股指期权数据日报-20260119

Report Summary 1. Report Industry Investment Rating - No investment rating information provided in the report. 2. Core View of the Report - On January 16, the A-share market opened higher but closed lower. AI application themes declined across the board, while memory concept stocks soared. The Shanghai Composite Index closed down 0.26% at 4101.91 points, and the total trading volume of A-shares reached 3.06 trillion yuan, up from 2.94 trillion yuan the previous day [5]. 3. Summary by Relevant Catalogs 3.1 Market Quotes Review of Stock Indexes - Index Closing Prices and Changes: The closing price of the Shanghai Stock Exchange 50 Index was 1999.99, with a trading volume of 72.45 billion and a decline of 0.83%. The closing price of the CSI 300 Index was 4731.8728, with a trading volume of 7856.24 billion and a decline of 0.41%. The closing price of the CSI 1000 Index was 8232.7293, with a trading volume of 6334.11 billion and a decline of 0.10% [3]. - A-Share Market Performance: On January 16, the Shanghai Composite Index fell 0.26%, the Shenzhen Component Index fell 0.18%, the ChiNext Index fell 0.2%, the Beijing Stock Exchange 50 Index rose 0.23%, the Science and Technology Innovation 50 Index rose 1.35%, the Wind All A Index fell 0.17%, the Wind A500 Index fell 0.41%, and the CSI A500 Index fell 0.43%. The total trading volume of A-shares was 3.06 trillion yuan, compared with 2.94 trillion yuan the previous day [5]. 3.2 Trading Situation of CFFEX Stock Index Options - Option Trading Volume and Open Interest: For the SSE 50 Index, the trading volume of call options was 2.51 million contracts, and the trading volume of put options was 6.22 million contracts. The open interest of call options was 3.72 million contracts, and the open interest of put options was 3.01 million contracts. For the CSI 300 Index, the trading volume of call options was 12.26 million contracts, and the trading volume of put options was 7.09 million contracts. The open interest of call options was 14.58 million contracts, and the open interest of put options was 8.73 million contracts. For the CSI 1000 Index, the trading volume of call options was 24.20 million contracts, and the trading volume of put options was 13.27 million contracts. The open interest of call options was 25.61 million contracts, and the open interest of put options was 12.34 million contracts [3]. - PCR Indicators: The trading volume PCR of the SSE 50 Index was 0.67, and the open interest PCR was 0.61. The trading volume PCR of the CSI 300 Index was 0.58, and the open interest PCR was 0.67. The trading volume PCR of the CSI 1000 Index was 0.76, and the open interest PCR was 0.93 [3]. 3.3 Volatility Analysis - Historical Volatility and Volatility Cones: The report presents the historical volatility and volatility cones of the SSE 50, CSI 300, and CSI 1000 Indexes, including 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day historical volatilities, along with minimum, maximum, 10%, 30%, 60%, 90% quantile values, and current values [3]. - Volatility Smile Curves: The report shows the volatility smile curves of the SSE 50, CSI 300, and CSI 1000 Indexes for the next - month at - the - money implied volatility [3].