Workflow
股票股指期权：隐波下行，股指期权临近到期。
Guo Tai Jun An Qi Huo·2025-11-20 11:37
  1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - The implied volatility of stock index options is declining, and stock index options are approaching maturity [2] 3. Summary by Related Catalogs 3.1 Option Market Data Statistics - Underlying Market Statistics: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index all declined. Trading volumes for most indexes and ETFs had significant changes. For example, the Shanghai Composite 50 Index had a trading volume of 54.04 billion shares, a change of 5.84 billion shares [3]. - Option Market Statistics: Trading volumes and open interests of various options also changed. For instance, the trading volume of Shanghai Composite 50 Index options was 55,319, with an increase of 7,001, and the open interest was 76,915, with an increase of 319 [3]. 3.2 Option Volatility Statistics - Near - Month Options: The implied volatility (ATM - IV) of most options changed. For example, the ATM - IV of Shanghai Composite 50 Index options was 13.95%, with an increase of 0.08%. The historical volatility (HV) of some options decreased, like the HV of Shanghai Composite 50 ETF options decreased by 3.15% to 7.96% [6]. - Next - Month Options: Similar to near - month options, the ATM - IV and HV of next - month options also had different changes. For example, the ATM - IV of Shanghai Composite 50 Index next - month options was 14.49%, with a decrease of 0.59% [6]. 3.3 Option Index Data Statistics - Not provided in the report 3.4 Option Charts - Shanghai Composite 50 Index Options: There are charts showing the PCR, skew, volatility cone, and volatility term structure of Shanghai Composite 50 Index options, which can help analyze the market sentiment and volatility characteristics of these options [10][12] - CSI 300 Index Options: Similar to Shanghai Composite 50 Index options, there are corresponding charts for CSI 300 Index options to analyze their market conditions [14][16] - CSI 1000 Index Options: The report provides charts for CSI 1000 Index options to assist in market analysis [18][21] - ETF Options: There are also various charts for different ETF options, such as Shanghai Composite 50 ETF options, Huatai - Peregrine 300 ETF options, etc., to analyze their market performance [24][26]