Report Summary 1. Market Performance Review - The Shanghai Composite Index rose 0.34% to close at 3647.55 points, the Shenzhen Component Index rose 1.46%, the ChiNext Index rose 1.96%, the Beijing Stock Exchange 50 rose 1.18%, the Science and Technology Innovation 50 rose 0.59%, the Wind All A rose 0.99%, the Wind A500 rose 0.63%, and the CSI A500 rose 0.71% [10]. - A - share trading volume reached 1.85 trillion yuan throughout the day, compared with 1.74 trillion yuan the previous day [10]. 2. Index Performance Details | Index | Closing Price | Change (%) | Turnover (billion yuan) | Trading Volume (billion) | | --- | --- | --- | --- | --- | | SSE 50 | 2789.8959 | 0.03 | 903.34 | 43.48 | | CSI 300 | 4122.5106 | 0.43 | 3606.86 | 190.44 | | CSI 1000 | 6943.9366 | 1.55 | 4011.63 | 260.97 | [4] 3. CFFEX Stock Index Option Trading | Index | Option Trading Volume (million contracts) | Call Option Volume | Put Option Volume | PCR | Option Open Interest (million contracts) | Call Option Open Interest | Put Option Open Interest | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 4.49 | 2.81 | 1.68 | 0.60 | 7.81 | 5.09 | 2.72 | 0.53 | | CSI 300 | 11.64 | 7.49 | 4.15 | 0.55 | 21.19 | 12.10 | 9.09 | 0.75 | | CSI 1000 | 32.18 | 18.10 | 14.08 | 0.78 | 29.47 | 13.65 | 15.82 | 1.16 | [4] 4. Volatility Analysis - The report includes historical volatility chains and next - month at - the - money implied volatility smile curves for SSE 50, CSI 300, and CSI 1000 [6][8][10].

Market Overview - The Shanghai Composite Index dropped 0.33% to 3593.66 points, the Shenzhen Component Index declined 0.22%, the ChiNext Index fell 0.23%, the North Securities 50 Index rose 0.52%, the Science and Technology Innovation 50 Index increased 2.07%, the Wind All A Index dropped 0.13%, the Wind A500 Index declined 0.41%, and the CSI A500 Index fell 0.36%. A-share trading volume was 1.82 trillion yuan for the day, compared with 1.87 trillion yuan the previous day [11] Index Quotes Closing Price and Fluctuation - The Shanghai 50 Index closed at 2795.5127, down 0.60%; the CSI 300 Index closed at 4127.1634, down 0.53%; the CSI 1000 Index closed at 6706.6098, up 0.08% [4] Trading Volume and Turnover - The trading volume of the Shanghai 50 Index was 51.69 billion, with a turnover of 1140.43 billion yuan; the CSI 300 Index had a trading volume of 273.59 billion and a turnover of 4304.46 billion yuan; the CSI 1000 Index had a trading volume of 264.00 billion and a turnover of 3631.40 billion yuan [4] CFFEX Stock Index Option Trading Option Trading Volume - The trading volume of Shanghai 50 Index options was 3.43 million contracts, including 2.35 million call options and 1.07 million put options, with a PCR of 0.46; the CSI 300 Index options had a trading volume of 7.29 million contracts, including 4.53 million call options and 2.76 million put options, with a PCR of 0.61; the CSI 1000 Index options had a trading volume of 15.39 million contracts, including 8.99 million call options and 6.40 million put options, with a PCR of 0.71 [4] Option Open Interest - The open interest of Shanghai 50 Index options was 6.73 million contracts, including 4.39 million call options and 2.34 million put options, with a PCR of 0.53; the CSI 300 Index options had an open interest of 18.37 million contracts, including 10.74 million call options and 7.63 million put options, with a PCR of 0.71; the CSI 1000 Index options had an open interest of 23.87 million contracts, including 12.24 million call options and 11.63 million put options, with a PCR of 0.95 [4] Volatility Analysis Shanghai 50 Volatility - Includes historical volatility analysis and the next - month at - the - money implied volatility and volatility smile curve analysis [9] CSI 300 Volatility - Includes historical volatility analysis and the next - month at - the - money implied volatility and volatility smile curve analysis [9] CSI 1000 Volatility - Includes historical volatility analysis and the next - month at - the - money implied volatility and volatility smile curve analysis [9]

Market Review - The closing price of SSE 50 was 2801.2002, up 0.32%, with a trading volume of 6.793 billion and a turnover of 130.89 billion yuan; the closing price of CSI 300 was 4119.7685, up 0.02%, with a trading volume of 30.051 billion and a turnover of 470.331 billion yuan; the closing price of CSI 1000 was 6607.22, down 0.45%, with a trading volume of 29.411 billion and a turnover of 378.33 billion yuan [4] - The option trading volume of SSE 50 was 5.54 million contracts (4.15 million call options and 1.39 million put options, PCR 0.34), and the open interest was 5.97 million contracts (3.86 million call options and 2.11 million put options, PCR 0.55); the option trading volume of CSI 300 was 13.33 million contracts (9.02 million call options and 4.31 million put options, PCR 0.48), and the open interest was 16.7 million contracts (9.78 million call options and 6.92 million put options, PCR 0.71); the option trading volume of CSI 1000 was 22.52 million contracts (13.56 million call options and 8.96 million put options, PCR 0.66), and the open interest was 22.54 million contracts (11.77 million call options and 10.77 million put options, PCR 0.92) [4] Overall Market Conditions - The Shanghai Composite Index rose 0.01% to 3582.3 points, the Shenzhen Component Index fell 0.37%, the ChiNext Index fell 0.01%, the CSI 300 rose 0.02%, the North Star 50 fell 1.58%, the STAR 50 rose 0.45%, the Wind All - A Index fell 0.28%, the Wind 8500 Index fell 0.1%, and the CSI A500 fell 0.1%. The total trading volume of A - shares throughout the day was 1.9 trillion yuan, compared with 1.93 trillion yuan the previous day [9][11]

Market Performance Summary - The Shanghai Composite Index closed down 14.65 points, a decline of 0.42%, at 3505.0 points, with a turnover of 646.852 billion yuan [8] - The Shenzhen Component Index closed up 60.04 points, a gain of 0.56%, at 10744.56 points, with a turnover of 965.212 billion yuan [8] - The ChiNext Index closed up 37.98 points, a gain of 1.73%, at 2235.05 points, with a turnover of 447.444 billion yuan [8] - The CSI 300 closed up 1.39 points, a gain of 0.03%, at 4019.06 points, with a turnover of 353.525 billion yuan [4][8] Index Details Index Closing Prices and Changes - The Shanghai Stock Exchange 50 Index closed at 2747.2269, down 0.38% with a turnover of 79.806 billion yuan and a trading volume of 4.117 billion [4] - The CSI 300 Index closed at 4019.0644, up 0.03% with a turnover of 353.525 billion yuan and a trading volume of 19.104 billion [4] - The CSI 1000 Index closed at 6442.834, down 0.30% with a turnover of 347.378 billion yuan and a trading volume of 26.987 billion [4] CFFEX Stock Index Option Trading - For the Shanghai Stock Exchange 50 Index, put option trading volume was 2.16 million contracts, call option trading volume was 3.39 million contracts, daily trading volume was 5.55 million contracts (PCR 0.64), option open interest was 7.36 million contracts, call option open interest was 4.64 million contracts, put option open interest was 2.72 million contracts (PCR 0.59) [4] - For the CSI 300 Index, put option trading volume was 4.91 million contracts, call option trading volume was 7.80 million contracts, daily trading volume was 12.71 million contracts (PCR 0.63), option open interest was 19.63 million contracts, call option open interest was 11.30 million contracts, put option open interest was 8.33 million contracts (PCR 0.74) [4] - For the CSI 1000 Index, put option trading volume was 12.79 million contracts, call option trading volume was 14.76 million contracts, daily trading volume was 27.55 million contracts (PCR 0.87), option open interest was 28.27 million contracts, call option open interest was 14.21 million contracts, put option open interest was 14.06 million contracts (PCR 0.99) [4] Volatility Analysis - Volatility analysis was conducted on the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index including historical volatility chains, maximum and minimum values, percentile values, and next - month at - the - money implied volatility [8][10]

Market Overview - The Shanghai Composite Index closed up 9.47 points, a 0.27% increase, at 3519.65 points, with a turnover of 623.102 billion yuan; the Shenzhen Component Index closed down 11.58 points, a 0.11% decrease, at 10684.52 points, with a turnover of 835.648 billion yuan; the ChiNext Index closed down 10.03 points, a 0.45% decrease, at 2197.07 points, with a turnover of 387.28 billion yuan; the CSI 300 closed up 2.86 points, a 0.07% increase, at 4017.67 points, with a turnover of 321.416 billion yuan [13] Index Futures and Options Data Index Futures | Index | Closing Price | Change (%) | Turnover (billion yuan) | Volume (billion) | | --- | --- | --- | --- | --- | | SSE 50 | 2757.808 | 0.04 | 900.39 | 51.49 | | CSI 300 | 4017.6678 | 0.07 | 3214.16 | 207.92 | | CSI 1000 | 6462.3051 | 0.02 | 3026.37 | 242.06 | [4] Index Options | Index | Call Option Volume (million contracts) | Put Option Volume (million contracts) | Daily Volume (million contracts) | PCR (Volume) | Option Open Interest (million contracts) | Call Option Open Interest (million contracts) | Put Option Open Interest (million contracts) | PCR (Open Interest) | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.34 | 1.18 | 3.52 | 0.50 | 7.28 | 4.48 | 2.79 | 0.62 | | CSI 300 | 4.60 | 2.77 | 7.37 | 0.60 | 19.48 | 11.15 | 8.33 | 0.75 | | CSI 1000 | 8.65 | 6.89 | 15.53 | 0.80 | 28.15 | 13.91 | 14.24 | 1.02 | [4] Volatility Analysis SSE 50 Volatility - Historical volatility analysis shows the range of historical volatility, including minimum, maximum, and different percentile values from 2025 - 02 - 27 to 2025 - 06 - 27 for different time - frames (5 - day, 20 - day, etc.) - The next - month at - the - money implied volatility smile curve is presented with specific values at different strike prices [8][9][10] CSI 300 Volatility - Similar to SSE 50, historical volatility analysis shows the range of historical volatility for different time - frames from 2025 - 02 - 27 to 2025 - 06 - 27 - The next - month at - the - money implied volatility smile curve is presented with specific values at different strike prices [10][11][12] CSI 1000 Volatility - Historical volatility analysis shows the range of historical volatility for different time - frames from 2025 - 02 - 27 to 2025 - 06 - 27 - The next - month at - the - money implied volatility smile curve is presented with specific values at different strike prices [13]

权教据日报 etif = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 = 0 =: F0251925 投资咨询业务资格:证监许可【2012】31号 ITG国贸期 1.2 - J 0.8 0.6 0.4 0.2 中证1000PCR走势 1.2 08 0.6 0 4 0.2 手 PCR 上证50波动率分析 上证50历史波动率 力史波动率链 0.5 -最大值 露小值 -- 10%分位值 0.45 30%分位值 -- 60%分位值 · 当前值 0.4 90%分位值 0.35 0.3 80% 0.25 70% 0.2 eole 50% 0.15 40% 0.1 30% 0.05 20% 0 10% 2025-02-24 2025-03-24 2025-04-24 2025-05-24 2025-06-24 0% -HV5 - HV20 - 20日 40日 120日 - HAEO 日 eo目 上证50下月平值隐波 波动车微笑曲线 0.4 - 250 ...

数据来源: Wind,国贸期货研究院 投资咨询业务资格:证监许可【2012】31号 IIG 国兴期 权教据日报 CI + m = =: F0251925 2025/7/4 | | 行情回顾 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 指数 | 收盘价 | | 张肤帽(%) | | 成交额(亿元) | | 成交里(亿) | | | 上证50 | 2724. 5488 | | 0. 07 | | 599. 17 | | 32. 27 | | | 沪深300 | 3968. 0676 | | 0. 62 | | 2696. 10 | | 141.00 | | | 中证1000 | 6342. 638 | | 0.53 | | 2704. 92 | | 213.98 | | | | 中金所股指期权成交情况 | | | | | | | | | 指数 | 期权成交望 | 认购期权 | 认沽期权 | 日成交堂 | 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 ...

Market Performance Summary - The Shanghai Composite Index closed up 0.7% at 3363.45 points, the Shenzhen Component Index rose 1.24%, the ChiNext Index rose 1.37%, the Beijing Stock Exchange 50 rose 62.73%, the Science and Technology Innovation 50 rose 1.61%, and the CSI A500 rose 0.77% [8] - A-share trading volume was 1.21 trillion yuan, compared with 1.03 trillion yuan the previous day [8] Index Quotes Index Price and Change - The closing price of the SSE 50 was 2690.8926, up 0.29%, with a trading volume of 532.80 billion yuan and a turnover of 27.47 billion [4] - The closing price of the CSI 300 was 3858.6998, up 0.59%, with a trading volume of 2094.60 billion yuan and a turnover of 108.47 billion [4] - The closing price of the CSI 1000 was 6089.5778, up 1.76%, with a trading volume of 2325.76 billion yuan and a turnover of 189.38 billion [4] Index Option Trading - For the SSE 50 options, the trading volume was 2.22 million contracts, with 1.39 million call options and 0.83 million put options. The PCR was 0.60, and the open interest was 6.13 million contracts, with 3.73 million call options and 2.40 million put options, and the PCR was 0.64 [4] - For the CSI 300 options, the trading volume was 5.70 million contracts, with 3.55 million call options and 2.15 million put options. The PCR was 0.60, and the open interest was 16.55 million contracts, with 9.87 million call options and 6.68 million put options, and the PCR was 0.68 [4] - For the CSI 1000 options, the trading volume was 19.68 million contracts, with 10.06 million call options and 9.63 million put options. The PCR was 0.96, and the open interest was 25.14 million contracts, with 13.09 million call options and 12.06 million put options, and the PCR was 0.92 [4] Volatility Analysis SSE 50 Volatility - The historical volatility of the SSE 50 is presented in a historical volatility chain, showing minimum, maximum, 10%, 30%, 60%, 90% percentile values, and the current value [6][8] - The next - month at - the - money implied volatility and the volatility smile curve are also analyzed [8] CSI 300 Volatility - The historical volatility of the CSI 300 is presented in a historical volatility chain, showing minimum, maximum, 10%, 30%, 60%, 90% percentile values, and the current value [8] - The next - month at - the - money implied volatility and the volatility smile curve are also analyzed [8] CSI 1000 Volatility - The historical volatility of the CSI 1000 is presented in a historical volatility chain, showing minimum, maximum, 10%, 30%, 60%, 90% percentile values, and the current value [8] - The next - month at - the - money implied volatility and the volatility smile curve are also analyzed [8]