股指期权数据日报-20251117
Guo Mao Qi Huo·2025-11-17 07:33

Report Information - Report Title: Index Option Data Daily Report [2] - Date: November 17, 2025 [3] - Author: Li Zeju from the Financial Derivatives Center of Guomao Futures Research Institute [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Market Review Index Performance - Shanghai Composite Index: On November 14, it rose and then fell, closing down 0.97% at 3990.49 points, hitting a 10 - year high intraday, down 0.18% for the week [5] - Shenzhen Component Index: Down 1.93% on November 14, down 1.4% for the week [5] - ChiNext Index: Down 2.82% on November 14, down 3.01% for the week [5] - North - Star 50 Index: Down 1.01% on November 14 [5] - STAR 50 Index: Down 2.72% on November 14 [5] - Wind All - A Index: Down 1.27% on November 14 [5] - Wind A500 Index: Down 1.6% on November 14 [5] - CSI A500 Index: Down 1.61% on November 14 [5] - Total A - share trading volume: 1.98 trillion yuan on November 14, compared with 2.07 trillion yuan the previous day [5] Index Details | Index | Volume (billion) | Closing Price | Change (%) | Turnover (billion yuan) | | --- | --- | --- | --- | --- | | SSE 50 | 48.80 | 3038.4255 | - 1.15 | 1203.76 | | CSI 300 | 192.09 | 4628.1398 | - 1.57 | 4447.20 | | CSI 1000 | 271.97 | 4062.93 | - 1.16 | 7502.7567 | [3] CFFEX Index Option Trading | Index | Call Option Volume (million) | Put Option Volume (million) | Volume PCR | Option Open Interest (million) | Call Option Open Interest (million) | Put Option Open Interest (million) | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3.34 | 2.00 | 0.67 | 7.19 | 3.10 | 0.76 | 1.34 | | CSI 300 | 6.85 | 0.64 | 11.50 | 9.85 | 0.86 | 11.20 | 4.36 | | CSI 1000 | 25.93 | 13.47 | 0.92 | 32.91 | 17.25 | 12.46 | 1.566 | [3] Volatility Analysis - SSE 50: Historical volatility and volatility smile curve are presented, with data on historical volatility cone including 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current value, as well as next - month at - the - money implied volatility [3][4] - CSI 300: Similar to SSE 50, historical volatility, volatility cone, and next - month at - the - money implied volatility are provided [3][4] - CSI 1000: Historical volatility, volatility cone, and next - month at - the - money implied volatility data are shown [3][4]