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. The commodity option implied volatility index is obtained by weighting the IV of the two - strike options around the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [3] - 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 [3] Group 2: Implied Volatility and Historical Volatility Graphs - The document presents graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as silver, soybean meal, corn, etc [4] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - 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 current IV is low. Volatility spread is the difference between the implied volatility index and historical volatility [5] - The document provides the implied volatility quantile rankings for different options, such as PVC with a quantile of 0.92, PTA with 0.39, etc [6]

Group 1: Introduction to Volatility Data - 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 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 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: Volatility Index Charts - Charts show the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options like silver, soybean meal, corn, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - 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 [4] - Quantile rankings are provided for different options such as PVC, PTA, 50ETF, 300 - stock index, etc [5]

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 ...

Market Review - The closing prices of the Shanghai 50, CSI 300, and CSI 1000 were 2808.5917, 4152.0247, and 6773.8843 respectively, with increases of 0.21%, 0.39%, and 0.65% [4]. - The trading volumes of the Shanghai 50, CSI 300, and CSI 1000 were 47.05 billion, 230.81 billion, and 259.26 billion respectively, and the trading turnovers were 1119.54 billion yuan, 4287.64 billion yuan, and 3837.04 billion yuan respectively [4]. CFFEX Stock Index Option Trading - For the Shanghai 50 index, the option trading volume was 2.62 million contracts (1.82 million for call options and 0.81 million for put options), with a PCR of 0.44. The option open interest was 7.05 million contracts (4.53 million for call options and 2.52 million for put options), with a PCR of 0.56 [4]. - For the CSI 300 index, the option trading volume was 7.11 million contracts (4.50 million for call options and 2.62 million for put options), with a PCR of 0.58. The option open interest was 19.17 million contracts (11.10 million for call options and 8.07 million for put options), with a PCR of 0.73 [4]. - For the CSI 1000 index, the option trading volume was 18.15 million contracts (10.00 million for call options and 8.15 million for put options), with a PCR of 0.81. The option open interest was 25.33 million contracts (12.87 million for call options and 12.46 million for put options), with a PCR of 0.97 [4]. Volatility Analysis - The historical volatility and next - month at - the - money implied volatility of the Shanghai 50, CSI 300, and CSI 1000 were analyzed, including the maximum, minimum, percentile values, and the volatility smile curve [8][10][13] Overall Market Situation - The Shanghai Composite Index rose 0.33% to 3609.71 points, the Shenzhen Component Index rose 0.64%, the ChiNext Index rose 1.86%, the Beijing Stock Exchange 50 rose 0.68%, the Science and Technology Innovation 50 rose 1.45%, the Wind All - A rose 0.45%, and the Wind A500 rose 0.43%, and the CSI A500 rose 0.5% [13]. - The A - share trading turnover for the day was 1.83 trillion yuan, compared with 1.77 trillion yuan the previous day [13]

Market Review - The closing prices and changes of major indices are as follows: SSE 50 closed at 2802.7674, up 0.26%; CSI 300 at 4135.8242, up 0.21%; CSI 1000 at 6729.979, up 0.35%. The trading volumes of these indices were 49.74 billion, 222.76 billion, and 252.74 billion respectively, with turnovers of 1145.71 billion yuan, 4067.93 billion yuan, and 3595.76 billion yuan [4]. - Regarding the trading situation of CFFEX stock index options, for SSE 50, the trading volume of put options was 1.05 million contracts, call options 2.09 million contracts, with a PCR of 0.50. The open interest was 6.92 million contracts, with 4.46 million call contracts and 2.46 million put contracts, and a PCR of 0.55. For CSI 300, the put option trading volume was 3.02 million contracts, call options 4.60 million contracts, PCR 0.66. The open interest was 18.81 million contracts, with 10.91 million call contracts and 7.89 million put contracts, and a PCR of 0.72. For CSI 1000, the put option trading volume was 8.30 million contracts, call options 9.81 million contracts, PCR 0.85. The open interest was 24.55 million contracts, with 12.55 million call contracts and 12.00 million put contracts, and a PCR of 0.96 [4]. Volatility Analysis SSE 50 Volatility - The historical volatility of SSE 50 is presented with various percentile values, including the maximum, minimum, 10%, 30%, 60%, 90% percentile values, and the current value. The next - month at - the - money implied volatility and the volatility smile curve are also shown [8][12]. CSI 300 Volatility - The historical volatility of CSI 300 shows different percentile values such as the maximum, minimum, 10%, 30%, 60%, 90% percentile values, and the current value. The next - month at - the - money implied volatility and the volatility smile curve are provided [12]. CSI 1000 Volatility - The historical volatility of CSI 1000 includes the maximum, minimum, 10%, 30%, 60%, 90% percentile values, and the current value. The next - month at - the - money implied volatility and the volatility smile curve are presented [12]. Overall Market Conditions - The Shanghai Composite Index rose 0.12% to 3597.94 points, the Shenzhen Component Index rose 0.44%, the ChiNext Index rose 0.96%, the Beijing Stock Exchange 50 fell 0.25%, the STAR 50 rose 0.09%, the Wind All - A rose 0.36%, the Wind A500 rose 0.33%, and the CSI A500 rose 0.3%. The total trading volume of A - shares for the day was 1.77 trillion yuan, compared with 1.82 trillion yuan the previous day [12].

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]