股指期权数据日报-20260203

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints - On February 2, the three major A-share indices all fell more than 2%. The Shanghai Composite Index barely held above 4000 points. There was a wave of limit - down stocks in the gold and basic metals sectors, and resource stocks declined across the board. The Shanghai Composite Index closed down 2.48% at 4015.75 points, the Shenzhen Component Index fell 2.69%, the ChiNext Index fell 2.46%, the Northbound 50 fell 2.03%, the Science and Technology Innovation 50 fell 3.88%, the Wind All - A fell 2.71%, the Wind A500 fell 2.52%, and the CSI A500 fell 2.64%. A - shares traded 2.61 trillion yuan throughout the day, compared with 2.86 trillion yuan the previous day [4] 3. Summary by Related Catalogs 3.1 Market Review - Index Performance: The closing price, change rate, trading volume (in billions), and trading value (in billions of yuan) of the Shanghai 50, CSI 300, and CSI 1000 are as follows: Shanghai 50 closed at 3003.1373, down 2.07%, with a trading volume of 80.80 billion and a trading value of 2081.53 billion yuan; CSI 300 closed at 4605.9799, down 2.13%, with a trading volume of 304.77 billion and a trading value of 7259.20 billion yuan; CSI 1000 closed at 7975.4283, down 3.39%, with a trading volume of 308.32 billion and a trading value of 4989.41 billion yuan [3] - China Financial Futures Exchange Stock Index Options Trading Situation: The option trading volume and open interest of call options and put options for the Shanghai 50, CSI 300, and CSI 1000 are presented, along with the PCR (Put - Call Ratio) of trading volume and open interest [3] 3.2 Volatility Analysis - Shanghai 50 Volatility: The historical volatility and volatility cone of the Shanghai 50 are analyzed, including the minimum, maximum, 10% quantile, 30% quantile, HV5, HV20, HV60, 60% quantile, current value, and 90% quantile. The volatility smile curve of the Shanghai 50's next - month at - the - money implied volatility is also shown [3] - CSI 300 Volatility: Similar to the Shanghai 50, the historical volatility, volatility cone, and volatility smile curve of the CSI 300 are provided [3] - CSI 1000 Volatility: The historical volatility, volatility cone, and volatility smile curve of the CSI 1000 are analyzed [3]