股指期权日报 | 2025-05-07 2025-05-06，上证50ETF期权成交量为82.95万张；沪深300ETF期权（沪市）成交量为81.30万张； 中证500ETF期权（沪市）成交量为101.31万张；深证100ETF期权成交量为5.42万张； 创业板ETF期权成交量为99.55万张；上证50股指期权成交量为2.64万张； 沪深300股指期权成交量为8.57万张；中证1000期权总成交量为20.37万张。 期权PCR 上证50ETF期权成交额PCR报0.82，环比变动为-0.09；持仓量PCR报0.92，环比变动为+0.01； 沪深300ETF期权（沪市）成交额PCR报0.83，环比变动为-0.07；持仓量PCR报0.88，环比变动为+0.03； 中证500ETF期权（沪市）成交额PCR报0.64，环比变动为-0.15；持仓量PCR报1.03，环比变动为+0.06 ； 深圳100ETF期权成交额PCR报1.02 ，环比变动为-0.04；持仓量PCR报0.85；环比变动为-0.01； 创业板ETF期权成交额PCR报0.75，环比变动为-0.03 ；持仓量PCR报0.84，环比变动为+0.06； 上证5 ...

股指期权日报 | 2025-04-29 股指期权日报 股指期权市场概况 期权成交量 2025-04-28，上证50ETF期权成交量为53.15万张；沪深300ETF期权（沪市）成交量为45.81万张； 中证500ETF期权（沪市）成交量为69.81万张；深证100ETF期权成交量为2.35万张； 创业板ETF期权成交量为54.33万张；上证50股指期权成交量为1.58万张； 沪深300股指期权成交量为3.67万张；中证1000期权总成交量为14.61万张。 期权PCR 上证50ETF期权成交额PCR报0.93，环比变动为+0.12；持仓量PCR报0.97，环比变动为+0.05； 沪深300ETF期权（沪市）成交额PCR报1.08，环比变动为+0.14；持仓量PCR报0.86，环比变动为+0.01； 中证500ETF期权（沪市）成交额PCR报1.14，环比变动为+0.25；持仓量PCR报0.95，环比变动为-0.01 ； 深圳100ETF期权成交额PCR报1.33 ，环比变动为+0.53；持仓量PCR报0.86；环比变动为-0.04； 创业板ETF期权成交额PCR报1.09，环比变动为+0.24 ；持仓量PCR ...

Investment Rating - The report provides a positive outlook on the stock index options market, indicating a stable implied volatility and an overall positive bias structure [1]. Core Insights - The report highlights that the options market is experiencing fluctuations, with the implied volatility remaining steady. This suggests a potential for investment opportunities in the current market environment [1]. Summary by Sections Options Market Data Statistics - The report includes detailed statistics on various indices, such as the Shanghai Composite Index, CSI 300 Index, and others, showing closing prices, changes, and trading volumes. For instance, the CSI 300 Index closed at 4007.72 with a change of +10.94, while the trading volume was 140.21 million contracts, reflecting a decrease of 21.99 million contracts [2]. - The report also provides insights into the options market statistics, including trading volumes and open interest for different ETFs, such as the Huatai-PineBridge 300 ETF and the Southern 500 ETF, indicating significant trading activity [2]. Options Volatility Statistics - The report presents volatility statistics for various options, such as the ATM implied volatility for the CSI 1000 index options at 20.95%, with a slight decrease of 0.25% [4]. - It also details the skew and historical volatility changes, providing a comprehensive view of market sentiment and potential price movements [4]. Specific Index Options Analysis - The report analyzes specific index options, including the Shanghai 50 Index options, which show an ATM implied volatility of 15.95% and a historical volatility of 25.48% [4][7]. - The CSI 300 Index options are highlighted with an ATM implied volatility of 15.17%, indicating a stable market environment [11]. ETF Options Analysis - The report discusses various ETF options, such as the Huatai-PineBridge 300 ETF options, which have an ATM implied volatility of 15.73% and a trading volume of 884,964 contracts [22]. - The Southern 500 ETF options show a significant increase in trading volume, indicating heightened market interest [28]. Overall Market Sentiment - The report concludes with an analysis of market sentiment, suggesting that the current market conditions may present favorable investment opportunities, particularly in the options segment [1].

金 融 衍 生 品 研 究 2025 年 3 月 13 日 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【正文】 金融衍生品研究 | 表 2：期权指标数据统计 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 期权波动率统计 | | | | | | | VIX | V I X变动 | | (近月) | ATM-IV | IV变动 | 同期限HV | HV变动 | Skew | Skew变动 | | | | 上证50股指期权 | 13.73% | 0.25% | 12.48% | -0.28% | 5.97% | -3.16% | 16.30 | 0.007 | | 沪深300股指期权 | 13.88% | -0.06% | 11.03% | 0.33% | 5.12% | -2.04% | 16.95 | 0.133 | | 中证1000股指期权 | 22.59% | 0.45% | 18.66% | 5.37% | -5.55% | 1.98% | ...

Investment Rating - The report does not explicitly state an investment rating for the industry or specific companies [1]. Core Insights - The report indicates a slight increase in implied volatility, with market sentiment turning bearish as evidenced by the decline in the underlying indices [1]. - The trading volume for options has shown significant changes, with notable increases in the trading volume of the CSI 1000 index options, which reached 291,254 contracts, an increase of 42,809 contracts [1]. - The report highlights that the implied volatility for the CSI 1000 index options is at 22.14%, reflecting a decrease of 0.15% [4]. Summary by Sections Market Statistics - The Shanghai Composite Index closed at 2,669.01, down by 13.21 points, with a trading volume of 43.45 billion contracts, an increase of 1.26 billion contracts [1]. - The CSI 300 Index closed at 3,927.23, down by 14.18 points, with a trading volume of 156.73 billion contracts, an increase of 11.98 billion contracts [1]. Options Market Statistics - The trading volume for the Shanghai 50 index options was 27,268 contracts, an increase of 3,066 contracts, with an open interest of 75,500 contracts, up by 1,532 contracts [1]. - The trading volume for the CSI 300 index options was 94,675 contracts, an increase of 9,018 contracts, with an open interest of 219,064 contracts, up by 4,506 contracts [1]. Volatility Statistics - The ATM implied volatility for the Shanghai 50 index options is at 13.48%, down by 0.17% [4]. - The ATM implied volatility for the CSI 300 index options is at 13.94%, up by 0.16% [4]. - The ATM implied volatility for the CSI 1000 index options is at 22.14%, down by 0.15% [4].

2025 年 3 月 11 日 股票股指期权：低开升波，隐波未随市场上行 而有明显下降，市场表现偏谨慎。 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 | 【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 手 ) | 成交变化 (亿手) | 当 月 合成期货 | 当月基差 | 次 月 合成期货 | 次月基差 | | 上证50指数 | 2682.22 | 13.42 | 42.19 | -8.64 | 2674.67 | -7.56 | 2674.60 | -7.62 | | 沪深300指数 | 3941.42 | 12.61 | 144.75 | -8.01 | 3929.53 | -11.88 | 3922.07 | -19.35 | | 中证1000指数 | 6551.73 | 30.7 ...