投资咨询号: Z0000116 国贸期货研究院 2025/11/21 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) 上证50 1009. 82 3008. 2904 54. 04 -0. 40 沪深300 4564. 9483 -0. 51 4150. 65 194. 56 3567. 12 227. 54 中证1000 7340. 4118 -0. 63 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 3. 27 5. 53 3. 47 2. 07 0. 60 7. 69 0. 74 4. 42 10. 73 沪深300 17. 28 6. 54 0. 61 23. 34 13. 10 10. 24 0. 78 中证1000 33. 92 0. 78 34. 41 16. 23 19. 11 14. 82 18. 18 0. 89 沪深300PCR走势 中 ...

投资咨询号: Z0000116 国贸期货研究院 2025/11/20 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) 上证50 995. 51 3020. 3487 0. 58 48. 20 3852. 30 172. 92 沪深300 4588. 2922 0. 44 7387. 2084 3671.73 中证1000 -0. 82 238. 39 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 3. 23 0. 73 2. 89 0. 67 7. 66 4. 83 1. 95 4. 43 9. 67 0. 72 沪深300 16. 61 6. 94 23. 49 13. 07 0. 80 10. 42 中证1000 36. 16 0. 82 34. 33 19. 86 16. 30 17. 93 16. 40 0. 91 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 投资咨询号: Z0000116 国贸期货研究院 2025/11/17 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) 1203. 76 上证50 3038. 4255 -1. 15 48. 80 4447. 20 沪深300 4628. 1398 -1. 57 192. 09 7502. 7567 271. 97 中证1000 -1. 16 4062. 93 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 3. 34 2. 00 0. 67 7. 19 3. 10 0. 76 1. 34 4. 09 21. 35 沪深300 6. 85 0. 64 11. 50 9. 85 0. 86 11. 20 4. 36 中证1000 25. 93 13. 47 0. 92 32. 91 17. 25 12 ...

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 2025/11/11 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) 上证50 3053. 857 1399. 07 0. 51 49. 08 0. 35 5939. 77 沪深300 4695. 0507 236. 03 7563. 2535 0. 28 4337. 98 中证1000 274. 36 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 3. 13 3. 40 2. 14 0. 59 7. 33 0. 74 1. 26 4. 20 沪深300 4. 43 0. 68 20. 58 11. 00 9. 58 0. 87 10. 91 6. 48 中证1000 23. 39 12. 75 0. 83 31. 57 10. 64 15. 06 ...

Report Summary 1. Report Industry Investment Rating - No information provided. 2. Core Viewpoints - On November 6, the A - share market rose unilaterally with increased trading volume. The Shanghai Composite Index rose nearly 1% and returned to the 4000 - point mark. The computing power hardware industry chain exploded, and the electric power grid theme continued to ferment [3]. 3. Summary by Related Content Market Quotes Review - **Index Performance**: The Shanghai Composite Index closed up 0.97% at 4007.76 points, the Shenzhen Component Index rose 1.73%, the ChiNext Index rose 1.84%, the CSI 300 rose 1.43%, the Beijing Stock Exchange 50 fell 0.38%, the STAR 50 rose 3.34%, the Wind All - A rose 1.19%, the Wind A500 rose 1.51%, and the CSI A500 rose 1.54%. The A - share market had a full - day trading volume of 2.08 trillion yuan, compared with 1.89 trillion yuan the previous day [3]. - **Specific Index Data**: The closing price of the SSE 50 was 3044.7416, with a trading volume of 50.63 billion and a turnover of 1439.34 billion yuan, up 1.22%. The CSI 300 closed at 4693.4032, with a trading volume of 224.24 billion and a turnover of 5536.42 billion yuan, up 1.43%. The CSI 1000 closed at 7551.8299, with a trading volume of 4051.69 billion and a turnover of 263.61 billion yuan, up 1.17% [3]. CFFEX Stock Index Option Trading Situation - **Option Volume and Position**: For the SSE 50, the call option trading volume was 4.07 million, the put option trading volume was 3.11 million, the call option position was 7.29 million, the put option position was 4.19 million, the trading volume PCR was 0.74, and the position PCR was 0.66. For the CSI 300, the call option trading volume was 13.74 million, the put option trading volume was 8.62 million, the call option position was 20.00 million, the put option position was 10.75 million, the trading volume PCR was 0.59, and the position PCR was 0.86. For the CSI 1000, the call option trading volume was 26.01 million, the put option trading volume was 13.93 million, the call option position was 31.01 million, the put option position was 14.85 million, the trading volume PCR was 0.87, and the position PCR was 1.09 [3]. Volatility Analysis - **Historical Volatility and Volatility Cone**: The report presents the historical volatility and volatility cone of the SSE 50, CSI 300, and CSI 1000, including the 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values, as well as historical volatility data for different periods (5 - day, 20 - day, 40 - day, 60 - day, 120 - day) [3]. - **Volatility Smile Curve and Next - Month At - the - Money Implied Volatility**: The report shows the volatility smile curves and next - month at - the - money implied volatility of the SSE 50, CSI 300, and CSI 1000 [3].

Report Information - Report Title: Stock Index Options Data Daily Report [2] - Date: October 29, 2025 [3] - Author: Li Zeju, Financial Derivatives Center, Guomao Futures Research Institute [3] - Data Sources: Wind and Guomao Futures Research Institute [3] Market Review Index Performance - Shanghai Composite Index declined 0.22% to 3988.22 points, Shenzhen Component Index dropped 0.44%, ChiNext Index fell 0.15%, Northbound 50 Index decreased 1.2%, STAR 50 Index declined 0.84%, Wind All A Index dropped 0.34%, Wind A500 Index decreased 0.6%, and CSI A500 Index declined 0.54% [5][6] - A-share trading volume was 2.17 trillion yuan, compared to 2.36 trillion yuan the previous day [6] Index Volume and Price | Index | Volume (billion) | Closing Price | Change (%) | Turnover (billion yuan) | | --- | --- | --- | --- | --- | | SSE 50 | 54.63 | 3050.4162 | -0.62 | 1487.20 | | CSI 300 | 220.91 | 4691.973 | -0.51 | 5715.63 | | CSI 1000 | 251.80 | 7479.221 | -0.22 | 4310.16 | [3] CFFEX Stock Index Options Trading Option Volume and Open Interest | Index | Call Option Volume (million contracts) | Put Option Volume (million contracts) | Volume PCR | Call Option Open Interest (million contracts) | Put Option Open Interest (million contracts) | Open Interest PCR | Total Open Interest (million contracts) | | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.26 | 3.34 | 0.69 | 3.80 | 2.61 | 0.48 | 6.41 | | CSI 300 | 11.39 | 6.51 | 0.75 | 8.60 | 7.43 | 0.86 | 16.02 | | CSI 1000 | 21.93 | 11.76 | 0.87 | 13.81 | 10.18 | 1.02 | 27.83 | [3] Volatility Analysis Historical Volatility and Volatility Smile Curve - The report presents historical volatility cones and volatility smile curves for SSE 50, CSI 300, and CSI 1000, including historical volatility at different time intervals (5-day, 20-day, 40-day, 60-day, 120-day) and implied volatility of at-the-money options for the next month [3][4]

Group 1: Report Information - Report Title: Stock Index Option Data Daily Report [2] - Date: October 24, 2025 [3] - Author: Li Zeju from the Financial Derivatives Center of Guomao Futures Research Institute [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Group 2: Market Review Index Performance - The closing price of SSE 50 was 1212.08, with a daily increase of 60.21, a turnover of 302.69044 billion yuan, and a trading volume of 0.56 billion [3]. - The closing price of CSI 300 was not available, with a daily increase of 0.30, a turnover of 420.8 billion yuan, and a trading volume of 200.46 billion [3]. - The closing price of CSI 1000 was not provided, with a daily decrease of 0.06 [3]. Overall Market - The Shanghai Composite Index rose 0.22% to 3922.41 points, the Shenzhen Component Index rose 0.22%, the ChiNext Index rose 0.09%, the Beijing Stock Exchange 50 Index fell 1.07%, the STAR 50 Index fell 0.3%, the Wind All - A Index rose 0.14%, the Wind A500 Index rose 0.37%, and the CSI A500 Index rose 0.29% [4]. - A - share trading volume was 1.66 trillion yuan for the day, compared with 1.69 trillion yuan the previous day [4]. Group 3: CFFEX Stock Index Option Trading Option Volume - For SSE 50, the trading volume of call options was 2.27 million contracts, and that of put options was 3.60 million contracts, with a trading volume PCR of 1.32 [3]. - For CSI 300, the trading volume of call options was 6.35 million contracts, and that of put options was 6.54 million contracts, with a trading volume PCR of 0.74 [3]. - For CSI 1000, the trading volume of call options was 24.00 million contracts, and that of put options was 12.98 million contracts, with a trading volume PCR of 0.85 [3]. Option Open Interest - For SSE 50, the open interest of call options was 3.59 million contracts, and that of put options was 2.41 million contracts, with an open - interest PCR of 0.67, and the total open interest was 6.00 million contracts [3]. - For CSI 300, the open interest of call options was 10.41 million contracts, and that of put options was 4.06 million contracts, with an open - interest PCR of 0.39, and the total open interest was 15.42 million contracts [3]. - For CSI 1000, the open interest of call options was 25.99 million contracts, and that of put options was 12.26 million contracts, with an open - interest PCR of 0.47 [3]. Group 4: Volatility Analysis SSE 50 Volatility - Historical volatility was analyzed using a historical volatility cone, showing different percentile values and current values for different time - periods (HV5, HV20, HV60, etc.) [3][4]. - The volatility smile curve for the next - month at - the - money implied volatility was presented [3][4]. CSI 300 Volatility - Similar to SSE 50, historical volatility was analyzed using a historical volatility cone, and the volatility smile curve for the next - month at - the - money implied volatility was shown [4]. CSI 1000 Volatility - Historical volatility was analyzed with a historical volatility cone, and the volatility smile curve for the next - month at - the - money implied volatility was provided [4].

Report Summary 1. Report Industry Investment Rating - No information on the industry investment rating is provided in the report. 2. Core View - The report presents a daily data analysis of stock index options, including the performance of major stock indices, trading volume and open interest of index options, and volatility analysis of different indices. It also shows the market trends of A - shares on the day, with a decrease in trading volume [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - **Stock Index Performance**: The closing price of the Shanghai - Shenzhen 300 index is N/A, with a decline of 0.33%, and a trading volume of 440.935 billion yuan and 18.533 billion shares; the Shanghai Composite Index fell 0.07% to 3913.76 points, the Shenzhen Component Index fell 0.62%, the ChiNext Index fell 0.79%, the North - bound 50 rose 0.87%, the Science and Technology Innovation 50 fell 0.06%, the Wind All - A fell 0.38%, the Wind A500 fell 0.52%, and the CSI A500 fell 0.39%. A - share trading volume was 1.69 trillion yuan, hitting a new phased low [3][4]. - **Stock Index Option Trading Volume and Open Interest**: For the SSE 50 index options, the trading volume of call options is 2.26 million contracts, put options is 5.76 million contracts, the open interest of call options is 3.42 million contracts, and put options is 2.34 million contracts. For the CSI 300 index options, the trading volume of call options is 4.46 million contracts, put options is 2.94 million contracts, the open interest of call options is 6.38 million contracts, and put options is 7.13 million contracts. For the CSI 1000 index options, the trading volume of call options is 8.82 million contracts, put options is 0.81 million contracts, the open interest of call options is 12.86 million contracts, and put options is 12.06 million contracts [3]. 3.2 Volatility Analysis - **SSE 50 Volatility**: The report shows the historical volatility cone and volatility smile curve of the SSE 50 index, including the current value and different percentile values of historical volatility [3][4]. - **CSI 300 Volatility**: Similar to the SSE 50, the historical volatility cone and volatility smile curve of the CSI 300 index are presented [4]. - **CSI 1000 Volatility**: The historical volatility cone and volatility smile curve of the CSI 1000 index are also provided [4].

Report Summary 1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core View - The report presents the daily data of stock index options, including the performance of major indices, trading volume and open interest of index options, and volatility analysis of different indices [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Performance**: The Shanghai Composite Index rose 1.36% to 3916.33 points, the Shenzhen Component Index rose 2.06%, the ChiNext Index rose 3.02%, the Northbound 50 Index rose 2.04%, the STAR 50 Index rose 2.81%, the Wind All - A Index rose 1.62%, the Wind A500 Index rose 1.66%, and the CSI A500 Index rose 1.65%. A - share trading volume reached 1.89 trillion yuan, compared with 1.75 trillion yuan the previous day [4]. - **Specific Index Data**: The closing price of the SSE 50 was 3007.2634, with a 1.09% increase and a trading volume of 55.30 billion yuan and a turnover of 1.4727 billion. The CSI 300 had a 1.53% increase and a trading volume of 237.25 billion yuan, and the CSI 1000 closed at 7344.0468, up 1.45% with a trading volume of 348.159 billion yuan [3]. 3.2 CFFEX Stock Index Options Trading Situation - **Trading Volume and Open Interest**: For the SSE 50, the call option trading volume was 2.27 million contracts, the put option trading volume was 2.54 million contracts, the call option open interest was 3.28 million contracts, and the put option open interest was 3.65 million contracts. For the CSI 300, the call option trading volume was 0.64 million contracts, the put option trading volume was 14.26 million contracts, the call option open interest was 6.20 million contracts, and the put option open interest was 9.40 million contracts. For the CSI 1000, the call option trading volume was 20.38 million contracts, the put option trading volume was 11.42 million contracts, the call option open interest was 8.97 million contracts, and the put option open interest was 12.36 million contracts [3]. - **PCR**: The SSE 50's trading volume PCR was 0.87, and the open - interest PCR was 0.69. The CSI 300's trading volume PCR was 0.77, and the open - interest PCR was 0.806. The CSI 1000's trading volume PCR was 0.79, and the open - interest PCR was 0.94 [3]. 3.3 Volatility Analysis - **Historical Volatility and Volatility Cone**: The report shows the historical volatility and volatility cone for the SSE 50, CSI 300, and CSI 1000, including different percentile values and the current value at different time points [3][4]. - **Volatility Smile Curve**: It also presents the volatility smile curves for the next - month at - the - money implied volatility of the SSE 50, CSI 300, and CSI 1000 [3][4].

Report Summary 1. Report Industry Investment Rating - No information provided on the industry investment rating in the given content. 2. Core View of the Report - The report presents a daily data analysis of stock index options, including the performance of major stock indexes, trading volume, turnover, and volatility analysis of上证50, 沪深300, and 中证1000 [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - **Stock Index Performance**: The Shanghai Composite Index rose 1.22% to 3912.21 points, the Shenzhen Component Index rose 1.73%, the ChiNext Index rose 2.36%, the Beixin 50 rose 1.62%, the Kechuang 50 rose 1.4%, the Wind All - A rose 1.49%, the Wind A500 rose 1.54%, and the CSI A500 rose 1.51%. A - shares traded 2.09 trillion yuan throughout the day, compared with 2.6 trillion yuan the previous day [5]. - **Index Trading Details**: For 上证50, the trading volume was 1571.06 billion, the closing price was 3001.3489, the increase was 1.36%, and the turnover was 4606.2879 billion yuan; for 沪深300, the trading volume was 284.77 billion, the increase was 1.48%, and the closing price was 4037.98; for 中证1000, the trading volume was 7483.449 billion, the increase was 1.50%, and the turnover was 244.85 billion yuan [3]. 3.2 CFFEX Stock Index Option Trading Situation - **Option Volume and Open Interest**: For 上证50, the call option trading volume was 7.77 million, the put option trading volume was 5.50 million, the call option open interest was 3.39 million, and the put option open interest was 1.98 million; for 沪深300, the call option trading volume was 11.08 million, the put option trading volume was 20.11 million, the call option open interest was 10.61 million, and the put option open interest was 9.51 million; for 中证1000, the call option trading volume was 0.94 million, the put option trading volume was 42.12 million, the call option open interest was 14.73 million, and the put option open interest was 15.04 million [3]. - **PCR (Put - Call Ratio)**: The trading volume PCR for 上证50 was 0.70, for 沪深300 was 0.90, and for 中证1000 was 0.98; the open interest PCR for 上证50 was 0.56, for 沪深300 was 0.90, and for 中证1000 was 0.98 [3]. 3.3 Volatility Analysis - **Historical Volatility and Volatility Cone**: The report shows the historical volatility and volatility cones of 上证50, 沪深300, and 中证1000, including the 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values, as well as the volatility for different periods (5 - day, 20 - day, 40 - day, 60 - day, 120 - day) [3][4]. - **Volatility Smile Curve**: The report also presents the next - month at - the - money implied volatility smile curves for 上证50, 沪深300, and 中证1000 [3][4].