投资咨询业务资格:证监许可【2012】31号 股指期权数据日报 投资咨询号:Z0000116 国贸期货研究院 2025/11/24 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) 1263. 25 上证50 2955. 8541 -1.74 60. 39 222. 85 沪深300 4453. 6076 4812. 96 -2. 44 7067. 703 -3.72 4086. 72 284. 80 中证1000 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 (万张) (万张) 持仓量 成交量 成交量 PCR PCR 上证50 5. 22 9.09 3. 88 0. 74 5. 39 3. 15 2. 24 0. 71 15. 77 6. 32 沪深300 26. 30 13. 94 12. 36 0. 89 0. 67 9. 45 27. 70 中证1000 54. 63 0. 97 26. 75 12. 24 26. 93 ...

Market Review - The Shanghai Composite Index rose 0.65% to 3605.73 points, the Shenzhen Component Index rose 1.21%, the ChiNext Index rose 1.5%, the Beijing Stock Exchange 50 rose 1.1%, the Science and Technology Innovation 50 rose 1.17%, the Wind All A rose 1.08%, the Wind A500 rose 1%, and the CSI A500 rose 0.92% [9] - The B - share market had a turnover of 1.87 trillion yuan, compared with 1.9 trillion yuan the previous day [9] - The closing prices, changes, trading volumes, and turnovers of the Shanghai 50, CSI 300, and CSI 1000 are as follows: the Shanghai 50 closed at 2812.4428, up 0.40%, with a turnover of 118.138 billion yuan and a trading volume of 6.028 billion; the CSI 300 closed at 4149.0368, up 0.71%, with a turnover of 487 billion yuan and a trading volume of 31.963 billion; the CSI 1000 closed at 6701.12, up 1.42%, with a turnover of 374.406 billion yuan and a trading volume of 28.542 billion [4] CFFEX Stock Index Option Trading Situation - For the Shanghai 50 index options, the trading volume was 3.67 million contracts (2.64 million for call options and 1.04 million for put options, with a PCR of 0.39), and the open interest was 6.23 million contracts (4.01 million for call options and 2.22 million for put options, with a PCR of 0.55) [4] - For the CSI 300 index options, the trading volume was 8.7 million contracts (5.83 million for call options and 2.87 million for put options, with a PCR of 0.49), and the open interest was 17.35 million contracts (10.18 million for call options and 7.17 million for put options, with a PCR of 0.70) [4] - For the CSI 1000 index options, the trading volume was 19.6 million contracts (11.22 million for call options and 8.39 million for put options, with a PCR of 0.75), and the open interest was 23.22 million contracts (11.91 million for call options and 11.31 million for put options, with a PCR of 0.95) [4] Volatility Analysis - The historical volatility and implied volatility of the Shanghai 50, CSI 300, and CSI 1000 are presented through historical volatility chains and volatility smile curves [7][8]

Market Review - The closing price of SSE 50 was 2801.2002, up 0.32%, with a trading volume of 6.793 billion and a turnover of 130.89 billion yuan; the closing price of CSI 300 was 4119.7685, up 0.02%, with a trading volume of 30.051 billion and a turnover of 470.331 billion yuan; the closing price of CSI 1000 was 6607.22, down 0.45%, with a trading volume of 29.411 billion and a turnover of 378.33 billion yuan [4] - The option trading volume of SSE 50 was 5.54 million contracts (4.15 million call options and 1.39 million put options, PCR 0.34), and the open interest was 5.97 million contracts (3.86 million call options and 2.11 million put options, PCR 0.55); the option trading volume of CSI 300 was 13.33 million contracts (9.02 million call options and 4.31 million put options, PCR 0.48), and the open interest was 16.7 million contracts (9.78 million call options and 6.92 million put options, PCR 0.71); the option trading volume of CSI 1000 was 22.52 million contracts (13.56 million call options and 8.96 million put options, PCR 0.66), and the open interest was 22.54 million contracts (11.77 million call options and 10.77 million put options, PCR 0.92) [4] Overall Market Conditions - The Shanghai Composite Index rose 0.01% to 3582.3 points, the Shenzhen Component Index fell 0.37%, the ChiNext Index fell 0.01%, the CSI 300 rose 0.02%, the North Star 50 fell 1.58%, the STAR 50 rose 0.45%, the Wind All - A Index fell 0.28%, the Wind 8500 Index fell 0.1%, and the CSI A500 fell 0.1%. The total trading volume of A - shares throughout the day was 1.9 trillion yuan, compared with 1.93 trillion yuan the previous day [9][11]

Report Summary Market Performance - The Shanghai Composite Index closed up 24.35 points, a 0.7% increase, at 3497.48 points, with a turnover of 567.507 billion yuan; the Shenzhen Component Index closed up 152.88 points, a 1.46% increase, at 10588.39 points, with a turnover of 886.443 billion yuan; the ChiNext Index closed up 50.89 points, a 2.39% increase, at 2181.08 points, with a turnover of 436.544 billion yuan; the CSI 300 closed up 33.28 points, an 0.84% increase, at 3998.45 points, with a turnover of 292.09 billion yuan [9] Index Quotes | Index | Closing Price | Increase/Decrease (%) | Turnover (billion yuan) | Volume (billion) | | --- | --- | --- | --- | --- | | SSE 50 | 2747.1875 | 0.57 | 67.879 | 34.08 | | CSI 300 | 3998.4527 | 0.84 | 292.09 | 156.40 | | CSI 1000 | 6407.6976 | 1.27 | 306.817 | 235.13 | [4] CFFEX Stock Index Option Trading | Index | Option Trading Volume (million contracts) | Call Option Volume | Put Option Volume | PCR | Option Open Interest (million contracts) | Call Option Open Interest | Put Option Open Interest | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3.49 | 2.53 | 0.97 | 0.38 | 6.87 | 4.37 | 2.50 | 0.57 | | CSI 300 | 9.41 | 6.50 | 2.91 | 0.45 | 19.25 | 11.32 | 7.94 | 0.70 | | CSI 1000 | 27.11 | 15.75 | 11.36 | 0.72 | 26.84 | 13.20 | 13.64 | 1.03 | [4] Volatility Analysis - Analyzed historical volatility and volatility smile curves for SSE 50, CSI 300, and CSI 1000, including minimum, maximum, 10%, 30%, 60%, 90% quantile values, and current values, as well as next - month at - the - money implied volatility [8][9]

Market Review - The closing prices of the Shanghai Composite Index, Shenzhen Component Index, ChiNext Index, and CSI 300 were 3455.97, 10393.72, 2128.39, and 3960.07 respectively, with increases of 1.03%, 1.72%, 3.11%, and 1.44% and turnovers of 6201.73 billion yuan, 9826.15 billion yuan, 5184.21 billion yuan, and 3617.27 billion yuan [11]. - The closing prices of SSE 50, CSI 300, and CSI 1000 were 2747.7278, 3960.0662, and 6276.1634 respectively, with increases of 1.17%, 1.44%, and 1.32% and turnovers of 1023.26 billion yuan, 3617.27 billion yuan, and 3349.98 billion yuan respectively. Their trading volumes were 50.86 billion, 187.21 billion, and 247.56 billion respectively [4]. CFFEX Stock Index Option Trading Situation - For SSE 50 options, the trading volume of put options was 5.41 million contracts, the trading volume of call options was 3.96 million contracts, the PCR was 0.37, the option position was 5.13 million contracts, the position of call options was 3.06 million contracts, the position of put options was 2.07 million contracts, and the PCR was 0.67 [4]. - For CSI 300 options, the trading volume of put options was 12.17 million contracts, the trading volume of call options was 8.39 million contracts, the PCR was 0.45, the option position was 14.62 million contracts, the position of call options was 8.81 million contracts, the position of put options was 5.81 million contracts, and the PCR was 0.66 [4]. - For CSI 1000 options, the trading volume of put options was 27.13 million contracts, the trading volume of call options was 16.64 million contracts, the PCR was 0.63, the option position was 21.57 million contracts, the position of call options was 11.12 million contracts, the position of put options was 10.45 million contracts, and the PCR was 0.94 [4]. Volatility Analysis - The historical volatility and volatility smile curve of SSE 50, CSI 300, and CSI 1000 are presented, including the maximum, minimum, percentile values, and current values of historical volatility, as well as the next - month at - the - money implied volatility [9][10][11]