股指期权数据日报-20260106
Guo Mao Qi Huo·2026-01-06 06:03

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core View of the Report - On January 5th, the Shanghai Composite Index rose by over 1% with increased trading volume, returning to 4000 points; the ChiNext Index soared nearly 3%. There was a broad - based rally in theme stocks, with nearly 4200 stocks rising in the market. The Shanghai Composite Index closed up 1.38% at 4023.42 points, the Shenzhen Component Index rose 2.24%, the ChiNext Index rose 2.85%, the BeiZheng 50 rose 1.8%, the KeChuang 50 rose 4.41%, the Wind All - A rose 1.99%, the Wind A500 rose 2.08%, and the CSI A500 rose 2.14%. A - share trading volume for the whole day was 2.57 trillion yuan, compared with 2.07 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 shares), and turnovers (in billions of yuan) of the SSE 50, CSI 300, and CSI 1000 are presented. For example, the SSE 50 closed at 3099.7462, with a turnover of 1695.62 billion yuan and a trading volume of 2.26 billion shares, showing a 53.50% change [3] - CFFEX Stock Index Options Trading: The trading volume and open interest of call and put options, as well as the PCR (Put - Call Ratio) of the SSE 50, CSI 300, and CSI 1000 are provided. For instance, the SSE 50 call option trading volume was 3.26 million contracts, the put option trading volume was 2.32 million contracts, and the trading volume PCR was 0.77 [3] 3.2 Volatility Analysis - Historical Volatility and Volatility Cone: The historical volatility and volatility cone of the SSE 50, CSI 300, and CSI 1000 are analyzed, including the 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values, as well as the 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day historical volatilities [3][4] - Volatility Smile Curve: The volatility smile curves and next - month at - the - money implied volatilities of the SSE 50, CSI 300, and CSI 1000 are presented [3][4]