隐波指教分位教与波动率价差分位数排名图 波动率数据日报 1、隐疲分位数代表当前品种隐波在历史上的水平 · 分位数高代表当前隐波偏高 · 分位数低代表隐疫偏低 · 2 、波动率 价差书急疫指数十历史皮 动率。 永安期货期权总部 更新时间: 2026/3/2 隐含波动率分位数据 隐含波动率指数、历史波动率及其价差走势图 历史波动率分位数排名 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 IV 300股指HV IV-HV美 IV-HV SOETF IV FOETF HV 20 025/6/5 025/7/5 024/9/5 024/10/5 024/11/5 025/2/5 025/3/5 025/4/5 2025/8/5 2025/9/5 025/11/5 026/1/5 024/11/5 024/12/5 025/2/5 025/3/5 025/4/5 025/5/5 025/6/ ...

上证50指数下跌0.28%，对应上证50指数期权日成交量和持仓量分别为2.21万张和8.21万张，成交量PCR 值和持仓量PCR值分别为64.91%和63.96%，日内交易看跌期权比例小幅抬升。HO看跌期权在行权价 3000点附近持仓极高，短期上证50指数在该区域预计有较强支撑。3月平值隐波均值为15.4%，与30日 历史波动率相比大小相当，期权估值整体不高，后期隐波回落空间亦有限。 综合而言，临近春节长假，标的指数以震荡行情为主。期权卖方应尽量避免持仓过节，买方亦应严控仓 位，注意防范尾部风险；股指期货多单投资者可考虑适当买入一定虚值看跌期权，以防范长假期间市场 的不确定风险。 （文章来源：期货日报） 周四，沪深两市交投平淡。期权标的指数方面，科创50、创业板指、中证500和中证1000指数均有0.9% 至1.8%不等的涨幅，上证50和沪深300指数则基本处于窄幅震荡之中。 中证1000指数上涨0.91%，对应中证1000指数期权日成交量和持仓量分别为25.26万张和34.93万张，成 交量PCR值78.51%，持仓量PCR值95.91%，环比上涨3个百分点，MO看涨、看跌期权出现不同程度的 减仓。持仓分布 ...

Report Summary 1. Report Industry Investment Rating - Not provided in the content 2. Core View - The report presents daily volatility data including implied volatility indices, historical volatility, and their spreads for various financial and commodity options. It also shows the implied volatility quantile data and historical volatility quantile ranking for some products [3][5][6]. 3. Summary by Related Content 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. The commodity option implied volatility index is obtained by weighted average of the IVs 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 implied volatility 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 [3]. Implied Volatility Quantile and Volatility Spread Quantile - The implied volatility quantile represents the current level of a product's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low [5]. - The volatility spread is related to the implied volatility index and historical volatility [5]. Data Display - There are charts showing the trends of IV, HV, and IV - HV spreads for various products such as 300股指, 50ETF, 1000股指, etc., from 2024 to 2026. Also, there is a chart presenting the implied volatility quantile data and historical volatility quantile ranking for products like PTA, 500ETF, 50ETF, etc [4][6][7].

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 volatility 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 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 it is relatively lower [3] Group 2: Implied Volatility Quantile and Volatility Spread - 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] - The volatility spread is related to the implied volatility index and historical volatility [5] Group 3: Implied Volatility Quantile Data - Implied volatility quantile data is presented for various items such as 500E, 50E, 1000 ta za, 300 index, and rebar [7]

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints - On January 29, the A-share market continued its narrow consolidation. Liquor stocks saw a wave of limit - up in the afternoon, and gold stocks remained strong. The Shanghai Composite Index closed up 0.16% at 4,157.98 points, while the Shenzhen Component Index fell 0.3%, the ChiNext Index fell 0.57%, the North - bound 50 Index fell 1.69%, the Science and Technology Innovation 50 Index fell 3.03%, the Wind All - A Index fell 0.23%, the Wind A500 Index rose 0.5%, and the CSI A500 Index rose 0.3%. The total A - share trading volume for the day was 3.26 trillion yuan, compared with 2.99 trillion yuan the previous day [4] 3. Summary by Related Contents 3.1 Market Quotes Review - **Index Closing Price and Changes** - The closing price of the Shanghai 50 Index was 2,948.88, with an increase of 100.71 and a daily increase of 1.65%. The trading volume was 31.109135 billion, and the trading value was 100.71 billion yuan - The closing price of the CSI 300 Index was 4,753.8697, with an increase of 0.76. The trading volume was 41.551 billion, and the trading value was 917.966 billion yuan - The closing price of the CSI 1000 Index was 8,332.2067, with a decrease of 0.80%. The trading volume was 401.99 billion, and the trading value was 677.736 billion yuan [3] - **China Financial Futures Exchange Stock Index Options Trading Situation** - **Shanghai 50 Index Options**: The trading volume of call options was 6.93 million contracts, and the trading volume of put options was 5.06 million contracts. The open interest of call options was 7.97 million contracts, and the open interest of put options was 4.87 million contracts. The trading volume PCR was 0.73, and the open interest PCR was 0.61 - **CSI 300 Index Options**: The trading volume of call options was 8.23 million contracts, and the trading volume of put options was 9.11 million contracts. The open interest of call options was 20.85 million contracts, and the open interest of put options was 12.63 million contracts. The trading volume PCR was 1.11, and the open interest PCR was 0.61 - **CSI 1000 Index Options**: The trading volume of call options was 33.22 million contracts, and the trading volume of put options was 32.21 million contracts. The open interest of call options was 16.19 million contracts, and the open interest of put options was 16.02 million contracts. The trading volume PCR was 0.97, and the open interest PCR was 0.99 [3] 3.2 Volatility Analysis - **Shanghai 50 Volatility Analysis** - The historical volatility cone shows the maximum, minimum, 10% quantile, 30% quantile, 60% quantile, 90% quantile values, as well as the current values of HV5, HV20, and HV60 - The volatility smile curve shows the implied volatility of the next - month at - the - money options of the Shanghai 50 Index [3] - **CSI 300 Volatility Analysis** - The historical volatility cone presents the maximum, minimum, 10% quantile, 30% quantile, 60% quantile, 90% quantile values, along with the current values of HV5, HV20, and HV60 - The volatility smile curve shows the implied volatility of the next - month at - the - money options of the CSI 300 Index [3] - **CSI 1000 Volatility Analysis** - The historical volatility cone displays the maximum, minimum, 10% quantile, 30% quantile, 60% quantile, 90% quantile values, together with the current values of HV5, HV20, and HV60 - The volatility smile curve shows the implied volatility of the next - month at - the - money options of the CSI 1000 Index [3]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - On January 28, the A - share market showed a narrow - range consolidation. The Shanghai Composite Index rose 0.27% to close at 4151.24 points, the Shenzhen Component Index rose 0.09%, the ChiNext Index fell 0.57%, the North Star 50 fell 0.16%, the STAR 50 fell 0.08%, the Wind All - A rose 0.11%, the Wind A500 rose 0.43%, and the CSI A500 rose 0.35%. The total trading volume of A - shares was 2.99 trillion yuan, compared with 2.92 trillion yuan the previous day [4] - The non - ferrous metals sector saw a wave of daily limit, and resource stocks strengthened across the board [4] 3. Summary by Relevant Catalogs 3.1 Market Quotes Review - **Index Closing Prices and Changes**: The closing price of the Shanghai Stock Exchange 50 was 3060.557, with a daily increase of 0.27% and a trading volume of 96.37 billion and a turnover of 2526.23 billion yuan; the closing price of the CSI 300 was 382.26, with an increase of 0.26%, a trading volume of 8294.14 billion and a turnover of 4717.9914 billion yuan; the closing price of the CSI 1000 was 349.66, with an increase of 0.21%, a trading volume of 8399.7938 billion and a turnover of 6273.57 billion yuan [3] - **China Financial Futures Exchange Stock Index Options Trading Situation**: For the Shanghai Stock Exchange 50 index options, the call option trading volume was 3.58 million contracts, the put option trading volume was 2.51 million contracts, the call option open interest was 8.39 million contracts, and the put option open interest was 5.28 million contracts; for the CSI 300 index options, the call option trading volume was 6.29 million contracts, the put option trading volume was 3.21 million contracts, the call option open interest was 20.24 million contracts, and the put option open interest was 7.94 million contracts; for the CSI 1000 index options, the call option trading volume was 21.88 million contracts, the put option trading volume was 13.07 million contracts, the call option open interest was 31.68 million contracts, and the put option open interest was 15.77 million contracts [3] 3.2 Volatility Analysis - **Shanghai Stock Exchange 50 Volatility**: Analyzed the historical volatility and the historical volatility cone, including the maximum, 30% quantile value, minimum, 10% quantile value, HV5, HV20, HV60, 90% quantile value, 60% quantile value and the current value. Also presented the next - month at - the - money implied volatility and the volatility smile curve [3] - **CSI 300 Volatility**: Analyzed the historical volatility and the historical volatility cone with relevant quantile values and current values, and showed the next - month at - the - money implied volatility and the volatility smile curve [3] - **CSI 1000 Volatility**: Analyzed the historical volatility and the historical volatility cone, and presented the next - month at - the - money implied volatility and the volatility smile curve [3]

Group 1: Report Information - Report title: Stock Index Option Data Daily Report [2] - Report date: January 28, 2026 [3] - Data sources: Wind, Guomao Futures Research Institute [3] Group 2: Market Review - On January 27, the A - share market fluctuated and rose with scattered hotspots. Gold stocks rose again with many hitting new highs. Commercial space and space photovoltaic themes strengthened locally. The Shanghai Composite Index closed up 0.18% at 4139.9 points, the Shenzhen Component Index rose 0.09%, the ChiNext Index rose 0.71%, the Beixin 50 fell 0.05%, the Kechuang 50 rose 1.51%, the Wind All - A rose 0.14%, the Wind A500 fell 0.03%, and the CSI A500 rose 0.08%. A - share trading volume was 2.92 trillion yuan, compared with 3.28 trillion yuan the previous day [4] Group 3: Index Performance | Index | Closing Price | Change (%) | Trading Volume (billion) | Turnover (billion yuan) | | --- | --- | --- | --- | --- | | SSE 50 | 3052.3932 | 0.09 | 2023.27 | 75.14 | | CSI 300 | 4705.6918 | - 0.03 | 7152.68 | 301.48 | | CSI 1000 | 8382.1533 | 0.20 | 365.66 | 6302.08 | [3] Group 4: CFFEX Stock Index Option Trading | Index | Call Option Volume (10,000 contracts) | Put Option Volume (10,000 contracts) | Option Volume (10,000 contracts) | Call Option Open Interest (10,000 contracts) | Put Option Open Interest (10,000 contracts) | Option Open Interest (10,000 contracts) | Volume PCR | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3.78 | 1.50 | 5.28 | 3.01 | 0.40 | 3.41 | 0.40 | 0.13 | | CSI 300 | 8.37 | 3.51 | 11.88 | 7.71 | 11.81 | 19.52 | 0.42 | 1.53 | | CSI 1000 | 33.75 | 31.11 | 64.86 | 18.80 | 15.59 | 34.39 | 0.92 | 0.83 | [3] Group 5: Volatility Analysis - The report presents historical volatility cones and volatility smile curves for SSE 50, CSI 300, and CSI 1000, including maximum, minimum, 10%, 30%, 60%, 90% quantile values, and current values of historical volatility, as well as next - month at - the - money implied volatility [3]

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints - On January 22, A-shares showed narrow consolidation with unapparent sector rotation, and funds still favored the commercial aerospace direction. The Shanghai Composite Index rose 0.14% to close at 4122.58 points, the Shenzhen Component Index rose 0.5%, the ChiNext Index rose 1.01%, the North Star 50 Index rose 0.69%, the STAR 50 Index rose 0.41%, the Wind All A Index rose 0.44%, the Wind A500 Index rose 0.09%, and the CSI 4500 Index rose 0.12%. The total trading volume of A-shares throughout the day was 2.72 trillion yuan, compared with 2.62 trillion yuan the previous day [5] 3. Summary by Relevant Catalogs 3.1 Market Review | Index | Closing Price | Change (%) | Turnover (Billion Yuan) | Trading Volume (Billion) | | --- | --- | --- | --- | --- | | Index 1 | 3053.1277 | -0.46 | 1934.11 | 62.92 | | Index 2 | 4723.7091 | 0.01 | 6902.35 | 274.20 | | Index 3 | 8309.3456 | 0.75 | 5718.06 | 328.56 | [3] 3.2 CFFEX Stock Index Option Trading Situation | Option Type | Option Trading Volume (Ten Thousand Contracts) | Call Option Volume | Put Option Volume | PCR | Option Open Interest (Ten Thousand Contracts) | Call Option Open Interest | Put Option Open Interest | PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Option 1 | 3.25 | 1.98 | 1.27 | 0.64 | 6.51 | 4.00 | 2.51 | 0.63 | | Option 2 | 8.41 | 5.17 | 3.23 | 0.62 | 17.10 | 10.23 | 6.87 | 0.67 | | Option 3 | 18.84 | 10.99 | 7.85 | 0.71 | 28.94 | 14.46 | 14.47 | 1.00 | [3] 3.3 Volatility Analysis - The report presents the historical volatility cones and volatility smile curves for the SSE 50, CSI 300, and CSI 1000 indices, including information such as the maximum, minimum, 10%, 30%, 60%, 90% quantile values, and the current values, as well as the next-month at-the-money implied volatility [7]

Group 1: Implied Volatility Index and Historical Volatility - The financial options implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day. The commodity options 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 opposite [3] Group 2: Implied Volatility Quantile and Volatility Spread Quantile - The 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 [5] - The volatility spread involves the implied volatility index and historical volatility [5]

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 prices 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 opposite [3] Group 2: Implied Volatility Quantile and Volatility Spread Quantile - 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 [5] - Volatility spread is related to the implied volatility index and historical volatility [5]