金 融 衍 生 品 研 究 2025 年 11 月 24 日 股票股指期权：震荡降波，可考虑卖出虚值看 涨期权。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【正文】 表 1：期权市场数据统计 | 标的市场统计 | 收盘价 | 涨 跌 | 成交量(亿 | 成交变化 | 当 月 | 当月基差 | 次 月 | 次月基差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | 手 ) | (亿手) | 合成期货 | | 合成期货 | | | 上证50指数 | 2950.56 | -5.29 | 50.80 | -9.59 | 2946.20 | -4.36 | 2950.20 | -0.36 | | 沪深300指数 | 4448.05 | -5.56 | 185.83 | -37.02 | 4438.73 | -9.31 | 4427.93 | -20.11 | | 中证1000指数 | 7156.41 | 88.71 | 240.66 | -44.15 | 7098.67 | -5 ...

金 融 衍 生 品 研 究 2025 年 11 月 24 日 股票股指期权：震荡降波，可考虑卖出虚值看 涨期权。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【正文】 表 1：期权市场数据统计 | 标的市场统计 | 收盘价 | 涨跌 | 成交量(亿 | 成交变化 | 当月 | 当月基差 | 次月 | 次月基差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | 手) | (亿手) | 合成期货 | | 合成期货 | | | 上证50指数 | 2950.56 | -5.29 | 50.80 | -9.59 | 2946.20 | -4.36 | 2950.20 | -0.36 | | 沪深300指数 | 4448.05 | -5.56 | 185.83 | -37.02 | 4438.73 | -9.31 | 4427.93 | -20.11 | | 中证1000指数 | 7156.41 | 88.71 | 240.66 | -44.15 | 7098.67 | -57.74 ...

国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 6 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2025/11/14 3.183 -1.18% 13.10% 14.83% 2025/11/17 3.159 -0.75% 13.46% 14.73% 2025/11/18 3.150 -0.28% 14.82% 15.39% 2025年11月18日 52.50% 近1年 次月IV分位数 38.30% 34.50% 47.20% 近2年 次月IV分位数 46.30% 43.50% 53.90% 当月合约距离到期还剩 29.40% 34.10% 【50ETF】 近1年 当月IV分位数 26.50% 29.70% 50.60% 近2年 当月IV分位数 金融期权波动率 0% 5% 10% 15% 20% ATM IV(M1) ATM IV(M2) ATM IV(Q1) ATM IV(Q2) ATM IV期限结构 今日 昨日 0% 20% 40% 60% 80% 2.00 2.50 3.00 3.50 2022/11/16 2023/4/14 2023/9/8 2024/2/6 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints No clear core viewpoints are presented in the given content. The report mainly provides detailed data on various financial products such as ETFs and indices, including price, volatility, and skew index information. 3. Summary by Related Catalogs 3.1 50ETF - From November 6 - 10, 2025, the price fluctuated, with a 1.27% increase on the 6th, a 0.13% decrease on the 7th, and a 0.47% increase on the 10th. The current month IV ranged from 12.51% - 12.80%, and the next - month IV from 14.78% - 14.89% [1]. - The near - 1 - year current month IV quantile was 21.60% - 22.00%, and the near - 2 - year quantile was 20.00% - 22.00%. The near - 1 - year next - month IV quantile was 35.40% - 40.00%, and the near - 2 - year quantile was 45.40% - 48.60% [1]. - The skew index today was 92.65, compared to 102.82 yesterday [2]. 3.2 Shanghai 300ETF - From November 6 - 10, 2025, the price fluctuated, with a 1.48% increase on the 6th, a 0.21% decrease on the 7th, and a 0.25% increase on the 10th. The current month IV ranged from 14.37% - 14.53%, and the next - month IV from 15.94% - 16.28% [3]. - The near - 1 - year current month IV quantile was 28.90% - 30.20%, and the near - 2 - year quantile was 37.80% - 39.60%. The near - 1 - year next - month IV quantile was 46.80%, and the near - 2 - year quantile was 53.90% - 57.70% [3]. - The skew index today was 102.05, compared to 104.72 yesterday [5]. 3.3 Shenzhen 300ETF - From November 6 - 10, 2025, the price fluctuated, with a 1.54% increase on the 6th, a 0.30% decrease on the 7th, and a 0.38% increase on the 10th. The current month IV ranged from 14.58% - 14.95%, and the next - month IV from 16.41% - 16.74% [6]. - The near - 1 - year current month IV quantile was 31.40% - 34.20%, and the near - 2 - year quantile was 40.80% - 46.00%. The near - 1 - year next - month IV quantile was 47.40% - 50.40%, and the near - 2 - year quantile was 59.40% - 61.90% [6]. - The skew index today was 99.49, compared to 104.41 yesterday [12]. 3.4 Shanghai CSI 500ETF - From November 6 - 10, 2025, the price fluctuated, with a 1.89% increase on the 6th, a 1.50% increase on the 7th, and a 0.04% decrease on the 10th. The current month IV ranged from 18.55% - 18.71%, and the next - month IV from 19.92% - 20.13% [16]. - The near - 1 - year current month IV quantile was 34.20% - 35.50%, and the near - 2 - year quantile was 38.40% - 40.20%. The near - 1 - year next - month IV quantile was 46.80% - 57.00%, and the near - 2 - year quantile was 48.10% - 56.20% [16]. - The skew index today was 102.88, compared to 106.34 yesterday [21]. 3.5 Shenzhen CSI 500ETF - From November 6 - 10, 2025, the price fluctuated, with a 1.67% increase on the 6th, a 0.37% decrease on the 7th, and a 0.17% increase on the 10th. The current month IV ranged from 18.65% - 18.98%, and the next - month IV from 20.12% - 20.31% [26]. - The near - 1 - year current month IV quantile was 34.20%, and the near - 2 - year quantile was 39.80% - 40.40%. The near - 1 - year next - month IV quantile was 45.10% - 56.60%, and the near - 2 - year quantile was 54.30% - 56.40% [26]. - The skew index today was 102.13, compared to 106.11 yesterday [31]. 3.6 ChiNext ETF - From November 6 - 10, 2025, the price decreased, with a 1.88% increase on the 6th, a 0.50% decrease on the 7th, and a 0.85% decrease on the 10th. The current month IV ranged from 28.49% - 29.04%, and the next - month IV from 30.04% - 30.61% [32]. - The near - 1 - year current month IV quantile was 57.10% - 58.30%, and the near - 2 - year quantile was 69.30% - 71.50%. The near - 1 - year next - month IV quantile was 59.90% - 73.70%, and the near - 2 - year quantile was 73.70% - 75.60% [32]. - The skew index today was 98.35, compared to 102.10 yesterday [37]. 3.7 Shenzhen 100ETF - From November 6 - 10, 2025, the price fluctuated, with a 1.82% increase on the 6th, a 0.64% decrease on the 7th, and a 0.22% increase on the 10th. The current month IV ranged from 19.96% - 20.37%, and the next - month IV from 21.33% - 22.33% [41]. - The near - 1 - year current month IV quantile was 49.70% - 51.80%, and the near - 2 - year quantile was 60.90% - 62.50%. The near - 1 - year next - month IV quantile was 52.30% - 56.50%, and the near - 2 - year quantile was 66.30% - 69.70% [41]. - The skew index today was 101.73, compared to 104.78 yesterday [44]. 3.8 Science and Technology Innovation 50ETF - From November 6 - 10, 2025, the price decreased, with a 3.36% increase on the 6th, a 1.46% decrease on the 7th, and a 0.61% decrease on the 10th. The current month IV ranged from 31.64% - 32.60%, and the next - month IV from 33.27% - 34.03% [50]. - The near - 1 - year current month IV quantile was 50.20% - 67.40%, and the near - 2 - year quantile was 59.00% - 73.90%. The near - 1 - year next - month IV quantile was 52.20% - 73.90%, and the near - 2 - year quantile was 59.90% - 74.80% [50]. - The skew index today was 93.39, compared to 96.47 yesterday [52]. 3.9 Star 50ETF - From November 6 - 10, 2025, the price decreased, with a 3.39% increase on the 6th, a 1.37% decrease on the 7th, and a 0.69% decrease on the 10th. The current month IV ranged from 31.37% - 32.95%, and the next - month IV from 32.71% - 34.12% [55]. - The near - 1 - year current month IV quantile was 53.80% - 70.10%, and the near - 2 - year quantile was 56.50% - 75.40%. The near - 1 - year next - month IV quantile was 50.60% - 73.30%, and the near - 2 - year quantile was 56.50% - 72.00% [55]. - The skew index today was 93.79, compared to 97.75 yesterday [58]. 3.10 300 Index - From November 6 - 10, 2025, the price fluctuated, with a 1.43% increase on the 6th, a 0.31% decrease on the 7th, and a 0.35% increase on the 10th. The current month IV ranged from 13.35% - 13.87%, and the next - month IV from 16.42% - 16.54% [63]. - The near - 1 - year current month IV quantile was 21.20% - 30.60%, and the near - 2 - year quantile was 21.40% - 31.00%. The near - 1 - year next - month IV quantile was 42.80% - 57.40%, and the near - 2 - year quantile was 54.80% - 57.40% [63]. - The skew index today was 104.41, compared to 105.33 yesterday [66]. 3.11 1000 Index - From November 6 - 10, 2025, the price fluctuated, with a 1.17% increase on the 6th, a 0.13% decrease on the 7th, and a 0.28% increase on the 10th. The current month IV ranged from 17.52% - 17.98%, and the next - month IV from 19.98% - 20.18% [67]. - The near - 1 - year current month IV quantile was 14.20% - 22.00%, and the near - 2 - year quantile was 16.30% - 19.40%. The near - 1 - year next - month IV quantile was 23.20% - 25.70%, and the near - 2 - year quantile was 19.20% - 25.70% [67]. - The skew index today was 113.60, compared to 117.24 yesterday [70]. 3.12 Shanghai 50 Index - From November 6 - 10, 2025, the price fluctuated, with a 1.22% increase on the 6th, a 0.21% decrease on the 7th, and a 0.51% increase on the 10th. The current month IV ranged from 12.91% - 13.21%, and the next - month IV from 49.93% - 62.00% [71]. - The near - 1 - year current month IV quantile was 15.10% - 20.20%, and the near - 2 - year quantile was 15.90% - 20.20%. The near - 1 - year next - month IV quantile was 91.00% - 91.40%, and the near - 2 - year quantile was 95.50% - 95.70% [71]. - The skew index today was 101.83, compared to 101.00 yesterday [76].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report Stock index options are experiencing a downward increase in volatility, and the skewness of some varieties has shifted to negative skew [2]. 3. Summary According to Relevant Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and other indexes all declined. Their trading volumes also decreased, except for the Shanghai Composite 50 ETF, Huatai-PineBridge CSI 300 ETF, and other ETFs, which showed an increase [3]. - **Option Market Statistics**: The trading volumes of the Shanghai Composite 50 Index Option, Shanghai Composite 50 ETF Option, and other options decreased, while the trading volumes of the CSI 300 Index Option, Huatai-PineBridge CSI 300 ETF Option, and other options increased. The open interest of most options increased [3]. - **Option Volatility Statistics**: The ATM-IV of most options increased, and the HV also showed an upward trend. The skewness of some options shifted to negative skew [6]. 3.2 Option Index Data Statistics - **PCR (Put-Call Ratio)**: The VL-PCR and OI-PCR of most options are relatively high, indicating a strong bearish sentiment in the market [3]. - **Maximum Open Interest**: The maximum open interest of call options and put options in the near - month contracts of different options varies, which can reflect the market's expectations of the future price range of the underlying assets [3]. 3.3 Option Charts - **Volatility Cone and Volatility Term Structure**: Different option varieties have different volatility cone and volatility term structure charts, which can help analyze the historical and current volatility levels and term structure characteristics of options [10][14][20]. - **PCR Chart and Skewness Chart**: The PCR chart and skewness chart of different option varieties can reflect the market sentiment and the probability distribution of the underlying asset price changes [10][15][19].

Report Summary Investment Rating The report does not provide an investment rating for the industry. Core View The core view of the report is that for stock index options, as the volatility decreases during the downward trend, long - position investors can consider selling call options for hedging [1]. Summary by Category 1. Market Data Statistics - **Underlying Market Statistics**: The closing prices of most indexes and ETFs decreased, with varying degrees of decline in trading volume. For example, the Shanghai - Shenzhen 300 Index closed at 4459.83, down 30.62 points, and its trading volume was 254.32 billion hands, a decrease of 49.61 billion hands [2]. - **Option Market Statistics**: There were different changes in option trading volume, open interest, VL - PCR, OI - PCR, and maximum positions for calls and puts. For instance, the trading volume of Shanghai - Shenzhen 300 index options was 181,996, a decrease of 8,859, and the open interest was 226,889, an increase of 3,849 [2]. - **Option Volatility Statistics**: ATM - IV of most options decreased, while the changes in HV were diverse. For example, the ATM - IV of Shanghai - Shenzhen 300 index options (near - month) was 18.23%, a decrease of 1.74% [5]. 2. Option Charts - **Shanghai 50 Index Options**: Include charts of full - contract PCR, main - contract skewness, volatility cone, and volatility term structure [9]. - **Shanghai - Shenzhen 300 Index Options**: Include similar charts as Shanghai 50 index options, such as full - contract PCR, main - contract skewness, etc. [13]. - **CSI 1000 Index Options**: Include relevant charts like main - contract volatility, full - contract PCR, etc. [16]. - **ETF Options**: For various ETF options such as Shanghai 50ETF, Huatai - Baorui 300ETF, etc., there are also corresponding charts of main - contract volatility, full - contract PCR, and other indicators [21].

Report Summary 1. Investment Rating The report does not provide an industry investment rating. 2. Core View The report suggests that with the decline in the stock index option market and the decrease in volatility, investors can consider selling call options at high prices [1]. 3. Summary of Related Content 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai - Shenzhen 300 Index, Shanghai 50 Index, and most ETFs declined, while the closing price of the CSI 1000 Index increased slightly. The trading volumes of most underlying assets decreased, such as the Shanghai - Shenzhen 300 Index with a trading volume of 250.82 billion shares, a decrease of 50.66 billion shares [1]. - **Option Market Statistics**: The trading volumes of various options decreased significantly, while the open - interest of most options increased. For example, the trading volume of CSI 1000 index options was 264,630, a decrease of 94,783, and the open - interest was 256,493, an increase of 17,161. The VL - PCR and OI - PCR of most options showed different degrees of change [1]. 3.2 Option Volatility Statistics - **Near - Month Options**: The implied volatility (ATM - IV) of most options decreased, such as the Shanghai 50 index option with an ATM - IV of 17.77%, a decrease of 1.27%. The historical volatility (HV) also showed different trends, with some increasing and some decreasing [4]. - **Next - Month Options**: The ATM - IV of most next - month options also decreased, for example, the Shanghai 50 index option with an ATM - IV of 18.90%, a decrease of 1.52% [4]. 3.3 Option Index Data Statistics - **Each Option Type**: The report presents multiple charts for each option type, including the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term - structure chart, which can help investors analyze the market conditions of different options [8][12][15].

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - In the stock index option market on August 8, 2025, there was a downward trend in volatility, and the positive skew declined. It is recommended to consider selling call options [1] 3. Summary by Related Catalogs 3.1 Market Data Statistics - **Underlying Market Statistics**: The closing prices of major indices and ETFs generally declined. For example, the Shanghai Composite 50 Index closed at 2789.17, down 9.14 points; the CSI 300 Index closed at 4104.97, down 9.70 points. Trading volumes also decreased in most cases, such as the Shanghai Composite 50 Index with a trading volume of 38.92 billion hands, a decrease of 3.41 billion hands [2] - **Option Market Statistics**: Trading volumes of most option contracts decreased, while some open interest increased. For instance, the trading volume of Shanghai Composite 50 Index options was 29,318, a decrease of 3,056, and the open interest was 74,682, a decrease of 361 [2] - **Option Volatility Statistics**: The implied volatility (IV) of most options decreased, and the historical volatility (HV) showed different trends. For example, the ATM - IV of Shanghai Composite 50 Index options was 11.69%, a decrease of 0.06%, and the 20 - day HV was 6.72%, a decrease of 2.69% [5] 3.2 Option Analysis by Type - **Shanghai Composite 50 Index Options**: Analyzed through full - contract PCR, main - contract skew, volatility cone, and volatility term structure charts [8][9] - **CSI 300 Index Options**: Similar analysis methods were used as the Shanghai Composite 50 Index options, including full - contract PCR, main - contract skew, volatility cone, and volatility term structure [12][13] - **CSI 1000 Index Options**: Analyzed using full - contract PCR, main - contract skew, volatility cone, and volatility term structure [15][16] - **ETF Options**: Options such as Shanghai Composite 50 ETF, Huatai - Baorui 300 ETF, and others were analyzed in terms of full - contract PCR, main - contract skew, volatility cone, and volatility term structure [19][20][24]

Report Summary Core View The stock index options showed an upward movement with a decreasing volatility, and the implied volatility premium narrowed [1]. Market Data Summary Underlying Market Statistics - **Indices**: The Shanghai Composite 50 Index closed at 2790.73, up 21.34 points, with a trading volume of 41.26 billion hands, a decrease of 0.70 billion hands. The CSI 300 Index closed at 4103.45, up 32.75 points, with a trading volume of 178.85 billion hands, an increase of 16.58 billion hands. The CSI 1000 Index closed at 6787.48, up 47.79 points, with a trading volume of 223.72 billion hands, an increase of 10.23 billion hands [2]. - **ETFs**: The Shanghai Composite 50 ETF closed at 2.912, up 0.022, with a trading volume of 7.24 billion hands, an increase of 2.44 billion hands. The Huatai-PB CSI 300 ETF closed at 4.183, up 0.031, with a trading volume of 5.48 billion hands, an increase of 1.13 billion hands [2]. Option Market Statistics - **Trading Volume and Open Interest**: The trading volume of Shanghai Composite 50 Index Options was 30,577, an increase of 280, and the open interest was 72,824, a decrease of 1,212. The trading volume of CSI 300 Index Options was 78,143, an increase of 5,831, and the open interest was 205,892, an increase of 668 [2]. - **Volatility and PCR**: The ATM-IV of Shanghai Composite 50 Index Options was 11.59%, a decrease of 0.57%, and the VL-PCR was 48.61%, and the OI-PCR was 57.04%. The ATM-IV of CSI 300 Index Options was 11.16%, a decrease of 1.41%, and the VL-PCR was 52.69%, and the OI-PCR was 70.72% [2][5]. Individual Option Analysis The report provides detailed analysis and charts for various options, including Shanghai Composite 50 Index Options, CSI 300 Index Options, CSI 1000 Index Options, and multiple ETF options, covering aspects such as PCR, skew, volatility cone, and volatility term structure [8][12][15].

Report Date - The report is dated July 24, 2025 [1] Investment Rating - No investment rating for the industry is provided in the report Core Viewpoint - Due to the high positive skew percentile of stock index options, a bullish call spread strategy can be considered [2] Data Summary Underlying Market Statistics - The closing prices of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index are 2812.44, 4149.04, and 6701.12 respectively, with increases of 11.24, 29.27, and 93.90 [3] - The trading volumes of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index are 60.28 billion, 319.63 billion, and 285.42 billion hands respectively, with changes of -7.65 billion, 19.13 billion, and -8.69 billion hands [3] Option Market Statistics - The trading volumes of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 36,748, 87,017, and 196,037 respectively, with changes of -18,679, -46,300, and -29,170 [3] - The open interests of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 62,312, 173,462, and 232,248 respectively, with changes of 2,593, 6,427, and 6,805 [3] Option Volatility Statistics - The ATM - IV of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 16.65%, 16.55%, and 20.21% respectively, with changes of 0.21%, -0.11%, and 0.91% [6] - The Skew of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 16.39%, 14.22%, and 7.27% respectively, with changes of 0.57%, 5.34%, and 1.49% [6]