Market Review - The closing prices of the Shanghai 50, CSI 300, and CSI 1000 were 2645.5122, 3775.0767, and 5903.3812 respectively, with changes of -0.22%, -0.17%, and 0.45% [4]. - The trading volumes of the Shanghai 50, CSI 300, and CSI 1000 were 28.04 billion, 111.51 billion, and 186.02 billion respectively, and the trading turnovers were 538.94 billion yuan, 1974.63 billion yuan, and 2194.12 billion yuan respectively [4]. - In the previous trading day, the Shanghai Composite Index closed down 0.05% at 3286.65 points, the Shenzhen Component Index fell 0.05%, the ChiNext Index fell 0.13%, the Beijing Stock Exchange 50 rose 1.24%, the Science and Technology Innovation 50 rose 0.1%, and the CSI A500 fell 0.01%. The A - share trading volume was 1.04 trillion yuan, compared with 1.08 trillion yuan the previous day [8][11]. CFFEX Stock Index Option Trading Situation - For the Shanghai 50 index options, the trading volume of call options was 0.74 million contracts, put options was 0.62 million contracts, with a PCR of 0.83. The open interest was 6.05 million contracts, with call option open interest of 3.68 million contracts, put option open interest of 2.37 million contracts, and a PCR of 0.64 [4]. - For the CSI 300 index options, the trading volume of call options was 2.18 million contracts, put options was 1.52 million contracts, with a PCR of 0.69. The open interest was 17.52 million contracts, with call option open interest of 10.30 million contracts, put option open interest of 7.22 million contracts, and a PCR of 0.70 [4]. - For the CSI 1000 index options, the trading volume of call options was 6.99 million contracts, put options was 6.38 million contracts, with a PCR of 0.91. The open interest was 23.31 million contracts, with call option open interest of 13.28 million contracts, put option open interest of 10.03 million contracts, and a PCR of 0.75 [4]. Volatility Analysis - The report presents historical volatility chains, including maximum, minimum, and various percentile values, as well as current values for the Shanghai 50, CSI 300, and CSI 1000. It also shows next - month at - the - money implied volatility and volatility smile curves for these indices [8][10].

4月22日，A股继续窄幅震荡。截至收盘，上证指数涨0.37%，创业板指数跌0.69%，科创板指数跌0.03%。沪深两 市累计成交1.12万亿元，基本与上一交易日持平。板块方面，物流、贸易、农业、港口航运等板块收涨，金属新材 料、厨卫电器、通信、酒店旅游等板块收跌。期权标的走势分化，全市场成交量较前一交易日有所下滑，而持仓量稳 步回升。当日，沪深两市及中金所期权总成交489.76万张，较前一交易日减少16.40%；总持仓967.53万张，较前一交 易日增加5.73%。 上证50ETF期权成交和持仓变化方向并不一致。具体来看，成交78.89万张，较前一交易日减少16.65万张；持仓 160.86万张，较前一交易日增加4.86万张。从5月合约各执行价的持仓变动情况来看，合计增持7.41万张。其中，认购 增持3.15万张，认沽增持4.26万张。认购、认沽增持价位均较为宽泛，但都在浅虚值部位集中增持，且认沽增持力度 更大，预计市场延续震荡格局。 与上证50ETF期权表现类似，沪深300期权也是成交量下滑、持仓量回升。深交所沪深300ETF期权成交量减少 12.30%，上交所沪深300ETF期权成交量减少20.57%，中 ...

4月15日，A股缩量震荡。 4月15日，期权隐含波动率震荡下行。上证50ETF当月合约平值期权的隐含波动率在14.3%左右。当日， 历史波动率继续走低，上证50ETF的30日历史波动率为21.90%，沪深300指数的30日历史波动率为 23.78%。隐含波动率与历史波动率价差走扩。 整体上，A股反弹至前期跳空缺口后缩量震荡，期权隐含波动率有所回落。此外，以上证50指数为代表 的大盘指数相关期权，认沽虚值增持力度较大；以科创50指数、中证1000指数为代表的小盘指数相关期 权，认购虚值增持力度较大。操作上，投资者可逢高卖出小盘指数认购期权。（作者单位：中信建投期 货） （文章来源：期货日报） 上证50ETF期权成交量增加10.85%，持仓量增加8.41%，分别至150.02万张和173.10万张。从5月合约各 执行价的持仓变动情况来看，合计增持2.69万张，其中认购增持1.02万张、认沽增持1.67万张。认购、 认沽增持价位均较宽泛，且均在虚值部位增持，其中认沽增持力度更大，预计市场延续震荡格局。 沪深300期权成交量整体下降，而持仓量有所增加。从交投较为活跃的上交所沪深300ETF期权持仓变动 情况来看，5月 ...

Investment Rating - The report does not explicitly state an investment rating for the industry or specific companies Core Insights - The report provides detailed volatility data for various ETFs, indicating a fluctuating market environment with significant historical volatility levels observed across different time frames [10][20][28] - Implied volatility (IV) for the 50ETF, Hu300ETF, and other ETFs shows a trend of increasing IV, suggesting heightened market expectations for future volatility [11][23][54] - The skew index for the main months of options indicates a shift in market sentiment, with recent values showing an upward trend, reflecting changing investor expectations [9][18][38] Summary by Sections 50ETF - The current price is 2.723 with an implied volatility (IV) of 13.56% and historical volatility (HV) values showing a range from 5.43% to 12.91% over the past days [2][3][10] - The IV percentile for the past year is 39.10%, indicating a relatively high level of implied volatility compared to historical data [2][3] Hu300ETF - The current price is 4.005 with an IV of 14.39% and HV values ranging from 4.80% to 11.43% [11][12] - The IV percentile for the past year is 43.60%, suggesting increased market expectations for volatility [11][12] Deep300ETF - The current price is 4.106 with an IV of 14.21% and HV values from 4.40% to 11.99% [23][24] - The IV percentile for the past year is 37.10%, indicating a moderate level of implied volatility [23][24] Entrepreneur Board ETF - The current price is 2.125 with an IV of 23.06% and HV values ranging from 9.93% to 19.19% [54][55] - The IV percentile for the past year is 40.40%, reflecting significant market expectations for future volatility [54][55] Deep100ETF - The current price is 2.770 with an IV of 18.31% and HV values from 5.00% to 13.57% [60][61] - The IV percentile for the past year is 42.80%, indicating a relatively high level of implied volatility [60][61]

安粮期货期权数据报告 商品期权数据研报 2025 年 3 月 13 日 玉米期价小幅下跌，期权隐波小幅下降 豆粕期价小幅回升，期权隐波持续下降 内容摘要 玉米期价小幅下跌，期货主力合约 C2505 报 收于 2299 元/吨。玉米期权成交 87818 手，持仓 量为 437427 手，成交量 PCR 为 0.919，今日玉 米期权成交量最高的合约为 C2505 合约，其占总 成交量比例为 87%左右。期权加权隐含波动率为 11.51%,30 日历史波动率为 8.82%，期权隐波小 幅下降。 豆粕期价小幅回升，期货主力合约 M2505 报 收于 2877 元/吨。豆粕期权成交 330759 手，持 仓量为 1231312 手，成交量 PCR 为 0.765，目前 成交量集中在虚值期权。期权加权隐含波动率 为 20.76%，30 日历史波动率为 22.97%,期权隐 波持续下降。 安粮期货研究所 期权组 TEL:0551-62879960 张莎 期货从业资格号： F03088817 投资咨询证号： Z0019577 总部地址：合肥市包河区花园大道 986 号安粮中心 23-24 层 客服热线： 400—626—9 ...

Investment Rating - The report indicates a strong performance in iron ore prices, suggesting a positive investment outlook for the sector [1]. Core Insights - Iron ore spot prices closed at 835 CNY/ton, a 4% increase month-on-month, while the DCE iron ore index closed at 831 CNY/ton, up 3.5% [9]. - Daily average trading volume for iron ore options was 347,985 contracts, showing a month-on-month increase, while total open interest was 360,031 contracts, reflecting a decrease [10]. - The report highlights a slight decline in iron water production, but a significant recovery in profit per ton of steel [18]. Summary by Sections 1.1 Market Review - Iron ore spot prices increased by 4% month-on-month, with the DCE iron ore index rising by 3.5% [9]. 1.2 Options Market Review - Daily average trading volume for I2505 series options rose to 102,964 contracts, with total open interest increasing to 315,120 contracts [13]. - The implied volatility for the main contract series options remained stable at 28% [14]. - The short-term historical volatility for iron ore was recorded at 24%, which is below the average level [16]. 1.3 Options Strategy Recommendation - The report recommends a strategy of buying put spreads, as the iron ore price is expected to maintain a strong performance despite slight declines in production and inventory levels [18].

Investment Rating - The report suggests a bearish outlook on iron ore, recommending to buy put options due to the anticipated decline in steel production and weak iron ore prices [16]. Core Insights - Iron ore prices experienced fluctuations, with the spot price stabilizing at 805 CNY/ton and the DCE iron ore index decreasing by 2% to 789 CNY/ton [8]. - External shipments of iron ore have increased, while arrivals at ports have slightly decreased, leading to a reduction in port inventories and a noticeable accumulation of steel mill stocks [16]. - The implied volatility of iron ore options has decreased and is currently at a low level, indicating a potential opportunity for buying put options [16][12]. Summary by Sections 1.1 Market Review - Iron ore spot prices showed a mixed trend, closing at 805 CNY/ton, unchanged month-on-month, while the DCE iron ore index fell by 2% to 789 CNY/ton [8]. - The average daily trading volume for iron ore options was 218,017 contracts, reflecting a decrease, while total open interest rose to 421,384 contracts [9]. 1.2 Options Market Review - The I2505 series options saw an increase in average daily trading volume to 119,881 contracts, with total open interest rising to 321,710 contracts [11]. - The implied volatility for the main contract series options has decreased to 25%, indicating lower market expectations for future price movements [12]. 1.3 Options Strategy Recommendation - The report highlights a recovery in steel mill production and iron output, despite a low arrival rate at ports and a significant accumulation of steel mill inventories [16]. - The anticipated reduction in crude steel production is expected to exert downward pressure on iron ore prices, reinforcing the recommendation to buy put options [16].

Investment Rating - The report does not explicitly state an investment rating for the industry or specific ETFs analyzed. Core Insights - The report provides detailed volatility metrics for various ETFs, including the 50ETF, Hu300ETF, and others, indicating a range of implied volatility (IV) and historical volatility (HV) levels, which are critical for assessing market conditions and potential investment opportunities. Summary by Relevant Sections 50ETF Analysis - As of February 20, 2025, the 50ETF price was 2.708 with an implied volatility (IV) of 14.04% and a 20-day historical volatility (20HV) of 9.50% [2][3][8] - The one-year IV percentile was 42.00%, indicating a moderate level of volatility compared to historical data [2][3][8] Hu300ETF Analysis - On February 20, 2025, the Hu300ETF price was 4.021, with an IV of 14.52% and a 20HV of 10.07% [13][14] - The one-year IV percentile was 42.00%, suggesting a similar volatility profile to the 50ETF [13][14] Deep300ETF Analysis - The Deep300ETF was priced at 4.122 on February 20, 2025, with an IV of 14.97% and a 20HV of 10.49% [23][24] - The one-year IV percentile was 47.70%, indicating slightly higher volatility compared to the Hu300ETF [23][24] ChiNext ETF Analysis - The ChiNext ETF had a price of 2.184 on February 20, 2025, with an IV of 24.59% and a 20HV of 22.98% [55][56] - The one-year IV percentile was 50.60%, reflecting a higher volatility environment compared to the other ETFs analyzed [55][56] Skew Index and Smile Curve - The skew index for the main months of the 50ETF, Hu300ETF, and Deep300ETF showed variations, with the 50ETF at 100.42 on the latest date, indicating market sentiment towards volatility [10][19][26] - The smile curves for these ETFs suggest varying levels of demand for options at different strike prices, which can indicate market expectations for future volatility [12][18][25] Historical Volatility Metrics - Historical volatility metrics for the ETFs indicate a maximum of 88% for the 50ETF and 110% for the Hu300ETF, suggesting significant past price fluctuations [11][21][28] - The report highlights the importance of these metrics in understanding the risk and potential return profiles of the ETFs [11][21][28]