Core View - The report provides data on the implied volatility index, historical volatility, and their spreads of financial and commodity options, as well as the quantile rankings of implied volatility and volatility spreads, to reflect the relative levels of implied volatility of different options [3][5] Summary by Related Catalog Implied Volatility Index, Historical Volatility, and Their Spread Chart - 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 two - strike prices above and below the at - the - money option of the main contract, reflecting the implied volatility change trend of the main contract. The larger the difference between the implied volatility index and historical volatility, the higher the implied volatility relative to historical volatility; the smaller the difference, the lower the implied volatility relative to historical volatility [3] Implied Volatility Quantile and Volatility Spread Quantile Ranking Chart - Implied volatility quantile represents the current level of a variety's implied volatility in history. A high quantile means the current implied volatility is high, and a low quantile means it is low. Volatility spread is the implied volatility index minus historical volatility [5]

Core Viewpoint - Volatility plays a crucial role in options pricing, trading, and risk management, and understanding different types of volatility can enhance trading effectiveness [1][2]. Summary by Categories Types of Volatility - There are three commonly used types of volatility: historical volatility, implied volatility, and actual volatility [1]. - Historical volatility refers to the standard deviation of price changes of the underlying asset over a past period, representing past volatility patterns [1]. - Implied volatility is derived from the option price using an options pricing model, reflecting the market's expectations of future price fluctuations of the underlying security [2]. - Actual volatility indicates the true volatility of stock prices over a future period, which is unknown at the time of trading and can only be estimated using historical volatility and current market information [2]. Trading Implications - In actual trading, implied volatility can be used to assess whether the option price is reasonable. If implied volatility is lower than the predicted actual volatility, the option is considered undervalued and can be bought. Conversely, if implied volatility is higher than the predicted actual volatility, the option is deemed overvalued and can be sold [2]. - The core of volatility trading is to profit from the price difference between implied volatility and future actual volatility [2].

Group 1: Report Overview - The report is a volatility data daily report from the Options Headquarters of Yong'an Futures, updated on November 24, 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 weighted by the implied volatilities of the upper and lower two - strike options of the at - the - money options of the main contract month, showing the implied volatility change trend of the main contract. [3] - The difference between the implied volatility index and historical volatility is used. A larger difference means the implied volatility is relatively higher than historical volatility, and a smaller difference means the opposite. [3] Group 3: Implied Volatility Index and Historical Volatility Chart - The chart shows the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) of various products including 300 Index, 50ETF, 1000 Index, 500ETF, silver, gold, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, copper, crude oil, aluminum, PVC, rebar, zinc, fuel oil, urea, rapeseed oil, and palm oil. [4] Group 4: Implied Volatility Quantile and Volatility Spread Quantile Ranking - 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 it's low. Volatility spread refers to the index - historical volatility. [5] - The ranking chart shows the implied volatility quantile ranking and historical volatility quantile ranking of products such as 300 Index, 50ETF, PTA, etc., with specific quantile values provided. [5][6]

Group 1: Implied Volatility Index and Volatility Spread - 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 IV is relatively higher than HV, and a smaller difference means IV is relatively lower [2] Group 2: Implied Volatility and Historical Volatility Charts - There are charts showing the IV, HV, and IV - HV differences for various financial and commodity options, including stock - index options (300 index, 1000 index, 50ETF, 500ETF), precious metals (silver, gold), agricultural products (soybean meal, corn, sugar, cotton), energy and chemicals (PTA, methanol, rubber), base metals (copper, aluminum, zinc, PVC), and others (urea, rapeseed meal, palm oil) [3][5] Group 3: Quantile Ranking of Volatility Index and Volatility Spread - The implied volatility quantile represents the current level of a variety's implied volatility in history. A high quantile means the current IV is high, and a low quantile means the current IV is low [6] - The volatility spread is the difference between the implied volatility index and historical volatility [6] - There are rankings of historical volatility quantiles and implied volatility quantiles for different varieties such as 300 index, 50ETF, PTA, etc. [7]

Report Summary 1. Report Industry Investment Rating No information provided on the report industry investment rating. 2. Report's Core View The report provides a daily data analysis of stock index options, including the performance of major stock indices, trading volume and open interest of index options, and volatility analysis of different indices [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - **Stock Index Performance**: On November 12, the A - share market fluctuated throughout the day. The Shanghai Composite Index fell 0.07% to 4000.14 points, the Shenzhen Component Index fell 0.36%, the ChiNext Index fell 0.39%, the North - Securities 50 fell 0.43%, the STAR 50 fell 0.58%, the Wind All - A fell 0.38%, the Wind A500 fell 0.27%, and the CSI A500 fell 0.25%. The total trading volume of A - shares was 1.96 trillion yuan, compared with 2.01 trillion yuan the previous day [4]. - **Index Data**: The closing price of the SSE 50 was 1368.90, with a change of 57.52, a trading volume of 0.32 billion, and a turnover of 3044.3011 billion yuan; the closing price of the CSI 300 was 4645.9079, with a change of - 0.13, a trading volume of 7486.3766 billion, and a turnover of 209.46 billion yuan; the closing price of the CSI 1000 was 3904.82, with a change of 266.96 [3]. 3.2 CFFEX Stock Index Option Trading Situation - **Option Volume and Open Interest**: For the SSE 50, the trading volume of call options was 2.81 million, put options was 0.59 million, the total trading volume was 7.21 million, the open interest of call options was 3.11 million, put options was 0.76 million, and the total open interest was 4.46 million; for the CSI 300, the trading volume of call options was 12.11 million, put options was 0.69 million, the total trading volume was 21.45 million, the open interest of call options was 11.64 million, put options was 4.96 million, and the total open interest was 9.81 million; for the CSI 1000, the trading volume of call options was 0.89 million, put options was 32.55 million, the total trading volume was 31.56 million, the open interest of call options was 14.83 million, put options was 15.96 million, and the total open interest was 16.58 million [3]. - **PCR (Put - Call Ratio)**: The trading volume PCR of the SSE 50 was 1.65, the open interest PCR was 4.10; the trading volume PCR of the CSI 300 was 0.84, the open interest PCR was 16.73; the trading volume PCR of the CSI 1000 was 1.04 [3]. 3.3 Volatility Analysis - **SSE 50 Volatility**: Analyzed through historical volatility and the historical volatility cone, also presented the volatility smile curve and the implied volatility of at - the - money options for the next month [3][4]. - **CSI 300 Volatility**: Analyzed through historical volatility and the historical volatility cone, also presented the volatility smile curve and the implied volatility of at - the - money options for the next month [3][4]. - **CSI 1000 Volatility**: Analyzed through historical volatility and the historical volatility cone, also presented the volatility smile curve and the implied volatility of at - the - money options for the next month [3][4].

Group 1: Implied 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 two - strike options above and below the at - the - money option of the main contract, 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 compared to historical volatility. A larger difference means the implied volatility is relatively higher, and a smaller difference means it is relatively lower [3] Group 2: Implied Volatility and Historical Volatility Graphs - There are graphs showing the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as silver, corn, sugar, cotton, etc [4] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - Implied volatility quantiles represent 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 it is low. Volatility spread is related to the implied volatility index and historical volatility [5] - There are rankings of implied volatility quantiles and historical volatility quantiles for different options, such as 300 - stock index, PTA, 50ETF, etc [6]

Group 1: Volatility Index Explanation - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day. The commodity option 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: a larger difference indicates that the implied volatility is relatively higher than historical volatility, while a smaller difference means the implied volatility is relatively lower [3] Group 2: Implied Volatility and Historical Volatility Graph - The graph shows the implied volatility (IV) and historical volatility (HV) of various financial and commodity options, such as 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, gold, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, copper, crude oil, aluminum, PVC, rebar, zinc, urea, rapeseed oil, palm oil, etc., as well as their IV - HV differences [4] Group 3: Implied Volatility and Volatility Spread Quantiles - Implied volatility quantiles represent the current implied volatility level of a variety in history. A high quantile indicates high current implied volatility, and a low quantile indicates low implied volatility [5] - Volatility spread is defined as the implied volatility index minus the historical volatility [5] - The implied volatility quantile rankings of different varieties are presented, including 300 - stock index (0.89, 0.61, 0.50), PTA (0.55, 0.53), corn (0.48), 50ETF (0.23, 0.40, 0.23), iron ore, PVC, etc. [5][6]

波动率数据日报 永安期货期权总部 更新时间: 2025/11/7 、隐含波动率指数、历史波动率及其价差走势图 0. 90 494 0.67 300 级 指 orea 45 0.64 PTA 0.54 PTA 0 55 五米 0.58 300股指 0.32 50ETE 0.51 50ETF 0.30 天峻 0.41 五米 0.18 上指 0.35 天峻 0.17 PVC 038 7 14 0.12 日時 0.27 8.4 6 0.10 45 PVC 0.30 0.02 铁右右 0.21 炸花 0.00 白练 神花 0.18 0 03 0.6 0.7 0.9 0.1 0.2 0.4 05 0.8 1 0.6 0.7 0.8 0 01 0.2 0.3 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，使用学习交流。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、未来书面许可。任何扎格和个人不得以世同形式相談、提到发布。如引用、代度、规控班出处为水安和货公司、且不得进行存择原置的引用、量市和谐政。 0.82 1、金融期权隐含波动率指数反映截止上一 ...

Report Overview - The report is a daily data report on commodity options provided by ITC Guomao Futures, covering information on historical volatility, implied volatility, and price changes of various commodities [4][5]. Key Information 1. Price and Volatility of Commodities - **Metals**: For example, the price of Shanghai Aluminum was 21,630 with a 0.31% change and a daily volatility of 27.00%, and its historical volatilities (HV20, HV40, HV60, HV120) were 10%, 9%, 8%, 9% respectively; Shanghai Copper had a price of 86,320, a 0.04% change, a daily volatility of 21.55%, and historical volatilities of 18%, 19%, 16%, 13% [5]. - **Energy and Chemicals**: Methanol had a price of 2,125, a 0.24% change, a daily volatility of 31.30%, and historical volatilities of 21%, 17%, 17%, 21%; Crude Oil had a price of 460.4, a -0.37% change, a daily volatility of 34.39%, and historical volatilities of 23%, 25%, 23%, 32% [5]. - **Agricultural Products**: Corn had a price of 2,154, a 0.75% change, a daily volatility of 21.05%, and historical volatilities of 10%, 10%, 13%, 11%; Soybean Meal had a price of 3,068, a 0.95% change, a daily volatility of 18.87%, and historical volatilities of 14%, 15%, 15%, 13% [5]. 2. Implied Volatility and Related Data - Different commodities have different implied volatilities and主力平值IV分位值. For example, the主力平值IV of Eggs was 30% with a 1.46%主力平值IV分位值; that of Polysilicon was 51% with a 13%主力平值IV分位值 [6]. 3. Historical Trends - The report presents the historical trends of some commodities such as Industrial Silicon, Iron Ore, Soybean Oil, Rapeseed Oil, Rubber, and Crude Oil, including the relationship between the closing price, HV60, and主力平值隐波 [8].

Group 1: Introduction to Volatility Indexes - 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 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: Volatility Data Graphs - There are graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as silver, gold, sugar, cotton, etc. [4] Group 3: Quantile Rankings of Volatility - 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 IV is low. Volatility spread is related to the IV index and historical volatility [5] - There are rankings of implied volatility quantiles and historical volatility quantiles for different varieties, such as 300 Index with quantiles of 0.89 and 0.74, 300 Index with 0.62, etc. [5][6]