股指期权日报 | 2025-07-10 股指期权日报 股指期权市场概况 期权成交量 2025-07-09，上证50ETF期权成交量为97.83万张；沪深300ETF期权（沪市）成交量为105.17万张； 中证500ETF期权（沪市）成交量为126.27万张；深证100ETF期权成交量为9.64万张； 创业板ETF期权成交量为152.28万张；上证50股指期权成交量为3.26万张； 沪深300股指期权成交量为9.29万张；中证1000期权总成交量为20.05万张。 期权PCR 上证50ETF期权成交额PCR报0.63，环比变动为+0.07；持仓量PCR报1.07，环比变动为+0.02； 沪深300ETF期权（沪市）成交额PCR报0.44，环比变动为-0.03；持仓量PCR报0.89，环比变动为+0.00； 中证500ETF期权（沪市）成交额PCR报0.52，环比变动为-0.04；持仓量PCR报1.17，环比变动为+0.00 ； 深圳100ETF期权成交额PCR报0.50 ，环比变动为-0.06；持仓量PCR报1.08；环比变动为-0.06； 创业板ETF期权成交额PCR报0.49，环比变动为-0.01 ；持仓量 ...

What do all these moves tell us about where we are in the markets right now, Tim. It tells us that the market is not only responding to momentum, but following the leadership of mega cap tech stocks who obviously from a from a mathematical perspective pull the indices up. But I thought today was interesting because I think we have a lot of breath out there, too.I mean, if you look at at what's gone on, small caps were up over 1%. So, they actually outperformed today. If you look at cost industrials, which h ...

股指期权日报 股指期权市场概况 股指期权日报 | 2025-07-09 期权成交量 2025-07-08，上证50ETF期权成交量为110.57万张；沪深300ETF期权（沪市）成交量为125.42万张； 中证500ETF期权（沪市）成交量为167.70万张；深证100ETF期权成交量为10.23万张； 创业板ETF期权成交量为168.60万张；上证50股指期权成交量为3.49万张； 沪深300股指期权成交量为9.41万张；中证1000期权总成交量为27.11万张。 期权PCR 上证50ETF期权成交额PCR报0.57，环比变动为-0.26；持仓量PCR报1.05，环比变动为+0.01； 沪深300ETF期权（沪市）成交额PCR报0.48，环比变动为-0.19；持仓量PCR报0.90，环比变动为+0.04； 中证500ETF期权（沪市）成交额PCR报0.56，环比变动为-0.33；持仓量PCR报1.17，环比变动为+0.10 ； 深圳100ETF期权成交额PCR报0.56 ，环比变动为-0.49；持仓量PCR报1.14；环比变动为+0.00； 创业板ETF期权成交额PCR报0.50，环比变动为-0.43 ；持 ...

股指期权日报 | 2025-07-08 股指期权日报 股指期权市场概况 期权成交量 2025-07-07，上证50ETF期权成交量为68.38万张；沪深300ETF期权（沪市）成交量为72.09万张； 中证500ETF期权（沪市）成交量为82.31万张；深证100ETF期权成交量为6.05万张； 创业板ETF期权成交量为87.08万张；上证50股指期权成交量为2.26万张； 沪深300股指期权成交量为5.65万张；中证1000期权总成交量为13.28万张。 期权PCR 上证50ETF期权VIX报14.54%，环比变动为+0.25%； 沪深300ETF期权（沪市）VIX报14.90%,环比变动为+0.44%； 中证500ETF期权（沪市）VIX报19.24%，环比变动为+0.49%； 深证100ETF期权VIX报17.17%，环比变动为+0.63%； 创业板ETF期权VIX报22.15%，环比变动为+0.39%； 上证50股指期权VIX报15.80%，环比变动为+0.52%； 沪深300股指期权VIX报15.65%，环比变动为+0.82%； 中证1000股指期权VIX报21.19%，环比变动为+0.98%。 2 ...

股指期权日报 | 2025-07-07 股指期权日报 股指期权市场概况 期权成交量 2025-07-04，上证50ETF期权成交量为166.67万张；沪深300ETF期权（沪市）成交量为160.03万张； 中证500ETF期权（沪市）成交量为162.70万张；深证100ETF期权成交量为8.21万张； 创业板ETF期权成交量为152.63万张；上证50股指期权成交量为5.93万张； 沪深300股指期权成交量为13.81万张；中证1000期权总成交量为28.67万张。 期权PCR 上证50ETF期权成交额PCR报0.60，环比变动为-0.09；持仓量PCR报1.07，环比变动为+0.10； 沪深300ETF期权（沪市）成交额PCR报0.53，环比变动为-0.12；持仓量PCR报0.94，环比变动为+0.06； 中证500ETF期权（沪市）成交额PCR报0.73，环比变动为+0.01；持仓量PCR报1.08，环比变动为+0.02 ； 深圳100ETF期权成交额PCR报0.45 ，环比变动为-0.08；持仓量PCR报1.07；环比变动为+0.05； 创业板ETF期权成交额PCR报0.54，环比变动为+0.00 ；持 ...

金融工程 证 券 研 究 报 告 【金工周报】（20250630-20250704） 形态学短期看多指数减少，后市或先抑后扬 ❖ 本周回顾 本周市场普遍上涨，上证指数单周上涨 1.4%，创业板指单周上涨 1.5%。 A 股模型： 短期：成交量模型部分宽基指数看多。低波动率模型中性。特征龙虎榜机构模 型看空。特征成交量模型中性。智能沪深 300 模型看多，智能中证 500 模型中 性。 中期：涨跌停模型中性。月历效应模型中性。 长期：长期动量模型所有宽基指数中性。 综合：A 股综合兵器 V3 模型看多。A 股综合国证 2000 模型中性。 港股模型： 中期：成交额倒波幅模型看多。 本周行业指数普遍上涨，涨幅前五的行业为：钢铁、银行、建材、医药、电力 设备及新能源，跌幅前五的行业为：综合金融、计算机、综合、交通运输、通 信。从资金流向角度来说，除农林牧渔外所有行业主力资金净流出，其中电子、 计算机、机械、基础化工、国防军工主力资金净流出居前。 本周股票型基金总仓位为 94.90%，相较于上周增加了 97 个 bps，混合型基金 总仓位 80.57%，相较于上周增加了 133 个 bps。 本周交通运输与电子获得最 ...

- Model Name: Continuous Hedging Strategy; Model Construction Idea: The strategy is based on the analysis of basis convergence factors and optimization strategies; Model Construction Process: The strategy involves holding the corresponding total return index on the spot side and shorting the corresponding stock index futures contracts on the futures side, with specific parameters and settings for backtesting, including the backtesting period, spot side, futures side, and rebalancing rules[44][45] - Model Name: Minimum Discount Strategy; Model Construction Idea: The strategy selects the futures contract with the smallest annualized basis discount for opening positions; Model Construction Process: The strategy involves holding the corresponding total return index on the spot side and shorting the corresponding stock index futures contracts on the futures side, with specific parameters and settings for backtesting, including the backtesting period, spot side, futures side, and rebalancing rules[44][46] - Factor Name: Cinda-VIX; Factor Construction Idea: The factor reflects the market's expectation of future volatility of the underlying asset; Factor Construction Process: The factor is based on the methodology from the research report series "Exploring Market Sentiment Implied in the Options Market" and reflects the volatility expectations of investors in the options market for different periods[62] - Factor Name: Cinda-SKEW; Factor Construction Idea: The factor captures the skewness of implied volatility (IV) of options with different strike prices; Factor Construction Process: The factor measures the degree of skewness in volatility, providing insights into market expectations of future returns distribution of the underlying asset[70][71] - Continuous Hedging Strategy, Annualized Return: -2.73% (monthly), -1.93% (quarterly), -0.95% (minimum discount); Volatility: 3.88% (monthly), 4.77% (quarterly), 4.68% (minimum discount); Maximum Drawdown: -8.15% (monthly), -8.34% (quarterly), -7.97% (minimum discount); Net Value: 0.9221 (monthly), 0.9446 (quarterly), 0.9725 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 17.40 (minimum discount); 2025 YTD Return: -3.24% (monthly), -0.94% (quarterly), -0.63% (minimum discount)[48] - Continuous Hedging Strategy, Annualized Return: 0.54% (monthly), 0.80% (quarterly), 1.37% (minimum discount); Volatility: 3.02% (monthly), 3.36% (quarterly), 3.15% (minimum discount); Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly), -4.06% (minimum discount); Net Value: 1.0159 (monthly), 1.0237 (quarterly), 1.0406 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 15.36 (minimum discount); 2025 YTD Return: -0.75% (monthly), 0.39% (quarterly), 0.70% (minimum discount)[53] - Continuous Hedging Strategy, Annualized Return: 1.07% (monthly), 2.04% (quarterly), 1.76% (minimum discount); Volatility: 3.13% (monthly), 3.56% (quarterly), 3.15% (minimum discount); Maximum Drawdown: -4.22% (monthly), -3.75% (quarterly), -3.91% (minimum discount); Net Value: 1.0316 (monthly), 1.0609 (quarterly), 1.0526 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 16.04 (minimum discount); 2025 YTD Return: 0.08% (monthly), 1.15% (quarterly), 1.14% (minimum discount)[57] - Continuous Hedging Strategy, Annualized Return: -5.96% (monthly), -4.33% (quarterly), -3.76% (minimum discount); Volatility: 4.74% (monthly), 5.79% (quarterly), 5.60% (minimum discount); Maximum Drawdown: -14.00% (monthly), -12.63% (quarterly), -11.11% (minimum discount); Net Value: 0.8521 (monthly), 0.8849 (quarterly), 0.9009 (minimum discount); Annual Turnover: 12 (monthly), 4 (quarterly), 15.96 (minimum discount); 2025 YTD Return: -8.68% (monthly), -3.91% (quarterly), -3.47% (minimum discount)[59] - Cinda-VIX, 30-day VIX values: 17.29 (SSE 50), 15.95 (CSI 300), 23.13 (CSI 500), 21.70 (CSI 1000)[62] - Cinda-SKEW, 30-day SKEW values: 100.62 (SSE 50), 101.40 (CSI 300), 96.04 (CSI 500), 102.73 (CSI 1000)[71]

股指期权日报 | 2025-07-04 股指期权日报 股指期权市场概况 期权成交量 2025-07-03，上证50ETF期权成交量为70.79万张；沪深300ETF期权（沪市）成交量为79.19万张； 中证500ETF期权（沪市）成交量为106.58万张；深证100ETF期权成交量为8.31万张； 创业板ETF期权成交量为126.12万张；上证50股指期权成交量为1.75万张； 沪深300股指期权成交量为7.20万张；中证1000期权总成交量为16.66万张。 期权PCR 上证50ETF期权成交额PCR报0.70，环比变动为+0.04；持仓量PCR报0.98，环比变动为+0.03； 沪深300ETF期权（沪市）成交额PCR报0.66，环比变动为-0.15；持仓量PCR报0.88，环比变动为+0.04； 中证500ETF期权（沪市）成交额PCR报0.72，环比变动为-0.09；持仓量PCR报1.05，环比变动为+0.02 ； 深圳100ETF期权成交额PCR报0.53 ，环比变动为-0.47；持仓量PCR报1.01；环比变动为-0.05； 创业板ETF期权成交额PCR报0.54，环比变动为-0.24 ；持仓量P ...

The Cboe VIX Index touched its lowest level in more than four months in early trading Thursday, after jobs data showed the US labor market is doing better than expected https://t.co/vtZV5dl8pG ...

股指期权日报 | 2025-07-03 股指期权日报 股指期权市场概况 期权成交量 2025-07-02，上证50ETF期权成交量为67.82万张；沪深300ETF期权（沪市）成交量为68.97万张； 中证500ETF期权（沪市）成交量为85.64万张；深证100ETF期权成交量为4.64万张； 创业板ETF期权成交量为80.78万张；上证50股指期权成交量为1.83万张； 沪深300股指期权成交量为5.45万张；中证1000期权总成交量为16.17万张。 期权PCR 上证50ETF期权成交额PCR报0.66，环比变动为-0.10；持仓量PCR报0.95，环比变动为+0.02； 沪深300ETF期权（沪市）成交额PCR报0.81，环比变动为-0.01；持仓量PCR报0.84，环比变动为+0.00； 中证500ETF期权（沪市）成交额PCR报0.80，环比变动为+0.01；持仓量PCR报1.03，环比变动为-0.03 ； 深圳100ETF期权成交额PCR报1.00 ，环比变动为+0.16；持仓量PCR报1.07；环比变动为+0.05； 创业板ETF期权成交额PCR报0.78，环比变动为+0.15 ；持仓量PCR ...