投资咨询号: Z0000116 国贸期货研究院 2025/9/5 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 成交量(亿) 收盘价 涨跌幅(%) 成交额(亿元) 2080. 35 上证50 -1. 71 2910. 47 91. 92 7731. 25 沪深300 4365. 2085 -2. 12 307. 93 -2. 30 297. 62 中证1000 7041. 1544 4885. 95 中金所股指期权成交情况 期权成交量 认购期权 认沾期权 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 (万张) (万张) 持仓量 成交量 成交量 PCR PCR 上证50 5. 85 3. 57 0. 61 10. 02 6. 39 3. 63 0. 57 9. 42 沪深300 22. 82 13. 58 9. 24 0. 68 22. 94 13. 19 9.75 0. 74 中证1000 22. 66 21. 77 0. 96 35. 12 16. 22 44. 43 18. 90 0. 86 中证1000PCR走势 沪深300 ...

投资咨询业务资格:证监许可【2012】31号 股指期权数据日报 上证指数跌1.16%报3813.56点，深证成指跌0.65%，创业板指涨0.95%，北证50跌1.49%，科创50跌1.64%，万得全成跌1.19%，万得A500 跌0.73%，中证A500跌0.65%。A股全天成交2.4万亿元，上日成交2.91万亿元。 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 免责 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 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 声明 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。 ITC国贸期货 世界500强投资企业 国贸期货有限公司 成为一 -流的衍生品综合服务商 客 服 热 线 官 方 网 站 需 有 谨 风 www.itf.com.cn 400-8888-598 慎 险 ITG国贸期货 80% t - LED 21 - 21 - 21 - 11 - 投资咨询 ...

股指期权日报 | 2025-08-29 股指期权日报 股指期权市场概况 期权成交量 2025-08-28，上证50ETF期权成交量为184.33万张；沪深300ETF期权（沪市）成交量为175.81万张； 中证500ETF期权（沪市）成交量为219.90万张；深证100ETF期权成交量为16.68万张； 创业板ETF期权成交量为241.43万张；上证50股指期权成交量为6.92万张； 沪深300股指期权成交量为17.49万张；中证1000期权总成交量为40.57万张。 期权PCR 上证50ETF期权成交额PCR报0.57，环比变动为+0.09；持仓量PCR报0.93，环比变动为-0.16； 沪深300ETF期权（沪市）成交额PCR报0.50，环比变动为+0.11；持仓量PCR报1.21，环比变动为-0.07； 中证500ETF期权（沪市）成交额PCR报0.67，环比变动为+0.20；持仓量PCR报1.28，环比变动为-0.29 ； 深圳100ETF期权成交额PCR报0.36 ，环比变动为+0.02；持仓量PCR报1.05；环比变动为-0.51； 创业板ETF期权成交额PCR报0.46，环比变动为+0.11 ； ...

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].

Report Industry Investment Rating - Not provided in the content Core Viewpoints - Not provided in the content Summary by Directory Option Trading Volume - On July 15, 2025, the trading volume of SSE 50 ETF options was 1.6617 million contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 1.794 million contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 1.6962 million contracts; the trading volume of Shenzhen 100 ETF options was 0.1213 million contracts; the trading volume of ChiNext ETF options was 1.8709 million contracts; the trading volume of SSE 50 index options was 0.0555 million contracts; the trading volume of CSI 300 index options was 0.1271 million contracts; the total trading volume of CSI 1000 options was 0.2755 million contracts [1]. - The table shows the call, put, and total trading volumes of various index ETF options on the same day, such as 0.8336 million call contracts and 0.8282 million put contracts for SSE 50 ETF options, with a total of 1.6617 million contracts [20]. Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.82, with a month - on - month change of +0.21; the position PCR was reported at 1.07, with a month - on - month change of - 0.10. Similar data are 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 [28]. Option VIX - The VIX of SSE 50 ETF options was reported at 15.09%, with a month - on - month change of - 0.94%. Similar data are given for other types of options [3]. - The table shows the VIX and month - on - month change values of various index ETF options [44].

1. Report Industry Investment Rating - The investment ratings for stock index futures, stock index options, and treasury bond futures are all "Oscillation" [6][7][9] 2. Core Views of the Report - Stock index futures: The crowding in the Hong Kong stock market has been released. After the policy stance is released at the Lujiazui Forum, there will be no visible main line, so the operation should be defensive, waiting for the release of capital crowding [1][6] - Stock index options: The volatility is at a low quantile, and the double - buying strategy should be continued to seize potential volatility - rising opportunities [2][7] - Treasury bond futures: The bond market yield curve shows a bullish steepening. The short - end is favorable, while the long - end 10Y treasury bond yield has limited downward momentum, so attention should be paid to the curve steepening [2][7][9] 3. Summaries by Related Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - **Views**: The crowding in the Hong Kong stock market has been released. The basis of IF, IH, IC, and IM contracts and their inter - period spreads have changed, and the positions have also changed [6] - **Logic**: The main lines of new consumption and innovative drugs have corrected, the momentum effect has weakened, and the Hang Seng AH Premium Index has reached a five - year low, which may drag down the A - share market. After the Lujiazui Forum, there will be no clear main line [1][6] - **Operation Suggestion**: Wait and see [6] 3.1.2 Stock Index Options - **Views**: The volatility is at a low quantile, and the double - buying strategy should be continued [7] - **Logic**: The market liquidity has not improved significantly, the volatility is at a low level, and the sentiment indicators are neutral to optimistic, but the volume is weak, so the direction strategy should be on short - term wait - and - see, and a small - position call - buying can be tried [2][7] - **Operation Suggestion**: Adopt the double - buying strategy [7] 3.1.3 Treasury Bond Futures - **Views**: The bond market yield curve shows a bullish steepening. The trading volume, positions, inter - period spreads, cross - variety spreads, and basis of T, TF, TS, and TL contracts have changed [7] - **Logic**: The MLF expired, but the inter - bank repurchase rate declined, the funds were loose, and the stock - bond seesaw effect was obvious. The central bank's attitude towards the funds is still supportive, and large banks are buying short - term bonds, but the long - term yield has limited downward momentum [2][7][9] - **Operation Suggestion**: Trend strategy: Be cautious. Hedging strategy: Pay attention to short - selling hedging at low basis levels. Basis strategy: Pay attention to the widening of the basis. Curve strategy: Steepening the curve in the medium - term has a higher odds [9] 3.2 Economic Calendar - The economic data of China, the United States, the Eurozone, and Japan from June 16 - 20, 2025 are presented, including fixed - asset investment, social consumption, industrial added value, unemployment rate, CPI, and other indicators [10] 3.3 Important Information and News Tracking - "New Fed Wire" Nick Timiraos believes that the Fed may cut interest rates this week if it were not for tariff risks [11] - The Bank of Japan maintains the target interest rate and will reduce the purchase of Japanese government bonds starting from April 2026 [11] - China plans to implement zero - tariff measures for 53 African countries through a new free - trade agreement [12] 3.4 Derivatives Market Monitoring - The report mentions data monitoring for stock index futures, stock index options, and treasury bond futures, but no specific data content is provided in the given text [13][17][29]

Report Summary 1. Report Industry Investment Rating There is no information about the industry investment rating in the report. 2. Core Views - **Stock Index Futures**: The market focuses on local large - consumption hotspots. The Shanghai Composite Index rose slightly on Wednesday, but the trading volume was hard to expand effectively, lacking a sustainable main line. The big - consumption sector was active, but the trading volume limited the market's upside. With potential tariff event fluctuations, it's recommended to maintain an empty - position and wait and see [2][8]. - **Stock Index Options**: The volatility reduction continues, and it's advisable to be cautious with the covered strategy. The underlying market rose across the board, but the options market turnover was lackluster. The positions of some varieties changed significantly, and the volatility of each variety continued to decline. The overall market sentiment was somewhat inconsistent with the underlying market, and the covered strategy should be continued for now [3][8]. - **Treasury Bond Futures**: Treasury bond futures rose collectively. The central bank's reverse - repurchase led to a net withdrawal of 600 million yuan, and the capital market remained loose. The market was affected by tariff events and expectations of central - bank operations. In the short term, the long - end bonds are expected to maintain a narrow - range oscillation [4][8][9]. 3. Summary by Directory 行情观点 - **Stock Index Futures**: IF, IH, IC, and IM had changes in basis, inter - period spreads, and positions. The market focused on large - consumption stocks in Hong Kong, but faced challenges such as limited trading volume and potential tariff impacts. The recommended operation is to wait and see [8]. - **Stock Index Options**: The underlying market rose, with the CSI 1000 up 0.88%. The options market turnover decreased by 7.67% to 2.814 billion yuan. Some varieties' positions reached short - term highs, and the MO volatility index dropped to around 21%. The covered strategy should be continued [3][8]. - **Treasury Bond Futures**: The trading volume, positions, inter - period spreads, cross - variety spreads, and basis of T, TF, TS, and TL had corresponding changes. The central bank's reverse - repurchase led to a net withdrawal of 600 million yuan. The T contract was affected by tariff events and stock - market movements. The recommended strategies include maintaining an oscillating trend, paying attention to short - hedging at low basis levels, watching for basis widening, and steepening the yield curve in the medium term [8][9]. 经济日历 - Economic data such as the EU's April unemployment rate, May CPI, and core CPI, as well as the US's May ADP employment data are presented, along with predicted and actual values where available [10]. 重要信息资讯跟踪 - In 2025, 25,000 urban old - community renovation projects are planned nationwide, with 5,679 started from January to April. Six regions have a start - up rate of over 50%. - The SCO member states' finance ministers and central bank governors' meeting discussed economic and financial issues and supported actions to deepen regional financial cooperation. - The estimated wholesale sales of new - energy passenger vehicles in May were 12.4 million, a 38% year - on - year increase and a 9% month - on - month increase. The cumulative wholesale from January to May was estimated at 52.2 million, a 41% year - on - year increase [11]. 衍生品市场监测 - **Stock Index Futures Data**: The report does not provide specific data details. - **Stock Index Options Data**: The report does not provide specific data details. - **Treasury Bond Futures Data**: The report does not provide specific data details.

Report Industry Investment Rating - Not provided in the content Core Viewpoints - Not provided in the content Summary by Relevant Catalogs Option Trading Volume - On May 14, 2025, the trading volume of Shanghai Stock Exchange 50 ETF options was 1.9646 million contracts; the trading volume of CSI 300 ETF options (Shanghai Stock Exchange) was 1.6023 million contracts; the trading volume of CSI 500 ETF options (Shanghai Stock Exchange) was 1.807 million contracts; the trading volume of Shenzhen 100 ETF options was 0.1148 million contracts; the trading volume of ChiNext ETF options was 1.4939 million contracts; the trading volume of Shanghai Stock Exchange 50 index options was 0.082 million contracts; the trading volume of CSI 300 index options was 0.1683 million contracts; the total trading volume of CSI 1000 options was 0.3528 million contracts [1]. - The call trading volume, put trading volume, and total trading volume of each type of option are detailed in Table 1, such as the call trading volume of Shanghai Stock Exchange 50 ETF options was 1.1332 million contracts, the put trading volume was 0.8314 million contracts, and the total trading volume was 1.9646 million contracts [20]. Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.43, with a month - on - month change of - 0.13; the open interest PCR was reported at 1.30, with a month - on - month change of + 0.19. Similar data for other types of options are also provided, such as the turnover PCR of CSI 300 ETF options (Shanghai Stock Exchange) was 0.51, with a month - on - month change of - 0.06; the open interest PCR was 1.07, with a month - on - month change of + 0.10 [2]. - All the turnover PCR, month - on - month change, open interest PCR, and month - on - month change data of each type of option are summarized in Table 2 [36]. Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 17.24%, with a month - on - month change of + 2.21%. The VIX and its month - on - month changes of other types of options are also given, for example, the VIX of CSI 300 ETF options (Shanghai Stock Exchange) was 16.78%, with a month - on - month change of + 1.46% [3]. - All the VIX and month - on - month change data of each type of option are presented in Table 3 [49].