股指期权数据日报-20260212

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View - Not provided in the given content 3. Summary by Relevant Catalogs 3.1 Market Review - Index Performance: The closing price of the Shanghai Composite Index was 3088.4571, with a daily increase of 0.03%, a trading volume of 36.85 billion and a turnover of 114.086 billion yuan. The Shanghai 50 Index closed at 4713.8185, up 173.39 points. The CSI 300 Index closed at -0.22%, with a turnover of 433.429 billion yuan and a trading volume of 273.23 billion. The CSI 1000 Index closed at 8239.513, down 0.13%, with a turnover of 438.065 billion yuan [3]. - CFFEX Stock Index Option Trading: For the Shanghai 50 Index, the call option trading volume was 2.04 million, the put option trading volume was 1.29 million, the call option open interest was 0.58 million, the put option open interest was 0.75 million, and the open - interest PCR was 0.65. For the CSI 300 Index, the call option trading volume was 3.99 million, the put option trading volume was 22.25 million, the call option open interest was 2.15 million, the put option open interest was 8.73 million, and the open - interest PCR was 0.65. For the CSI 1000 Index, the call option trading volume was 9.28 million, the put option trading volume was 35.46 million, the call option open interest was 10.83 million, the put option open interest was 18.38 million, and the open - interest PCR was 0.93 [3]. 3.2 Volatility Analysis - Shanghai 50 Volatility: Analyzed through historical volatility and the volatility smile curve. The historical volatility was presented with a historical volatility cone, showing the 10%, 30%, 60%, 90% quantile values, minimum, maximum, HV5, HV20, HV60, and the current value. The volatility smile curve showed the next - month at - the - money implied volatility [3]. - CSI 300 Volatility: Similar to the Shanghai 50, analyzed using historical volatility and the volatility smile curve. The historical volatility cone included various quantile values and volatility indicators, and the volatility smile curve showed the next - month at - the - money implied volatility [3]. - CSI 1000 Volatility: Also analyzed by historical volatility and the volatility smile curve. The historical volatility cone presented different quantile values and volatility data, and the volatility smile curve showed the next - month at - the - money implied volatility [3].