内容提要 2025年11月，银行间外汇市场成交量整体下降，外汇市场日均成交量环比有所下行；美元指数震荡收贬，人民币汇率延续走升续创年内新高；境内外汇差由 负转正，市场整体买卖压力转向净卖汇；期权波动率持续走低，人民币汇率短期面临升值压力；长期限掉期点窄幅波动，市场买入压力逐步减弱；外币利率 市场美元流动性有所趋紧，境内外利差全月维持为负。 一、银行间外汇市场成交量整体下降，外汇市场日均成交量环比有所下行 11月银行间外汇市场日均交易量1914.58亿美元，同比下降2.57%，环比下降6.69%。其中人民币外汇市场日均交易量为1462.33亿美元，同比小幅下降 5.11%。外币对市场整体交投活跃，同比环比均显著上涨；外币利率市场受境外节假日影响交易量走低，环比下降超20%。 即期市场机构发起方先买后卖，日均买汇量减少。当月中上旬，即期市场机构交易需求基本维持买汇方向，发起方日均净买汇15.34亿美元，其中仅13日市 场机构结汇需求有所释放，当日净卖汇29.85亿美元。随着美元降息预期再度升温，下旬市场机构交易需求转为卖汇方向，日均净卖汇9.59亿美元。全月日均 净买汇7.86亿美元，较10月减少3.94亿美元。 ...

Core Viewpoint - The article discusses the high implied volatility of Shanghai silver options, suggesting that investors can develop corresponding options strategies based on their predictions of Shanghai silver futures prices. The volatility is influenced by macroeconomic or geopolitical events, leading to significant short-term fluctuations in precious metals options [1][8]. Group 1: Market Overview - Last week, precious metal futures surged, with the implied volatility of Shanghai silver options reaching a historical high of over 65%, indicating a strong market expectation for price fluctuations [1][3]. - As of December 26, 2025, the total trading volume of options contracts was 607,227, a decrease of 308.93% from the previous trading day, while total open interest increased by 12.36% to 344,794 contracts [3]. Group 2: Volatility Analysis - Implied volatility is a key variable in options pricing, and high implied volatility often indicates that options may be overvalued, especially if it significantly exceeds historical volatility [4][8]. - The article emphasizes the importance of understanding the relationship between implied volatility and options pricing, noting that higher volatility typically leads to higher option premiums [5][8]. Group 3: Options Strategies - Investors are advised to consider various options strategies in the context of high implied volatility, such as buying out-of-the-money call options for potential high returns, while being aware of the risks associated with time decay and volatility regression [9][15]. - The bull call spread strategy is recommended for those expecting limited price increases, allowing investors to reduce the cost of buying call options while still benefiting from upward price movements [10][12]. - The covered call strategy is suggested for investors holding long positions in Shanghai silver futures, enabling them to enhance returns by selling out-of-the-money call options [13][15].

期货研究报告 投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2025 年 12 月 24 日 金融期权 专业研究·创造价值 股市成交缩量，股指震荡分化 核心观点 今日各股指震荡分化，其中中证 1000 与中证 500 大幅上涨，沪深 300 与上证 50 窄幅震荡。股市全市场成交额 18972 亿元，较上日成交额缩量 241 亿元。行业板块方面，电源设备、商业航天、消费电子、液冷服务器 等板块领涨，从成分股的分布来看利好中小盘指数。目前股市仍处于板块 轮动行情，股市整体成交金额并未显著放量，活跃资金集中在高景气度行 业板块博弈，使得股指呈现结构性分化。中长期来看，政策面利好预期以 及资金净流入趋势共同构成股指的中长期支撑力量。短期内，临近年末资 金面流动性有所趋紧，政策增量信号尚未明确，短线股指的上行驱动力量 有所不足。总的来说，短期内股指维持区间震荡。 期权方面，目前持仓量 PCR 与隐含波动率均位于正常区间，可以牛市 价差或者比例价差温和看涨的思路对待。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z00146 ...

期权的理论研究可以分为期权定价、交易策略和风险管理三个方面，其中，期权定价是交易策略和风险管理的理论基础。我们 从定价的角度来看，期权的价格变动可以用以下数学公式表示： $\Lambda V_{\rm option}\approx delta\cdot\Delta S+\frac{1}{2}$_gamma$\cdot\Delta S^{2}-$theta$\cdot\Delta T+$vega$\cdot\Delta\sigma+$rho$\cdot\Delta r$_ 由于利率变动较小，对期权的价格影响较为有限，剩下四个较为重要的研究维度分别是方向（delta）、加速度（gamma）、波 动率(vega)和时间价值(theta)，这四个维度可以解释大部分期权价格的变化。虽然从数学的角度看还有更为高阶的分解，但是高 阶部分对期权的价格影响较小，这里不再做更细微的分析。 在金融市场中，期权策略对于各类市场参与者具有重要的实践意义和价值。期权交易策略为投资者提供了灵活的投资方式，合 理运用期权策略可以有效实现风险管理，优化资产配置，增强投资收益。本文系统梳理了期权策略的四个核心维度及其相互关 系，构建了期权波动率 ...

[原ta油ble周_r报eportdate] 2025 年 12 月 5 日 震荡偏弱，注意波动率上升风险 风险提示：地缘局势的不确定性。 [table_main] 宏源公司类模板 分析师：范智颖 从业资格号：F03117807 投资咨询从业证书号：Z0022690 研究所 Tel：010-82292099 Email：fanzhiying@swhysc.com 相关研究 《原油 2025 年展望：增产预期压制上方 空间》 《宏源原油周报 20250110：低库存下油 价对于供给的潜在减量较为敏感》 《宏源原油二季度报告：等待利空因素 消化，不必过度悲观》 《原油月报：转机与阴霾同在》 《原油周报 20250509：短期以反弹修复 看待》 《原油 6 月展望：6 月仍有下行压力》 《原油 2025 年 H2 展望：利空因素逐步 消化，下半年谨慎看涨》 《原油周报20250711：短期矛盾不凸显， 油价波动率回归》 《原油 8 月展望：宏观与需求支撑转弱， 8 月注意下行压力》 《原油周报 20250822：短期或延续降波 震荡行情》 《原油 9 月展望：等待利空因素释放》 《原油周报 20251010：中东局 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoint of the Report The implied volatility of stock index options continues to decline, and investors can consider the covered call strategy [1]. 3. Summary According to Relevant Catalogs 3.1 Market Data Statistics - **Underlying Market Statistics**: The closing prices of various indices and ETFs showed increases, with trading volume changes varying. For example, the Shanghai Composite 50 Index closed at 2993.68, up 24.06 points, and its trading volume was 46.52 billion shares, an increase of 9.25 billion shares [1]. - **Options Market Statistics**: The trading volume and open interest of different options also changed. For instance, the trading volume of Shanghai Composite 50 Index Options was 28,345, an increase of 9,677, and the open interest was 65,173, an increase of 2,743 [1]. 3.2 Options Volatility Statistics - **Near - Month Options**: The ATM - IV of most options decreased, while the same - term HV showed different trends. For example, the ATM - IV of Shanghai Composite 50 Index Options was 10.97%, a decrease of 1.04%, and the same - term HV was 12.03%, an increase of 0.54% [4]. - **Next - Month Options**: Similar to the near - month options, the ATM - IV of most next - month options decreased, and the same - term HV also had various changes [4]. 3.3 Individual Option Analysis - **Shanghai Composite 50 Index Options**: The report presents multiple charts including the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [7][8]. - **CSI 300 Index Options**: Charts such as the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure are provided [11][12]. - **CSI 1000 Index Options**: The full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure are shown in relevant charts [15][16]. - **Shanghai Composite 50ETF Options**: Multiple charts including the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure are presented [24][25]. - **Huatai - Peregrine 300ETF Options**: The full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure are included in the analysis [28][29]. - **Southern CSI 500ETF Options**: Relevant charts show the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [33][34]. - **Huaxia Science and Technology Innovation 50ETF Options**: The full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure are presented in the report [41][43]. - **E Fund Science and Technology Innovation 50ETF Options**: The full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure are included in the analysis [47][48]. - **Harvest 300ETF Options**: The full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure are shown in relevant charts [58][59]. - **Harvest CSI 500ETF Options**: The full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure are presented [63][64]. - **Growth Enterprise Market ETF Options**: The full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure are included in the analysis [67][68]. - **Shenzhen 100ETF Options**: The full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure are shown in relevant charts [72][73].

Report Summary 1. Report Industry Investment Rating No information provided in the report. 2. Core View of the Report ETF options are approaching expiration, and the implied volatility of near - month contracts is rising [2]. 3. Summary by Related Catalogs 3.1 Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index increased by 17.64, 42.36, and 93.54 respectively. The trading volumes of the Shanghai Composite 50 Index and CSI 300 Index decreased by 8.40 billion and 16.26 billion hands, while that of the CSI 1000 Index increased by 4.77 billion hands. For ETFs, the trading volume of some decreased, while others increased [3]. - **Option Market Statistics**: The trading volumes of some option contracts decreased, such as the Shanghai Composite 50 Index Option and Shanghai Composite 50 ETF Option, while others increased, like the CSI 1000 Index Option and Southern CSI 500 ETF Option. The open - interest also showed different trends of increase or decrease [3]. - **Option Volatility Statistics**: In the near - month contracts, the ATM - IV of most option contracts decreased, except for the Southern CSI 500 ETF Option and Huaxia Science and Technology Innovation 50 ETF Option which increased. The same - term HV of some contracts increased, and the Skew also had different changes [6]. 3.2 Option Index Data Statistics - **PCR and Maximum Positions**: The VL - PCR and OI - PCR of different option contracts varied. For example, the VL - PCR of the Shanghai Composite 50 Index Option was 54.85%, and the OI - PCR was 69.94%. The maximum positions of call and put options in the near - month contracts also differed for each option [3]. 3.3 Option Charts - For each type of option (e.g., Shanghai Composite 50 Index Option, CSI 300 Index Option), there are charts showing the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure, which visually present the historical and current option data [10][14][24]

Group 1 - The interbank foreign exchange market showed stable trading volume, with the average daily trading volume increasing by 6.72% month-on-month to $205.18 billion, despite a slight year-on-year decline of 0.3% [2] - The average daily trading volume in the RMB foreign exchange market was $152.54 billion, down 5.72% year-on-year but up 6.3% month-on-month, with both spot and swap transactions increasing by over 7% [2] Group 2 - The US dollar index continued to strengthen, reaching around 99.5 before declining to above 98, with a month-end value of 99.804, reflecting a 2.08% appreciation from the previous month [3] - The RMB exchange rate rose to a yearly high of 7.0995 against the US dollar before fluctuating, ending the month at 7.1135, a slight appreciation of 0.07% [4] Group 3 - The domestic foreign exchange spread shifted from negative to positive by the end of the month, with an average daily spread of -29 basis points, which was wider by 25 basis points compared to the previous month [5] - The market saw a shift from net buying to net selling of foreign exchange by institutions, with an average daily net buying of $11.80 million throughout the month [5] Group 4 - The implied volatility of RMB foreign exchange options remained low, with an average daily trading volume of $5.23 billion, down 9.07% month-on-month [6] - The 1-month implied volatility for RMB against the US dollar reached a low of 2.19%, the lowest since June 2017 [6] Group 5 - The long-term swap points reached a new high not seen in nearly three years, with the 1-year swap points ending at -1287 basis points, an increase of 35 basis points from the previous month [7] - The market's buying pressure remained strong, with the 1-year swap points reflecting significant market supply and demand factors [8] Group 6 - The dollar liquidity in the foreign currency interest rate market remained loose, with the overnight dollar interest rate spread maintaining a negative direction, reaching a yearly high of -40 basis points by the end of the month [10] - The SOFR rate fluctuated, ending the month at 4.22% after a drop following the Fed's rate cut [9]

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 ...