| 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 | | | ...

股指期权日报 | 2026-02-02 股指期权日报 股指期权市场概况 期权成交量 2026-01-30，上证50ETF期权成交量为129.96万张；沪深300ETF期权（沪市）成交量为128.78万张； 中证500ETF期权（沪市）成交量为151.38万张；深证100ETF期权成交量为3.86万张； 创业板ETF期权成交量为152.31万张；上证50股指期权成交量为6.43万张； 沪深300股指期权成交量为13.48万张；中证1000期权总成交量为37.92万张。 期权PCR 上证50ETF期权成交额PCR报0.79，环比变动为+0.23；持仓量PCR报0.77，环比变动为-0.08； 沪深300ETF期权（沪市）成交额PCR报0.91，环比变动为+0.20；持仓量PCR报0.84，环比变动为-0.04； 中证500ETF期权（沪市）成交额PCR报1.31，环比变动为+0.72；持仓量PCR报1.28，环比变动为-0.07 ； 深圳100ETF期权成交额PCR报0.76 ，环比变动为+0.12；持仓量PCR报1.32；环比变动为+0.13； 创业板ETF期权成交额PCR报0.74，环比变动为+0.03 ；持 ...

投资咨询业务资格：证监许可【2012】669号 股市关注涨价链条，债市多空博弈 股指期货：对于负⾯因素脱敏 股指期权：适当补充买权防御 国债期货：多空博弈，债市⼩幅收跌 股指期货方面，周四权益市场震荡上行，尽管宽基ETF近期仍有零星 抛售，但市场对此反应开始脱敏，风格层面，双创最优，上证50偏弱，值 得注意的是，前期持续回调的军工大涨，隐含融资保证金调整的影响也在 弱化。另外资源股近期轮番成为市场热点，周四建材、石化、煤炭领涨， 地缘风险持续升级背景下，市场重估资源品价值。展望后市，监管降温影 响逐步弱化，市场主导回归资金驱动，现阶段在平量环境中，量化及杠杆 资金定价权弱化，机构资金有望接力定价权，预计中证500及双创风格仍 有比较优势。 中信期货研究|⾦融衍⽣品策略⽇报 2026-01-23 股指期权方面，各个品种市场成交额多数回落为主，整体成交额大幅 收敛；而期权持仓量不降反升，考虑到期权情绪指标偏弱，以及隐含波动 率走强，推测部分投资者交易买权对冲防御。本周权益市场走势震荡，在 投资者持有权益底仓的基础上，根据行情走势节奏，卖出看涨期权进行备 兑增厚也仍然是期权端近期主要推荐的策略；而结合趋势，短期也可 ...

1月19日，沪深300、中证1000和上证50指数涨跌不一，股指期权成交量、成交额明显回落，持仓量增 加。 昨日股指期权隐波大幅走低，股指结构恢复至正常状态。其中，IO平值期权隐波收于16.24%，MO平值 期权隐波收于23.05%，HO平值期权隐波收于15.28%，较历史波动率分别溢价5.36、6.83和3.03个百分 点。目前期权隐波溢价处于历史较高水平，后期有一定回落空间。 市场避险情绪有所回升，其中，IO持仓量PCR稳定在0.67，成交量PCR回落至0.55，成交额PCR拉升至 0.48；MO持仓量PCR为0.94，成交量PCR拉升至0.74，成交额PCR上涨至0.51；HO持仓量PCR为0.62， 成交量PCR回落至0.51，成交额PCR上涨至0.52。股指期权成交量和持仓量的比值（投机度）大幅回 落，其中IO投机度回落至0.55，MO的投机度为0.84，HO的投机度为0.54。 从持仓分布上看，跟上一交易日相比，中证1000股指期权和上证50股指期权持仓密集区未发生变化。中 证1000股指期权持仓集中在行权价为8600点的认购期权和行权价为8400点的认沽期权上；上证50股指期 权持仓集中在行权价 ...

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]

投资咨询业务资格:证监许可【2012】31号 投资咨询号: Z0000116 国贸期货研究院 2025/12/31 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) 1131. 75 上证50 38. 54 3036. 5523 0. 06 沪深300 4651. 2818 0. 26 4571. 85 180. 37 7597. 299 263. 33 中证1000 0. 04 4680. 24 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. 51 1. 53 0. 64 5. 20 3.11 2. 09 0. 67 0. 99 3.72 7. 26 沪深300 9. 80 6. 08 0. 61 17. 12 9. 87 0. 74 0. 72 28. 76 中证1000 12. 30 21. 14 8. 84 14. 59 14. 17 0. 97 ...

Report Industry Investment Rating - Not provided Core Viewpoints - Not provided Summary by Relevant Catalogs Option Trading Volume - On December 30, 2025, the trading volume of SSE 50 ETF options was 621,100 contracts; CSI 300 ETF options (Shanghai market) was 780,100 contracts; CSI 500 ETF options (Shanghai market) was 1,033,100 contracts; Shenzhen 100 ETF options was 44,300 contracts; ChiNext ETF options was 1,312,900 contracts; SSE 50 index options was 25,100 contracts; CSI 300 index options was 94,800 contracts; and CSI 1000 options was 211,400 contracts [1] - The table shows the call, put, and total trading volumes of various index ETF options on a recent day, such as the total trading volume of SSE 50 ETF options was 581,500 contracts [20] Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.74, with a month - on - month change of +0.10; the position PCR was reported at 0.94, with a month - on - month change of - 0.07. Similar data for other options are also provided [2] - The table presents the turnover PCR, month - on - month change, position PCR, and month - on - month change of various index ETF options on a recent day [34] Option VIX - The VIX of SSE 50 ETF options was reported at 14.23%, with a month - on - month change of +0.34%. Similar data for other options are also provided [3] - The table shows the VIX and month - on - month change values of various index ETF options on a recent day [51]

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The report presents the daily market situation of stock index options on December 23, 2025, covering option trading volume, PCR, and VIX data of various stock index options [1][2][3] 3. Summary by Relevant Catalogs Option Trading Volume - On December 23, 2025, the trading volume of Shanghai - Shenzhen 300 ETF options (Shanghai market) was 101.88 million contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 135.54 million contracts; the trading volume of Shenzhen 100 ETF options was 7.06 million contracts; the trading volume of ChiNext ETF options was 206.89 million contracts; the trading volume of Shanghai - Shenzhen 300 stock index options was 7.07 million contracts; the total trading volume of CSI 1000 options was 15.72 million contracts [1] Option PCR - The turnover PCR of Shanghai 50 ETF options was reported at 0.52, with a month - on - month change of +0.05; the position PCR was reported at 1.02, with a month - on - month change of +0.05. Similar data were provided for other types of options [2] Option VIX - The VIX of Shanghai 50 ETF options was reported at 12.99%, with a month - on - month change of +0.27%. Similar data were also provided for other types of options [3]

Industry Investment Rating There is no information about the industry investment rating in the provided content. Core Viewpoint There is no explicit core viewpoint presented in the given reports. Summary by Directory I. Option Trading Volume - On December 9, 2025, the trading volume of SSE 50 ETF options was 939,000 contracts; CSI 300 ETF options (Shanghai) was 1,093,300 contracts; CSI 500 ETF options (Shanghai) was 1,137,400 contracts; Shenzhen 100 ETF options was 102,500 contracts; ChiNext ETF options was 2,065,000 contracts; SSE 50 index options was 22,300 contracts; CSI 300 index options was 139,200 contracts; and CSI 1000 options was 178,800 contracts [1]. - The table shows the call, put, and total trading volumes of various index ETF options on the same day, such as 321,000 call and 254,400 put contracts for SSE 50 ETF options with a total of 575,400 contracts [19]. II. Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.70, with a month - on - month change of +0.17; the open interest PCR was 1.00, with a month - on - month change of - 0.07. Similar data are provided for other types of options [2][34]. III. Option VIX - The VIX of SSE 50 ETF options was reported at 14.01%, with a month - on - month change of - 0.23%. Other options also have their respective VIX values and month - on - month changes, like the CSI 300 ETF options (Shanghai) with a VIX of 15.32% and a month - on - month change of - 0.33% [3][47].

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints The report presents a daily overview of the stock index options market, including option trading volume, PCR, and VIX data for various types of options on December 8, 2025. 3. Summary by Directory I. Option Trading Volume - On December 8, 2025, the trading volumes of different options were as follows: 891,200 contracts for SSE 50 ETF options; 1,041,400 contracts for CSI 300 ETF options (Shanghai market); 1,329,500 contracts for CSI 500 ETF options (Shanghai market); 112,000 contracts for Shenzhen 100 ETF options; 2,467,700 contracts for GEM ETF options; 39,100 contracts for SSE 50 index options; 125,400 contracts for CSI 300 index options; and 254,900 contracts for CSI 1000 options. The detailed breakdown of call, put, and total trading volumes is also provided in Table 1 [1][19]. II. Option PCR - The PCR data shows the following values and changes on December 8, 2025: for SSE 50 ETF options, the turnover PCR was 0.52 (a -0.16 change), and the open - interest PCR was 1.08 (+0.01 change); for CSI 300 ETF options (Shanghai market), the turnover PCR was 0.50 (-0.25 change), and the open - interest PCR was 1.16 (+0.03 change); for CSI 500 ETF options (Shanghai market), the turnover PCR was 0.59 (-0.23 change), and the open - interest PCR was 1.25 (-0.03 change); for Shenzhen 100 ETF options, the turnover PCR was 0.75 (-0.38 change), and the open - interest PCR was 1.28 (-0.02 change); for GEM ETF options, the turnover PCR was 0.44 (-0.32 change), and the open - interest PCR was 1.55 (+0.15 change); for SSE 50 index options, the turnover PCR was 0.37 (-0.05 change), and the open - interest PCR was 0.74 (-0.01 change); for CSI 300 index options, the turnover PCR was 0.34 (-0.14 change), and the open - interest PCR was 0.80 (+0.02 change); for CSI 1000 index options, the turnover PCR was 0.51 (-0.21 change), and the open - interest PCR was 1.00 (+0.05 change) [2][35]. III. Option VIX - The VIX data on December 8, 2025, shows that for SSE 50 ETF options, the VIX was 14.24% (+0.55% change); for CSI 300 ETF options (Shanghai market), the VIX was 15.66% (+0.54% change); for CSI 500 ETF options (Shanghai market), the VIX was 19.51% (+0.28% change); for Shenzhen 100 ETF options, the VIX was 19.66% (+0.55% change); for GEM ETF options, the VIX was 26.77% (-0.32% change); for SSE 50 index options, the VIX was 14.95% (+0.49% change); for CSI 300 index options, the VIX was 16.52% (+0.85% change); for CSI 1000 index options, the VIX was 19.44% (+0.29% change) [3][49].