Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility indicates the relative level of implied volatility to historical volatility. A larger difference means a higher implied volatility relative to historical volatility, and a smaller difference means a lower implied volatility relative to historical volatility [3] Group 2: Implied Volatility and Historical Volatility Charts - There are multiple charts showing the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 300股指, 50ETF, 1000股指, 500ETF, corn, sugar, cotton, rubber, PTA, crude oil, aluminum, methanol, iron ore, Chinese options, PVC, rebar, urea, palm oil, zinc, and others [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - The implied volatility quantile represents the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means the current implied volatility is low. The volatility spread is the difference between the implied volatility index and historical volatility [18] - The implied and historical volatility quantile rankings are provided for different options. For example, PTA has an implied volatility quantile of 0.71 and a historical volatility quantile of 0.84, while 300股指 has an implied volatility quantile of 0.07 and a historical volatility quantile of 0.01 [20]

投资咨询业务资格:证监许可【2012】31号 IIG 国贸期 x 据日报 主能介于品中心 =: F0251925 2025/6/20 数据来源: Wind,国贸期货研究院 | | 行情回顾 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 指数 收盘价 | 张肤帽(%) | | | 成交额(亿元) | | 成交里(亿) | | | 上证50 2665. 5197 | -0.54 | | | 640. 21 | | 37. 65 | | | 沪深300 3843. 0912 | -0.82 | | | 2348. 40 | | 130. 28 | | | 中证1000 6048. 2243 | -1.42 | | | 2708. 27 | | 212. 22 | | | | 中金所股指期权成交情况 | | | | | | | | 期权成交里 指数 | 认沽期权 | 认购期权 | 日成交里 | 期权持仓里 | 认购期权 | 认洁期权 | 持仓里 | | (万张) | 成交堂 | 成交堂 | PCR | (万张) | 持仓里 | 持创 ...

Group 1: Market Performance - The closing prices of the Shanghai 50, CSI 300, and CSI 1000 were 2679.9218, 3874.9708, and 6135.3858 respectively, with changes of -0.15%, 0.12%, and -0.10% [4]. - The trading volumes of the Shanghai 50, CSI 300, and CSI 1000 were 36.67 billion, 127.53 billion, and 204.11 billion respectively, and the trading turnovers were 621.34 billion yuan, 2305.54 billion yuan, and 2564.64 billion yuan respectively [4]. - The previous trading day, the Shanghai Composite Index rose 0.04% to 3388.81 points, the Shenzhen Component Index rose 0.24%, the ChiNext Index rose 0.23%, the Beijing Stock Exchange 50 fell 0.65%, the STAR 50 rose 0.53%, and the CSI A500 rose 0.07%. A - share trading volume was 1.22 trillion yuan, compared with 1.24 trillion yuan the previous day [8]. Group 2: CFFEX Stock Index Option Trading - For the Shanghai 50 index options, the trading volume was 3.02 million contracts, with 1.98 million call options and 1.05 million put options, and the PCR was 0.53. The open - interest was 7.45 million contracts, with 4.67 million call options and 2.78 million put options, and the PCR was 0.60 [4]. - For the CSI 300 index options, the trading volume was 7.68 million contracts, with 4.65 million call options and 3.03 million put options, and the PCR was 0.65. The open - interest was 19.68 million contracts, with 11.64 million call options and 8.04 million put options, and the PCR was 0.69 [4]. - For the CSI 1000 index options, the trading volume was 21.27 million contracts, with 10.62 million call options and 10.65 million put options, and the PCR was 1.00. The open - interest was 28.97 million contracts, with 14.86 million call options and 14.11 million put options, and the PCR was 0.95 [4]. Group 3: Volatility Analysis - The report includes historical volatility analysis and next - month at - the - money implied volatility smile curves for the Shanghai 50, CSI 300, and CSI 1000 [12].

Group 1: Definitions - Financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. Commodity option implied volatility index is obtained by weighting the IVs of the two strike prices above and below the at - the - money option of the main contract month, reflecting the IV change trend of the main contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher than HV, and a smaller difference means IV is relatively lower [3] Group 2: Implied Volatility and Historical Volatility Charts - Charts show the IV, HV, and IV - HV differences of various products including 300 index, 50ETF, 1000 index, 500ETF, cotton, sugar, rubber, PTA, crude oil, methanol, iron ore, copper, PVC, rebar, urea, gasoline, aluminum, zinc, etc. from different time periods [4][6][7][8] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent the current IV level of a product in history. High quantiles mean current IV is high, and low quantiles mean current IV is low. Volatility spread is the difference between IV and HV [19] - The implied volatility quantiles of different products are provided, such as PTA (0.85), PVC (0.72), etc. [21]

投资咨询业务资格:证监许可【2012】31号 IIG 国贸期 权数据日报 主能介于品中心 =: F0251925 2025/6/18 数据来源: Wind,国贸期货研究院 | | 行情回顾 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 指数 | 收盘价 张肤帽(%) | | | 成交额(亿元) | | 成交堂(亿) | | | 上证50 | 2683. 9528 -0. 04 | | | 635. 17 | | 33.12 | | | 沪至300 | 3870. 3786 -0. 09 | | | 2204. 00 | | 122. 34 | | | 中证1000 | 6141. 4684 -0.10 | | | 2608. 74 | | 208. 43 | | | | 中金所股指期权成交情况 | | | | | | | | 指数 | 期权成交望 认沽期权 | 认购期权 | 日成交里 | 期权持仓里 | 认购期权 | 认沽期权 | 持仓里 | | | (万张) 成交里 | 成交里 | PCR | (万5k) | 持仓里 | ...

Report Summary 1. Report Industry Investment Rating - No information provided in the report. 2. Core Viewpoints - Corn futures prices declined slightly, with the futures main contract C2507 closing at 2359 yuan/ton. Corn option trading volume was 114,451 lots, open interest was 412,397 lots, and the trading volume PCR was 0.644. The option weighted implied volatility was 11.67%, and the 30 - day historical volatility was 7.70%. The option implied volatility increased significantly [3]. - Soybean meal futures prices fluctuated slightly, with the futures main contract M2509 closing at 3045 yuan/ton. Soybean meal option trading volume was 344,631 lots, open interest was 1,035,482 lots, and the trading volume PCR was 0.966. The option weighted implied volatility was 22.12%, and the 30 - day historical volatility was 10.81%. The option implied volatility increased sharply [3]. 3. Summary by Relevant Catalogs 3.1 Futures Market Data Statistics - For the corn main contract C2507, the closing price was 2359 yuan/ton, with a decline of 19 yuan and a decline rate of 0.80%. The trading volume was 409,117 lots, an increase of 19,798 lots, and the open interest was 637,414 lots, a decrease of 64,999 lots [5]. - For the soybean meal main contract M2509, the closing price was 3045 yuan/ton, with an increase of 4 yuan and an increase rate of 0.13%. The trading volume was 1,422,022 lots, an increase of 254,197 lots, and the open interest was 2,305,935 lots, a decrease of 12,086 lots [5]. 3.2 Option Market Data Statistics - For corn options, the trading volume was 114,451 lots, an increase of 13,129 lots. The trading volume PCR was 0.644, a decrease of 0.025. The open interest was 412,397 lots, a decrease of 195 lots, and the open interest PCR was 0.818, a decrease of 0.001 [9]. - For soybean meal options, the trading volume was 344,631 lots, an increase of 34,379 lots. The trading volume PCR was 0.966, an increase of 0.032. The open interest was 1,035,482 lots, an increase of 5,011 lots, and the open interest PCR was 0.711, a decrease of 0.012 [9]. 3.3 Option Volatility Situation - For corn options, the option weighted implied volatility was 11.67%, an increase of 1.73 percentage points with a change rate of 17.43%. The 30 - day historical volatility was 7.70%, and the 30 - day volatility quantile was 0.04 [18]. - For soybean meal options, the option weighted implied volatility was 22.12%, an increase of 4.83 percentage points with a change rate of 27.91%. The 30 - day historical volatility was 10.81%, and the 30 - day volatility quantile was 0.00 [18].

Group 1: Index Explanation - The financial options implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day. The commodity options implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility, with a larger difference indicating a higher implied volatility relative to historical volatility, and a smaller difference indicating a lower implied volatility relative to historical volatility [3] Group 2: Implied Volatility and Historical Volatility Charts - There are multiple charts showing the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 300股指, 50ETF, 1000股指, 500ETF, EB, 豆粕, 玉米, 橡胶, PTA, 原油, 铝, 甲醇, 铁矿石, PVC, 螺纹钢, 尿素, 锌, 采租, etc. [4][6][7][8] Group 3: Implied Volatility and Volatility Spread Quantiles - The implied volatility quantile represents the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low. The volatility spread is the difference between the implied volatility index and historical volatility [18] - The document provides implied volatility quantile rankings for different varieties such as PVC, 天殿, 甲醇, 300股指, 铜, 50ETF, 白糖, 玉米, etc. [19]

Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, and the commodity option implied volatility index is weighted by the IV of the two - strike options above and below the at - the - money option of the main contract, reflecting the IV change trend of the main contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [3] Group 2: Volatility Graphs - There are multiple graphs showing the IV, HV, and IV - HV differences of various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, etc., as well as commodity options like soybean meal, corn, etc. [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - The implied volatility quantile represents the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. The volatility spread is the difference between the IV index and historical volatility [17] - The implied volatility quantiles of different varieties are provided, such as PTA (0.63), PVC (0.73), methanol (0.42), etc. [19]

Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility indicates the relative level of implied volatility compared to historical volatility. A larger difference means higher implied volatility relative to historical volatility, and a smaller difference means lower implied volatility relative to historical volatility [3] Group 2: Volatility Graphs - There are multiple graphs showing the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various financial and commodity options, including stock index options (such as 300股指, 1000股指), ETF options (such as 50ETF, 500ETF), and commodity options (such as soybeans, corn, cotton, etc.) [4][5][6] Group 3: Implied Volatility and Volatility Spread Quantiles - Implied volatility quantiles represent the current implied volatility level of a variety in history. A high quantile means high current implied volatility, and a low quantile means low implied volatility [17] - Volatility spread refers to the difference between the implied volatility index and historical volatility [17] - The implied volatility quantile rankings are provided for different varieties, such as PVC with a quantile of 0.70, methanol with 0.43, etc. [19]

Market Review - The closing prices of the Shanghai Composite 50, CSI 300, and CSI 1000 were 2692.1287, 3877.5557, and 6167.0149 respectively, with daily changes of 0.05%, 0.23%, and 0.72%. Their trading volumes were 30.78 billion, 122.88 billion, and 206.08 billion, and turnovers were 559.62 billion yuan, 2317.49 billion yuan, and 2732.39 billion yuan respectively [4]. - The trading volumes of Shanghai Composite 50, CSI 300, and CSI 1000 index options were 1.47 million, 4.87 million, and 16.35 million contracts. Their open interests were 6.63 million, 17.69 million, and 27.19 million contracts respectively [4]. - The previous trading day, the Shanghai Composite Index rose 0.23% to 3384.1 points, the Shenzhen Component Index rose 0.58%, the ChiNext Index rose 1.17%, the Beijing Stock Exchange 50 fell 0.29%, the STAR 50 rose 1.04%, and the CSI A500 rose 0.35%. A - shares traded 1.32 trillion yuan, compared with 1.18 trillion yuan the previous day [8]. Volatility Analysis - Analyzes the historical volatility chains and volatility smile curves of Shanghai Composite 50, CSI 300, and CSI 1000, including indicators such as maximum, minimum, 10% - 90% quantiles, and current values [6][8].