80% 0.2 70% 60% 0.15 50% 0.1 40% 30% 0.05 20% 0 10% 2025-07-10 2025-11-10 2025-08-10 2025-09-10 2025-10-10 0% HV5 HV20 HV60 5日 20日 40日 60日 120日 波动率微笑曲线 上证50下月平值隐波 0.28 2512 2511 0.26 0.24 0000000000円円円円円11円 NW$010×4000×100×400 0.22 0.2 0.18 0.16 0.14 0.12 0.1 2325 2475 2400 2600 沪深300波动率分析 沪深300历史波动率 历史波动率锥 0.25 最小值 ·30%分位值 10%分位值 最大值 当前值 90%分位值 ·60%分位值 0.2 100% 90% 0.15 80% 70% 0.1 60% 50% 0.05 40% 30% 20% 0 10% 2025-07-10 2025-09-10 2025-10-10 2025-11-10 2025-08-10 0% HV5 - HV20 HV60 5日 20日 40日 60日 120日 波 ...

80% 0.2 70% 60% 0.15 50% 0.1 40% 30% 0.05 20% 0 10% 2025-07-09 2025-09-09 2025-10-09 2025-11-09 2025-08-09 0% HV5 HV20 HV60 5日 20日 40日 60日 120日 波动率微笑曲线 上证50下月平值隐波 0.28 2512 2511 0.26 0.24 0000000000円円円円円11円 NW$010×4000×100×400 0.22 0.2 0.18 0.16 0.14 0.12 0.1 2325 2475 2400 2600 沪深300波动率分析 沪深300历史波动率 历史波动率锥 0.25 最小值 ·30%分位值 10%分位值 最大值 当前值 90%分位值 ·60%分位值 0.2 100% 90% 0.15 80% 70% 0.1 60% 50% 0.05 40% 30% 20% 0 10% 2025-07-09 2025-08-09 2025-09-09 2025-10-09 2025-11-09 0% HV5 - HV20 HV60 5日 20日 40日 60日 120日 波 ...

投资咨询业务资格:证监许可【2012】31号 股指期权数据日报 投资咨询号: Z0000116 国贸期货研究院 2025/11/19 金融衍生品中心 李泽钜 从业资格号:F0251925 数据来源: Wind,国贸期货研究院 行情回顾 指数 收盘价 涨跌幅(%) 成交额(亿元) 成交量(亿) 上证50 1062. 01 3003. 0175 -0. 30 43. 59 177. 71 沪深300 4568. 1928 4201. 50 -0. 65 277. 48 7448. 1007 -1. 00 4180. 65 中证1000 中金所股指期权成交情况 期权成交量 认购期权 认洁期权 日成交量 期权持企量 认购期权 认洁期权 持仓量 指数 持仓量 (万张) (万张) 持仓量 成交量 成交量 PCR PCR 上证50 2. 92 0. 56 7. 82 3. 18 0. 69 4. 54 1. 63 4. 63 沪深300 9. 30 6. 63 0. 71 23. 59 13. 26 10. 33 0. 78 15. 93 中证1000 32. 35 17. 54 33. 59 14. 81 0. 84 1 ...

Report Information - Report Title: Index Option Data Daily Report [2] - Date: November 17, 2025 [3] - Author: Li Zeju from the Financial Derivatives Center of Guomao Futures Research Institute [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Market Review Index Performance - **Shanghai Composite Index**: On November 14, it rose and then fell, closing down 0.97% at 3990.49 points, hitting a 10 - year high intraday, down 0.18% for the week [5] - **Shenzhen Component Index**: Down 1.93% on November 14, down 1.4% for the week [5] - **ChiNext Index**: Down 2.82% on November 14, down 3.01% for the week [5] - **North - Star 50 Index**: Down 1.01% on November 14 [5] - **STAR 50 Index**: Down 2.72% on November 14 [5] - **Wind All - A Index**: Down 1.27% on November 14 [5] - **Wind A500 Index**: Down 1.6% on November 14 [5] - **CSI A500 Index**: Down 1.61% on November 14 [5] - **Total A - share trading volume**: 1.98 trillion yuan on November 14, compared with 2.07 trillion yuan the previous day [5] Index Details | Index | Volume (billion) | Closing Price | Change (%) | Turnover (billion yuan) | | --- | --- | --- | --- | --- | | SSE 50 | 48.80 | 3038.4255 | - 1.15 | 1203.76 | | CSI 300 | 192.09 | 4628.1398 | - 1.57 | 4447.20 | | CSI 1000 | 271.97 | 4062.93 | - 1.16 | 7502.7567 | [3] CFFEX Index Option Trading | Index | Call Option Volume (million) | Put Option Volume (million) | Volume PCR | Option Open Interest (million) | Call Option Open Interest (million) | Put Option Open Interest (million) | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3.34 | 2.00 | 0.67 | 7.19 | 3.10 | 0.76 | 1.34 | | CSI 300 | 6.85 | 0.64 | 11.50 | 9.85 | 0.86 | 11.20 | 4.36 | | CSI 1000 | 25.93 | 13.47 | 0.92 | 32.91 | 17.25 | 12.46 | 1.566 | [3] Volatility Analysis - **SSE 50**: Historical volatility and volatility smile curve are presented, with data on historical volatility cone including 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current value, as well as next - month at - the - money implied volatility [3][4] - **CSI 300**: Similar to SSE 50, historical volatility, volatility cone, and next - month at - the - money implied volatility are provided [3][4] - **CSI 1000**: Historical volatility, volatility cone, and next - month at - the - money implied volatility data are shown [3][4]

Report Overview - The report is an index option data daily report by Guomao Futures Research Institute on October 31, 2025, focusing on the performance of Shanghai - Shenzhen stock index options [2][3] Index Market Performance Index Closing Price and Change - The Shanghai Composite 50 index closed at 1847.30, down 0.54%, with a turnover of 3046.6108 billion yuan and a trading volume of 65.74 billion [3] - The CSI 300 index closed at 7199.56, down 0.80%, with a turnover of 4709.911 billion yuan and a trading volume of 273.29 billion [3] - The CSI 1000 index closed at 4785.07, down 1.11%, with a turnover of 7485.0848 billion yuan and a trading volume of 297.39 billion [3] Overall A - Share Market - On October 30, the A - share market declined with heavy trading volume, and technology stocks adjusted across the board. The Shanghai Composite Index fell 0.73% to 3986.9 points, the Shenzhen Component Index fell 1.16%, the ChiNext Index fell 1.84%, the CSI 300 fell 0.8%, the Beijing Stock Exchange 50 fell 1.3%, the STAR 50 fell 1.87%, the Wind All - A fell 1.05%, the Wind A500 fell 0.82%, and the CSI A500 fell 0.88%. The total trading volume of A - shares was 2.46 trillion yuan, compared with 2.29 trillion yuan the previous day [5] CFFEX Index Option Trading Option Trading Volume - For the Shanghai Composite 50 index options, the trading volume of call options was 2.73 million contracts, and that of put options was 2.94 million contracts, with a trading volume PCR of 0.36. The open interest of call options was 3.96 million contracts, and that of put options was 4.00 million contracts, with an open - interest PCR of 1.07 [3] - For the CSI 300 index options, the trading volume of call options was 5.47 million contracts, and that of put options was 14.67 million contracts, with a trading volume PCR of 0.59. The open interest of call options was 8.49 million contracts, and that of put options was 9.11 million contracts, with an open - interest PCR of 0.93 [3] - For the CSI 1000 index options, the trading volume of call options was 28.72 million contracts, and that of put options was 28.34 million contracts, with a trading volume PCR of 0.89. The open interest of call options was 13.36 million contracts, and that of put options was 13.91 million contracts, with an open - interest PCR of 1.07 [3] Index Volatility Analysis Volatility Data - The report presents historical volatility cones and volatility smile curves for the Shanghai Composite 50, CSI 300, and CSI 1000 indexes, including historical volatility data for 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day periods, as well as the current values and percentile values of historical volatility [3][4]

Report Summary 1. Market Performance Overview - On October 29, A-shares performed strongly. The Shanghai Composite Index reached 4000 points, hitting a new rebound high. The ChiNext Index soared nearly 3%, and the Beixin 50 skyrocketed over 8%, achieving its largest single - day gain in 9 months. The Shanghai Composite Index closed up 0.7% at 4016.33 points, the Shenzhen Component Index rose 1.95%, the ChiNext Index climbed 2.93%, the Beixin 50 jumped 8.41%, the Kechuang 50 increased 1.18%, the Wind All - A rose 1.16%, the Wind A500 advanced 1.55%, and the CSI A500 went up 1.34%. A - shares had a full - day trading volume of 2.29 trillion yuan, compared with 2.17 trillion yuan the previous day [5] 2. Index Quotes | Index | Closing Price | Change (%) | Trading Volume (Billion Yuan) | Trading Volume (Billion) | | --- | --- | --- | --- | --- | | SSE 50 | 3063.021 | 0.41 | 60.14 | - | | CSI 300 | 4747.8378 | 1.20 | 246.21 | 1.19 | | CSI 1000 | - | - | 4391.62 | - | [3] 3. CFFEX Stock Index Options Trading | Index | Call Option Volume (Million Contracts) | Put Option Volume (Million Contracts) | Volume PCR | Option Open Interest (Million Contracts) | Call Option Open Interest (Million Contracts) | Put Option Open Interest (Million Contracts) | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.46 | 1.75 | 0.71 | 6.60 | 2.70 | 3.91 | 0.69 | | CSI 300 | 10.83 | 4.46 | 0.70 | 16.96 | 8.05 | 8.90 | 0.90 | | CSI 1000 | 11.10 | 0.81 | - | 28.17 | 13.54 | 14.63 | 1.08 | [3] 4. Volatility Analysis - **SSE 50**: Historical volatility data and volatility smile curve for the next - month at - the - money implied volatility are presented, including historical volatility cone with values such as 10% and 90% quantiles [3][4] - **CSI 300**: Similar to SSE 50, historical volatility and volatility smile curve for the next - month at - the - money implied volatility are shown, along with historical volatility cone [3][4] - **CSI 1000**: Historical volatility analysis and volatility smile curve for the next - month at - the - money implied volatility are provided, including historical volatility cone [3][4]

Report Information - Report Title: Stock Index Options Data Daily Report [2] - Date: October 29, 2025 [3] - Author: Li Zeju, Financial Derivatives Center, Guomao Futures Research Institute [3] - Data Sources: Wind and Guomao Futures Research Institute [3] Market Review Index Performance - Shanghai Composite Index declined 0.22% to 3988.22 points, Shenzhen Component Index dropped 0.44%, ChiNext Index fell 0.15%, Northbound 50 Index decreased 1.2%, STAR 50 Index declined 0.84%, Wind All A Index dropped 0.34%, Wind A500 Index decreased 0.6%, and CSI A500 Index declined 0.54% [5][6] - A-share trading volume was 2.17 trillion yuan, compared to 2.36 trillion yuan the previous day [6] Index Volume and Price | Index | Volume (billion) | Closing Price | Change (%) | Turnover (billion yuan) | | --- | --- | --- | --- | --- | | SSE 50 | 54.63 | 3050.4162 | -0.62 | 1487.20 | | CSI 300 | 220.91 | 4691.973 | -0.51 | 5715.63 | | CSI 1000 | 251.80 | 7479.221 | -0.22 | 4310.16 | [3] CFFEX Stock Index Options Trading Option Volume and Open Interest | Index | Call Option Volume (million contracts) | Put Option Volume (million contracts) | Volume PCR | Call Option Open Interest (million contracts) | Put Option Open Interest (million contracts) | Open Interest PCR | Total Open Interest (million contracts) | | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.26 | 3.34 | 0.69 | 3.80 | 2.61 | 0.48 | 6.41 | | CSI 300 | 11.39 | 6.51 | 0.75 | 8.60 | 7.43 | 0.86 | 16.02 | | CSI 1000 | 21.93 | 11.76 | 0.87 | 13.81 | 10.18 | 1.02 | 27.83 | [3] Volatility Analysis Historical Volatility and Volatility Smile Curve - The report presents historical volatility cones and volatility smile curves for SSE 50, CSI 300, and CSI 1000, including historical volatility at different time intervals (5-day, 20-day, 40-day, 60-day, 120-day) and implied volatility of at-the-money options for the next month [3][4]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core View of the Report - The report presents a daily data analysis of stock index options, including market trends, trading volume, open interest, and volatility of major indices such as SSE 50, CSI 300, and CSI 1000 [3][4] 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Performance**: SSE 50 rose 0.78% to close at 1,852.95, with a trading volume of 70.41 billion and a turnover of 306.95293 billion yuan; CSI 300 rose 1.03%, with relevant trading volume and turnover data; CSI 1000 also had corresponding performance data [3] - **Overall Market**: The Shanghai Composite Index rose 1.18% to 3,996.94 points, the Shenzhen Component Index rose 1.51%, the ChiNext Index rose 1.98%, the North Star 50 fell 0.2%, the STAR 50 rose 1.5%, the Wind All A rose 1.19%, the Wind A500 rose 1.32%, and the CSI A500 rose 1.3%. A-share trading volume reached 2.36 trillion yuan, up from 1.99 trillion yuan the previous day [5] 3.2 CFFEX Stock Index Options Trading Situation - **Trading Volume and Open Interest**: For SSE 50 options, call option trading volume was 3.70 million contracts, put option trading volume was 3.97 million contracts, call option open interest was 2.61 million contracts, put option open interest was 2.57 million contracts, etc. Similar data were provided for CSI 300 and CSI 1000 options [3] - **PCR (Put - Call Ratio)**: PCR data for trading volume and open interest were presented for SSE 50, CSI 300, and CSI 1000 options [3] 3.3 Volatility Analysis - **Historical Volatility and Volatility Cone**: Historical volatility and volatility cone data were analyzed for SSE 50, CSI 300, and CSI 1000, including different percentile values and the current value [3][4] - **Volatility Smile Curve**: Volatility smile curves for the next - month at - the - money implied volatility were shown for SSE 50, CSI 300, and CSI 1000 [3][4]

Report Industry Investment Rating - No relevant content provided Core Viewpoints - The report presents the daily data of stock index options, including the performance of major indices, trading volume and open interest of index options, and volatility analysis of different indices [3][4] Summary by Directory Market Review - **Index Performance**: The Shanghai Composite Index fell 0.19% to 3889.5 points, the Shenzhen Component Index fell 0.93%, the ChiNext Index fell 1.11%, the Northbound 50 Index fell 1.29%, the Science and Technology Innovation 50 Index rose 1.4%, the Wind All - A Index fell 0.35%, the Wind A500 Index fell 0.5%, and the CSI A500 Index fell 0.49%. A - share trading volume was 2.37 trillion yuan, down from 2.53 trillion yuan the previous day [4] - **Index Details**: The closing price of the SSE 50 was 2967.206, down 0.26%, with a turnover of 70.16 billion yuan and a trading volume of 1.85783 billion; the CSI 300 closed at 7140.02, down 0.50%, with a turnover of 315.01 billion yuan and a trading volume of 45.939785 billion; the CSI 1000 closed at 7519.7636, down 0.19%, with a turnover of 470.991 billion yuan and a trading volume of 28.84 billion [3] CFFEX Stock Index Options Trading - **Trading Volume and Open Interest**: For the SSE 50, the trading volume of call options was 3.79 million, put options 7.72 million, with a trading volume PCR of 0.72; the open interest of call options was 6.46 million, put options 2.67 million, with an open interest PCR of 0.41. For the CSI 300, the trading volume of call options was 22.43 million, put options 19.79 million, with a trading volume PCR of 0.88; the open interest of call options was 10.54 million, put options 9.25 million, with an open interest PCR of 0.88. For the CSI 1000, the trading volume of call options was 23.21 million, put options 29.23 million, with a trading volume PCR of 1.26; the open interest of call options was 14.72 million, put options 14.51 million, with an open interest PCR of 0.99 [3] Volatility Analysis - **SSE 50**: Historical volatility and volatility smile curves are presented, with the current historical volatility value shown in the historical volatility cone [3][4] - **CSI 300**: Similar to the SSE 50, historical volatility and volatility smile curves are provided [3][4] - **CSI 1000**: Historical volatility and volatility smile curves are also presented [3][4]

Report Summary 1. Core View - A-shares fluctuated lower, with the ChiNext Index falling more than 2% and breaking below 3,200 points. Technology stocks corrected across the board. The Shanghai Composite Index closed down 0.65% at 3,828.11 points, the Shenzhen Component Index fell 1.76%, the ChiNext Index dropped 2.6%, the Beijing Stock Exchange 50 declined 1.81%, the Science and Technology Innovation 50 decreased 1.6%, the Wind All-A fell 1.2%, the Wind A500 dropped 1%, and the CSI A500 decreased 1.14%. A-share trading volume was 2.17 trillion yuan for the day, compared with 2.39 trillion yuan the previous day [5]. 2. Market Data Index Quotes | Index | Closing Price | Change (%) | Trading Volume (billion yuan) | Trading Volume (billion shares) | | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 1,899.69 | 70.63 | 2973.0417 | 1.09 | | CSI 300 | 6,933.95 | 274.36 | 1.54 | 7497.8308 | | CSI 1000 | 1.36 | 258.68 | - | - | [3] CFFEX Stock Index Option Trading | Index | Call Option Volume (million contracts) | Put Option Volume (million contracts) | Total Volume (million contracts) | Call Option Open Interest (million contracts) | Put Option Open Interest (million contracts) | Total Open Interest (million contracts) | Volume PCR | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 7.41 | 5.10 | 2.31 | 7.14 | 0.70 | 0.45 | 4.20 | 2.94 | | CSI 300 | 17.60 | 11.38 | 6.22 | 0.55 | 17.86 | 9.31 | 8.55 | 0.92 | | CSI 1000 | 30.66 | 17.05 | 0.80 | 27.35 | 13.61 | 13.63 | 0.99 | - | [3] Volatility Analysis - The report presents historical volatility and volatility cones for the SSE 50, CSI 300, and CSI 1000, as well as their respective volatility smile curves and next-month at-the-money implied volatility [3][4].