETF | 3.158 | -0.027 | 11.75 | 2.04 | 3.156 | -0.002 | 3.141 | -0.017 | | Shenzhen 100 ETF | 3.575 | 0.008 | 0.60 | 0.21 | 3.568 | -0.007 | 3.564 | -0.011 | [1] 2.2 Option Market Statistics | Option | Trading Volume | Volume Change | Open Interest | Interest Change | VL-PCR | OI-PCR | C Max Open Interest (Near Month) | P Max Open Interest (Near Month) | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 Index Option | 33963 | 9494 | 73329 | 403 | 59.08% | 74.46% | 3100 | 3000 | | CSI 300 Index Option | 109112 | 14975 | 205781 | 5180 | 68.30% | 87.09% | 4700 | 4700 | | CSI 1000 Index Option | 233883 | 2526 | 315748 | 2834 | 83.44% | 109.73% | 7500 | 7000 | | SSE 50 ETF Option | 741629 | 148266 | 1475197 | 11712 | 97.23% | 95.15% | 3.3 | 3.1 | | Huatai-PineBridge CSI 300 ETF Option | 900632 | 121115 | 1401327 | 25030 | 110.04% | 110.73% | 4.9 | 4.7 | | Southern CSI 500 ETF Option | 1301688 | 67218 | 1392667 | 31083 | 104.69% | 124.26% | 7.75 | 7.25 | | Huaxia Science and Technology Innovation 50 ETF Option | 1138276 | 188968 | 2341453 | 59764 | 91.20% | 89.41% | 1.55 | 1.4 | | E Fund Science and Technology Innovation 50 ETF Option | 251466 | 71244 | 621625 | 17479 | 91.39% | 85.61% | 1.5 | 1.35 | | Harvest CSI 300 ETF Option | 165255 | 63434 | 292892 | 29476 | 150.06% | 83.99% | 5.25 | 4.8 | | Harvest CSI 500 ETF Option | 235895 | 54540 | 430123 | 50900 | 135.97% | 78.46% | 3.1 | 2.75 | | ChiNext ETF Option | 1798245 | 231110 | 1924643 | 183049 | 103.74% | 110.30% | 3.3 | 3 | | Shenzhen 100 ETF Option | 79853 | 16533 | 131984 | 16081 | 280.25% | 123.69% | 3.7 | 3.4 | [1] 2.3 Option Volatility Statistics | Option | Near Month ATM-IV | IV Change | Same-Term HV | HV Change | Skew | Skew Change | VIX | VIX Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 Index Option | 12.63% | -0.20% | 10.54% | -0.02% | -3.84% | -0.91% | 17.70 | 0.723 | | CSI 300 Index Option | 13.57% | -0.11% | 14.76% | -0.07% | -3.34% | 3.55% | 19.12 | 0.807 | | CSI 1000 Index Option | 17.76% | -0.32% | 13.81% | -0.07% | -8.99% | 4.30% | 23.49 | 0.782 | | SSE 50 ETF Option | 12.82% | 0.19% | 10.44% | -0.12% | 0.61% | 3.81% | 17.14 | 0.914 | | Huatai-PineBridge CSI 300 ETF Option | 14.50% | 0.13% | 14.66% | -0.03% | -2.40% | -1.23% | 18.53 | 0.868 | | Southern CSI 500 ETF Option | 18.73% | -0.21% | 19.21% | 0.00% | -1.71% | 3.20% | 23.23 | 0.663 | | Huaxia Science and Technology Innovation 50 ETF Option | 31.34% | -0.88% | 33.65% | 0.12% | 4.57% | 1.55% | 37.15 | 0.777 | | E Fund Science and Technology Innovation 50 ETF Option | 31.69% | -0.39% | 34.05% | 0.13% | 7.37% | 4.94% | 36.13 | 1.226 | | Harvest CSI 300 ETF Option | 14.61% | -0.19% | 14.87% | 0.03% | -3.61% | 3.82% | 19.26 | 1.047 | | Harvest CSI 500 ETF Option | 19.09% | -0.20% | 18.92% | 0.00% | -2.60% | 3.33% | 23.23 | 0.943 | | ChiNext ETF Option | 28.48% | -0.52% | 30.45% | 0.48% | 1.28% | 3.72% | 33.12 | 0.333 | | Shenzhen 100 ETF Option | 19.95% | -0.46% | 21.10% | 0.00% | 1.23% | 5.06% | 24.48 | 0.760 | [4] 3. Charts - The report includes various charts for different index and ETF options, such as volatility trend charts, PCR charts, skew trend charts, volatility cone charts, and volatility term structure charts for SSE 50 Index Option, CSI 300 Index Option, CSI 1000 Index Option, SSE 50 ETF Option, Huatai-PineBridge CSI 300 ETF Option, Southern CSI 500 ETF Option, Huaxia Science and Technology Innovation 50 ETF Option, E Fund Science and Technology Innovation 50 ETF Option, Harvest CSI 300 ETF Option, Harvest CSI 500 ETF Option, ChiNext ETF Option, and Shenzhen 100 ETF Option [8][12][20]