（正文） 二 〇 二 五 年 度 2025 年 10 月 10 日 金融期权：隐波与标的走势呈现负相关性，市 场看涨情绪下降。 张雪慧 投资咨询从业资格号：Z0015363 Zhangxuehui022447@gtjas.com 报告导读： 隐波与标的走势呈现负相关性，市场看涨情绪下降。 1. 期权市场交易概况回顾 表 1：期权市场交易概况回顾（日均） | 期权名称 | C A L L成交 | P U T成交 | 总成交量 | C A L L持仓 | P U T持仓 | 总持仓量 | C A L L成交额 (万 | P U T成交额 (万 | 总成交额 (万 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 量 (万手 ) | 量 (万手 ) | (万手 ) | 量 (万手 ) | 量 (万手 ) | (万手 ) | 元 ) | 元 ) | 元 ) | | 上证50股指期权 | 3.92 | 1.92 | 5.84 | 4.20 | 3.09 | 7.28 | 22979.47 | 6583.29 | 29562.76 | ...

1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - The volatility trends of near - and far - month options are diverging. It is advisable to consider building a protective put position for the next month when prices are low [1] 3. Summary by Relevant Catalogs 3.1 Option Market Trading Overview - The daily average trading volume, open interest, and turnover of various financial options are presented. For example, the total daily average trading volume of all options is 1242.50 million lots, with a total open interest of 1169.28 million lots and a total turnover of 13.2349519 billion yuan [1] 3.2 Option Volatility Statistics - The implied volatility (IV), historical volatility (HV), skew, and VIX of various options on the last trading day of the week are provided. For instance, the ATM - IV of SSE 50 Index Options is 21.01% with a - 2.19% change [3] 3.3 Option Liquidity - Multiple charts show the changes in total trading volume, open interest, turnover, trading value, and the proportion of trading volume and open interest of each option variety [4][6][10] 3.4 Option Volatility Level - Comparing the at - the - money implied volatility (ATM - IV) and historical volatility (HV) of various options, there were signs of convergence last week. The current ATM - IVs of different options range from 18.21% to 46.36%. The relationship between the underlying asset and ATM - IV varies, with correlation coefficients ranging from - 44.74% to 95.63% [11][13][15] 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of various options is used to reflect market bull - bear sentiment, and the PCR trends and daily环比increment percentages of different options are presented through charts [39][40] 3.6 Market Support and Resistance Levels - The key support and resistance levels of various option underlying assets are given. For example, the key support level of the SSE 50 Index is 2850, and the resistance level is 3000 [53]

Investment Rating - The report does not explicitly state an investment rating for the financial options industry Core Insights - The financial options market is experiencing an increase in trading volume and market sentiment adjustment, indicating a bullish outlook [2] - The total average daily trading volume for various options is reported at 646.90 million contracts, with a total average daily trading value of 573.97 billion yuan [2] - The report highlights a convergence of implied volatility and historical volatility for several options, suggesting a potential stabilization in market expectations [13][15][17][20][24][26][28][32][35][37][39] Summary by Sections 1. Options Market Trading Overview - The average daily trading volume for the Shanghai Stock Exchange 50 Index options is 2.99 million contracts, with a total trading value of 8.72 billion yuan [2] - The average daily trading volume for the CSI 1000 Index options is 23.42 million contracts, with a total trading value of 204.40 billion yuan [2] - The average daily trading volume for the CSI 300 Index options is 9.14 million contracts, with a total trading value of 42.65 billion yuan [2] - The Southbound 500 ETF options have the highest average daily trading volume at 123.04 million contracts, with a total trading value of 113.66 billion yuan [2] 2. Options Volatility Statistics - The implied volatility for the Shanghai Stock Exchange 50 Index options is reported at 13.48%, with a decrease of 1.27% [4] - The implied volatility for the CSI 1000 Index options is reported at 21.57%, with a decrease of 0.54% [15] - The implied volatility for the Southbound 500 ETF options is reported at 18.05%, with a decrease of 1.08% [26] - The implied volatility for the Huatai-PB 300 ETF options is reported at 13.77%, with a decrease of 0.93% [24] 3. Options Market Liquidity - The report indicates a significant increase in liquidity across various options, with the total open interest reaching 867.34 million contracts [2] - The total trading value for the options market has shown a consistent upward trend, reflecting increased investor participation [8][9] 4. Market Sentiment Indicators - The Put-Call Ratio (PCR) is utilized to gauge market sentiment, with fluctuations indicating shifts between bullish and bearish sentiments [40] - The PCR for the Shanghai Stock Exchange 50 Index options has shown a trend towards bullish sentiment in recent weeks [43] - The PCR for the CSI 1000 Index options has also indicated a similar trend, reflecting overall market optimism [43]