Market Performance Summary - The Shanghai Composite Index rose 0.45% to 3639.99 points, the Shenzhen Component Index rose 0.64%, the ChiNext Index rose 0.66%, the North Exchange 50 rose 1.58%, the STAR 50 rose 0.58%, the Wind All A rose 0.62%, the Wind A500 rose 0.35%, and the CSI A500 rose 0.41%. A-share trading volume reached 1.76 trillion yuan, compared with 1.62 trillion yuan the previous day [8] Index Quotes Index Closing Prices and Changes - The Shanghai 50 closed at 2797.4234, up 0.24%, with a trading volume of 884.43 billion yuan and a turnover of 41.18 billion [4] - The CSI 300 closed at 4113.4852, up 0.24%, with a trading volume of 3076.75 billion yuan and a turnover of 176.68 billion [4] - The CSI 1000 closed at 6861.3091, up 1.09%, with a trading volume of 3990.56 billion yuan and a turnover of 258.13 billion [4] CFFEX Stock Index Option Trading - For the Shanghai 50, option trading volume was 2.85 million contracts (1.87 million for call options and 0.98 million for put options, PCR 0.53), and open interest was 7.50 million contracts (4.80 million for call options and 2.70 million for put options, PCR 0.56) [4] - For the CSI 300, option trading volume was 7.28 million contracts (4.88 million for call options and 2.40 million for put options, PCR 0.49), and open interest was 20.85 million contracts (12.11 million for call options and 8.73 million for put options, PCR 0.72) [4] - For the CSI 1000, option trading volume was 23.48 million contracts (13.24 million for call options and 10.24 million for put options, PCR 0.77), and open interest was 28.43 million contracts (13.49 million for call options and 14.93 million for put options, PCR 1.11) [4] Volatility Analysis Shanghai 50 Volatility - Historical volatility and next - month at - the - money implied volatility curves are presented [8][12] CSI 300 Volatility - Historical volatility and next - month at - the - money implied volatility curves are presented [12] CSI 1000 Volatility - Historical volatility and next - month at - the - money implied volatility curves are presented [9]

Group 1: Volatility Index Explanation - The implied volatility index of financial options reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting 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 [2] - The difference between the implied volatility 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 [2] Group 2: Volatility Data Graphs - There are graphs showing the IV, HV, and IV - HV differences of various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, crude oil, copper, aluminum, PVC, rebar, zinc, urea, soybean oil, palm oil, and rapeseed oil [3] Group 3: Implied Volatility and Historical Volatility Quantile Ranking - Implied volatility quantiles represent 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. Volatility spread is the difference between the implied volatility index and historical volatility [4] - The implied volatility and historical volatility quantile rankings of various commodities such as PVC, PTA, iron ore, cotton, 50ETF, 300 - stock index are presented, with specific quantile values provided [5]

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 around the at - the - money option of the main contract, reflecting the IV change trend of the main contract [2] - 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 [2] Group 2: Implied Volatility Quantile and Volatility Spread Quantile - 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 IV is low [3] - The volatility spread is defined as the IV index minus the HV [3] - Implied volatility quantiles for various products are provided, such as EVC (0.67), PVC (0.92), PTA (0.44), etc. [4][6] Group 3: IV - HV Difference Chart - The chart shows the IV, HV, and IV - HV differences for multiple products including 300股指, 50ETF, 1000股指, 500ETF, and many commodity options like silver, soybean meal, corn, etc. [7]

波动率数据日报 隐含波动率分位数排名 历史波动率分位数排名 0. 92 天峻 | 0.79 PVC 0.91 五米 0.57 036 PTA 0.82 铁石石 0.27 甲码 0.75 关键 0.19 样花 0.56 45 0.13 300 版 指 0.43 SOETE 0.11 50ETF 0.53 a 88 0.10 0.24 42 300 65 18 0.11 日時 0.15 棒花 0.10 th 0.34 日特 0.08 盘新 0.03 铁石石 英米 0.01 0.1 03 0.7 0 0.2 0.4 05 0.6 0.8 0 a 0.1 1 0.3 0.6 0.7 0.8 0 0.2 0.4 0.5 0 a 1 永安期货期权总部 更新时间: 2025/7/31 一、隐含波动率指数、历史波动率及其价差走势图 1、金融期权隐含波动率指数反映截止上一交易日的30日隐波走势,商品期权隐含波动 率指数通过主力月平值期权上下两档隐波加权所得,反映主力合约的隐波变化趋势。2 隐波指数与历史波动率的差值,差值越大反映隐波相对历史波动率越高,差值越小代 表隐波相对历史波动率越低。 、隐波指教分位教与波动率价差分位数排 ...

投资咨询业务资格:证监许可【2012】31号 IIG 国贸期 权教据日报 14 14 10 =: F0251925 2025/7/30 数据来源: Wind,国贸期货研究院 | | | | | 行情回顾 | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 指数 | 收盘价 | | 张跃帽(%) | | 成交额(亿元) | | 成交里(亿) | | | 上证50 | 2808. 5917 | | 0.21 | | 1119.54 | | 47.05 | | | 沪深300 | 4152. 0247 | | 0. 39 | | 4287. 64 | | 230. 81 | | | 中证1000 | 6773. 8843 | | 0. 65 | | 3837.04 | | 259. 26 | | | | 中金所股指期权成交情况 | | | | | | | | | 指数 | 期权成交里 认购期权 认洁期权 | | | 日成交里 | 期权持仓里 | 认购期权 | 认沽期权 | 持食堂 | | | (万张) | 成交堂 | 成交里 | P ...

投资咨询业务资格:证监许可【2012】31号 IIG 国贸期 中证1000PCR走势 权教据日报 CI + CI + m + =: F0251925 2025/7/29 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UE50 | 2802. 7674 0. 26 | | | 1145. 71 | | 49. 74 | | | 沪至300 | 4135. 8242 0. 21 | | | 4067. 93 | | 222. 76 | | | 中证1000 | 6729. 979 0. 35 | | | 3595. 76 | | 252. 74 | | | | 中金所股指期权成交情况 | | | | | | | | 指数 | 期权成交里 山沽期权 | 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 | PC ...

Group 1: Implied Volatility Index and Historical Volatility - The financial options implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The commodity options implied volatility index is obtained by weighting the IVs of the two - strike options 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 implied volatility 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 than HV [3] Group 2: Implied Volatility and Historical Volatility Difference Graphs - There are multiple graphs showing the IV, HV, and IV - HV differences for various financial and commodity options such as 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options like soybean meal, corn, cotton, rubber, methanol, iron ore, copper, PTA, crude oil, aluminum, PVC, etc. [4][5][6] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - 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 [13] - The volatility spread is the difference between the implied volatility index and historical volatility. There are rankings of implied volatility quantiles and historical volatility quantiles for different varieties such as Tianjin, PVC, PTA, methanol, etc. [13][14]

Group 1: Implied Volatility Index and Historical Volatility - 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 indicates the relative level of implied volatility 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 Charts - There are multiple charts showing the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as cotton, rubber, methanol, PTA, etc. These charts cover different time periods from 2019 to 2025 [4][5][6] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - The implied volatility quantile represents 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. The volatility spread is the difference between the implied volatility index and historical volatility [23]

Group 1: Volatility Index Explanation - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, while the commodity option implied volatility index is obtained by weighting the IVs of the two - strike options 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 a higher IV relative to HV, and a smaller difference means a lower IV relative to HV [3] Group 2: Volatility Index Charts - There are multiple charts 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 commodities like cotton, rubber, methanol, PTA, crude oil, etc., over different time periods from 2019 to 2025 [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means high current IV, and a low quantile means low current IV. Volatility spread refers to the difference between the IV index and historical volatility [20] - Quantile rankings are provided for different options such as PVC, PTA, 300 - stock index, 50ETF, cotton, iron ore, etc., with specific quantile values given [21]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - Corn futures prices dropped slightly, while the implied volatility of corn options rebounded significantly. The futures main contract C2509 closed at 2321 yuan/ton, with an option trading volume of 156,367 lots, an open interest of 440,600 lots, a trading volume PCR of 0.832, and the option weighted implied volatility at 11.43% [1][2]. - Soybean meal futures prices continued to rise, and the implied volatility of soybean meal options increased substantially. The futures main contract M2509 closed at 3095 yuan/ton, with an option trading volume of 384,182 lots, an open interest of 898,113 lots, a trading volume PCR of 0.479, and the option weighted implied volatility at 18.30% [1][2]. 3. Summary by Directory 3.1 Futures Market Data Statistics | Contract | Closing Price | Change | Change Rate (%) | Trading Volume | Volume Change | Open Interest | Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | | C2509 | 2321 | -1 | -0.04 | 696,340 | 192,243 | 923,031 | -52,830 | | M2509 | 3095 | 9 | 0.29 | 1,166,151 | -14,759 | 1,838,499 | -12,733 | [3] 3.2 Option Market Data Statistics | Option Underlying | Trading Volume | Volume Change | Trading Volume PCR | PCR Change | Open Interest | Interest Change | Open Interest PCR | PCR Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Corn | 156,367 | 45,418 | 0.832 | 0.185 | 440,600 | 2,866 | 0.531 | -0.011 | | Soybean Meal | 384,182 | 52,110 | 0.479 | -0.106 | 898,113 | 22,626 | 0.615 | 0.011 | [8] 3.3 Option Volatility Situation | Variety | Option Weighted Implied Volatility (%) | Volatility Change (%) | Change Rate | 30 - Day Historical Volatility (%) | 30 - Day Volatility Quantile | | --- | --- | --- | --- | --- | --- | | Corn | 11.43 | 0.97 | 9.26% | 8.47 | 0.12 | | Soybean Meal | 18.30 | 2.02 | 12.38% | 11.46 | 0.03 | [17]