股指期权数据日报-20260129

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - On January 28, the A - share market showed a narrow - range consolidation. The Shanghai Composite Index rose 0.27% to close at 4151.24 points, the Shenzhen Component Index rose 0.09%, the ChiNext Index fell 0.57%, the North Star 50 fell 0.16%, the STAR 50 fell 0.08%, the Wind All - A rose 0.11%, the Wind A500 rose 0.43%, and the CSI A500 rose 0.35%. The total trading volume of A - shares was 2.99 trillion yuan, compared with 2.92 trillion yuan the previous day [4] - The non - ferrous metals sector saw a wave of daily limit, and resource stocks strengthened across the board [4] 3. Summary by Relevant Catalogs 3.1 Market Quotes Review - Index Closing Prices and Changes: The closing price of the Shanghai Stock Exchange 50 was 3060.557, with a daily increase of 0.27% and a trading volume of 96.37 billion and a turnover of 2526.23 billion yuan; the closing price of the CSI 300 was 382.26, with an increase of 0.26%, a trading volume of 8294.14 billion and a turnover of 4717.9914 billion yuan; the closing price of the CSI 1000 was 349.66, with an increase of 0.21%, a trading volume of 8399.7938 billion and a turnover of 6273.57 billion yuan [3] - China Financial Futures Exchange Stock Index Options Trading Situation: For the Shanghai Stock Exchange 50 index options, the call option trading volume was 3.58 million contracts, the put option trading volume was 2.51 million contracts, the call option open interest was 8.39 million contracts, and the put option open interest was 5.28 million contracts; for the CSI 300 index options, the call option trading volume was 6.29 million contracts, the put option trading volume was 3.21 million contracts, the call option open interest was 20.24 million contracts, and the put option open interest was 7.94 million contracts; for the CSI 1000 index options, the call option trading volume was 21.88 million contracts, the put option trading volume was 13.07 million contracts, the call option open interest was 31.68 million contracts, and the put option open interest was 15.77 million contracts [3] 3.2 Volatility Analysis - Shanghai Stock Exchange 50 Volatility: Analyzed the historical volatility and the historical volatility cone, including the maximum, 30% quantile value, minimum, 10% quantile value, HV5, HV20, HV60, 90% quantile value, 60% quantile value and the current value. Also presented the next - month at - the - money implied volatility and the volatility smile curve [3] - CSI 300 Volatility: Analyzed the historical volatility and the historical volatility cone with relevant quantile values and current values, and showed the next - month at - the - money implied volatility and the volatility smile curve [3] - CSI 1000 Volatility: Analyzed the historical volatility and the historical volatility cone, and presented the next - month at - the - money implied volatility and the volatility smile curve [3]