股指期权数据日报-20260107

Report Summary 1. Market Performance [3] - On January 6, the A-share market continued its strong performance. The Shanghai Composite Index rose 1.5% to a more than 10-year high, with over 4,100 stocks rising. The Shanghai Composite Index closed up 1.5% at 4,083.67 points, the Shenzhen Component Index rose 1.4%, the ChiNext Index rose 0.75%, the Beijing Stock Exchange 50 rose 1.82%, the Science and Technology Innovation 50 rose 1.84%, the Wind All A rose 1.59%, the Wind A500 rose 1.75%, and the CSI A500 rose 1.68%. - The total trading volume of A-shares throughout the day was 2.83 trillion yuan, reaching a more than three - month high. 2. Index Quotes [3] | Index | Closing Price | Increase or Decrease (%) | Trading Volume (billion) | Turnover (billion yuan) | | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 3,158.7632 | 1.90 | 57.49 | 4,790.6938 | | CSI 300 | 7,254.15 | 1.55 | 296.97 | 331.16 | | CSI 1000 | 7,864.9034 | 1.43 | 580.815 | - | 3. CFFEX Stock Index Option Trading Situation [3] | Index | Option Trading Volume (million contracts) | | | Option Open Interest (million contracts) | | | Trading Volume PCR | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | | Call Options | Put Options | Total | Call Options | Put Options | Total | | | | SSE 50 | 2.38 | 3.33 | 5.74 | 5.85 | 8.12 | 2.51 | 0.75 | 0.41 | | CSI 300 | 13.69 | 6.74 | 20.43 | 9.61 | 7.81 | 17.43 | 0.49 | 0.81 | | CSI 1000 | 36.42 | 31.38 | 21.58 | 14.84 | 16.38 | 15.00 | 0.69 | 1.09 | 4. Volatility Analysis SSE 50 Volatility Analysis [3] - Historical volatility and historical volatility cone are presented, showing the range of volatility from minimum to maximum values, as well as different percentile values (10%, 30%, 60%, 90%, etc.). - The volatility smile curve and the next - month at - the - money implied volatility are also provided. CSI 300 Volatility Analysis [3] - Similar to the SSE 50, it includes historical volatility, historical volatility cone, volatility smile curve, and next - month at - the - money implied volatility. CSI 1000 Volatility Analysis [3] - It also contains historical volatility, historical volatility cone, volatility smile curve, and next - month at - the - money implied volatility.