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 above and below the at - the - money option of the main contract, reflecting the IV change trend of the main 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 Graphs - There are multiple graphs showing the IV, HV, and IV - HV differences of various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, etc., as well as commodity options like soybean meal, corn, etc. [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - 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 current IV is low. The volatility spread is the difference between the IV index and historical volatility [17] - The implied volatility quantiles of different varieties are provided, such as PTA (0.63), PVC (0.73), methanol (0.42), etc. [19]

Group 1: Implied Volatility Index and 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 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 compared 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 Graphs - There are multiple graphs showing the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various financial and commodity options, including stock index options (such as 300股指, 1000股指), ETF options (such as 50ETF, 500ETF), and commodity options (such as soybeans, corn, cotton, etc.) [4][5][6] 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 means high current implied volatility, and a low quantile means low implied volatility [17] - Volatility spread refers to the difference between the implied volatility index and historical volatility [17] - The implied volatility quantile rankings are provided for different varieties, such as PVC with a quantile of 0.70, methanol with 0.43, etc. [19]

Market Review - The closing prices of the Shanghai Composite 50, CSI 300, and CSI 1000 were 2692.1287, 3877.5557, and 6167.0149 respectively, with daily changes of 0.05%, 0.23%, and 0.72%. Their trading volumes were 30.78 billion, 122.88 billion, and 206.08 billion, and turnovers were 559.62 billion yuan, 2317.49 billion yuan, and 2732.39 billion yuan respectively [4]. - The trading volumes of Shanghai Composite 50, CSI 300, and CSI 1000 index options were 1.47 million, 4.87 million, and 16.35 million contracts. Their open interests were 6.63 million, 17.69 million, and 27.19 million contracts respectively [4]. - The previous trading day, the Shanghai Composite Index rose 0.23% to 3384.1 points, the Shenzhen Component Index rose 0.58%, the ChiNext Index rose 1.17%, the Beijing Stock Exchange 50 fell 0.29%, the STAR 50 rose 1.04%, and the CSI A500 rose 0.35%. A - shares traded 1.32 trillion yuan, compared with 1.18 trillion yuan the previous day [8]. Volatility Analysis - Analyzes the historical volatility chains and volatility smile curves of Shanghai Composite 50, CSI 300, and CSI 1000, including indicators such as maximum, minimum, 10% - 90% quantiles, and current values [6][8].

Group 1 - The article discusses various options trading strategies, emphasizing their flexibility and complexity, and introduces four basic investment strategies, simple spread trading, typical volatility trading strategies, and hedging strategies [1] - Volatility (Vol) is defined as the degree of price fluctuation of an asset, serving as a measure of uncertainty in asset returns and reflecting the risk level of the asset [3][4] - High Vol leads to greater price fluctuations and uncertainty in returns, resulting in higher theoretical prices for options. Conversely, low Vol results in lower option prices [4] Group 2 - Historical volatility is calculated using past price data and reflects the asset's price fluctuation over a specified period, serving as a basis for analyzing and predicting other types of volatility [4][6] - Implied volatility (IV) is derived from the actual price of options and reflects the market's expectations of future volatility, with a declining IV indicating a potential decrease in option prices [7] - When uncertain about market direction, various option strategies can be employed, including bullish strategies that anticipate price increases [9] Group 3 - Buying call options allows investors to gain the right to purchase an asset at a predetermined price, with potential unlimited profit if the market price rises, while limiting losses to the premium paid [12][13] - Selling put options involves receiving a premium with the obligation to fulfill the contract if exercised, suitable when the market is expected to remain stable or rise, with maximum profit being the premium received [14][16] - Investors should consider market trends, volatility, and time value when selecting option strategies, and should implement stop-loss and take-profit measures to manage risk and enhance potential returns [16]

Market Overview - On June 3, the A-share market experienced a volatile upward trend, with a total transaction volume of 1.16 trillion yuan, and over 3,400 stocks closing higher, indicating a generally positive market sentiment [1] - The sectors that performed well included precious metals, banking, gaming, and innovative pharmaceuticals, while steel, automotive, liquor, and coal sectors saw declines [1] Index Performance - The performance of various indices showed mixed results: the CSI 1000 index rose by 0.72%, the Sci-Tech 50 index increased by 0.39%, the Shanghai 50 index gained 0.32%, the ChiNext index was up by 0.25%, the CSI 300 index remained flat, and the Shenzhen 100 index fell by 0.11% [1] Options Market Activity - The total options trading volume across the Shanghai and Shenzhen markets, as well as the China Financial Futures Exchange, was 4.05 million contracts, a decrease of 1.84% from the previous trading day, while total open interest rose by 11.55% to 7.60 million contracts [1] - Specifically, the trading volume of the Shanghai 50 ETF options decreased by 4.88%, but open interest increased by 16.58%, with a total of 873,700 contracts traded [1] Options Position Changes - For the June contracts, there was a net increase of 102,900 contracts in total positions, with call options increasing by 40,100 contracts and put options by 62,800 contracts, indicating a stronger increase in put options [1] - The Shanghai 300 ETF options saw a decrease in trading volume by 5.10% on the Shanghai Stock Exchange and 1.53% on the Shenzhen Stock Exchange, while open interest increased by 12.25% and 16.69% respectively [2] Volatility Insights - The implied volatility for the Shanghai 50 ETF options was recorded at 12.06%, with historical volatility remaining low at 8.60% for the 30-day period [3] - The narrowing gap between implied and historical volatility suggests a lack of a dominant market trend, with both call and put options seeing increased positions in the shallow out-of-the-money area, particularly in puts [3]

投资咨询业务资格:证监许可【2012】31号 IIG 国贸期 图据日报 上证50历史波动率 0.5 0.45 0.4 0.35 0.3 80% =: F0251925 2025/5/28 数据来源: Wind,国贸期货研究院 | 行情回顾 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 指数 张肤帽(%) | 收盘价 | | | | 成交额(亿元) | | 成交里(亿) | | | 上证50 -0. 52 | 2685. 2812 | | | | 498. 56 | | 27.10 | | | 沪深300 -0.54 | 3839. 3969 | | | | 1784. 67 | | 98. 57 | | | 中证1000 -0. 34 | 6008. 4599 | | | | 1936. 06 | | 157. 95 | | | 中金所股指期权成交情况 | | | | | | | | | | 认沽期权 指数 | 期权成交望 | 认购期权 | | 日成交里 | 期权持仓里 | 认购期权 | 认沽期权 | 持 ...

Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the content. 2. Core Viewpoints There is no explicit core viewpoint presented in the given content. The report mainly offers a large amount of data on various ETFs and indexes, including historical volatility, implied volatility, skew index, and price trends. 3. Summary by Related Catalogs 3.1 50ETF - The current month's contract has 5 days until expiration [5] - Data on price, historical volatility, implied volatility, and their respective quantiles from May 19 - 21, 2025 are provided [2] - Information on historical volatility cones, skew index, and option smile curves is also included [7][9] 3.2 Shanghai 300ETF - The current month's contract has 5 days until expiration [10] - Similar data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [10] - Historical volatility cones, skew index, and option smile curves are also covered [16][15] 3.3 Shenzhen 300ETF - The current month's contract has 5 days until expiration [20] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [20] - Information on historical volatility cones, skew index, and option smile curves is provided [28][27] 3.4 Shanghai CSI 500ETF - The current month's contract has 5 days until expiration [31] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are given [31] - Historical volatility cones, skew index, and option smile curves are also included [38][37] 3.5 Shenzhen CSI 500ETF - The current month's contract has 5 days until expiration [42] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [42] - Information on historical volatility cones, skew index, and option smile curves is provided [51][49] 3.6 GEM ETF - The current month's contract has 5 days until expiration [57] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [57] - Historical volatility cones, skew index, and option smile curves are also covered [62][64] 3.7 Shenzhen 100ETF - The current month's contract has 5 days until expiration [65] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are given [65] - Historical volatility cones, skew index, and option smile curves are also included [72][71] 3.8 Science and Technology Innovation 50ETF - The current month's contract has 5 days until expiration [74] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [74] - Historical volatility cones, skew index, and option smile curves are also covered [81][80] 3.9 Science and Technology Innovation 50ETF E Fund - The current month's contract has 5 days until expiration [89] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [89] - Historical volatility cones, skew index, and option smile curves are also included [92][91] 3.10 300 Index - The current month's contract has 21 days until expiration [96] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are given [96] - Historical volatility cones, skew index, and option smile curves are also included [97] 3.11 1000 Index - The current month's contract has 21 days until expiration [98] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [98] - Historical volatility cones, skew index, and option smile curves are also covered [102][106] 3.12 Shanghai 50 Index - The current month's contract has 21 days until expiration [107] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [107] - Historical volatility cones, skew index, and option smile curves are also included [113][112]

Group 1: Report Information - Report name: Volatility Data Daily Report [1] - Update time: May 15, 2025 [1] Group 2: Index Explanation - 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 - strike options above and below the at - the - money option of the main contract, reflecting the implied volatility change trend of the main contract [2] - 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, while a smaller difference means the opposite [2] Group 3: Implied Volatility and Historical Volatility Charts - Charts show the trends of implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various products including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, IFR, corn, cotton, rubber, PTA, crude oil, Chinese jujube, iron ore, aluminum, PVC, rebar, zinc, urea, palm oil, etc [3][5][6][7][11] Group 4: Quantile Ranking - Implied volatility and historical volatility quantile rankings are provided for products such as PTA, 50ETF, methanol, etc. For example, the implied volatility quantile of PTA is 0.93, and its historical volatility quantile is 0.79 [13]

Market Overview - A-shares opened high but closed low on May 13, with total trading volume at 1.33 trillion yuan, unchanged from the previous trading day [1] - Over 3200 stocks declined, while sectors such as port shipping, photovoltaic, banking, and pharmaceuticals saw gains [1] - The Shanghai Stock Exchange 50 Index and CSI 300 Index rose, while other indices fell [1] Options Market Activity - Total options trading volume in the Shanghai and Shenzhen markets was 5.19 million contracts, down from 5.39 million contracts the previous day [1] - Total open interest increased to 8.91 million contracts, up from 8.16 million contracts [1] - The trading volume of the SSE 50 ETF options decreased by 31.53%, while open interest increased by 10.42% [1] - The SSE 50 ETF options traded 674,400 contracts, down from 985,000 contracts the previous day, with open interest at 1.47 million contracts, up from 1.33 million contracts [1] Options Position Changes - For the May contracts, a total of 75,100 contracts were added, with call options increasing by 32,900 contracts and put options by 42,200 contracts [1] - The increase in both call and put options occurred in the shallow out-of-the-money positions, with a broader increase in call options, indicating a potential continuation of market volatility [1] CSI 300 Options Performance - The trading volume for CSI 300 options also showed a decline, with the Shenzhen Stock Exchange's CSI 300 ETF options down by 32.85% and the Shanghai Stock Exchange's down by 23.96% [2] - Open interest for CSI 300 ETF options increased, with the Shenzhen Stock Exchange up by 11.92% and the Shanghai Stock Exchange up by 9.84% [2] - The total increase in open interest for the Shanghai Stock Exchange's CSI 300 ETF options was 53,400 contracts, with call options increasing by 28,200 contracts and put options by 25,200 contracts [2] Volatility Analysis - Implied volatility remained stable, with the SSE 50 ETF at 12.69% as of May 13 [3] - Historical volatility for the SSE 50 ETF was 19.02%, while the CSI 300 Index was at 22.06% [3] - Overall, the A-share market showed a low volatility environment, with both call and put options increasing in shallow out-of-the-money positions, suggesting a short-term market consolidation [3]

Group 1: Implied Volatility Index and Historical Volatility - 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, 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, while a smaller difference means the opposite [3] Group 2: Implied Volatility and Historical Volatility Graphs - There are graphs showing the trends of implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 50ETF, 1000 - stock index, 500ETF, ES, Shanghai Gold, corn, soybean meal, sugar, cotton, rubber, PTA, methanol, iron ore, crude oil, aluminum, zinc, urea, palm oil, rapeseed meal, Shanghai copper, PVC, and rebar [4][6][7][8][9][10][11][12][13][14][15] Group 3: Implied Volatility and Historical Volatility Quantiles - 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 [17] - The implied volatility quantile rankings are as follows: PTA (0.78), natural rubber (0.70), etc. [18] - The historical volatility quantile rankings are as follows: PTA (0.94), 50ETF (0.87), etc. [19]