投资咨询业务资格:证监许可【2012】31号 | 0.0 + | 6900 | 6300 | 6600 | 5700 | 6000 | | | | --- | --- | --- | --- | --- | --- | --- | --- | | 行情概况 | 1月9日，A股放量上涨，沪指涨近1%站上4100点，豪取16连阳，刷新逾10年新高。市场成交额超3.1万亿元，创出近4个月新高 | | | | | | | | 。 历史数据显示，包括当日在内，A股历史上有6次成交额超3万亿元。 上证指数收涨0.92%报4120.43点，深证成指涨1.15%，创业 | 板指涨0.77%, 北证50涨1.05%, 科创50涨1.43%, 万得全A涨1.18%, 万得4500涨0.69%, 中证A500涨0.88%。 | | | | | | | | 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。 ...

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - On December 5, the A-share market fluctuated upward with accelerated rotation of theme stocks and over 4,300 stocks rising. In the afternoon, the non-bank financial sector saw heavy volume and pulled up, with insurance and financial technology leading the way. The Shanghai Composite Index rose 0.7% to 3902.81 points, the Shenzhen Component Index rose 1.08%, the ChiNext Index rose 1.36%, the Northbound 50 Index rose 1.52%, the Science and Technology Innovation 50 Index remained flat, the Wind All A Index rose 1.14%, the Wind A500 rose 0.99%, and the CSI A500 rose 0.95%. The total trading volume of A-shares throughout the day was 1.74 trillion yuan, compared with 1.56 trillion yuan the previous day [5]. 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Performance**: The closing prices, daily percentage changes, trading volumes (in billions of yuan), and trading amounts (in billions) of the Shanghai 50, CSI 300, and CSI 1000 are as follows: Shanghai 50 closed at 3002.0087, up 0.93% with a trading volume of 1104.47 billion yuan and a trading amount of 44.60 billion; CSI 300 closed at 4584.5368, up 0.84% with a trading volume of 4121.47 billion yuan and a trading amount of 196.80 billion; CSI 1000 closed at 7342.4924, up 1.29% with a trading volume of 3528.06 billion yuan [3]. - **CFFEX Stock Index Options Trading Situation**: For the Shanghai 50, the trading volume of call options was 2.28 million contracts, put options 3.48 million contracts, with a trading volume PCR of 0.53; the open interest of call options was 3.78 million contracts, put options 2.81 million contracts, with an open interest PCR of 0.74, and the total open interest was 6.59 million contracts. For the CSI 300, the trading volume of call options was 12.54 million contracts, put options 10.32 million contracts, with a trading volume PCR of 0.65; the open interest of call options was 8.12 million contracts, put options 4.92 million contracts, with an open interest PCR of 0.79, and the total open interest was 18.44 million contracts. For the CSI 1000, the trading volume of call options was 15.02 million contracts, put options 32.48 million contracts, with a trading volume PCR of 0.81; the open interest of call options was 16.61 million contracts, put options 12.10 million contracts, with an open interest PCR of 0.95 [3]. 3.2 Volatility Analysis - **Shanghai 50 Volatility Analysis**: The historical volatility cone shows the 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values. The volatility smile curve shows the implied volatility of the next - month at - the - money options [3][4]. - **CSI 300 Volatility Analysis**: Similar to the Shanghai 50, it includes the historical volatility cone and the volatility smile curve of the next - month at - the - money options [3][4]. - **CSI 1000 Volatility Analysis**: Also includes the historical volatility cone and the volatility smile curve of the next - month at - the - money options [3][4].

Report Summary 1. Report Industry Investment Rating - No information provided on the industry investment rating. 2. Core View - On November 21, the A - share market tumbled unilaterally, with more than 5,000 stocks falling and a wave of limit - down stocks in the lithium mining sector. The Shanghai Composite Index dropped 2.45% to 3834.89 points, and the trading volume reached 1.98 trillion yuan, up from 1.72 trillion yuan the previous day [5]. 3. Summary by Relevant Catalogs 3.1 Market Index Performance - The closing price of the Shanghai 50 Index was 2955.8541, with a decline of 1.74%, a turnover of 60.39 billion yuan, and a trading volume of 1263.25 billion [3]. - The closing price of the CSI 300 Index was 4453.6076, with a decline of 2.44%, a turnover of 7067.703 billion yuan, and a trading volume of 4812.96 billion [3]. - The closing price of the CSI 1000 Index was 4086.72, with a decline of 3.72%, a turnover of 284.80 billion yuan, and a trading volume of 222.85 billion [3]. 3.2 CFFEX Stock Index Options Trading - For the Shanghai 50 Index options, the trading volume of call options was 5.22 million contracts, and that of put options was 3.88 million contracts; the open interest of call options was 5.39 million contracts, and that of put options was 3.15 million contracts [3]. - For the CSI 300 Index options, the trading volume of call options was 26.30 million contracts, and that of put options was 12.36 million contracts; the open interest of call options was 9.45 million contracts, and that of put options was 27.70 million contracts [3]. - For the CSI 1000 Index options, the trading volume of call options was 54.63 million contracts, and that of put options was 26.75 million contracts; the open interest of call options was 14.50 million contracts, and that of put options was 26.93 million contracts [3]. 3.3 Volatility Analysis - The report presents historical volatility cones and volatility smile curves for the Shanghai 50, CSI 300, and CSI 1000 Indexes, including data such as 10% and 90% quantiles, minimum and maximum values, and current values [3][4].

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]