股指期权数据日报-20251208

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - On December 5, the A-share market fluctuated upward with accelerated rotation of theme stocks and over 4,300 stocks rising. In the afternoon, the non-bank financial sector saw heavy volume and pulled up, with insurance and financial technology leading the way. The Shanghai Composite Index rose 0.7% to 3902.81 points, the Shenzhen Component Index rose 1.08%, the ChiNext Index rose 1.36%, the Northbound 50 Index rose 1.52%, the Science and Technology Innovation 50 Index remained flat, the Wind All A Index rose 1.14%, the Wind A500 rose 0.99%, and the CSI A500 rose 0.95%. The total trading volume of A-shares throughout the day was 1.74 trillion yuan, compared with 1.56 trillion yuan the previous day [5]. 3. Summary by Relevant Catalogs 3.1 Market Review - Index Performance: The closing prices, daily percentage changes, trading volumes (in billions of yuan), and trading amounts (in billions) of the Shanghai 50, CSI 300, and CSI 1000 are as follows: Shanghai 50 closed at 3002.0087, up 0.93% with a trading volume of 1104.47 billion yuan and a trading amount of 44.60 billion; CSI 300 closed at 4584.5368, up 0.84% with a trading volume of 4121.47 billion yuan and a trading amount of 196.80 billion; CSI 1000 closed at 7342.4924, up 1.29% with a trading volume of 3528.06 billion yuan [3]. - CFFEX Stock Index Options Trading Situation: For the Shanghai 50, the trading volume of call options was 2.28 million contracts, put options 3.48 million contracts, with a trading volume PCR of 0.53; the open interest of call options was 3.78 million contracts, put options 2.81 million contracts, with an open interest PCR of 0.74, and the total open interest was 6.59 million contracts. For the CSI 300, the trading volume of call options was 12.54 million contracts, put options 10.32 million contracts, with a trading volume PCR of 0.65; the open interest of call options was 8.12 million contracts, put options 4.92 million contracts, with an open interest PCR of 0.79, and the total open interest was 18.44 million contracts. For the CSI 1000, the trading volume of call options was 15.02 million contracts, put options 32.48 million contracts, with a trading volume PCR of 0.81; the open interest of call options was 16.61 million contracts, put options 12.10 million contracts, with an open interest PCR of 0.95 [3]. 3.2 Volatility Analysis - Shanghai 50 Volatility Analysis: The historical volatility cone shows the 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values. The volatility smile curve shows the implied volatility of the next - month at - the - money options [3][4]. - CSI 300 Volatility Analysis: Similar to the Shanghai 50, it includes the historical volatility cone and the volatility smile curve of the next - month at - the - money options [3][4]. - CSI 1000 Volatility Analysis: Also includes the historical volatility cone and the volatility smile curve of the next - month at - the - money options [3][4].