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 ...