投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2026-02-26 地产新政出台，沪指冲⾼回落 股指期货：地产新政出台，交易主线散乱。 股指期权：短期波动预期降低，视⻆可转向中期温涨。 国债期货：政策及⻛险偏好扰动，债市下跌。 股指期货方面，地产新政出台，交易主线散乱。周三沪指冲高回落， 上行出现阻力，中小盘股占优。变盘发生在午间，上海发布楼市新政，降 低购房的社保年限门槛，板块出现轮动。结合同时段各行业的走势，周期 板块集中止盈，包含石油石化、化工、煤炭，而地产链的建材、房地产相 对抗跌。其他主线缺乏，小概念轮动为主，如商业航天、有色稀土等受事 件驱动。主线散乱状态下，上方高度或受限，但随着节后A股量能有所恢 复，流动性充裕、商品联动风险消退，两会以前政策看涨期权仍有效，仍 以IM多单配置，等待会期。 股指期权方面，短期波动预期降低，视角可转向中期温涨。昨日标的 市场继续上涨，中小盘相关品种相对涨幅更大，期权市场成交量有小幅上 行，但未回到近期高位，结合各品种隐含波动率普遍进一步下探，可以推 测当前市场交易逻辑逐渐从对冲和博弈转向中期布局，短期波动预期大大 降低。而从持仓 ...

股指期权日报 | 2026-02-24 股指期权日报 股指期权市场概况 期权成交量 2026-02-13，上证50ETF期权成交量为48.34万张；沪深300ETF期权（沪市）成交量为52.94万张； 中证500ETF期权（沪市）成交量为108.98万张；深证100ETF期权成交量为6.69万张； 创业板ETF期权成交量为131.87万张；上证50股指期权成交量为5.27万张； 沪深300股指期权成交量为7.18万张；中证1000期权总成交量为29.21万张。 期权PCR 上证50ETF期权成交额PCR报1.00，环比变动为+0.43；持仓量PCR报0.74，环比变动为-0.02； 沪深300ETF期权（沪市）成交额PCR报1.10，环比变动为+0.32；持仓量PCR报0.81，环比变动为-0.04； 中证500ETF期权（沪市）成交额PCR报0.82，环比变动为+0.31；持仓量PCR报1.18，环比变动为-0.06 ； 深圳100ETF期权成交额PCR报1.18 ，环比变动为-0.30；持仓量PCR报1.44；环比变动为+0.15； 创业板ETF期权成交额PCR报0.91，环比变动为+0.21 ；持仓量P ...

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - No clear core viewpoints presented in the given content 3. Summary by Directory Option Trading Volume - On February 11, 2026, the trading volume of SSE 50 ETF options was 524,000 contracts; CSI 300 ETF options (Shanghai) was 744,400 contracts; CSI 500 ETF options (Shanghai) was 1,114,900 contracts; Shenzhen 100 ETF options was 42,900 contracts; ChiNext ETF options was 1,030,100 contracts; SSE 50 index options was 20,400 contracts; CSI 300 index options was 67,000 contracts; and CSI 1000 options was 201,000 contracts [1] - The detailed breakdown of call, put, and total trading volumes for each option type on the same day is as follows: SSE 50 ETF options (call: 265,400, put: 302,800, total: 568,300); CSI 300 ETF options (Shanghai) (call: 255,700, put: 370,500, total: 626,200); CSI 500 ETF options (Shanghai) (call: 465,700, put: 480,900, total: 946,600); Shenzhen 100 ETF options (call: 33,900, put: 15,200, total: 49,100); ChiNext ETF options (call: 466,700, put: 563,500, total: 1,030,100); SSE 50 index options (call: 7,500, put: 12,900, total: 20,400); CSI 300 index options (call: 28,100, put: 21,500, total: 61,400); CSI 1000 index options (call: 108,300, put: 92,800, total: 201,000) [21] Option PCR - The turnover PCR and position PCR, along with their环比 changes, for different options are as follows: SSE 50 ETF options (turnover PCR: 0.72, 环比 change: +0.06; position PCR: 0.82, 环比 change: -0.01); CSI 300 ETF options (Shanghai) (turnover PCR: 1.05, 环比 change: +0.17; position PCR: 0.88, 环比 change: +0.00); CSI 500 ETF options (Shanghai) (turnover PCR: 0.69, 环比 change: -0.24; position PCR: 1.20, 环比 change: +0.01); Shenzhen 100 ETF options (turnover PCR: 1.29, 环比 change: +0.24; position PCR: 1.18, 环比 change: +0.00); ChiNext ETF options (turnover PCR: 0.86, 环比 change: +0.26; position PCR: 1.04, 环比 change: -0.04); SSE 50 index options (turnover PCR: 0.36, 环比 change: -0.14; position PCR: 0.65, 环比 change: +0.01); CSI 300 index options (turnover PCR: 0.42, 环比 change: -0.07; position PCR: 0.65, 环比 change: -0.01); CSI 1000 index options (turnover PCR: 0.56, 环比 change: -0.04; position PCR: 0.93, 环比 change: +0.01) [2][34] Option VIX - The VIX and its环比 changes for different options are as follows: SSE 50 ETF options (VIX: 16.49%, 环比 change: +0.24%); CSI 300 ETF options (Shanghai) (VIX: 16.80%, 环比 change: +0.20%); CSI 500 ETF options (Shanghai) (VIX: 24.78%, 环比 change: +0.23%); Shenzhen 100 ETF options (VIX: 20.45%, 环比 change: +0.03%); ChiNext ETF options (VIX: 25.86%, 环比 change: -0.10%); SSE 50 index options (VIX: 17.14%, 环比 change: -0.18%); CSI 300 index options (VIX: 17.77%, 环比 change: -0.18%); CSI 1000 index options (VIX: 26.22%, 环比 change: +0.55%) [3][49]

1. Report's Industry Investment Rating - Not provided in the report 2. Core Viewpoints - The report presents the trading data of various index options on February 9, 2026, including trading volume, PCR (Put - Call Ratio), and VIX (Volatility Index), to reflect the market situation of index options [1][2][3] 3. Summary by Directory Option Trading Volume - On February 9, 2026, the trading volume of SSE 50 ETF options was 793,300 contracts; CSI 300 ETF options (Shanghai) was 1,024,800 contracts; CSI 500 ETF options (Shanghai) was 1,902,000 contracts; Shenzhen 100 ETF options was 46,200 contracts; ChiNext ETF options was 1,421,400 contracts; SSE 50 index options was 29,600 contracts; CSI 300 index options was 119,400 contracts; and CSI 1000 options was 266,900 contracts [1] - The table shows the trading volume details of call, put, and total contracts for each index option [20] Option PCR - The trading volume PCR and position PCR of various index options and their corresponding changes are as follows: for example, the trading volume PCR of SSE 50 ETF options was 0.64, with a change of - 0.30, and the position PCR was 0.77, with a change of + 0.04 [2] - The table provides a comprehensive list of the trading volume PCR, its change, position PCR, and its change for various index options [36] Option VIX - The VIX of various index options and their corresponding changes are presented. For instance, the VIX of SSE 50 ETF options was 17.05%, with a change of - 0.47% [3] - The table lists the VIX and its change for each index option [51]

| 5700 | 6000 | 6300 | 6600 | 6900 | Sp. | South Same Same San Same Son | 行情概况 | | --- | --- | --- | --- | --- | --- | --- | --- | | 1月30日，A股大小指数分化，沪指跌近1%，有色金属板块现跌停潮；创业板指涨逾1%，CPO概念股大涨。上证指数收跌 | 0.96%报4117.95点，深证成指跌0.66%，创业板指涨1.27%，北证50跌0.29%，科创50涨0.12%，万得全A跌0.93%，万得 | A500跌1.16%，中证A500跌1.19%。A股全天成交2.86万亿元，上日成交3.26万亿元。 | | | | | | | 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 | 免责 | 不构成个人投资建议，也未针对个别投资者持殊的投资目标、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 | | | ...

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The report presents the trading data of various index options on January 30, 2026, including trading volume, PCR, and VIX, to reflect the market conditions of index options [1][2][3] Summary by Directory Option Trading Volume - On January 30, 2026, the trading volume of Shanghai Stock Exchange 50 ETF options was 129.96 million contracts; the trading volume of CSI 300 ETF options (Shanghai Stock Exchange) was 128.78 million contracts; the trading volume of CSI 500 ETF options (Shanghai Stock Exchange) was 151.38 million contracts; the trading volume of Shenzhen 100 ETF options was 3.86 million contracts; the trading volume of ChiNext ETF options was 152.31 million contracts; the trading volume of Shanghai Stock Exchange 50 index options was 6.43 million contracts; the trading volume of CSI 300 index options was 13.48 million contracts; the total trading volume of CSI 1000 options was 37.92 million contracts [1] - The table shows the call, put, and total trading volumes of various index ETF options on the same day, such as the total trading volume of Shanghai Stock Exchange 50 ETF options was 111.10 million contracts [19] Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.79, with a month - on - month change of +0.23; the open interest PCR was reported at 0.77, with a month - on - month change of - 0.08. Similar data for other types of options are also presented [2] - The table shows the turnover PCR, month - on - month change, open interest PCR, and month - on - month change of various index ETF options [34] Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 18.74%, with a month - on - month change of +0.39%. Similar data for other types of options are also presented [3] - The table shows the VIX and month - on - month change values of various index ETF options [47]

Group 1: Report Industry Investment Rating - Not provided Group 2: Core Views of the Report - The stock market focuses on the price - rising chain, and the bond market is in a long - short game. The stock index futures are desensitized to negative factors, the stock index options should appropriately supplement call options for defense, and the bond market in the treasury bond futures has a long - short game with a slight decline [1]. - For stock index futures, the equity market oscillated upward on Thursday. The market is desensitized to the sporadic selling of broad - based ETFs. The ChiNext and STAR Market are the best in style, while the SSE 50 is weak. Resource stocks have become market hotspots, and the value of resource products is re - evaluated. In the future, institutional funds are expected to take over the pricing power, and the CSI 500 and ChiNext/STAR Market styles have comparative advantages [1][7]. - For stock index options, the trading volume of each option variety mostly declined, while the open interest increased. Some investors may trade call options for hedging. It is recommended to sell call options for covered增厚 and appropriately supplement call options for defense in the short term [1][7]. - For treasury bond futures, the main contracts of treasury bond futures closed down. The bond market sentiment cooled but was not very weak. After the market closed, the central bank's MLF over - renewal and the statement about the space for reserve requirement ratio and interest rate cuts improved the sentiment of the ultra - long - term bond market. After the MLF over - renewal and the end of the large tax period, the capital may be relaxed [2][8]. Group 3: Summary According to Relevant Catalogs Stock Index Futures - **View**: Desensitized to negative factors [7] - **Logic**: The equity market oscillated upward on Thursday. The market is desensitized to the sporadic selling of broad - based ETFs. The ChiNext and STAR Market are the best in style, while the SSE 50 is weak. The impact of the adjustment of implicit margin for margin trading is weakening. Resource stocks have become market hotspots, and the value of resource products is re - evaluated. In the future, the influence of regulatory cooling will gradually weaken, and the market will be driven by funds. Institutional funds are expected to take over the pricing power, and the CSI 500 and ChiNext/STAR Market styles have comparative advantages [1][7] - **Operation Suggestion**: Hold IC [7] - **Outlook**: Oscillate strongly [7] Stock Index Options - **View**: Supplement call options for defense in the short term [7] - **Logic**: The trading volume of each option variety mostly declined, while the open interest increased. Considering the weak option sentiment index and the strengthening of implied volatility, it is speculated that some investors trade call options for hedging. It is recommended to sell call options for covered增厚 and appropriately supplement call options for defense in the short term [1][7] - **Operation Suggestion**: Covered strategy [7] - **Outlook**: Oscillate [7] Treasury Bond Futures - **View**: Long - short game, slight decline in the bond market [8] - **Logic**: The main contracts of treasury bond futures closed down. The bond market sentiment cooled but was not very weak. The improvement of the equity market sentiment, the tightening of the overnight capital due to the tax payment and the small net injection of reverse repurchase by the central bank, and the stable open interest of the main futures contracts and the support from the cash bond allocation disk led to a limited adjustment. After the market closed, the central bank's MLF over - renewal and the statement about the space for reserve requirement ratio and interest rate cuts improved the sentiment of the ultra - long - term bond market. After the MLF over - renewal and the end of the large tax period, the capital may be relaxed [2][8] - **Operation Suggestion**: Trend strategy: oscillate; Hedging strategy: pay attention to short - hedging at the low basis; Basis strategy: pay attention to the positive arbitrage opportunity of TL; Curve strategy: the curve may flatten first and then steepen [8] - **Outlook**: Oscillate [8]

Group 1 - The core viewpoint of the articles indicates a mixed performance in the stock indices, with significant changes in options trading volumes and open interest, suggesting a shift in market sentiment and risk management strategies [1][2] Group 2 - The Shanghai and Shenzhen 300, CSI 1000, and SSE 50 indices showed varied performance, with a notable decline in stock index options trading volume and value, while open interest increased [1] - Implied volatility for stock index options has decreased significantly, with IO at 16.24%, MO at 23.05%, and HO at 15.28%, indicating a potential for future declines in implied volatility premiums [1] - Market risk aversion has risen, as evidenced by the PCR ratios for various options, with IO at 0.67 for open interest, MO at 0.94, and HO at 0.62, reflecting changing trading behaviors [1] - The concentration of open interest in specific strike prices remains stable, with CSI 1000 options focused on 8600 call and 8400 put, SSE 50 options on 3200 call and 3000 put, and Shanghai 300 options on 4800 call and 4700 put [2] - The significant drop in trading volume and implied volatility suggests that traders may consider buying put options to hedge against potential risks in their positions [2]

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 Overview - This is an index option data daily report from Guomao Futures Research Institute, covering market trends, trading volumes, and volatility analysis of the Shanghai - Shenzhen 300, Shanghai 50, and China Securities 1000 indices on December 30, 2025 [3][5] Market Trends Index Performance - The Shanghai Composite Index closed slightly lower at 3965.12 points. The Shenzhen Component Index rose 0.49%, the ChiNext Index rose 0.63%, the Beijing Stock Exchange 50 fell 0.4%, the Science and Technology Innovation 50 rose 1.01%, the Wind All - A rose 0.13%, the Wind A500 rose 0.28%, and the CSI A500 rose 0.32% [5] - The trading volume of A - shares throughout the day was 2.16 trillion yuan, the same as the previous day [5] Index Details | Index | Closing Price | Change (%) | Trading Volume (Billion Yuan) | Turnover (Billion) | |--|--|--|--|--| | Shanghai 50 | 38.54 | 0.06 | 3036.5523 | 1131.75 | | Shanghai - Shenzhen 300 | 4651.2818 | 0.26 | 4571.85 | 180.37 | | China Securities 1000 | 7597.299 | 0.04 | 4680.24 | 263.33 | [3] Option Trading Volume and Open Interest Shanghai 50 - Call option trading volume was 2.51 million contracts, put option trading volume was 1.53 million contracts, with a trading volume PCR of 0.64. The open interest of call options was 3.11 million contracts, and that of put options was 2.09 million contracts, with an open - interest PCR of 0.67 [3] Shanghai - Shenzhen 300 - Call option trading volume was 9.80 million contracts, put option trading volume was 6.08 million contracts, with a trading volume PCR of 0.61. The open interest of call options was 9.87 million contracts, and that of put options was 7.26 million contracts, with an open - interest PCR of 0.74 [3] China Securities 1000 - Call option trading volume was 12.30 million contracts, put option trading volume was 8.84 million contracts, with a trading volume PCR of 0.72. The open interest of call options was 14.17 million contracts, and that of put options was 14.59 million contracts, with an open - interest PCR of 0.97 [3] Volatility Analysis Shanghai 50 - Historical volatility analysis includes historical volatility cones, with different percentile values and current values presented. The volatility smile curve shows the implied volatility of next - month at - the - money options [3][4] Shanghai - Shenzhen 300 - Similar to the Shanghai 50, historical volatility analysis and volatility smile curves are provided [3][4] China Securities 1000 - Historical volatility analysis and volatility smile curves are also presented, with different percentile values and current values for historical volatility [3][4]