uplied Volstility Surfax Time to MatuGty ITC 国贸期货 投资咨询业务资格:证监许可【2012】31号 世界500强投资公司 国贸期货股份有限公司 成为一流的衍生品综合服务商 IIC 国贸期货 HN AV ATE H F 投资咨询号: Z0000116 国留斯特研究 2026/2/12 从业资格号:F0251925 金融衍生品中心 李泽 数据来源: Wind,国贸期货研究院 行情回顾 指数 收盘价 涨跌幅 (%) 成交额(亿元) 成交量(亿) 3088. 4571 0. 03 1140. 86 36. 85 上证50 4713. 8185 173. 39 沪深300 -0. 22 4334. 29 273. 23 中证1000 8239. 513 -0. 13 4380. 65 中金所股指期权成交情况 期权成交量 期权持仓量 认购期权 认沽期权 认购期权 认沽期权 持仓量 日成交量 指数 持仓量 持仓量 (万张) 成交量 成交量 PCR (万张) PCR 上证50 2. 04 1. 29 0. 75 0. 58 8. 30 5.04 3. 26 0. 65 沪深300 ...

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints - On February 2, the three major A-share indices all fell more than 2%. The Shanghai Composite Index barely held above 4000 points. There was a wave of limit - down stocks in the gold and basic metals sectors, and resource stocks declined across the board. The Shanghai Composite Index closed down 2.48% at 4015.75 points, the Shenzhen Component Index fell 2.69%, the ChiNext Index fell 2.46%, the Northbound 50 fell 2.03%, the Science and Technology Innovation 50 fell 3.88%, the Wind All - A fell 2.71%, the Wind A500 fell 2.52%, and the CSI A500 fell 2.64%. A - shares traded 2.61 trillion yuan throughout the day, compared with 2.86 trillion yuan the previous day [4] 3. Summary by Related Catalogs 3.1 Market Review - **Index Performance**: The closing price, change rate, trading volume (in billions), and trading value (in billions of yuan) of the Shanghai 50, CSI 300, and CSI 1000 are as follows: Shanghai 50 closed at 3003.1373, down 2.07%, with a trading volume of 80.80 billion and a trading value of 2081.53 billion yuan; CSI 300 closed at 4605.9799, down 2.13%, with a trading volume of 304.77 billion and a trading value of 7259.20 billion yuan; CSI 1000 closed at 7975.4283, down 3.39%, with a trading volume of 308.32 billion and a trading value of 4989.41 billion yuan [3] - **China Financial Futures Exchange Stock Index Options Trading Situation**: The option trading volume and open interest of call options and put options for the Shanghai 50, CSI 300, and CSI 1000 are presented, along with the PCR (Put - Call Ratio) of trading volume and open interest [3] 3.2 Volatility Analysis - **Shanghai 50 Volatility**: The historical volatility and volatility cone of the Shanghai 50 are analyzed, including the minimum, maximum, 10% quantile, 30% quantile, HV5, HV20, HV60, 60% quantile, current value, and 90% quantile. The volatility smile curve of the Shanghai 50's next - month at - the - money implied volatility is also shown [3] - **CSI 300 Volatility**: Similar to the Shanghai 50, the historical volatility, volatility cone, and volatility smile curve of the CSI 300 are provided [3] - **CSI 1000 Volatility**: The historical volatility, volatility cone, and volatility smile curve of the CSI 1000 are analyzed [3]

Report Summary 1. Report Industry Investment Rating - No investment rating information provided in the report. 2. Core View of the Report - On January 16, the A-share market opened higher but closed lower. AI application themes declined across the board, while memory concept stocks soared. The Shanghai Composite Index closed down 0.26% at 4101.91 points, and the total trading volume of A-shares reached 3.06 trillion yuan, up from 2.94 trillion yuan the previous day [5]. 3. Summary by Relevant Catalogs 3.1 Market Quotes Review of Stock Indexes - **Index Closing Prices and Changes**: The closing price of the Shanghai Stock Exchange 50 Index was 1999.99, with a trading volume of 72.45 billion and a decline of 0.83%. The closing price of the CSI 300 Index was 4731.8728, with a trading volume of 7856.24 billion and a decline of 0.41%. The closing price of the CSI 1000 Index was 8232.7293, with a trading volume of 6334.11 billion and a decline of 0.10% [3]. - **A-Share Market Performance**: On January 16, the Shanghai Composite Index fell 0.26%, the Shenzhen Component Index fell 0.18%, the ChiNext Index fell 0.2%, the Beijing Stock Exchange 50 Index rose 0.23%, the Science and Technology Innovation 50 Index rose 1.35%, the Wind All A Index fell 0.17%, the Wind A500 Index fell 0.41%, and the CSI A500 Index fell 0.43%. The total trading volume of A-shares was 3.06 trillion yuan, compared with 2.94 trillion yuan the previous day [5]. 3.2 Trading Situation of CFFEX Stock Index Options - **Option Trading Volume and Open Interest**: For the SSE 50 Index, the trading volume of call options was 2.51 million contracts, and the trading volume of put options was 6.22 million contracts. The open interest of call options was 3.72 million contracts, and the open interest of put options was 3.01 million contracts. For the CSI 300 Index, the trading volume of call options was 12.26 million contracts, and the trading volume of put options was 7.09 million contracts. The open interest of call options was 14.58 million contracts, and the open interest of put options was 8.73 million contracts. For the CSI 1000 Index, the trading volume of call options was 24.20 million contracts, and the trading volume of put options was 13.27 million contracts. The open interest of call options was 25.61 million contracts, and the open interest of put options was 12.34 million contracts [3]. - **PCR Indicators**: The trading volume PCR of the SSE 50 Index was 0.67, and the open interest PCR was 0.61. The trading volume PCR of the CSI 300 Index was 0.58, and the open interest PCR was 0.67. The trading volume PCR of the CSI 1000 Index was 0.76, and the open interest PCR was 0.93 [3]. 3.3 Volatility Analysis - **Historical Volatility and Volatility Cones**: The report presents the historical volatility and volatility cones of the SSE 50, CSI 300, and CSI 1000 Indexes, including 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day historical volatilities, along with minimum, maximum, 10%, 30%, 60%, 90% quantile values, and current values [3]. - **Volatility Smile Curves**: The report shows the volatility smile curves of the SSE 50, CSI 300, and CSI 1000 Indexes for the next - month at - the - money implied volatility [3].

80% 0.2 70% 60% 0.15 50% 0.1 40% 30% 0.05 20% 0 10% 2025-10-26 2025-08-26 2025-09-26 2025-11-26 2025-12-26 0% HV5 - HV20 HVEO 5日 20日 40日 60日 120日 波动率微笑曲线 上证50下月平值隐波 0.28 2602 2601 0.26 0.8 0.24 0.7 0.22 0.6 0.2 0.5 0.18 0.16 0.4 0.14 0.3 0.12 0.2 0.1 0.1 0.0 2400 2475 2600 沪深300波动率分析 沪深300历史波动率 历史波动率锥 0.25 ·30%分位值 最小值 10%分位值 最大值 . . . . ·60%分位值 当前值 90%分位值 o 0.2 100% 90% 0.15 80% 70% 0.1 60% 50% 0.05 40% 30% 20% 0 10% 2025-08-26 2025-09-26 2025-10-26 2025-11-26 2025-12-26 0% HV5 - HV20 HV60 5日 20日 60日 120日 4 ...

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - On January 7, the A-share market fluctuated and rose. The Shanghai Composite Index slightly increased, achieving 14 consecutive positive days and approaching 4,100 points during the session. The semiconductor industry chain led the gains. The Shanghai Composite Index closed up 0.05% at 4085.77 points, the Shenzhen Component Index rose 0.06%, the ChiNext Index rose 0.31%, the Beijing Stock Exchange 50 rose 0.22%, the Science and Technology Innovation 50 rose 0.99%, the Wind All A rose 0.19%, the Wind A500 fell 0.17%, and the CSI A500 remained flat. The total trading volume of A-shares throughout the day was 2.88 trillion yuan, compared with 2.83 trillion yuan the previous day [3] 3. Summary by Relevant Catalogs Market Review - **Index Performance**: The closing price of the Shanghai 50 was 3145.1197, with a decline of 0.43% and a trading volume of 16.93 billion, and the trading value was 477.666 billion yuan, a decline of 0.29%. The closing price of the CSI 300 was 52.14, with an increase of 0.53%, and the trading volume was 66.49 billion, and the trading value was 25.91 billion yuan. The closing price of the CSI 1000 was 6179.17, and the trading volume was 79.064 billion, and the trading value was 31.873 billion yuan [3] - **Options Trading**: For the Shanghai 50 index options, the trading volume of call options was 5.33 million contracts, and that of put options was 3.87 million contracts, with a PCR of 0.76; the open interest of call options was 3.43 million contracts, and that of put options was 2.61 million contracts, with a PCR of 0.76. For the CSI 300 index options, the trading volume of call options was 5.23 million contracts, and that of put options was 9.72 million contracts, with a PCR of 0.83; the open interest of call options was 15.12 million contracts, and that of put options was 9.89 million contracts, with a PCR of 0.53. For the CSI 1000 index options, the trading volume of call options was 33.91 million contracts, and that of put options was 20.31 million contracts, with a PCR of 0.67; the open interest of call options was 32.06 million contracts, and that of put options was 15.16 million contracts, with a PCR of 1.12 [3] Volatility Analysis - **Shanghai 50 Volatility**: The report presents the historical volatility, historical volatility cone, and volatility smile curve of the Shanghai 50 index, as well as the implied volatility of the at - the - money options for the next month [3] - **CSI 300 Volatility**: Similar to the Shanghai 50, it shows the historical volatility, historical volatility cone, and volatility smile curve of the CSI 300 index, along with the implied volatility of the at - the - money options for the next month [3] - **CSI 1000 Volatility**: It also includes the historical volatility, historical volatility cone, and volatility smile curve of the CSI 1000 index, and the implied volatility of the at - the - money options for the next month [3]

Report Summary 1. Market Performance [3] - On January 6, the A-share market continued its strong performance. The Shanghai Composite Index rose 1.5% to a more than 10-year high, with over 4,100 stocks rising. The Shanghai Composite Index closed up 1.5% at 4,083.67 points, the Shenzhen Component Index rose 1.4%, the ChiNext Index rose 0.75%, the Beijing Stock Exchange 50 rose 1.82%, the Science and Technology Innovation 50 rose 1.84%, the Wind All A rose 1.59%, the Wind A500 rose 1.75%, and the CSI A500 rose 1.68%. - The total trading volume of A-shares throughout the day was 2.83 trillion yuan, reaching a more than three - month high. 2. Index Quotes [3] | Index | Closing Price | Increase or Decrease (%) | Trading Volume (billion) | Turnover (billion yuan) | | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 3,158.7632 | 1.90 | 57.49 | 4,790.6938 | | CSI 300 | 7,254.15 | 1.55 | 296.97 | 331.16 | | CSI 1000 | 7,864.9034 | 1.43 | 580.815 | - | 3. CFFEX Stock Index Option Trading Situation [3] | Index | Option Trading Volume (million contracts) | | | Option Open Interest (million contracts) | | | Trading Volume PCR | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | | Call Options | Put Options | Total | Call Options | Put Options | Total | | | | SSE 50 | 2.38 | 3.33 | 5.74 | 5.85 | 8.12 | 2.51 | 0.75 | 0.41 | | CSI 300 | 13.69 | 6.74 | 20.43 | 9.61 | 7.81 | 17.43 | 0.49 | 0.81 | | CSI 1000 | 36.42 | 31.38 | 21.58 | 14.84 | 16.38 | 15.00 | 0.69 | 1.09 | 4. Volatility Analysis SSE 50 Volatility Analysis [3] - Historical volatility and historical volatility cone are presented, showing the range of volatility from minimum to maximum values, as well as different percentile values (10%, 30%, 60%, 90%, etc.). - The volatility smile curve and the next - month at - the - money implied volatility are also provided. CSI 300 Volatility Analysis [3] - Similar to the SSE 50, it includes historical volatility, historical volatility cone, volatility smile curve, and next - month at - the - money implied volatility. CSI 1000 Volatility Analysis [3] - It also contains historical volatility, historical volatility cone, volatility smile curve, and next - month at - the - money implied volatility.

Report Summary 1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core View - The report presents a daily data analysis of stock index options including market trends of major indices and trading volume and open - interest data of index options on the CFFEX, as well as volatility analysis of relevant indices [3][4] 3. Summary by Related Catalogs 3.1 Market Review - On December 31, 2025, the Shanghai Composite Index closed up 0.09% at 3,968.84 points. The Shenzhen Component Index fell 0.58%, the ChiNext Index fell 1.23%, the Bei - zheng 50 fell 0.7%, the Kechuang 50 fell 1.15%, the Wind All - A fell 0.17%, the Wind A500 fell 0.36%, and the CSI A500 fell 0.28%. A - share trading volume for the day was RMB 2.07 trillion, compared with RMB 2.16 trillion the previous day [5] - Index closing prices, daily changes (%), trading volume (billion yuan), and trading volume (billion) are provided: the closing price of SSE 50 was 1,076.68 with a change of 37.36, trading volume of 3,031.1258 billion yuan and a trading volume of 170.76 billion; the closing price of CSI 300 was 4,629.9395 with a change of - 0.46%, trading volume of 4,444.92 billion yuan and a trading volume of 4,406.72 billion; the closing price of CSI 1000 was 7,595.2845 with a change of - 0.03% and trading volume of 244.55 billion yuan [3] 3.2 CFFEX Stock Index Options Trading Volume - For SSE 50 index options: call option trading volume was 5.27 million contracts, put option trading volume was 2.65 million contracts, trading volume PCR was 1.73, call option open - interest was 3.16 million contracts, put option open - interest was 2.11 million contracts, open - interest PCR was 0.67, and total open - interest was 3.74 million contracts [3] - For CSI 300 index options: call option trading volume was 10.32 million contracts, put option trading volume was 6.58 million contracts, trading volume PCR was 0.57, call option open - interest was 10.27 million contracts, put option open - interest was 7.43 million contracts, and open - interest PCR was 0.72 [3] - For CSI 1000 index options: call option trading volume was 22.19 million contracts, put option trading volume was 12.83 million contracts, trading volume PCR was 0.73, call option open - interest was 29.43 million contracts, put option open - interest was 9.36 million contracts, open - interest PCR was 0.97, and total open - interest was 14.95 million contracts [3] 3.3 Volatility Analysis - Volatility analysis includes historical volatility and historical volatility cones for SSE 50, CSI 300, and CSI 1000 indices, along with volatility smile curves and next - month at - the - money implied volatility [4]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core View - On December 23, the A-share market showed narrow consolidation. The lithium - battery and lithography machine industrial chains strengthened, while the commercial space theme had a deep correction. The Shanghai Composite Index rose 0.07% to 3919.98 points, the Shenzhen Component Index rose 0.27%, the ChiNext Index rose 0.41%, the North - 50 Index fell 0.64%, the STAR 50 Index rose 0.36%, the Wind All - A Index fell 0.06%, the Wind A500 Index rose 0.22%, and the CSI A500 Index rose 0.22%. The total A - share trading volume was 1.92 trillion yuan, compared with 1.88 trillion yuan the previous day [5] 3. Summary by Relevant Catalogs 3.1 Market Index Quotes | Index | Closing Price | Change (%) | Trading Volume (billion yuan) | Trading Volume (billion) | | --- | --- | --- | --- | --- | | SSE 50 | 3027.5195 | 0.24 | 35.89 | - | | CSI 300 | 4620.7341 | 0.20 | 4331.41 | 169.26 | | CSI 1000 | 3971.82 | -0.22 | 224.29 | - | [3] 3.2 CFFEX Stock Index Options Trading | Index | Call Option Volume (million) | Put Option Volume (million) | Volume PCR | Call Option Open Interest (million) | Put Option Open Interest (million) | Open Interest (million) | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.73 | 2.09 | 0.77 | 1.79 | 0.66 | 4.52 | 0.88 | | CSI 300 | 7.46 | 4.55 | 0.64 | 8.70 | 5.99 | 14.69 | 0.69 | | CSI 1000 | 15.72 | 8.87 | 0.77 | 12.72 | 6.85 | 11.86 | 0.93 | [3] 3.3 Volatility Analysis - **SSE 50**: Analyzed historical volatility and the volatility cone, and presented the volatility smile curve and the next - month at - the - money implied volatility [3][4] - **CSI 300**: Analyzed historical volatility and the volatility cone, and presented the volatility smile curve and the next - month at - the - money implied volatility [3][4] - **CSI 1000**: Analyzed historical volatility and the volatility cone, and presented the volatility smile curve and the next - month at - the - money implied volatility [3][4]

Core Insights - The article discusses the transition of a trader from stock investment to the options market, highlighting the unique advantages of options for shorting and hedging during a bear market [1] - The trader emphasizes a seller-oriented strategy in options trading, focusing on volatility analysis and risk management to achieve stable returns [1] Trading Strategy Core Logic - **Main Strategy**: The primary strategy is to focus on selling options, supplemented by buying strategies. The preference for selling is due to a more stable mindset and reduced psychological pressure compared to buying strategies [1] - **Strategy Selection Criteria**: - Volatility: The trader uses indicators like the VIX index to determine when to sell options (high volatility) or buy options (low volatility) [1] - Market Judgment: In a volatile market, strategies like double selling (straddles or strangles) are employed, while single selling is used in clear directional markets [1] - **Product Selection Criteria**: - Preference for products from Zhengzhou Commodity Exchange, such as PTA and caustic soda, due to their relatively stable trends [1] - Selection dimensions include high volatility, good trends, and high safety margins, considering both technical and macroeconomic factors [1] - **Position and Risk Management**: - Daily position control is maintained around 50%, with adjustments made before market close to keep overall risk below 70% [1] - A maximum of 20% is allocated to any single product, with about 20% of the portfolio used for "last-minute" trades [1] - Laddered rolling techniques are used in trending markets to maintain capital efficiency and risk exposure [1] Risk Hedging and Response - **Hedging Tools**: Futures contracts are primarily used for hedging, as they are efficient and avoid additional losses from high volatility when using options [2] - **Decision Prioritization**: The trader first assesses market trends, prioritizing stop-loss actions in clearly unfavorable trends and using futures for hedging in expected volatile markets [2] - **Response to Extreme Markets**: For highly volatile products, timely hedging is crucial, and if caught in a downturn, the trader may switch to futures or roll over to longer-dated options [2] Trading Cycle and Review - **Holding Period**: The trader typically focuses on daily and weekly trends, holding positions until the cost-benefit ratio diminishes [2] - **Daily Routine**: The routine includes monitoring overnight markets, trading during the day, and reviewing performance and strategies post-market [2] - **Discipline and Mindset**: Emphasizes the importance of trading discipline, managing emotions, and maintaining a calm demeanor during trading [2] - **Future Planning**: Plans to enhance timing and macro analysis skills, focusing on the correlation between stock and commodity markets [2]

Group 1: Market Overview - On December 9th, A-share large and small indices showed mixed performance, with resource stocks falling across the board and the Shanghai Composite Index dropping; CPO concept stocks were repeatedly active, and the ChiNext Index rising. The Shanghai Composite Index closed down 0.37% at 3909.52 points, the Shenzhen Component Index fell 0.39%, the ChiNext Index rose 0.61%, the North Securities 50 fell 1.72%, the Science and Technology Innovation 50 fell 0.27%, the Wind All A fell 0.55%, the Wind A500 fell 0.54%, and the CSI A500 fell 0.56%. A-shares had a full-day turnover of 1.92 trillion yuan, compared with 2.05 trillion yuan the previous day. More than 4,000 stocks in the market declined [5] Group 2: Index Performance - The closing price of the Shanghai 50 was 2997.9603, with a decline of 0.71%, a turnover of 43.43 billion yuan, and a trading volume of 4598.2232 million [3] - The closing price of the CSI 300 was 3923.13, with a decline of 0.51%, a turnover of 4521.14 billion yuan, and a trading volume of 7380.5835 million [3] - The closing price of the CSI 1000 had a decline of 0.57%, a turnover of 228.49 billion yuan [3] Group 3: CFFEX Stock Index Options Trading Shanghai 50 - Call option trading volume was 2.23 million contracts, put option trading volume was 1.33 million contracts, call option open interest was 6.74 million contracts, put option open interest was 3.96 million contracts. The trading volume PCR was 0.67, and the open interest PCR was 0.70 [3] CSI 300 - Call option trading volume was 9.74 million contracts, put option trading volume was 5.93 million contracts, call option open interest was 19.49 million contracts, put option open interest was 10.86 million contracts. The trading volume PCR was 0.64, and the open interest PCR was 0.79 [3] CSI 1000 - Call option trading volume was 9.78 million contracts, put option trading volume was 8.11 million contracts, call option open interest was 32.95 million contracts, put option open interest was 16.56 million contracts. The trading volume PCR was 0.83, and the open interest PCR was 0.99 [3] Group 4: Volatility Analysis Shanghai 50 - Historical volatility analysis includes historical volatility cone with 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current value, and volatility smile curve with next - month at - the - money implied volatility [3][4] CSI 300 - Historical volatility analysis includes historical volatility cone with 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current value, and volatility smile curve with next - month at - the - money implied volatility [3][4] CSI 1000 - Historical volatility analysis includes historical volatility cone with 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current value, and volatility smile curve with next - month at - the - money implied volatility [3][4]