Report Industry Investment Rating - Not provided in the content Core Viewpoints - Not provided in the content Summary by Relevant Catalogs Option Trading Volume - On May 14, 2025, the trading volume of Shanghai Stock Exchange 50 ETF options was 1.9646 million contracts; the trading volume of CSI 300 ETF options (Shanghai Stock Exchange) was 1.6023 million contracts; the trading volume of CSI 500 ETF options (Shanghai Stock Exchange) was 1.807 million contracts; the trading volume of Shenzhen 100 ETF options was 0.1148 million contracts; the trading volume of ChiNext ETF options was 1.4939 million contracts; the trading volume of Shanghai Stock Exchange 50 index options was 0.082 million contracts; the trading volume of CSI 300 index options was 0.1683 million contracts; the total trading volume of CSI 1000 options was 0.3528 million contracts [1]. - The call trading volume, put trading volume, and total trading volume of each type of option are detailed in Table 1, such as the call trading volume of Shanghai Stock Exchange 50 ETF options was 1.1332 million contracts, the put trading volume was 0.8314 million contracts, and the total trading volume was 1.9646 million contracts [20]. Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.43, with a month - on - month change of - 0.13; the open interest PCR was reported at 1.30, with a month - on - month change of + 0.19. Similar data for other types of options are also provided, such as the turnover PCR of CSI 300 ETF options (Shanghai Stock Exchange) was 0.51, with a month - on - month change of - 0.06; the open interest PCR was 1.07, with a month - on - month change of + 0.10 [2]. - All the turnover PCR, month - on - month change, open interest PCR, and month - on - month change data of each type of option are summarized in Table 2 [36]. Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 17.24%, with a month - on - month change of + 2.21%. The VIX and its month - on - month changes of other types of options are also given, for example, the VIX of CSI 300 ETF options (Shanghai Stock Exchange) was 16.78%, with a month - on - month change of + 1.46% [3]. - All the VIX and month - on - month change data of each type of option are presented in Table 3 [49].

2024年私募基金期权策略类产品净值出现大幅波动，期权策略指数创近几年最大回撤。我们以私募排排网中期权 策略指数为例进行分析，该指数主要通过选取市面上具有代表性的私募基金期权策略产品加权而得，基本能代表整个 私募基金期权策略类产品市场平均表现。 2017年至今，期权策略产品指数累计收益率85.2%，最大回撤6.16%，但近两年收益有明显放缓。其中，2024年 期权策略指数累计收益率仅有2.25%，且2月2日当周创出历史最大回撤。主要原因在于该周A股市场的大幅回落导致波 动率急剧放大，而期权策略产品一般以做空波动率、收取时间价值等卖方策略为主，波动率的快速放大对该类策略极 其不利。 备兑策略构建：持有标的指数现货，同时卖出虚值2%看涨期权，持有到期后自动换月，其中手续费加滑点取0.55 点/手。 图为2017年以来私募基金期权策略指数净值及动态回撤 期权PCR是Put-Call-Ratio的简称，PCR是指看跌期权与看涨期权之间的比值。一般而言，我们常见的PCR指标有 两个：成交量的PCR值和持仓量的PCR值。成交量PCR值，它衡量了过去某段时间不同类型合约的交易活跃程度；持 仓量PCR值，它则代表了过去某段时 ...

股指期权日报 | 2025-05-08 股指期权日报 股指期权市场概况 期权成交量 2025-05-07，上证50ETF期权成交量为96.58万张；沪深300ETF期权（沪市）成交量为84.11万张； 中证500ETF期权（沪市）成交量为130.32万张；深证100ETF期权成交量为5.56万张； 创业板ETF期权成交量为134.44万张；上证50股指期权成交量为3.06万张； 沪深300股指期权成交量为8.91万张；中证1000期权总成交量为26.48万张。 期权PCR 上证50ETF期权成交额PCR报0.63，环比变动为-0.19；持仓量PCR报0.92，环比变动为+0.01； 沪深300ETF期权（沪市）成交额PCR报0.66，环比变动为-0.16；持仓量PCR报0.85，环比变动为-0.03； 中证500ETF期权（沪市）成交额PCR报0.68，环比变动为+0.04；持仓量PCR报0.97，环比变动为-0.06 ； 深圳100ETF期权成交额PCR报0.76 ，环比变动为-0.26；持仓量PCR报0.79；环比变动为-0.06； 创业板ETF期权成交额PCR报0.57，环比变动为-0.18 ；持仓量P ...

股指期权日报 | 2025-05-07 2025-05-06，上证50ETF期权成交量为82.95万张；沪深300ETF期权（沪市）成交量为81.30万张； 中证500ETF期权（沪市）成交量为101.31万张；深证100ETF期权成交量为5.42万张； 创业板ETF期权成交量为99.55万张；上证50股指期权成交量为2.64万张； 沪深300股指期权成交量为8.57万张；中证1000期权总成交量为20.37万张。 期权PCR 上证50ETF期权成交额PCR报0.82，环比变动为-0.09；持仓量PCR报0.92，环比变动为+0.01； 沪深300ETF期权（沪市）成交额PCR报0.83，环比变动为-0.07；持仓量PCR报0.88，环比变动为+0.03； 中证500ETF期权（沪市）成交额PCR报0.64，环比变动为-0.15；持仓量PCR报1.03，环比变动为+0.06 ； 深圳100ETF期权成交额PCR报1.02 ，环比变动为-0.04；持仓量PCR报0.85；环比变动为-0.01； 创业板ETF期权成交额PCR报0.75，环比变动为-0.03 ；持仓量PCR报0.84，环比变动为+0.06； 上证5 ...

股指期权日报 | 2025-04-29 股指期权日报 股指期权市场概况 期权成交量 2025-04-28，上证50ETF期权成交量为53.15万张；沪深300ETF期权（沪市）成交量为45.81万张； 中证500ETF期权（沪市）成交量为69.81万张；深证100ETF期权成交量为2.35万张； 创业板ETF期权成交量为54.33万张；上证50股指期权成交量为1.58万张； 沪深300股指期权成交量为3.67万张；中证1000期权总成交量为14.61万张。 期权PCR 上证50ETF期权成交额PCR报0.93，环比变动为+0.12；持仓量PCR报0.97，环比变动为+0.05； 沪深300ETF期权（沪市）成交额PCR报1.08，环比变动为+0.14；持仓量PCR报0.86，环比变动为+0.01； 中证500ETF期权（沪市）成交额PCR报1.14，环比变动为+0.25；持仓量PCR报0.95，环比变动为-0.01 ； 深圳100ETF期权成交额PCR报1.33 ，环比变动为+0.53；持仓量PCR报0.86；环比变动为-0.04； 创业板ETF期权成交额PCR报1.09，环比变动为+0.24 ；持仓量PCR ...