股指期权数据日报-20251111

Report Summary 1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Core View - On November 10, the A-share market showed a divergence between large and small indices, with rapid rotation of market hotspots. The Shanghai Composite Index climbed steadily, while the ChiNext Index fell nearly 1%. The large - consumption sector led the gain, while the robot and electric power grid sectors adjusted. [5] 3. Summary by Relevant Content Market Review - Index Performance: The Shanghai Composite Index closed up 0.53% at 4018.6 points, the Shenzhen Component Index fell 0.18%, the ChiNext Index fell 0.92%, the North - Star 50 Index fell 0.67%, the Science and Technology Innovation 50 Index fell 0.57%, the Wind All - A Index rose 0.38%, the Wind A500 Index rose 0.34%, and the CSI A500 Index rose 0.24%. The total A - share trading volume for the day was 2.19 trillion yuan, compared with 2.02 trillion yuan the previous day. [5] - Index Data Details: The closing price of the SSE 50 was 3053.857, with a turnover of 1399.07 billion yuan, a daily increase of 0.51%, a trading volume of 49.08 billion shares, and a turnover of 0.35 billion. The closing price of the CSI 300 was 4695.0507, with a turnover of 236.03 billion yuan, a daily increase of 0.28%, a trading volume of 7563.2535 billion shares, and a turnover of 4337.98 billion. The closing price of the CSI 1000 was 274.36. [3] CFFEX Stock Index Options Trading Situation - Option Volume and Open Interest: For the SSE 50, the call option volume was 3.13 million contracts, the put option volume was 3.40 million contracts, the total option volume was 2.14 million contracts, the volume PCR was 0.59, the call option open interest was 7.33 million contracts, the put option open interest was 0.74 million contracts, the total open interest was 1.26 million contracts, and the open - interest PCR was 4.20. For the CSI 300, the call option volume was 4.43 million contracts, the put option volume was 0.68 million contracts, the total option volume was 20.58 million contracts, the volume PCR was 0.87, the call option open interest was 10.91 million contracts, the put option open interest was 6.48 million contracts, and the open - interest PCR was 9.58. For the CSI 1000, the call option volume was 23.39 million contracts, the put option volume was 12.75 million contracts, the total option volume was 0.83 million contracts, the volume PCR was 31.57, the call option open interest was 10.64 million contracts, the put option open interest was 15.06 million contracts, and the open - interest PCR was 16.52. [3] Volatility Analysis - Historical Volatility and Volatility Smile Curve: Historical volatility and volatility smile curves are presented for the SSE 50, CSI 300, and CSI 1000, including historical volatility cones, different percentile values (such as 10%, 30%, 60%, 90%), and next - month at - the - money implied volatility. [3][4]