金 融 衍 生 品 研 究 2025 年 11 月 25 日 股票股指期权：ETF 期权临近到期，近月隐波 上升。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【正文】 表 1：期权市场数据统计 | 标的市场统计 | 收盘价 | 涨 跌 | 成交量(亿 | 成交变化 | 当 月 | 当月基差 | 次 月 | 次月基差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | 手 ) | (亿手) | 合成期货 | | 合成期货 | | | 上证50指数 | 2968.20 | 17.64 | 42.41 | -8.40 | 2960.67 | -7.54 | 2958.47 | -9.74 | | 沪深300指数 | 4490.40 | 42.36 | 169.57 | -16.26 | 4473.00 | -17.40 | 4463.87 | -26.54 | | 中证1000指数 | 7249.95 | 93.54 | 245.43 | 4.77 | 7179.00 | -7 ...

股指期权日报 | 2025-11-25 股指期权日报 股指期权市场概况 期权成交量 2025-11-24，上证50ETF期权成交量为166.78万张；沪深300ETF期权（沪市）成交量为220.08万张； 中证500ETF期权（沪市）成交量为273.87万张；深证100ETF期权成交量为12.37万张； 创业板ETF期权成交量为272.35万张；上证50股指期权成交量为2.59万张； 沪深300股指期权成交量为26.30万张；中证1000期权总成交量为21.64万张。 期权VIX 上证50ETF期权VIX报16.66%，环比变动为-1.15%； 沪深300ETF期权（沪市）VIX报18.96%,环比变动为-1.26%； 中证500ETF期权（沪市）VIX报24.80%，环比变动为-2.00%； 深证100ETF期权VIX报23.80%，环比变动为-1.42%； 创业板ETF期权VIX报32.14%，环比变动为-0.45%； 上证50股指期权VIX报17.30%，环比变动为-0.96%； 沪深300股指期权VIX报19.00%，环比变动为-1.33%； 中证1000股指期权VIX报23.61%，环比变动为-1. ...

金 融 衍 生 品 研 究 2025 年 11 月 24 日 股票股指期权：震荡降波，可考虑卖出虚值看 涨期权。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【正文】 表 1：期权市场数据统计 | 标的市场统计 | 收盘价 | 涨 跌 | 成交量(亿 | 成交变化 | 当 月 | 当月基差 | 次 月 | 次月基差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | 手 ) | (亿手) | 合成期货 | | 合成期货 | | | 上证50指数 | 2950.56 | -5.29 | 50.80 | -9.59 | 2946.20 | -4.36 | 2950.20 | -0.36 | | 沪深300指数 | 4448.05 | -5.56 | 185.83 | -37.02 | 4438.73 | -9.31 | 4427.93 | -20.11 | | 中证1000指数 | 7156.41 | 88.71 | 240.66 | -44.15 | 7098.67 | -5 ...

金 融 衍 生 品 研 究 2025 年 11 月 24 日 股票股指期权：震荡降波，可考虑卖出虚值看 涨期权。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【正文】 表 1：期权市场数据统计 | 标的市场统计 | 收盘价 | 涨跌 | 成交量(亿 | 成交变化 | 当月 | 当月基差 | 次月 | 次月基差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | 手) | (亿手) | 合成期货 | | 合成期货 | | | 上证50指数 | 2950.56 | -5.29 | 50.80 | -9.59 | 2946.20 | -4.36 | 2950.20 | -0.36 | | 沪深300指数 | 4448.05 | -5.56 | 185.83 | -37.02 | 4438.73 | -9.31 | 4427.93 | -20.11 | | 中证1000指数 | 7156.41 | 88.71 | 240.66 | -44.15 | 7098.67 | -57.74 ...

股指期权日报 | 2025-11-24 股指期权日报 股指期权市场概况 期权成交量 2025-11-21，上证50ETF期权成交量为97.85万张；沪深300ETF期权（沪市）成交量为116.77万张； 中证500ETF期权（沪市）成交量为160.34万张；深证100ETF期权成交量为12.89万张； 创业板ETF期权成交量为346.29万张；上证50股指期权成交量为9.09万张； 沪深300股指期权成交量为17.28万张；中证1000期权总成交量为54.63万张。 期权PCR 上证50ETF期权成交额PCR报1.18，环比变动为+0.36；持仓量PCR报0.78，环比变动为-0.09； 沪深300ETF期权（沪市）成交额PCR报1.95，环比变动为+0.87；持仓量PCR报0.85，环比变动为-0.06； 中证500ETF期权（沪市）成交额PCR报1.79，环比变动为+0.63；持仓量PCR报0.97，环比变动为-0.07 ； 深圳100ETF期权成交额PCR报2.51 ，环比变动为+1.03；持仓量PCR报1.29；环比变动为+0.00； 创业板ETF期权成交额PCR报2.09，环比变动为+1.00 ；持 ...

Report Industry Investment Rating - Not provided Core Viewpoints - Not provided Summary by Directory Option Trading Volume - On November 20, 2025, the trading volume of SSE 50 ETF options was 1.0168 million contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 1.2358 million contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 1.5685 million contracts; the trading volume of Shenzhen 100 ETF options was 76,200 contracts; the trading volume of ChiNext ETF options was 2.0988 million contracts; the trading volume of SSE 50 index options was 55,300 contracts; the trading volume of CSI 300 index options was 166,100 contracts; the total trading volume of CSI 1000 options was 339,200 contracts [1] - The call trading volume, put trading volume, and total trading volume of each type of option are also presented in tabular form, for example, the call trading volume of SSE 50 ETF options was 504,500 contracts, the put trading volume was 474,000 contracts, and the total trading volume was 978,500 contracts [19] Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.82, with a month - on - month change of - 0.05; the open interest PCR was reported at 0.87, with a month - on - month change of - 0.02. Similar data are provided for other types of options such as CSI 300 ETF options, CSI 500 ETF options, etc. [2][33] Option VIX - The VIX of SSE 50 ETF options was reported at 17.17%, with a month - on - month change of - 0.44%. Similar data are provided for other types of options, including CSI 300 ETF options, CSI 500 ETF options, etc. [3][48]

1. Report Industry Investment Rating - No relevant content provided. 2. Core View of the Report - The implied volatility of stock index options is decreasing, and stock index options are approaching expiration [2]. 3. Summary by Related Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai - Shenzhen 300 Index, CSI 1000 Index, Shanghai - Shenzhen related ETFs all decreased. For example, the Shanghai - Shenzhen 300 Index closed at 4564.95, down 23.34; the CSI 1000 Index closed at 7340.41, down 46.80. The trading volumes of most underlying assets changed, with some increasing and some decreasing [3]. - **Option Market Statistics**: The trading volumes and open interests of various options also changed. For instance, the trading volume of Shanghai - Shenzhen 300 Index options was 172,768, up 6704; the open interest was 233,386, down 1521. The VL - PCR and OI - PCR of different options varied, such as the VL - PCR of Shanghai - Shenzhen 300 Index options was 60.97%, and the OI - PCR was 78.20% [3]. 3.2 Option Volatility Statistics - **Near - month Options**: The ATM - IV, IV changes, and other volatility - related indicators of different options showed different trends. For example, the ATM - IV of Shanghai - Shenzhen 300 Index options was 15.02%, up 1.08%; the ATM - IV of Shanghai - Shenzhen 300 ETF options was 15.82%, down 0.13% [6]. - **Next - month Options**: Similar to near - month options, the ATM - IV and other indicators of next - month options also had different changes. For instance, the ATM - IV of Shanghai - Shenzhen 300 Index options was 16.40%, down 0.54% [6]. 3.3 Option Index Data Statistics - No specific analysis content is provided, only the table title is given [7]. 3.4 Different Option Types Analysis - **Shanghai 50 Index Options**: Multiple charts are provided, including the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term - structure chart, which can be used to analyze the market situation of Shanghai 50 Index options [10]. - **Shanghai - Shenzhen 300 Index Options**: Similar to Shanghai 50 Index options, multiple charts are used to analyze the market situation of Shanghai - Shenzhen 300 Index options, such as the full - contract PCR chart and the main - contract volatility chart [14][16]. - **CSI 1000 Index Options**: The report presents relevant charts for CSI 1000 Index options to help analyze its market characteristics [20][21]. - **Shanghai 50 ETF Options**: Various charts are provided to analyze the market of Shanghai 50 ETF options, including the main - contract volatility chart and the full - contract PCR chart [24][26]. - **Huatai - Baorui 300 ETF Options**: Multiple charts are used to analyze the market situation of Huatai - Baorui 300 ETF options [28][30]. - **Southern CSI 500 ETF Options**: The report uses charts to analyze the market of Southern CSI 500 ETF options [32][33]. - **Huaxia Science and Technology Innovation 50 ETF Options**: Relevant charts are provided for the analysis of Huaxia Science and Technology Innovation 50 ETF options [42][43]. - **E Fund Science and Technology Innovation 50 ETF Options**: Multiple charts are used to analyze the market situation of E Fund Science and Technology Innovation 50 ETF options [46][51]. - **Harvest 300 ETF Options**: The report presents charts to analyze the market of Harvest 300 ETF options [54][55]. - **Harvest CSI 500 ETF Options**: Various charts are used to analyze the market situation of Harvest CSI 500 ETF options [59][60]. - **Growth Enterprise Market ETF Options**: Multiple charts are provided to analyze the market of Growth Enterprise Market ETF options [64][66]. - **Shenzhen 100 ETF Options**: The report uses charts to analyze the market situation of Shenzhen 100 ETF options [68][70].

期权成交量 2025-11-19，上证50ETF期权成交量为101.36万张；沪深300ETF期权（沪市）成交量为127.95万张； 中证500ETF期权（沪市）成交量为166.97万张；深证100ETF期权成交量为5.35万张； 创业板ETF期权成交量为189.01万张；上证50股指期权成交量为4.83万张； 沪深300股指期权成交量为15.93万张；中证1000期权总成交量为36.16万张。 股指期权日报 | 2025-11-20 股指期权日报 股指期权市场概况 期权VIX 上证50ETF期权VIX报17.60%，环比变动为-0.68%； 沪深300ETF期权（沪市）VIX报18.80%,环比变动为-0.87%； 中证500ETF期权（沪市）VIX报23.23%，环比变动为-0.44%； 深证100ETF期权VIX报23.40%，环比变动为-0.55%； 创业板ETF期权VIX报32.26%，环比变动为-0.32%； 上证50股指期权VIX报17.51%，环比变动为-0.66%； 沪深300股指期权VIX报19.77%，环比变动为-0.85%； 中证1000股指期权VIX报23.15%，环比变动为-0.1 ...

股指期权日报 | 2025-11-19 股指期权日报 股指期权市场概况 期权成交量 2025-11-18，上证50ETF期权成交量为119.29万张；沪深300ETF期权（沪市）成交量为122.58万张； 中证500ETF期权（沪市）成交量为132.55万张；深证100ETF期权成交量为9.29万张； 创业板ETF期权成交量为177.34万张；上证50股指期权成交量为4.54万张； 沪深300股指期权成交量为15.31万张；中证1000期权总成交量为32.35万张。 期权PCR 上证50ETF期权成交额PCR报0.95，环比变动为-0.10；持仓量PCR报0.84，环比变动为-0.07； 沪深300ETF期权（沪市）成交额PCR报1.32，环比变动为+0.10；持仓量PCR报0.91，环比变动为-0.08； 中证500ETF期权（沪市）成交额PCR报1.30，环比变动为+0.21；持仓量PCR报1.07，环比变动为-0.11 ； 深圳100ETF期权成交额PCR报1.75 ，环比变动为+0.24；持仓量PCR报1.35；环比变动为-0.11； 创业板ETF期权成交额PCR报1.32，环比变动为+0.01 ；持 ...

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - With the downward increase in volatility, it is advisable to consider buying put options for protection [2] 3. Summary of Key Information from the Report a. Market Data Statistics - **Underlying Market Statistics**: On November 18, 2025, the closing prices of the Shanghai - Shenzhen 300 Index, CSI 1000 Index, and most of the ETFs declined. For example, the Shanghai - Shenzhen 300 Index closed at 4568.19, down 29.86 points; the CSI 1000 Index closed at 7448.10, down 74.98 points. Trading volumes also showed changes, with some increasing and some decreasing [3]. - **Option Market Statistics**: Volumes and open interests of various options changed. For instance, the volume of CSI 1000 index options increased by 45561 to 323505, and the open interest increased by 5348 to 335884. The VL - PCR and OI - PCR values varied across different options [3]. - **Option Volatility Statistics**: The implied volatility (IV) of most options increased, while the historical volatility (HV) showed different trends. For example, the near - month ATM - IV of Shanghai - Shenzhen 300 index options increased by 2.47% to 16.32%, and the 20 - day HV decreased by 13.74% to 8.41% [6]. b. Option - Specific Figures - Multiple figures are presented for each type of option, including full - contract PCR, main - contract skewness, volatility cones, and volatility term structures, which help in analyzing the market trends and characteristics of different options [10][14][18]