投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2025 年 9 月 30 日 金融期权 专业研究·创造价值 制造业 PMI 继续修复，股指震荡上涨 核心观点 今日各股指均震荡上涨。沪深京三市全天成交额 21972 亿元，较上日 放量 191 亿元。9 月制造业 PMI 继续修复，表明国内宏观经济的韧性较强， 叠加 10 月重磅会议政策利好预期，市场风险偏好持续回升。不过短期来看， 由于股票估值端显著上升，特别是指数反弹至前期高点附近，获利资金止盈 需求仍存，需要关注后续资金止盈节奏与政策预期发酵的博弈情况。总的来 说，由于指数接近前期高点，短期内股指预计以宽幅震荡为主。 目前期权隐含波动率有所回升，考虑到股指中长线向上，可以继续持 有牛市价差或比例价差。 投资咨询证号：Z0014648 电话：0571-87006873 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本人承诺以勤勉的职业态度， 独立、客观地出具本报告。本 报告清晰准确地反映了本人的 研究观点。本人不会因本报告 中的具体推荐意见或观点 ...

FICC日报 | 2025-09-26 盘面轮动，股指震荡 市场分析 美国数据超预期。国内方面，商务部发布公告，决定将扁平地球管理公司等3家美国实体列入出口管制管控名单， 禁止两用物项对其出口，任何出口经营者不得违反上述规定。同时，将爱尔康公司等3家涉台军售美国实体列入不 可靠实体清单，禁止上述企业从事与中国有关的进出口活动或在中国境内新增投资。海外方面，美国第二季度GDP 终值年化环比增长3.8%，较修正值3.3%大幅上调，创近两年最快增速，上修主要得益于消费者支出的意外强劲以 及进口的下降。上周初请失业金人数下降1.4万至21.8万人，为7月中旬以来的最低水平，远低于市场预期的23.5万 人。 沪指震荡。现货市场，A股三大指数走势分化，沪指跌0.01%收于3853.630点，创业板指涨1.58%。行业方面，板块 指数跌多涨少，传媒、通信、有色金属、电力设备行业领涨，纺织服饰、农林牧渔、家用电器行业跌幅居前。当 日沪深两市成交金额约为2.4万亿元。中基协发布数据显示，我国公募基金规模首次突破36万亿元，单月增1.18万 亿元，其中股票型基金规模增6300亿元，混合型基金增长超3300亿。海外方面，美国三大股 ...

Market Overview - The stock indices experienced narrow fluctuations today, with the total trading volume in the Shanghai, Shenzhen, and Beijing markets reaching 21,425 billion yuan, a decrease of 2,069 billion yuan compared to the previous day [1] - The LPR interest rate remained unchanged in September, and the central bank implemented a net injection in the open market, indicating a stable liquidity environment before the long holiday [1] Economic Indicators - August credit and inflation data showed poor performance, and consumer growth has slowed, reflecting weak demand in the real economy [1] - A significant policy meeting is scheduled for October, with strong expectations for the introduction of policies aimed at stabilizing demand, which is gradually generating positive sentiment [1] Investment Trends - There is a shift in wealth allocation among investors, with household deposits moving towards non-bank deposits [1] - The financing balance remains at a high level, indicating that the stock market continues to attract incremental capital inflows [1] Market Sentiment - Current market sentiment is divided, with a notable increase in valuations leading to profit-taking demands, while policy expectations and net capital inflow trends provide medium to long-term upward momentum for stock indices [1] - Short-term expectations suggest a wide range of fluctuations in stock indices, with an increase in implied volatility for options [1]

Core Viewpoint - The market is experiencing narrow fluctuations with a significant decrease in trading volume, indicating a divergence in investor sentiment and a potential shift towards profit-taking [1] Market Overview - The total trading volume in the Shanghai, Shenzhen, and Beijing markets was 23,494 billion yuan, a decrease of 8,172 billion yuan compared to the previous day [1] - There is a notable increase in valuations, leading to profit-taking demands among investors [1] Policy and Economic Factors - Positive policy expectations and a trend of net capital inflow are seen as long-term drivers for stock index growth [1] - Weak credit and inflation data for August, along with slowing consumption growth, suggest a weakening demand in the real economy, which enhances expectations for demand-stabilizing policies [1] Capital Flow - Significant increases in non-bank deposits in July and August indicate that the stock market continues to attract incremental capital inflows [1] - The financing balance remains at a high level, reflecting ongoing investor interest [1] Short-term Outlook - The stock index is expected to primarily experience wide fluctuations in the short term [1] - An increase in implied volatility for options suggests a bullish outlook for the stock index in the medium to long term, with recommendations to maintain bull spreads or ratio spreads [1]

本文由 AI算法生成，仅作参考，不涉投资建议，使用风险自担 【今日各股指震荡反弹，沪深京三市成交额放量】今日，各股指均震荡反弹。沪深京三市全天成交额达 24029亿元，较上日放量359亿元。 消息面上，商务部等9部门近日印发《关于扩大服务消费的若干政策 措施》，从5方面提出19项具体措施提振消费需求。推动服务消费发展可创造新岗位、拉动居民消费， 在供需两端形成正循环。 宏观面上，8月信贷、通胀数据偏弱，消费增速放缓，实体部门需求表现不 佳。未来出台稳需求政策预期较强，政策利好预期逐渐发酵，关键窗口期预计在10月。 资金面上，7、 8月非银存款大幅多增，融资余额高位运行，显示股市持续吸引增量资金。但因前期部分股票估值提升 显著，获利资金有止盈意愿，导致股指短线有技术性调整压力。后续需关注资金止盈节奏与政策预期发 酵的博弈。 总体而言，短期内股指预计宽幅震荡。目前期权隐含波动率处于正常区间，考虑到股指中 长线向上，可继续持有牛市价差或比例价差。 ...

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - Today, all stock indices fluctuated and rebounded. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 2402.9 billion yuan, showing an increase of 35.9 billion yuan compared to the previous day [3]. - The Ministry of Commerce and eight other departments recently issued the "Several Policy Measures for Expanding Service Consumption," proposing 19 specific measures in five aspects to boost consumption demand. Promoting the development of service consumption can create new service - related jobs and stimulate household consumption, thus promoting a positive economic cycle on both the supply and demand sides [3]. - In August, credit and inflation data were weak, and the consumption growth rate slowed down, indicating weak demand from the real - sector. There is a strong expectation for the introduction of policies to stabilize demand in the future, with the key window period for policy introduction expected to be in October [3]. - In July and August, non - bank deposits increased significantly, and the margin trading balance remained at a high level, indicating that the stock market has continuously attracted incremental capital inflows. However, due to the significant increase in the valuations of some stocks previously, there is still a willingness among profit - taking funds to lock in profits, which also leads to short - term technical adjustment pressure on the stock indices. In the future, attention should be paid to the game between the profit - taking rhythm of funds and the fermentation of policy expectations [3]. - In general, the stock indices are expected to experience wide - range fluctuations in the short term [3]. - Currently, the implied volatility of options is within the normal range. Considering the long - and medium - term upward trend of the stock indices, investors can continue to hold bull spreads or ratio spreads [3]. 3. Summary by Related Catalogs 3.1 Option Indicators - On September 17, 2025, the 50ETF rose 0.19% to close at 3.088; the 300ETF (Shanghai Stock Exchange) rose 0.71% to close at 4.653; the 300ETF (Shenzhen Stock Exchange) rose 0.73% to close at 4.800; the CSI 300 Index rose 0.61% to close at 4551.02; the CSI 1000 Index rose 0.95% to close at 7554.81; the 500ETF (Shanghai Stock Exchange) rose 1.03% to close at 7.357; the 500ETF (Shenzhen Stock Exchange) rose 1.27% to close at 2.944; the ChiNext ETF rose 1.96% to close at 3.119; the Shenzhen 100ETF rose 1.36% to close at 3.497; the SSE 50 Index rose 0.17% to close at 2952.78; the STAR 50ETF rose 0.98% to close at 1.44; and the E Fund STAR 50ETF rose 0.86% to close at 1.41 [5]. - For option volume PCR and position PCR, specific values for different options on September 17, 2025, and the previous trading day are provided, such as the 50ETF option volume PCR being 87.34 (previous day: 98.00) and position PCR being 79.25 (previous day: 78.16) [6]. - For the implied volatility of at - the - money options and the 30 - day historical volatility of the underlying assets, specific values for different options are provided, such as the 50ETF option's 2025 September at - the - money option implied volatility being 18.05% and the 30 - day historical volatility of the underlying asset being 15.12% [7]. 3.2 Related Charts - The report provides various charts for different options, including the price trends, volatility, volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different terms for options such as the 50ETF option, 300ETF option (Shanghai and Shenzhen Stock Exchanges), CSI 1000 index option, 500ETF option (Shanghai and Shenzhen Stock Exchanges), ChiNext ETF option, Shenzhen 100ETF option, SSE 50 index option, STAR 50ETF option, and E Fund STAR 50ETF option [9][21][34]

本文由 AI算法生成，仅作参考，不涉投资建议，使用风险自担 【今日各股指窄幅震荡，后市短期或宽幅震荡】今日，各股指均进行了窄幅震荡整理。 沪深京三市全 天成交额23031亿元，较上一日缩量2452亿元。 最新信贷数据显示偏弱，反映出实体部门融资需求不 足。加上8月通胀数据不佳、消费增速放缓，未来出台稳需求政策的预期增强，政策利好预期将在四季 度逐渐显现。 资金面上，7、8月非银存款同比多增，显示社会财富资产配置方向转变，股市吸引增量 资金流入；融资余额维持高位，表明杠杆资金仍在净买入。 政策利好预期和资金持续流入股市的趋 势，对股指形成中长期支撑。但因前期部分股票估值提升明显，获利资金有止盈意愿，短线存在技术性 调整压力。 需重点关注资金止盈节奏与政策预期发酵的博弈情况。总体来看，短期内股指预计以宽幅 震荡为主。 目前期权隐含波动率处于正常区间，鉴于股指中长线向上，可继续持有牛市价差或比例价 差。 ...

Report Industry Investment Rating - No relevant content provided Core Views - On August 15, 2025, stock indices showed an oscillating upward trend, with significant gains in CSI 500 and CSI 1000. The stock market trading volume has remained above 2 trillion yuan for multiple days, indicating optimistic market sentiment and a continuous rise in investors' risk appetite [3]. - Policy - side positive expectations strongly support the stock indices. Anti - involution and consumption - promotion policies are conducive to a moderate recovery of the price index, the repair of listed companies' profit margins, and the positive cycle of the "residents' consumption - corporate profits - employees' salaries" chain, leading to an increase in the expectation of a better macro - economic outlook [3]. - The balance of margin trading funds has exceeded 2 trillion yuan, indicating strong confidence of leveraged investors in the market. The continuous entry of patient capital such as social security and insurance funds has also promoted the continuous recovery of long - term confidence in the stock market [3]. - In the short term, there are strong positive expectations on the domestic policy side, and external risk factors have temporarily eased. The risk appetite in the stock market continues to recover, and the stock indices will be mainly oscillating upward in the short term [3]. - Currently, the implied volatility of options has rebounded. Considering the long - term upward trend of the stock indices, investors can continue to hold bull spreads or ratio spreads for a moderate bullish view [3]. Summary by Related Catalogs 1 Option Indicators - **ETF and Index Performance**: On August 15, 2025, 50ETF rose 0.37% to 2.965; 300ETF (SSE) rose 0.92% to 4.295; 300ETF (SZSE) rose 0.91% to 4.432; CSI 300 Index rose 0.70% to 4202.35; CSI 1000 Index rose 2.02% to 7117.50; 500ETF (SSE) rose 2.21% to 6.658; 500ETF (SZSE) rose 2.38% to 2.663; GEM ETF rose 2.58% to 2.509; Shenzhen 100ETF rose 1.44% to 3.035; SSE 50 Index rose 0.12% to 2832.88; Science and Technology Innovation 50ETF rose 1.40% to 1.16; E Fund Science and Technology Innovation 50ETF rose 1.62% to 1.13 [5]. - **Volume PCR and Open Interest PCR**: Various option products have different volume PCR and open interest PCR values, and most of them have changed compared with the previous trading day [6]. - **Implied Volatility and Historical Volatility**: Different option products have different implied volatilities of at - the - money options in different months and 30 - trading - day historical volatilities of the underlying assets [7][8]. 2 Related Charts - **SSE 50ETF Options**: Include the trend of SSE 50ETF, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of each term [9][10][11]. - **SSE 300ETF Options**: Include the trend of SSE 300ETF, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of each term [20][21][22]. - **SZSE 300ETF Options**: Include the trend of SZSE 300ETF, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of each term [33][34][35]. - **CSI 300 Index Options**: Include the trend of CSI 300 Index, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of each term [46][47][48]. - **CSI 1000 Index Options**: Include the trend of CSI 1000 Index, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of each term [59][60][61]. - **SSE 500ETF Options**: Include the trend of SSE 500ETF, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of each term [70][71][72]. - **SZSE 500ETF Options**: Include the trend of SZSE 500ETF, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of each term [83][84][85]. - **GEM ETF Options**: Include the trend of GEM ETF, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of each term [94][95][96]. - **Shenzhen 100ETF Options**: Include the trend of Shenzhen 100ETF, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of each term [107][108][109]. - **SSE 50 Index Options**: Include the trend of SSE 50 Index, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of each term [120][121][122]. - **Science and Technology Innovation 50ETF Options**: Include the trend of Science and Technology Innovation 50ETF, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of each term [133][134][135]. - **E Fund Science and Technology Innovation 50ETF Options**: Include the trend of E Fund Science and Technology Innovation 50ETF, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of each term [136][137][138].

1. Report Industry Investment Rating - Not provided in the document 2. Core Views of the Report - After continuous increases, the probability of market fluctuations is high. The A-share market has shown resilience recently. Although short - term volatility of the market may intensify after continuous index increases, the overall strategy is to go long on dips [10][11] - The Politburo meeting emphasized enhancing the attractiveness and inclusiveness of the domestic capital market, confirming the policy's support for the capital market [10][11] 3. Summary According to the Table of Contents 3.1 Monthly Assessment and Strategy Recommendation - **Important News**: The Politburo meeting aimed to enhance the capital market's attractiveness; overseas stock trading income is taxable; A - share margin trading balance is close to 2 trillion yuan; the central bank conducted a 7000 - billion - yuan 3 - month reverse repurchase operation [10] - **Economic and Corporate Earnings**: Q2 GDP growth was 5.2%; June consumption growth was 4.8%; industrial added - value growth was 6.8%; July manufacturing PMI was 49.3%; June social financing scale increased by 8.9% year - on - year; July exports increased by 7.2% and imports by 4.1% [10] - **Interest Rates and Credit Environment**: 10Y treasury and credit bond rates declined, and credit spreads narrowed. Liquidity became looser at the beginning of the month [10] - **Trading Strategy Recommendations**: Hold a small amount of IM long positions in the long - term due to medium - low valuation and long - term IM discount; hold IF long positions for 6 months as a new interest rate cut cycle may benefit high - dividend assets [12] 3.2 Futures and Spot Markets - **Spot Market**: The Shanghai Composite Index was at 3573.21, up 3.74%; the Shenzhen Component Index was at 11009.77, up 5.20%; and other major indices also had varying degrees of increase [14] - **Futures Market**: All major index futures contracts showed increases, such as IF contracts with increases ranging from 3.47% to 4.17% [15] 3.3 Economic and Corporate Earnings - **Economic Indicators**: Q2 GDP growth was 5.2%; July manufacturing PMI was 49.3%; June consumption growth slowed to 4.8%; exports maintained resilience; investment growth declined to 2.8% [36][39][42] - **Corporate Earnings**: In Q1 2025, the revenue growth of non - financial A - share listed companies slightly declined but was still higher than Q3 2024, and the operating net cash flow improved [45] 3.4 Interest Rates and Credit Environment - **Interest Rates**: 10Y treasury and 3 - year AA - corporate bond rates declined [48] - **Credit Environment**: In June 2025, M1 growth was 4.6%, M2 growth was 8.3%, and social financing increased by 4.20 trillion yuan, with government bonds and corporate short - term loans being the main contributors [59] 3.5 Capital Flows - **Inflow**: This week, 146.21 billion shares of new equity - biased funds were established, and the net margin purchase was 326.43 billion yuan [65][69] - **Outflow**: This week, major shareholders had a net increase of - 50.67 billion yuan, and there was 1 IPO approval [72] 3.6 Valuation - **P/E Ratio (TTM)**: Shanghai 50 was 11.49, CSI 300 was 13.33, CSI 500 was 30.58, and CSI 1000 was 42.19 [76] - **P/B Ratio (LF)**: Shanghai 50 was 1.27, CSI 300 was 1.41, CSI 500 was 2.06, and CSI 1000 was 2.34 [76]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints - The stock market has a relatively strong risk appetite, and stock indices are oscillating upwards. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets is 1518.2 billion yuan, a decrease of 101.7 billion yuan from the previous day. The trading volume remains above 1.5 trillion yuan, indicating a high - level risk appetite among stock market investors [3]. - The economy showed strong resilience in the second quarter, reducing the short - term expectation of policy intensification. The subsequent incremental positive factors need to wait until October, so the positive policy drive has weakened recently [3]. - Since late June, some stocks have achieved significant gains, and some profit - taking funds have a need to lock in profits. Therefore, the stock indices have a short - term need for technical consolidation. However, external risk factors are easing, domestic economic data shows resilience, the stock market risk appetite is at a high level, and there are few negative factors. In the short term, the stock indices are more likely to rise than fall. Overall, the stock indices are upward - trending in the long - term and will mainly oscillate within a range in the short - term [3]. - The implied volatility of options is currently in the normal range. Considering the long - term upward trend of stock indices, investors can continue to hold bull spreads or ratio spreads for a mild bullish view [3]. 3. Summary by Relevant Catalogs 3.1 Option Indicators - **ETF and Index Performance**: On August 4, 2025, 50ETF rose 0.49% to 2.890; 300ETF (Shanghai Stock Exchange) rose 0.46% to 4.152; 300ETF (Shenzhen Stock Exchange) rose 0.38% to 4.279; the CSI 300 Index rose 0.39% to 4070.70; the CSI 1000 Index rose 1.04% to 6739.69; 500ETF (Shanghai Stock Exchange) rose 0.76% to 6.335; 500ETF (Shenzhen Stock Exchange) rose 1.08% to 2.537; the GEM ETF rose 0.43% to 2.313; the Shenzhen 100ETF rose 0.31% to 2.886; the SSE 50 Index rose 0.55% to 2769.39; the STAR 50ETF rose 1.19% to 1.10; and the E Fund STAR 50ETF rose 1.22% to 1.08 [5]. - **Volume and Open Interest PCR**: Different ETF and index options have different volume and open interest PCR values, and most of them have changed compared to the previous trading day. For example, the volume PCR of SSE 50ETF options was 106.66 (previous day: 109.66), and the open interest PCR was 89.70 (previous day: 84.31) [6]. - **Implied Volatility and Historical Volatility**: The implied volatility and 30 - day historical volatility of different options are also presented. For instance, the implied volatility of SSE 50ETF options' August 2025 at - the - money options was 13.67%, and the 30 - day historical volatility of the underlying was 9.69% [7]. 3.2 Relevant Charts - The report provides a series of charts for different types of options, including the trend of the underlying, option volatility, volume PCR, open interest PCR, implied volatility curves, and the implied volatility of at - the - money options for different terms. For example, for SSE 50ETF options, there are charts showing the SSE 50ETF trend, option volatility, volume PCR, etc. [9][10][11]