2025 年 9 月 17 日 股票股指期权：上行升波，隐波升高至中高分 位，可考虑逢低建仓买权保护。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 资料来源：Wind、国泰君安期货研究 国 泰 君 安 期 货 研 究 所 请务必阅读正文之后的免责条款部分 1 金融衍生品研究 金 融 衍 生 品 研 究 【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 | 成交变化 | 当月 | | 次月 | 次月基差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | 手) | (亿手) | 合成期货 | 当月基差 | 合成期货 | | | 上证50指数 | 2952.78 | 4.96 | 56.67 | -0.97 | 2957.07 | 4.29 | 2958.00 | 5.22 | | 沪深300指数 | 4551.02 | 27.69 | 235.72 | -13.55 | 4553.33 | 2.31 | 4545.67 | -5.36 ...

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The report presents a daily overview of the stock index options market including option trading volume, PCR, and VIX data for various types of stock index options on September 16, 2025 [1][2][3] 3. Summary According to Relevant Catalogs 3.1 Option Trading Volume - On September 16, 2025, the trading volumes of different options were as follows: Shanghai - Shenzhen 300ETF options (Shanghai market) had 111.43 million contracts; CSI 500ETF options (Shanghai market) had 136.31 million contracts; Shenzhen 100ETF options had 11.45 million contracts; ChiNext ETF options had 204.60 million contracts; Shanghai - Shenzhen 50ETF options had 87.34 million contracts; Shanghai - Shenzhen 50 stock index options had 3.75 million contracts; Shanghai - Shenzhen 300 stock index options had 13.37 million contracts; and CSI 1000 options had 37.50 million contracts [1] - A table also showed the call, put, and total trading volumes of various stock index ETF options on the same day [19] 3.2 Option PCR - The PCR data of different options on September 16, 2025, were presented. For example, the turnover PCR of Shanghai - Shenzhen 50ETF options was 0.73 with a + 0.14 change compared to the previous period, and the position PCR was 0.81 with a - 0.03 change [2] - Similar data were provided for other options such as Shanghai - Shenzhen 300ETF options, CSI 500ETF options, etc [2] 3.3 Option VIX - The VIX data of different options on September 16, 2025, were given. For instance, the VIX of Shanghai - Shenzhen 50ETF options was 19.45% with a + 0.07% change compared to the previous period [3] - Other options like Shanghai - Shenzhen 300ETF options, CSI 500ETF options also had their respective VIX values and changes presented [3]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The report presents the trading data of various index options on September 15, 2025, including trading volume, PCR, and VIX, to help investors understand the market conditions of index options [1][2][3] Summary by Directory Option Trading Volume - On September 15, 2025, the trading volume of Shanghai Stock Exchange 50 ETF options was 1.1156 million contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 1.3422 million contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 2.1128 million contracts; the trading volume of Shenzhen 100 ETF options was 0.1266 million contracts; the trading volume of ChiNext ETF options was 1.9948 million contracts; the trading volume of Shanghai Stock Exchange 50 index options was 0.0346 million contracts; the trading volume of CSI 300 index options was 0.1549 million contracts; the total trading volume of CSI 1000 options was 0.2504 million contracts [1] Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.60, with a month - on - month change of +0.14; the position PCR was reported at 0.84, with a month - on - month change of +0.00. Similar data for other options are also provided, showing different changes in turnover PCR and position PCR [2] Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 19.38%, with a month - on - month change of +0.56%. The VIX and its month - on - month changes of other options are also presented, such as the VIX of CSI 300 ETF options (Shanghai market) was 20.29%, with a month - on - month change of +0.70% [3]

股指期权日报 | 2025-09-15 股指期权日报 股指期权市场概况 2025年期货市场研究报告 第1页 请仔细阅读本报告最后一页的免责声明 期权成交量 2025-09-12，上证50ETF期权成交量为160.39万张；沪深300ETF期权（沪市）成交量为194.49万张； 中证500ETF期权（沪市）成交量为231.13万张；深证100ETF期权成交量为16.61万张； 创业板ETF期权成交量为216.49万张；上证50股指期权成交量为4.90万张； 沪深300股指期权成交量为21.88万张；中证1000期权总成交量为38.00万张。 期权PCR 上证50ETF期权成交额PCR报0.45，环比变动为-0.09；持仓量PCR报0.85，环比变动为-0.06； 沪深300ETF期权（沪市）成交额PCR报0.38，环比变动为-0.08；持仓量PCR报1.14，环比变动为-0.15； 中证500ETF期权（沪市）成交额PCR报0.45，环比变动为-0.08；持仓量PCR报1.26，环比变动为+0.02 ； 深圳100ETF期权成交额PCR报0.47 ，环比变动为+0.10；持仓量PCR报1.18；环比变动为-0. ...

Report Summary 1. Investment Rating - No investment rating information is provided in the report. 2. Core View - The report provides a daily overview of the stock index options market, including option trading volume, PCR (Put - Call Ratio), and VIX (Volatility Index) for various types of stock index options on September 11, 2025 [1][2][3]. 3. Section Summaries Option Trading Volume - On September 11, 2025, the trading volumes of different stock index options were as follows: Shanghai - Shenzhen 300 ETF options (Shanghai market) had 115.36 million contracts; CSI 500 ETF options (Shanghai market) had 169.68 million contracts; Shenzhen 100 ETF options had 11.73 million contracts; ChiNext ETF options had 328.33 million contracts; SSE 50 stock index options had 5.37 million contracts; Shanghai - Shenzhen 300 stock index options had 11.94 million contracts; and CSI 1000 options had 42.96 million contracts [1]. - The detailed breakdown of call, put, and total trading volumes for each option type is also presented. For example, for SSE 50 ETF options, call volume was 92.00 million, put volume was 68.39 million, and total volume was 160.39 million [21]. Option PCR - The report shows the put - call ratio (PCR) of turnover and open interest for different stock index options. For instance, the turnover PCR of SSE 50 ETF options was 0.54, with a - 0.15 change compared to the previous period, and the open - interest PCR was 0.91, with a + 0.05 change [2][35]. Option VIX - The VIX values and their changes for different stock index options are reported. For example, the VIX of SSE 50 ETF options was 19.68%, with a + 2.19% change compared to the previous period [3][50].

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoint No information provided. 3. Summary by Directory I. Option Trading Volume - On September 10, 2025, the trading volumes of various index options were as follows: 1.0867 million contracts for SSE 50 ETF options, 1.2034 million contracts for SSE CSI 300 ETF options, 1.6179 million contracts for SSE CSI 500 ETF options, 0.1152 million contracts for Shenzhen 100 ETF options, 2.2872 million contracts for ChiNext ETF options, 0.034 million contracts for SSE 50 index options, 0.1289 million contracts for CSI 300 index options, and 0.3011 million contracts for CSI 1000 index options [1]. - The detailed trading volumes including call and put options are presented in Table 1. For example, the call and put trading volumes of SSE 50 ETF options were 0.4827 million and 0.4762 million contracts respectively, with a total of 0.9589 million contracts [21]. II. Option PCR - The PCR values of various index options and their环比 changes are as follows: For SSE 50 ETF options, the turnover PCR was 0.68 (环比 change -0.11), and the open - interest PCR was 0.85 (环比 change +0.02); for SSE CSI 300 ETF options, the turnover PCR was 0.67 (环比 change -0.02), and the open - interest PCR was 1.12 (环比 change +0.03); etc. [2][36]. III. Option VIX - The VIX values of various index options and their环比 changes are as follows: The VIX of SSE 50 ETF options was 17.49% (环比 change -0.98%); the VIX of SSE CSI 300 ETF options was 18.06% (环比 change -0.79%); etc. [3][51].

Report Industry Investment Rating - No relevant information provided Core Viewpoint - No core viewpoints are explicitly stated in the provided content Summary by Directory Option Trading Volume - On September 9, 2025, the trading volume of Shanghai Stock Exchange 50 ETF options was 944,700 contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 1,150,200 contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 1,591,200 contracts; the trading volume of Shenzhen 100 ETF options was 163,100 contracts; the trading volume of ChiNext ETF options was 2,209,900 contracts; the trading volume of Shanghai Stock Exchange 50 index options was 36,300 contracts; the trading volume of CSI 300 index options was 131,600 contracts; and the total trading volume of CSI 1000 options was 291,600 contracts [1] - The table also shows the call, put, and total trading volumes of various index ETF options on the same day [21] Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.79, with a month - on - month change of +0.18; the position PCR was reported at 0.83, with a month - on - month change of +0.02. Similar data for other types of options are also provided, including CSI 300 ETF options (Shanghai market), CSI 500 ETF options (Shanghai market), Shenzhen 100 ETF options, ChiNext ETF options, Shanghai Stock Exchange 50 index options, CSI 300 index options, and CSI 1000 index options [2][30] Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 18.47%, with a month - on - month change of - 0.84%. The VIX of CSI 300 ETF options (Shanghai market) was reported at 18.85%, with a month - on - month change of - 1.10%. Similar data for other types of options are also provided, including CSI 500 ETF options (Shanghai market), Shenzhen 100 ETF options, ChiNext ETF options, Shanghai Stock Exchange 50 index options, CSI 300 index options, and CSI 1000 index options [3][44]

Report Industry Investment Rating - Not provided in the given content Core Viewpoint - The stock index options show an upward trend with declining volatility, indicating a decrease in the market's concern about a downward trend [1] Summary by Related Catalogs Market Data Statistics - **Underlying Market Statistics**: The closing prices of major indices and ETFs all increased, with the CSI 1000 Index rising 204.51 points to 7245.67. Trading volumes generally decreased, such as the Shanghai - Shenzhen 300 Index with a volume change of - 58.31 billion hands [1] - **Option Market Statistics**: Trading volumes and open interests of various options decreased. For example, the trading volume of SSE 50 Index Options decreased by 37,944 to 56,278, and the open interest decreased by 2,790 to 97,398. The VL - PCR and OI - PCR values varied among different options [1] Option Volatility Statistics - **Near - month Options**: The ATM - IV of most options decreased, like the SSE 50 Index Options with a - 2.22% change. The HV also showed different trends, with some increasing and some decreasing [4] - **Next - month Options**: Similar to near - month options, the ATM - IV of most next - month options decreased, while the HV generally increased [4] Option Types Analysis - **SSE 50 Index Options**: Presented data on PCR, skew, volatility cone, and volatility term structure through multiple charts [7][8] - **CSI 300 Index Options**: Similar to SSE 50 Index Options, with relevant data presented in corresponding charts [11][12] - **CSI 1000 Index Options**: Showed data on PCR, skew, volatility cone, and volatility term structure in charts [14][15] - **SSE 50 ETF Options**: Analyzed through charts including PCR, skew, volatility cone, and volatility term structure [18][19] - **Huatai - Berry 300ETF Options**: Similar analysis methods with corresponding chart data [22][23] - **Southern CSI 500ETF Options**: Presented data through various charts for analysis [28][32] - **Huaxia Science and Technology Innovation 50ETF Options**: Analyzed using multiple charts [34][36] - **E Fund Science and Technology Innovation 50ETF Options**: Similar to the above, with data presented in charts [39][44] - **Harvest 300ETF Options**: Analyzed through relevant charts [45][46] - **Harvest CSI 500ETF Options**: Presented data in charts for analysis [49][50] - **ChiNext ETF Options**: Analyzed using multiple charts [54][57] - **Shenzhen 100ETF Options**: Similar analysis with chart - based data [59][60]

Report Overview - The report is an index option daily report, covering information on option trading volume, PCR, and VIX in the index option market on September 4, 2025 [1] 1. Report Industry Investment Rating - Not provided in the report 2. Report's Core View - Not provided in the report 3. Summary by Relevant Catalogs Option Trading Volume - On September 4, 2025, the trading volume of Shanghai Stock Exchange 50 ETF options was 1.6938 million contracts; for CSI 300 ETF options (Shanghai market), it was 1.5669 million contracts; for CSI 500 ETF options (Shanghai market), it was 2.3131 million contracts; for Shenzhen 100 ETF options, it was 0.2733 million contracts; for ChiNext ETF options, it was 3.5481 million contracts; for Shanghai Stock Exchange 50 index options, it was 0.0866 million contracts; for CSI 300 index options, it was 0.1820 million contracts; for CSI 1000 options, the total trading volume was 0.4443 million contracts [1] - The detailed trading volume data also includes the call and put trading volumes and total trading volumes of various options [22] Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.87, with a month - on - month change of +0.26; the position PCR was reported at 0.81, with a month - on - month change of - 0.07. Similar data are provided for other types of options [2][31] Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 21.47%, with a month - on - month change of +0.43%. Similar data are provided for other types of options [3][44]

Report Title - The report is titled "Stock Index Options Daily Report" and is dated September 4, 2025 [21][48] Report Industry Investment Rating - No industry investment rating is provided in the report Core View - The report presents the trading data of various stock index options on September 3, 2025, including trading volume, PCR (Put-Call Ratio), and VIX (Volatility Index), along with their respective changes compared to the previous period Summary by Directory 1. Option Trading Volume - On September 3, 2025, the trading volume of Shanghai Stock Exchange 50 ETF options was 1.377 million contracts; the trading volume of Shanghai Stock Exchange 300 ETF options was 1.5928 million contracts; the trading volume of Shanghai Stock Exchange 500 ETF options was 2.4388 million contracts; the trading volume of Shenzhen 100 ETF options was 0.2384 million contracts; the trading volume of ChiNext ETF options was 2.6177 million contracts; the trading volume of Shanghai Stock Exchange 50 stock index options was 0.0684 million contracts; the trading volume of Shanghai Stock Exchange 300 stock index options was 0.1909 million contracts; and the total trading volume of China Securities 1000 options was 0.3786 million contracts [1] 2. Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.61, with a month-on-month change of +0.14; the position PCR was reported at 0.88, with a month-on-month change of -0.06. Similar data for other options are also provided, including Shanghai Stock Exchange 300 ETF options, Shanghai Stock Exchange 500 ETF options, Shenzhen 100 ETF options, ChiNext ETF options, Shanghai Stock Exchange 50 stock index options, Shanghai Stock Exchange 300 stock index options, and China Securities 1000 stock index options [2][32] 3. Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 21.04%, with a month-on-month change of -1.63%. Similar data for other options are also provided, including Shanghai Stock Exchange 300 ETF options, Shanghai Stock Exchange 500 ETF options, Shenzhen 100 ETF options, ChiNext ETF options, Shanghai Stock Exchange 50 stock index options, Shanghai Stock Exchange 300 stock index options, and China Securities 1000 stock index options [3][46]