Market Overview - The A-share market experienced narrow fluctuations on December 23, with the Shanghai Composite Index rising by 0.07%, the ChiNext Index increasing by 0.41%, and the STAR Market Index up by 0.36% [1] - The total trading volume in the Shanghai and Shenzhen markets reached 1.91 trillion yuan, with over 3,800 stocks declining, indicating a generally subdued market atmosphere [1] Sector Performance - Sectors such as batteries, energy metals, precious metals, and non-metallic materials showed the highest gains, while tourism and hotels, education, military industry, food and beverage, and software development sectors faced the largest declines [1] Options Market Activity - The total options trading volume in the Shanghai and Shenzhen markets and the China Financial Futures Exchange was 7.5541 million contracts, a decrease of 5.95% from the previous trading day, while total open interest rose by 9.96% to 10.5698 million contracts [1] - The trading volume of the SSE 50 ETF options significantly increased by 20.91%, with open interest rising by 11.79% [1] - For the January contracts, a total of 108,500 contracts were added, with call options increasing by 47,900 contracts and put options by 60,600 contracts, indicating a bullish short-term outlook for the SSE 50 Index [1] Specific Index Options - The overall trading volume of the CSI 300 options decreased, while open interest increased, with the Shenzhen Stock Exchange CSI 300 ETF options open interest rising by 20.93% and the Shanghai Stock Exchange by 12.35% [2] - The trading volume for the Shenzhen Stock Exchange CSI 300 ETF options fell by 21.67%, while the Shanghai Stock Exchange saw a minor decrease of 0.28% [2] - The January contracts for the Shanghai Stock Exchange CSI 300 ETF options saw a total increase of 122,700 contracts, with both call and put options seeing significant additions [2] Volatility Insights - Implied volatility showed a downward trend throughout the day, with the SSE 50 ETF at 10.45% and historical volatility at 10.59% for the SSE 50 ETF and 13.48% for the CSI 300 Index [3] - There was a notable increase in open interest for both call and put options in out-of-the-money and near-the-money positions, indicating heightened expectations for significant price movements in the underlying assets [3]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - On December 19, the A-share market fluctuated higher. Hainan local stocks saw a wave of limit - up, and many high - position stocks tumbled at the end of the session. The Shanghai Composite Index rose 0.36% to close at 3890.45 points, the Shenzhen Component Index rose 0.66%, the ChiNext Index rose 0.49%, the Northbound 50 Index rose 0.99%, the Science and Technology Innovation 50 Index rose 0.2%, the Wind All - A Index rose 0.8%, the Wind A500 Index rose 0.52%, and the CSI A500 Index rose 0.55%. The A - share trading volume for the day was 1.75 trillion yuan, compared with 1.68 trillion yuan the previous day [5] 3. Summary by Relevant Catalogs Market Review - **Index Performance**: The closing price of the Shanghai 50 Index was 949.40, with a daily increase of 36.61, a trading volume of 3004.3401 billion yuan, and a turnover of 0.19 billion. The closing price of the CSI 300 Index was 4568.1781, with a daily increase of 0.34, a trading volume of 154.88 billion yuan, and a turnover of 0.79 billion. The closing price of the CSI 1000 Index was 7329.8057, with a daily increase of 219.21 [3] - **CFFEX Stock Index Option Trading Situation**: For the Shanghai 50 Index, the call option trading volume was 3.47 million contracts, the put option trading volume was 5.58 million contracts, the call option open interest was 3.89 million contracts, the put option open interest was 2.39 million contracts, and the open interest PCR was 0.63. For the CSI 300 Index, the call option trading volume was 15.02 million contracts, the put option trading volume was 0.62 million contracts, the call option open interest was 8.05 million contracts, and the open interest PCR was 0.65. For the CSI 1000 Index, the call option trading volume was 32.84 million contracts, the put option trading volume was 17.11 million contracts, the call option open interest was 22.82 million contracts, the put option open interest was 11.80 million contracts, and the open interest PCR was 0.93 [3] Volatility Analysis - **Shanghai 50 Volatility**: The historical volatility cone shows the current value and different percentile values (10%, 30%, 60%, 90%, etc.) of historical volatility. The volatility smile curve for the next - month at - the - money implied volatility of the Shanghai 50 Index is presented [3][4] - **CSI 300 Volatility**: Similar to the Shanghai 50 Index, the historical volatility cone and the volatility smile curve for the next - month at - the - money implied volatility of the CSI 300 Index are provided [3][4] - **CSI 1000 Volatility**: The historical volatility cone and the volatility smile curve for the next - month at - the - money implied volatility of the CSI 1000 Index are also shown [3][4]

Group 1: General Information - The report is the Volatility Data Daily Report from the Options Headquarters of Yong'an Futures, with an update time of December 19, 2025 [1][2] Group 2: Implied Volatility Index and Historical Volatility - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - level 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: a larger difference indicates that the implied volatility is relatively higher than the historical volatility, and a smaller difference means the opposite [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - The implied volatility quantile represents the current level of the implied volatility of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [5] - Volatility spread = implied volatility index - historical volatility [5]

Core Viewpoint - The article introduces the Short Butterfly Spread strategy as a solution for traders facing challenges in predicting stock price movements, allowing for a low-cost entry with potential profits in both directions and high flexibility for adjustments before expiration [1][2]. Strategy Composition - The Short Butterfly Spread involves trading three options: selling one lower strike Call (X1) for premium (C1), selling one higher strike Call (X3) for premium (C3), and buying two middle strike Calls (X2) at a cost of 2*C2. The relationship between strike prices is defined as X2 = (X1 + X3)/2, ensuring that the middle strike is the average of the other two [1][4]. - The initial net premium income from this strategy is calculated as: Net Income = C1 + C3 - 2*C2, with a specific trading ratio of Call1 (sell) : Call3 (sell) : Call2 (buy) = 1:1:2 [1][4]. Investment Significance - The core of the strategy is to profit from small price fluctuations of the underlying asset before the options expire. It combines elements of both Bull Call Spread and Bear Call Spread, making it a neutral strategy that can yield profits regardless of the stock's direction as long as there is sufficient volatility [2][5]. Profit and Loss Characteristics - The maximum loss is calculated as: Max Loss = (X2 - X1)*100 - Net Income, while maximum profit occurs when the stock price is below X1 or above X3, equating to the net income received at the outset [5][4]. - The strategy is characterized by low risk and high win rates, making it suitable for markets that are at the end of a consolidation phase, where volatility is expected to increase [5][6]. Practical Application - An example scenario is provided where a stock priced at $315 is analyzed. The strategy involves selling a Call at $315, selling another Call at $325, and buying two Calls at $320, resulting in a net income of $65. The break-even points are calculated as $315.65 and $324.35 [6][8]. - Various scenarios illustrate potential outcomes based on stock price movements, demonstrating how the strategy can yield maximum profit or incur losses depending on the price at expiration [8][9]. Usage Recommendations - It is suggested to select options with expiration dates of 30-45 days to allow sufficient time for price movements while minimizing excessive theta decay [12][14]. - The article advises entering the strategy when implied volatility is low and to avoid opening positions too close to significant events to maximize potential gains from volatility increases [13][14].

股指期权数据日报 ITG国贸期货 80% 0.2 70% 60% 0.15 50% 0.1 40% 30% 0.05 20% 0 10% 2025-07-31 2025-08-31 2025-09-30 2025-10-31 2025-11-30 0% HV5 - HV20 HV60 5日 20日 40日 60日 120日 波动率微笑曲线 上证50下月平值隐波 0.28 2512 2511 0.26 0.24 00 0.22 0.2 0.18 0.16 0.14 0.12 0.1 2325 2400 2475 2600 沪深300波动率分析 沪深300历史波动率 历史波动率锥 0.25 ·30%分位值 最小值 10%分位值 最大值 [ ·60%分位值 当前值 90%分位值 ● 0.2 100% 90% 0.15 80% 70% 0.1 60% 50% 0.05 40% 30% 20% 0 10% 2025-07-31 2025-08-31 2025-09-30 2025-10-31 2025-11-30 0% HV5 - HV20 HV60 5日 20日 40日 60日 120日 波动率微笑曲线 沪深300下 ...

Group 1: Implicit Volatility Index and Its Relationship with Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the implied volatilities of the upper and lower two - strike prices of the at - the - money options in 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 the implied volatility is relatively higher, and a smaller difference means the implied volatility is relatively lower [3] Group 2: Implied Volatility Quantile and Volatility Spread Quantile Ranking - The implied volatility quantile represents the current level of the implied volatility of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means the implied volatility is low. The volatility spread refers to the implied volatility index minus the historical volatility [5]

、隐波指教分位教与波动军价差分位数排名图 1 ↓ 隐波分位数代表当前品种隐波在历史上的水平 • 分位数高代表当前稳波偏高 • 分位数低代表稳波偏低 • 2 • 波动率价差书急疫指数•历史玻 动率。 隐含波动率分位数排名 历史波动率分位数排名 波动率数据日报 永安期货期权总部 更新时间:2025/12/10 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。 70 -300股指 -- 300股指 IV-HV美 IV-HV差 - 50ETF - 50ETF 20 20 IV-HV美 - 1000股指 -- 1000股指 500ETF - 500ETF IV-HV 70 10 20 10 IV-HV美 日报 rtat IV-HV美 low a OSSALS 60 - 豆粕 IV-HV差 直播 IV-HV差 玉米 王米 30 50 20 30 20 40 10 10 ...

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波动率数据日报 永安期货期权总部 隐含波动率分位数排名 历史波动率分位数排名 0. 72 更新时间: 2025/12/5 、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。 70 300股指 -- 300股指 IV-HV差 - 50ETF - 50ETF IV-HV美 ZD 20 -- 1000股指 IV-HV差 500ETF - 500ETF -- 1000股指 IV-HV美 ZID 10 20 10 日报 IV-HV美 IV-HV美 tte SISTING 60 40 豆粕 IV-HV差 塑和 IV-HV差 玉米 王米 30 50 20 20 30 40 10 10 0 10 10 IC ·40 40 0 30 10 30 40 IV-HV美 白糖 白糖 30 25 IV-HV差 棉花 棉花 25 20 20 20 10 15 5 0 10 10 TO 2 ...

波动率数据日报 永安期货期权总部 更新时间: 2025/12/3 一、隐含波动率指数、历史波动率及其价差走势图 0.80 ईम्न 65 0.59 PTA 0.71 45 0.40 15 0.68 50ETF 0.30 五年 0.57 PTA 0.26 白街 0.24 PVC | 0.15 天峻 0.16 r 天殿 0.12 300粒指 0.11 下米 0.10 雪 好 0.08 铁,4,6 0.05 50ETF 0.08 台新 0.05 线,46 0.04 L 雄花 PVC 0.01 0.00 棒花 互能 0.00 0 0.2 03 0.1 0.4 05 0.6 0.7 0.8 0 a 0.1 0 0.3 0.6 0.7 0.8 1 0.2 0.4 0.5 0 a 1 免费声明:本文所有内得均不符成改造仪、对文中信息的准确推料免费性不作任何保证;仅供学习交流。技资录像此作出的任何投资决策与产企司无关、授权仪为我 公司所有、未来市面许可。任何比高科个人不得以年同形式相談。提到发布。如引用、行发、规定明出处为水安和货公司、且不得进行有浮聚富的引用、量节科健改。 0.81 1、金融期权隐含波动率指数反映截止上一交 ...