1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Shanghai Composite Index, Shenzhen Component Index, and SME and ChiNext indices all showed slight fluctuations [3]. - The implied volatility of financial options fluctuated below the historical average [3]. - For ETF options, it is suitable to construct covered strategies, neutral double - selling strategies, and vertical spread combination strategies; for stock index options, it is suitable to construct neutral double - selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,350.13, up 1.69 points or 0.05%, with a trading volume of 411.7 billion yuan, a decrease of 87.7 billion yuan [4]. - The Shenzhen Component Index closed at 10,513.12, up 9.46 points or 0.09%, with a trading volume of 562.8 billion yuan, a decrease of 70 billion yuan [4]. - The Shanghai 50 Index closed at 2,658.62, down 4.09 points or - 0.15%, with a trading volume of 54.1 billion yuan, a decrease of 16.5 billion yuan [4]. - The CSI 300 Index closed at 3,884.39, down 3.30 points or - 0.08%, with a trading volume of 198.3 billion yuan, a decrease of 47.8 billion yuan [4]. - The CSI 500 Index closed at 5,899.09, up 6.24 points or 0.11%, with a trading volume of 140.6 billion yuan, a decrease of 38.7 billion yuan [4]. - The CSI 1000 Index closed at 6,277.25, up 17.77 points or 0.28%, with a trading volume of 208.4 billion yuan, a decrease of 33.3 billion yuan [4]. 3.2 Option - underlying ETF Market Overview - The Shanghai 50 ETF closed at 2.716, down 0.005 or - 0.18%, with a trading volume of 3.7596 million shares, an increase of 3.7139 million shares, and a trading value of 1.023 billion yuan, a decrease of 0.223 billion yuan [5]. - The Shanghai 300 ETF closed at 3.979, down 0.003 or - 0.08%, with a trading volume of 6.2912 million shares, an increase of 6.2297 million shares, and a trading value of 2.506 billion yuan, an increase of 0.053 billion yuan [5]. - The Shanghai 500 ETF closed at 5.893, up 0.007 or 0.12%, with a trading volume of 1.7842 million shares, an increase of 1.7668 million shares, and a trading value of 1.054 billion yuan, an increase of 0.027 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.074, down 0.002 or - 0.19%, with a trading volume of 18.6744 million shares, an increase of 18.4132 million shares, and a trading value of 2.008 billion yuan, a decrease of 0.813 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.046, down 0.003 or - 0.29%, with a trading volume of 3.8927 million shares, an increase of 3.8484 million shares, and a trading value of 0.408 billion yuan, a decrease of 0.058 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.015, down 0.004 or - 0.10%, with a trading volume of 1.0763 million shares, an increase of 1.0698 million shares, and a trading value of 0.433 billion yuan, an increase of 0.171 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.353, up 0.002 or 0.09%, with a trading volume of 0.6242 million shares, an increase of 0.6087 million shares, and a trading value of 0.147 billion yuan, a decrease of 0.216 billion yuan [5]. - The Shenzhen 100 ETF closed at 2.744, down 0.001 or - 0.04%, with a trading volume of 0.1819 million shares, an increase of 0.1788 million shares, and a trading value of 0.05 billion yuan, a decrease of 0.036 billion yuan [5]. - The ChiNext ETF closed at 2.064, up 0.002 or 0.10%, with a trading volume of 7.3032 million shares, an increase of 7.2101 million shares, and a trading value of 1.51 billion yuan, a decrease of 0.417 billion yuan [5]. 3.3 Option Factor - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume was 557,600 contracts, a decrease of 50,400 contracts; the open interest was 1,317,700 contracts, an increase of 41,400 contracts; the trading volume PCR was 0.91, an increase of 0.04; the open interest PCR was 0.70, a decrease of 0.01 [6]. - For the Shanghai 300 ETF option, the trading volume was 531,700 contracts, a decrease of 65,400 contracts; the open interest was 1,201,300 contracts, an increase of 27,300 contracts; the trading volume PCR was 0.93, an increase of 0.01; the open interest PCR was 0.76, unchanged [6]. - For the Shanghai 500 ETF option, the trading volume was 817,000 contracts, a decrease of 141,700 contracts; the open interest was 945,200 contracts, an increase of 16,100 contracts; the trading volume PCR was 1.00, an increase of 0.05; the open interest PCR was 0.94, an increase of 0.03 [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 428,600 contracts, a decrease of 143,600 contracts; the open interest was 1,644,800 contracts, an increase of 53,400 contracts; the trading volume PCR was 0.85, an increase of 0.12; the open interest PCR was 0.65, a decrease of 0.02 [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 109,600 contracts, a decrease of 69,300 contracts; the open interest was 443,100 contracts, an increase of 7,900 contracts; the trading volume PCR was 0.87, an increase of 0.07; the open interest PCR was 0.62, a decrease of 0.01 [6]. - For the Shenzhen 300 ETF option, the trading volume was 76,000 contracts, an increase of 76,000 contracts; the open interest was 240,700 contracts, an increase of 240,700 contracts; the trading volume PCR was 0.88, an increase of 0.88; the open interest PCR was 0.66, an increase of 0.66 [6]. - For the Shenzhen 500 ETF option, the trading volume was 106,200 contracts, a decrease of 15,400 contracts; the open interest was 267,400 contracts, unchanged; the trading volume PCR was 0.78, a decrease of 0.09; the open interest PCR was 0.71, a decrease of 0.01 [6]. - For the Shenzhen 100 ETF option, the trading volume was 36,500 contracts, a decrease of 100 contracts; the open interest was 85,400 contracts, an increase of 3,300 contracts; the trading volume PCR was 1.16, an increase of 0.24; the open interest PCR was 0.85, a decrease of 0.01 [6]. - For the ChiNext ETF option, the trading volume was 628,600 contracts, a decrease of 199,100 contracts; the open interest was 1,174,600 contracts, an increase of 3,500 contracts; the trading volume PCR was 0.81, a decrease of 0.06; the open interest PCR was 0.70, unchanged [6]. - For the Shanghai 50 index option, the trading volume was 17,800 contracts, a decrease of 2,200 contracts; the open interest was 69,800 contracts, an increase of 1,200 contracts; the trading volume PCR was 0.60, a decrease of 0.14; the open interest PCR was 0.51, unchanged [6]. - For the CSI 300 index option, the trading volume was 44,100 contracts, a decrease of 6,300 contracts; the open interest was 198,800 contracts, an increase of 3,000 contracts; the trading volume PCR was 0.68, unchanged; the open interest PCR was 0.61, a decrease of 0.00 [6]. - For the CSI 1000 index option, the trading volume was 148,800 contracts, a decrease of 16,000 contracts; the open interest was 227,000 contracts, an increase of 5,500 contracts; the trading volume PCR was 0.84, an increase of 0.05; the open interest PCR was 0.72, an increase of 0.01 [6]. 3.4 Option Factor - Pressure and Support Points - For the Shanghai 50 ETF option, the underlying closing price was 2.716, the at - the - money strike price was 2.70, the pressure point was 2.80, the support point was 2.70 [8]. - For the Shanghai 300 ETF option, the underlying closing price was 3.979, the at - the - money strike price was 4.00, the pressure point was 4.10, the support point was 3.90 [8]. - For the Shanghai 500 ETF option, the underlying closing price was 5.893, the at - the - money strike price was 6.00, the pressure point was 6.00, the support point was 5.50 [8]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.074, the at - the - money strike price was 1.05, the pressure point was 1.10, the support point was 1.05 [8]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 1.046, the at - the - money strike price was 1.05, the pressure point was 1.10, the support point was 1.00 [8]. - For the Shenzhen 300 ETF option, the underlying closing price was 4.015, the at - the - money strike price was 4.00, the pressure point was 4.13, the support point was 3.94 [8]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.353, the at - the - money strike price was 2.35, the pressure point was 2.40, the support point was 2.30 [8]. - For the Shenzhen 100 ETF option, the underlying closing price was 2.744, the at - the - money strike price was 2.75, the pressure point was 2.80, the support point was 2.75 [8]. - For the ChiNext ETF option, the underlying closing price was 2.064, the at - the - money strike price was 2.05, the pressure point was 2.15, the support point was 2.00 [8]. - For the Shanghai 50 index option, the underlying closing price was 2,658.62, the at - the - money strike price was 2,650, the pressure point was 2,800, the support point was 2,650 [8]. - For the CSI 300 index option, the underlying closing price was 3,884.39, the at - the - money strike price was 3,900, the pressure point was 4,000, the support point was 3,950 [8]. - For the CSI 1000 index option, the underlying closing price was 6,277.25, the at - the - money strike price was 6,300, the pressure point was 6,600, the support point was 6,000 [8]. 3.5 Option Factor - Implied Volatility - For the Shanghai 50 ETF option, the at - the - money implied volatility was 14.15%, the weighted implied volatility was 14.77%, an increase of 0.01%; the annual average was 18.71%; the call implied volatility was 14.85%; the put implied volatility was 14.67%; the HISV20 was 9.71%; the difference between implied and historical volatility was 5.06% [11]. - For the Shanghai 300 ETF option, the at - the - money implied volatility was 14.38%, the weighted implied volatility was 14.64%, an increase of 0.03%; the annual average was 19.11%; the call implied volatility was 14.79%; the put implied volatility was 14.46%; the HISV20 was 8.06%; the difference between implied and historical volatility was 6.58% [11]. - For the Shanghai 500 ETF option, the at - the - money implied volatility was 18.29%, the weighted implied volatility was 18.62%, a decrease of 0.26%; the annual average was 24.59%; the call implied volatility was 18.74%; the put implied volatility was 18.50%; the HISV20 was 11.63%; the difference between implied and historical volatility was 7.00% [11]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 24.45%, the weighted implied volatility was 27.45%, an increase of 0.70%; the annual average was 37.16%; the call implied volatility was 28.61%; the put implied volatility was 26.10%; the HISV20 was 11.34%; the difference between implied and historical volatility was 16.11% [11]. - For the E Fund Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 25.64%, the weighted implied volatility was 27.89%, an increase of 0.57%; the annual average was 36.96%; the call implied volatility was 28.93%; the put implied volatility was 26.29%; the HISV20 was 25.28%; the difference between implied and historical volatility was 2.62% [11]. - For the Shenzhen 300 ETF option, the at - the - money implied volatility was 14.29%, the weighted implied volatility was 15.24%, a decrease of 0.23%; the annual average was 20.20%; the call implied volatility was 15.74%; the put implied volatility was 14.68%; the HISV20 was 11.78%; the difference between implied and historical volatility was 3.46% [11]. - For the Shenzhen 500 ETF option, the at - the - money implied volatility was 18.25%, the weighted implied volatility was

近年来，随着全球与国内宏观环境持续变化，中国股票市场在面对重大风险事件时表现出越来越高的敏感性，常常在短时间内出现剧 烈波动。作为市场预期和风险情绪的重要晴雨表，期权隐含波动率指标对这些突发或结构性事件的反应尤为显著。尤其是50ETF期 权，作为我国首个场内标准化ETF期权品种，凭借其良好的流动性与代表性，已成为观察市场风险定价行为的重要工具。本文聚焦于 近五年内五次具有代表性的宏观风险事件，包括2020年年初新冠疫情在国内暴发、2020年3月全球疫情升级引发的金融市场震荡、2022 年俄乌冲突叠加中概股危机与本土疫情反复、2023年房地产债务风险暴露与经济复苏放缓，以及2024年年初在市场连续下跌后出现的 流动性担忧与政策强干预。这些事件分别体现出突发性冲击、外部传染等多种路径，其对隐含波动率的影响也表现出显著差异。尽管 国内外已有大量关于波动率建模与期权定价的研究，但在风险事件驱动下的波动率响应机制方面，尤其是在中国本土市场语境下，仍 缺乏系统的实证分析。本文基于这五个典型区间，试图识别和总结隐含波动率的冲击模式、演化路径与共性特征，为投资者识别风险 窗口、构建波动率策略提供实践参考，也为监管机构在极端行 ...

Investment Rating - The report does not explicitly provide an overall investment rating for the energy and chemical options industry Core Insights - The energy and chemical options market is segmented into five main categories: basic chemicals, energy, polyester chemicals, polyolefins, and other chemicals, each with specific strategies and recommendations based on market conditions [2][3][4][5] Summary by Sections Basic Chemicals - **Methanol Options**: The operating rate is at 71.64%, showing a slight decrease. The market is experiencing a weak consolidation phase after a high rebound [2] - **Rubber Options**: The operating rate for steel tires is 68.71%, with a slight recovery in downstream tire production. However, export orders are below expectations [2] - **Styrene Options**: The operating rate is at 78.45%, with a slight decrease. Inventory levels are showing signs of seasonal accumulation [3] Energy Sector - **Crude Oil Options**: U.S. crude oil inventories are reported at 83 million barrels, with a mixed trend in inventory changes. The market is experiencing a significant downward trend after a brief rally [3] - **Liquefied Gas Options**: The market is recovering from temporary supply disruptions due to weather, with a reported increase in domestic supply [3] Polyester Chemicals - **PTA Options**: The operating rate is at 73.6%, with a notable decrease. The market is showing signs of a bearish trend after a brief period of high prices [4] - **Ethylene Glycol Options**: Inventory levels are reported at 75.9 thousand tons, with a slight decrease. The market is experiencing a weak consolidation phase [4] Polyolefins - **Polypropylene Options**: Production is expected to increase by 10.85% in March. The market is currently in a wide fluctuation phase with bearish tendencies [5] - **PVC Options**: The operating rate is at 78.7%, with a slight decrease. The market is showing signs of weak consolidation [5] Other Chemicals - **Soda Ash and Urea Options**: The report provides insights into the operational metrics and market conditions for these chemicals, indicating a mixed performance across the board [5] Market Strategies - Various strategies are recommended for different options, including constructing neutral or bearish spreads to capitalize on market movements and volatility [2][3][4][5]

安粮期货期权数据报告 商品期权数据研报 2025 年 3 月 13 日 玉米期价小幅下跌，期权隐波小幅下降 豆粕期价小幅回升，期权隐波持续下降 内容摘要 玉米期价小幅下跌，期货主力合约 C2505 报 收于 2299 元/吨。玉米期权成交 87818 手，持仓 量为 437427 手，成交量 PCR 为 0.919，今日玉 米期权成交量最高的合约为 C2505 合约，其占总 成交量比例为 87%左右。期权加权隐含波动率为 11.51%,30 日历史波动率为 8.82%，期权隐波小 幅下降。 豆粕期价小幅回升，期货主力合约 M2505 报 收于 2877 元/吨。豆粕期权成交 330759 手，持 仓量为 1231312 手，成交量 PCR 为 0.765，目前 成交量集中在虚值期权。期权加权隐含波动率 为 20.76%，30 日历史波动率为 22.97%,期权隐 波持续下降。 安粮期货研究所 期权组 TEL:0551-62879960 张莎 期货从业资格号： F03088817 投资咨询证号： Z0019577 总部地址：合肥市包河区花园大道 986 号安粮中心 23-24 层 客服热线： 400—626—9 ...

Investment Rating - The report suggests a bearish outlook on iron ore, recommending to buy put options due to the anticipated decline in steel production and weak iron ore prices [16]. Core Insights - Iron ore prices experienced fluctuations, with the spot price stabilizing at 805 CNY/ton and the DCE iron ore index decreasing by 2% to 789 CNY/ton [8]. - External shipments of iron ore have increased, while arrivals at ports have slightly decreased, leading to a reduction in port inventories and a noticeable accumulation of steel mill stocks [16]. - The implied volatility of iron ore options has decreased and is currently at a low level, indicating a potential opportunity for buying put options [16][12]. Summary by Sections 1.1 Market Review - Iron ore spot prices showed a mixed trend, closing at 805 CNY/ton, unchanged month-on-month, while the DCE iron ore index fell by 2% to 789 CNY/ton [8]. - The average daily trading volume for iron ore options was 218,017 contracts, reflecting a decrease, while total open interest rose to 421,384 contracts [9]. 1.2 Options Market Review - The I2505 series options saw an increase in average daily trading volume to 119,881 contracts, with total open interest rising to 321,710 contracts [11]. - The implied volatility for the main contract series options has decreased to 25%, indicating lower market expectations for future price movements [12]. 1.3 Options Strategy Recommendation - The report highlights a recovery in steel mill production and iron output, despite a low arrival rate at ports and a significant accumulation of steel mill inventories [16]. - The anticipated reduction in crude steel production is expected to exert downward pressure on iron ore prices, reinforcing the recommendation to buy put options [16].