投资咨询号:Z0000116 国贸期货研究院 2025/10/21 金融衍生品中心 李泽钜 从业资格号:F0251925 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) 上证50 1283. 62 53. 18 2974. 8648 0. 24 沪深300 #N/A 0. 53 5057. 99 218. 42 7239. 1845 0. 75 中证1000 3284. 45 218. 58 中金所股指期权成交情况 期权成交量 认购期权 认洁期权 日成交量 期权持企量 认购期权 认洁期权 持仓量 指数 持仓量 持仓量 (万张) (万张) 成交量 成交量 PCR PCR 上证50 2. 72 1. 77 0. 54 5. 41 3. 20 2. 21 0. 69 0. 95 沪深300 3. 06 7. 98 0. 62 8. 22 5. 88 0. 72 4. 92 14. 10 中证1000 21. 04 11. 60 0. 81 23. 71 9. 44 12. 59 11. 12 0. 88 中证1000PCR走势 沪深300PCR走势 1.2 ...

Group 1 - The core cost of buying one hand of stock index options is the premium, which is calculated using the formula: one hand premium = option price × contract multiplier [3] - The main stock index options in China include CSI 300, SSE 50, and CSI 1000, with a contract multiplier of 100 RMB per point [3] - Examples of premiums for different options are provided: CSI 300 at 40 points results in a premium of 4000 RMB, SSE 50 at 50 points results in 5000 RMB, and CSI 1000 at 89.2 points results in 8920 RMB [3] Group 2 - The trading cost of stock index options consists of exchange fees and broker commissions, with a dual charging mechanism for opening and closing positions [5] - The China Financial Futures Exchange (CFFEX) has a unified fee rate for major products: 15 RMB per hand for single transactions and 2 RMB per hand for exercise fees for CSI 300 options [6] - For a typical transaction involving one hand of CSI 300 options, the total cost would be 30 RMB for opening and closing positions, plus an additional 2 RMB if exercised [6] Group 3 - Broker commissions typically range from 1 to 5 RMB per hand for ordinary investors, added on top of the exchange fees [7] - Sellers of options are required to pay a margin, which is calculated based on the option contract's value and the exchange's margin ratio [8][9] - Additional costs may include exercise fees, which can vary by option type and exchange regulations [11] Group 4 - Investors must meet certain conditions to open an options account, including maintaining an average asset of over 500,000 RMB for the first 20 trading days and having at least six months of trading experience [14][16] - Options provide the holder the right to buy or sell an underlying asset at an agreed price within a specified time, with the buyer's maximum loss limited to the premium paid [15]

上证指数跌0.18%报3821.83点，深证成指跌0.29%，创业板指涨0.21%，北证50跌2.63%，科创50跌0.1%，万得全A跌0.63%, 万得A500跌0.25%，中证A500跌0.21%。A股全天成交2.52万亿元，上日成交2.14万亿元。 | 免责 | 本报告中的信息均源于公开可获得的资料,国贸期货力求准确可靠，但不对上述信息的准确性及完整性做任何保证。本报告不构 成个人投资建议,也未针对个别投资者特殊的投资目标、财务状况或需要,投资者需自行判断本报告中的任何意见或建议是否符 | | --- | --- | | 声明 | 合其特定状况,据此投资,责任自负。本报告未经国贸期货授权许可,任何引用、转载以及向第三方传播的行为均构成对国贸期 货的侵权,我司将视情况追究法律责任。期市有风险,入市需谨慎。 | | ITG国贸期货 | | | | 世界500强投资企业 | | | 期货有限公司 | | | 流的衍生品综合服务商 | | | ソ 期 市 市 | | | 需 有 客 服 热 线 官 方 网 站 | | | 谨 风 400-8888-598 www.itf.com.cn 慎 险 | ITG国贸期货 ...

Report Investment Rating The report does not explicitly mention the overall industry investment rating. However, for different financial derivatives, the outlooks are as follows: - **Stock Index Futures**: Oscillating with a slight upward bias [7] - **Stock Index Options**: Oscillating [8] - **Treasury Bond Futures**: Oscillating [8] Core Viewpoints - **Stock Index Futures**: The technology sector has a short - term advantage. Short - term adjustments are mainly due to capital reallocation, while the medium - term upward trend remains unchanged. Attention should be paid to the possibility of configuring IM long positions, as technology stocks have a comparative advantage [1][7] - **Stock Index Options**: Trading is driven by intraday reversals. It is recommended to use covered strategies and closely monitor volatility changes. When volatility rises abnormally, the selling side of options can temporarily exit the market [2][8] - **Treasury Bond Futures**: The impact of the stock - bond seesaw effect is weakening. In the short term, the central bank's attitude towards the capital market is supportive for the short - end, while the long - end yield of bonds is still affected by risk appetite and policy expectations. Short - term attention can be paid to long - end arbitrage opportunities and the opportunity for the yield curve to steepen [3][9] Summary by Relevant Catalogs 1. Market Views Stock Index Futures - **Market Performance**: The market first rose and then declined. The STAR Market once soared, and the technology sector continued to attract capital. However, the loss - making effect in the afternoon increased, and value stocks led the decline [1][7] - **Key Phenomena**: After the Fed's interest - rate meeting, commodities were generally weak, and the slightly hawkish stance boosted the US dollar, putting pressure on commodities and value stocks. Brokerages and stock - trading software were sluggish, and funds avoided areas with concentrated chips. The proportion of stocks outperforming the Wind All - A Index decreased, indicating that funds were flowing into relatively crowded areas, causing downward pressure on weak stocks [1][7] - **Operation Suggestion**: Hold IM [7] Stock Index Options - **Trading Volume**: The trading volume in the options market was 21.04 billion yuan, a 62.60% increase from the previous trading day, driven by intraday reversals [2][7] - **Market Characteristics**: The positive delta exposure of sellers decreased, and there were signs of a slight rebound in the skewness index and a significant increase in the ratio PCR. The implied volatility of some products decreased significantly at the end of the session, presumably due to the impact of intraday put - buying profit - taking [2][8] - **Operation Suggestion**: Use covered strategies [8] Treasury Bond Futures - **Market Performance**: Treasury bond futures closed down across the board, and the yields of major inter - bank interest - rate bonds generally rose, with a larger increase at the long - end [3][8] - **Capital Situation**: The central bank's net injection of 195 billion yuan did not ease the tight capital situation in the inter - bank market. The DR001 weighted average interest rate rose above 1.5%, which was negative for the short - end of the bond market. The decline in the equity market had limited impact on boosting the bond market sentiment, and the long - end yield rose more [3][9] - **Operation Suggestion**: Adopt a cautiously oscillating trend strategy. For hedging strategies, pay attention to short - hedging at low basis levels. For basis strategies, focus on long - end arbitrage opportunities. For curve strategies, pay attention to the opportunity for the yield curve to steepen [9] 2. Economic Calendar - The report provides the economic data of different regions from September 15 to September 19, 2025, including China's social consumer goods retail sales, industrial added value, the eurozone's economic sentiment index, the US retail sales, import price index, federal funds rate, and Japan's CPI [10] 3. Important Information and News Tracking - The Fed cut interest rates by 25bp in September, and the dot - plot median shows that there is still room for a 50bp interest - rate cut within the year. The Bank of England maintained its policy interest rate unchanged in September and slowed down the pace of quantitative tightening, warning of the risk of a wage - price spiral [11] 4. Derivatives Market Monitoring - The report includes data monitoring of stock index futures, stock index options, and treasury bond futures, but specific data details are not fully presented in the given text [12][16][28]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - The report presents the daily data of stock index options, including the market performance of major stock indices, the trading volume and open interest of stock index options, and the volatility analysis of relevant indices [3][4][5] 3. Summary by Related Catalogs Market Review - **Index Performance**: The Shanghai Composite Index fell 1.97% to 3738.32 points, the Shenzhen Component Index fell 2.37%, the ChiNext Index fell 3.2%, the Northbound 50 Index rose 0.58%, the Science and Technology Innovation 50 Index fell 5.38%, the Wind All - A Index fell 1.88%, the Wind A500 Index fell 2.39%, and the CSI A500 Index fell 2.58%. A - share half - day trading volume was 1.62 trillion yuan [5] - **Specific Index Data**: The Shanghai Stock Exchange 50 Index closed at 2910.47, with a trading volume of 91.92 billion, a decline of 1.71%, and a turnover of 2080.35 billion yuan; the CSI 300 Index closed at 4365.2085, with a trading volume of 307.93 billion, a decline of 2.12%, and a turnover of 7731.25 billion yuan; the CSI 1000 Index closed at 7041.1544, with a trading volume of 297.62 billion, a decline of 2.30%, and a turnover of 4885.95 billion yuan [3] CFFEX Stock Index Options Trading Situation - **Option Volume and Open Interest**: For the Shanghai Stock Exchange 50 Index, the call option trading volume was 5.85 million, the put option trading volume was 3.57 million, the trading volume PCR was 0.61, the call option open interest was 6.39 million, the put option open interest was 3.63 million, and the open interest PCR was 0.57; for the CSI 300 Index, the call option trading volume was 22.82 million, the put option trading volume was 9.24 million, the trading volume PCR was 0.68, the call option open interest was 13.19 million, the put option open interest was 9.75 million, and the open interest PCR was 0.74; for the CSI 1000 Index, the call option trading volume was 22.66 million, the put option trading volume was 21.77 million, the trading volume PCR was 0.96, the call option open interest was 16.22 million, the put option open interest was 18.90 million, and the open interest PCR was 0.86 [3] Volatility Analysis - **Historical Volatility and Volatility Cone**: The report provides historical volatility and volatility cone data for the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index, including minimum, maximum, 10% quantile, 30% quantile, 60% quantile, 90% quantile, and current values [3][4] - **Volatility Smile Curve**: The report also shows the next - month at - the - money implied volatility and volatility smile curves for the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index [3][4]

Report Information - Report Title: Stock Index Option Data Daily Report [2] - Date: September 4, 2025 [3] - Researcher: Li Zeju from the Financial Derivatives Center of Guomao Futures Research Institute [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Market Overview - **Index Performance**: The Shanghai Composite Index dropped 1.16% to 3,813.56 points, the Shenzhen Component Index fell 0.65%, the ChiNext Index rose 0.95%, the North Securities 50 Index declined 1.49%, the Science and Technology Innovation 50 Index decreased 1.64%, the Wind All - A Index dropped 1.19%, the Wind A500 Index fell 0.73%, and the CSI A500 Index declined 0.65%. A - share trading volume was 2.4 trillion yuan, compared with 2.91 trillion yuan the previous day [5]. - **Specific Index Data**: - The Shanghai Stock Exchange 50 Index closed at 1,610.65, down 1.07%, with a turnover of 296.0993 billion yuan and a trading volume of 63.72 billion [3]. - The CSI 300 Index closed at 6,556.97, down 0.68%, with a turnover of 254.32 billion yuan and a trading volume of 72.068758 billion [3]. - The CSI 1000 Index closed at 4,866.67, down 1.46%, with a turnover of 290.29 billion yuan [3]. CFFEX Stock Index Option Trading - **Option Volume and Open Interest**: - For the SSE 50 Index, the call option volume was 7.32 million, the put option volume was 3.70 million, the call option open interest was 5.71 million, and the put option open interest was 4.64 million. The volume PCR was 0.58, and the open - interest PCR was 0.65 [3]. - For the CSI 300 Index, the call option volume was 18.20 million, the put option volume was 11.50 million, the call option open interest was 22.69 million, and the put option open interest was 12.41 million. The volume PCR was 0.58, and the open - interest PCR was 0.83 [3]. - For the CSI 1000 Index, the call option volume was 37.86 million, the put option volume was 20.58 million, the call option open interest was 17.51 million, and the put option open interest was 16.83 million. The volume PCR was 0.84, and the open - interest PCR was 0.96 [3]. Volatility Analysis - **Historical Volatility and Volatility Cone**: The report presents historical volatility and volatility cones for the SSE 50, CSI 300, and CSI 1000 Indexes, including 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values [3][4]. - **Volatility Smile Curve**: Volatility smile curves and next - month at - the - money implied volatility are provided for the SSE 50, CSI 300, and CSI 1000 Indexes [3][4].

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Not provided in the given content Summary by Directory Option Trading Volume - On August 28, 2025, the trading volume of SSE 50 ETF options was 1.8433 million contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 1.7581 million contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 2.199 million contracts; the trading volume of Shenzhen 100 ETF options was 0.1668 million contracts; the trading volume of GEM ETF options was 2.4143 million contracts; the trading volume of SSE 50 index options was 0.0692 million contracts; the trading volume of CSI 300 index options was 0.1749 million contracts; the total trading volume of CSI 1000 options was 0.4057 million contracts [1] - The table shows the call, put, and total trading volumes of various index ETF options on the previous day, such as 0.8848 million call contracts and 0.7077 million put contracts for SSE 50 ETF options, with a total of 1.5925 million contracts [18] Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.57, with a month - on - month change of +0.09; the position PCR was reported at 0.93, with a month - on - month change of - 0.16. Similar data is provided for other types of options [2] - The table presents the turnover PCR, month - on - month change, position PCR, and month - on - month change of various index ETF options, e.g., for SSE 50 ETF options, the turnover PCR was 0.57 with a +0.09 change, and the position PCR was 0.93 with a - 0.16 change [28] Option VIX - The VIX of SSE 50 ETF options was reported at 24.21%, with a month - on - month change of +0.43%. Similar data is given for other options [3] - The table shows the VIX and month - on - month change values of various index ETF options, such as 24.21% VIX and +0.43% change for SSE 50 ETF options [44]

Report Industry Investment Rating - No relevant content found Core Viewpoints - This week, the A - share market rose first and then fell, with daily trading volume approaching 2 trillion at one point. Small - and medium - cap stocks outperformed large - cap stocks. The implied volatility of index options declined, and investors are advised to focus on the strength - weakness arbitrage opportunities among varieties and sell wide - straddles to short volatility [2] Summary by Directory 1. CSI 300 Index Options (IO) - The CSI 300 index's weekly line encountered resistance at the 250 - week moving average, with the Wednesday color K - line indicator remaining red; the daily line had two consecutive negative candles, and the daily three - color K - line indicator turned green [11][14] - The current - month contract of IF futures was at a larger discount to the underlying, and the discount of the next - month contract to the current - month contract also widened [22][25] - The trading volume of IO options increased, and the open interest rebounded. Both the options trading volume PCR and the options open interest PCR decreased, and the implied volatility declined. The underlying index fell below the strike - price range of the maximum open interest of call and put options [30][33][36] - The CSI 300 stock index futures' trading volume shrank, and the open interest decreased [27] - The 2508 contract of CSI 300 index options had the maximum open - interest strike prices of 4100 for call options and 4150 for put options, with the option pain point at 4100 [16] 2. CSI 1000 Index Options (MO) - The weekly line of the CSI 1000 index closed negative, with the Wednesday color K - line indicator remaining red; the daily line fell below the 10 - day moving average, and the daily three - color K - line indicator turned gray [40][43] - The current - month contract of IM futures was at a larger discount to the underlying, and the discount of the next - month contract to the current - month contract also widened [50][53] - The trading volume of MO options increased, and the open interest rebounded. Both the options trading volume PCR and the options open interest PCR decreased, and the implied volatility declined. The maximum open - interest strike prices of call and put options both moved down [59][62][65] - The trading volume of CSI 1000 stock index futures increased, and the open interest increased [56] - The 2508 contract of CSI 1000 index options had the maximum open - interest strike prices of 6700 for call options and 6400 for put options, with the option pain point at 6600 [45] 3. SSE 50 Index Options (HO) - The weekly line of the SSE 50 index encountered resistance at the 250 - week moving average, with the Wednesday color K - line indicator remaining red; the daily line fell below the 20 - day moving average, and the daily three - color K - line indicator turned green [69][72] - The current - month contract of IH futures changed to a discount to the underlying, while the next - month contract remained at a premium to the current - month contract [80][82] - The trading volume of HO options increased, and the open interest rebounded. The options trading volume PCR and the options open interest PCR first increased and then decreased, and the implied volatility declined. The maximum open - interest strike prices of call and put options both moved down [87][89][91] - The trading volume of SSE 50 stock index futures increased, but the open interest decreased [85] - The 2508 contract of SSE 50 index options had the maximum open - interest strike prices of 2800 for call options and 2700 for put options, with the option pain point at 2750 [74]

Report Title - "Three major indices hit new highs for the year, with daily trading volume reaching 1.8 trillion" - Stock Index Option Weekly Report 2025.7.28 [1] Core View - This week, the A-share market continued its upward trend, with the three major indices hitting new highs for the year and daily trading volume exceeding 1.7 trillion. For the CSI 300 Index, the moving averages showed a long - position arrangement, and the three - color K - line indicators remained red both daily and weekly. The IF futures' current - month contract's basis to the underlying first shrank and then expanded, while the next - month contract's discount to the current - month contract narrowed. The IO option's trading volume decreased, but the open interest increased, and both the trading volume PCR and open interest PCR rose, with implied volatility increasing, and the underlying index exceeding the strike - price range of the maximum open interest of call and put options. The CSI 1000 Index's daily and weekly K - line indicators were also positive. The IM futures' current - month contract's discount to the underlying first expanded and then shrank, and the next - month contract's discount to the current - month contract narrowed. The MO option's trading volume increased, and the open interest rose, with both PCRs rising, implied volatility increasing, and the strike prices of the maximum open interest of call and put options moving up. The SSE 50 Index also had positive K - line indicators. The IH futures' current - month contract turned to a premium over the underlying, and the next - month contract remained at a premium to the current - month contract. The HO option's trading volume decreased, the open interest increased, the trading volume PCR rose, the open interest PCR decreased, implied volatility increased, and the strike - price range of the maximum open interest of call and put options narrowed [2]. Summary by Directory 1. CSI 300 Stock Index Option (IO) - **Index Performance**: The CSI 300 Index had five consecutive weekly positive K - lines, and the three - color K - line indicator remained red. The daily moving averages were in a long - position arrangement, and the three - color K - line indicator also remained red [10][13]. - **Futures Basis**: The IF futures' current - month contract's basis to the underlying first shrank and then expanded, and the next - month contract's discount to the current - month contract narrowed [20][23]. - **Futures Trading Volume and Open Interest**: The trading volume of CSI 300 stock index futures decreased, and the open interest also decreased [25]. - **Option Trading Volume and Open Interest**: The trading volume of IO options decreased, but the open interest increased [28]. - **Option PCR**: Both the trading volume PCR and open interest PCR of IO options increased [31]. - **Option Strike Price**: The underlying index exceeded the strike - price range of the maximum open interest of call and put options, and the strike prices of the maximum open interest of call and put options for the 2508 contract were both 4100, with the option pain point at 4000 [15][34]. - **Implied Volatility**: The implied volatility of IO options increased [17] 2. CSI 1000 Stock Index Option (MO) - **Index Performance**: The CSI 1000 Index's daily moving averages were in a long - position arrangement, hitting a new high for the year, and the three - color K - line indicators remained red both daily and weekly [38][41]. - **Futures Basis**: The IM futures' current - month contract's discount to the underlying first expanded and then shrank, and the next - month contract's discount to the current - month contract narrowed [49][51]. - **Futures Trading Volume and Open Interest**: The trading volume of CSI 1000 stock index futures decreased, and the open interest also decreased [54]. - **Option Trading Volume and Open Interest**: The trading volume of MO options increased, and the open interest rose [57]. - **Option PCR**: Both the trading volume PCR and open interest PCR of MO options increased [60]. - **Option Strike Price**: The strike prices of the maximum open interest of call and put options for the 2508 contract were 6800 and 6500 respectively, and the option pain point was 6500. The strike prices of the maximum open interest of call and put options both moved up [43][63]. - **Implied Volatility**: The implied volatility of MO options increased [46] 3. SSE 50 Stock Index Option (HO) - **Index Performance**: The SSE 50 Index had five consecutive weekly positive K - lines, and the three - color K - line indicator remained red. The daily moving averages were in a long - position arrangement, and the three - color K - line indicator also remained red [67][70]. - **Futures Basis**: The IH futures' current - month contract turned to a premium over the underlying, and the next - month contract remained at a premium to the current - month contract [78][80]. - **Futures Trading Volume and Open Interest**: The trading volume of SSE 50 stock index futures decreased, and the open interest also decreased [83]. - **Option Trading Volume and Open Interest**: The trading volume of HO options decreased, but the open interest increased [85]. - **Option PCR**: The trading volume PCR of HO options increased, while the open interest PCR decreased [87]. - **Option Strike Price**: The strike prices of the maximum open interest of call and put options for the 2508 contract were 2800 and 2750 respectively, and the option pain point was 2750. The strike - price range of the maximum open interest of call and put options narrowed [72][88]. - **Implied Volatility**: The implied volatility of HO options increased [75] Strategy Recommendations - **Trend Strategy**: Pay attention to the strength - weakness arbitrage opportunities among varieties [2]. - **Volatility Strategy**: Buy a strangle to go long on volatility [2]

Report Industry Investment Rating - The report does not explicitly provide an overall industry investment rating. For specific products: The investment outlook for stock index futures is "volatile and bullish"; for stock index options, it is "volatile"; for treasury bond futures, it is "volatile and cautious" [6]. Core Viewpoints - The stock market should be treated positively. There's no need to overly worry about the market adjustment. The policy is being implemented, there is potential for unentered funds to enter, and global stock market sentiment is positive. The bond market sentiment remains weak, with many short - term negative factors, especially for the long - end [1][6][8]. Summary by Relevant Catalogs 1. Market Views Stock Index Futures - Yesterday, the Shanghai Composite Index failed to hold above 3600 points, and the CSI 2000 Index pulled back nearly 1%. The adjustment was due to factors like large profit - taking and limited imagination for certain sectors. However, it's not the start of a market downturn. Policy is being implemented, unentered funds will enter, and global stock markets are positive. The operation suggestion is to hold positions, specifically the IM contract [1][6]. Stock Index Options - Yesterday, the option market turnover was 8.96 billion yuan, a 27.48% increase from the previous trading day. The trading volume of call options increased, and both buyers and sellers did not price in many negative factors. They saw the intraday pullback as a chance to bet on an up - move. The short - term strategy is to set up a bull spread, and the medium - term is to maintain a covered call strategy and add positions during the volatility increase [2][6]. Treasury Bond Futures - Yesterday, treasury bond futures closed down. The bond market sentiment is weak due to the rising risk appetite in the market and the stock - bond seesaw effect. The afternoon stock market adjustment may have boosted the bond market, but the bullish sentiment is unstable. The capital cost increased, and the bond market should be treated with caution, especially the long - end. Attention should be paid to long - end short - hedging operations and the signals from the Politburo meeting at the end of July [7][8]. 2. Economic Calendar - On July 21, 2025, China's 1 - year and 5 - year loan prime rates remained unchanged at 3% and 3.5% respectively. China's June全社会用电量 annual rate was 5.4%, higher than the previous value of 4.4% [10]. 3. Important Information and News Tracking - **Food Delivery**: Shanghai market regulators interviewed food delivery platforms. The platforms have implemented three rectifications. The new Anti - Unfair Competition Law will be implemented on October 15, and the Shanghai market regulator has carried out legal publicity [10]. - **Anti - Involution**: The Guangzhou Futures Exchange will adjust the price limit, margin, and trading fees for industrial silicon, polysilicon, and lithium carbonate futures contracts from July 25, 2025 [11]. - **Artificial Intelligence**: The Shanghai Stock Exchange conducted a special research on Shanghai's "Model Speed Space" and held a symposium on Shanghai's artificial intelligence industry chain enterprises [11]. - **Stablecoins**: The Chief Executive of the Hong Kong Monetary Authority wrote about stablecoins, emphasizing the need to strengthen the discussion and implement the Stablecoin Ordinance [11]. 4. Derivatives Market Monitoring - The report mentions the monitoring of stock index futures, stock index options, and treasury bond futures data, but specific data summaries are not provided in the content [12][16][28].