股指期权数据日报-20251124
Guo Mao Qi Huo·2025-11-24 09:27

Report Summary 1. Report Industry Investment Rating - No information provided on the industry investment rating. 2. Core View - On November 21, the A - share market tumbled unilaterally, with more than 5,000 stocks falling and a wave of limit - down stocks in the lithium mining sector. The Shanghai Composite Index dropped 2.45% to 3834.89 points, and the trading volume reached 1.98 trillion yuan, up from 1.72 trillion yuan the previous day [5]. 3. Summary by Relevant Catalogs 3.1 Market Index Performance - The closing price of the Shanghai 50 Index was 2955.8541, with a decline of 1.74%, a turnover of 60.39 billion yuan, and a trading volume of 1263.25 billion [3]. - The closing price of the CSI 300 Index was 4453.6076, with a decline of 2.44%, a turnover of 7067.703 billion yuan, and a trading volume of 4812.96 billion [3]. - The closing price of the CSI 1000 Index was 4086.72, with a decline of 3.72%, a turnover of 284.80 billion yuan, and a trading volume of 222.85 billion [3]. 3.2 CFFEX Stock Index Options Trading - For the Shanghai 50 Index options, the trading volume of call options was 5.22 million contracts, and that of put options was 3.88 million contracts; the open interest of call options was 5.39 million contracts, and that of put options was 3.15 million contracts [3]. - For the CSI 300 Index options, the trading volume of call options was 26.30 million contracts, and that of put options was 12.36 million contracts; the open interest of call options was 9.45 million contracts, and that of put options was 27.70 million contracts [3]. - For the CSI 1000 Index options, the trading volume of call options was 54.63 million contracts, and that of put options was 26.75 million contracts; the open interest of call options was 14.50 million contracts, and that of put options was 26.93 million contracts [3]. 3.3 Volatility Analysis - The report presents historical volatility cones and volatility smile curves for the Shanghai 50, CSI 300, and CSI 1000 Indexes, including data such as 10% and 90% quantiles, minimum and maximum values, and current values [3][4].