期货研究报告 投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2026 年 1 月 8 日 金融期权 专业研究·创造价值 股指延续震荡盘整 核心观点 今日各股指均延续震荡盘整。沪深京三市成交额 28262 亿元，较上日缩 量 553 亿元。股指大幅上行之后，技术面上需要一定时间震荡整固。不过目 前股市成交金额仍然处于较高水平，融资资金买入额保持较高水平，说明目 前市场情绪仍相对乐观。政策面利好预期以及资金净流入趋势这两个主线 逻辑不变，由于股指已经突破前期的震荡区间上沿，后续股指大概率保持相 对强势。总的来说，预计短期内股指震荡偏强运行。 期权方面，目前持仓量 PCR 与隐含波动率均有所回升，可以牛市价差 的思路对待。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 电话：0571-87006873 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 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 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Short - term stock index to continue oscillating and consolidating. On November 4, 2025, stock indices oscillated downward throughout the day with the decline narrowing at the end of the session. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1938.4 billion yuan, a decrease of 194.5 billion yuan from the previous day. Due to the weakened expectation of incremental policies in November and the diminishing marginal impact of the easing of external risks, the upward driving force has weakened in the short - term. With the increase in stock valuation, the willingness of profit - taking funds to stop profit has risen, and there is still a need for short - term technical adjustment of the stock index. In general, the stock index will mainly oscillate and consolidate in the short - term under the game between the fermentation rhythm of policy -利好 expectations and the profit - taking rhythm of funds [3]. - Currently, the implied volatility of options is at a relatively low level. Considering the long - term upward trend of the stock index, maintain the idea of bull spreads or covered calls [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - **ETF and Index Performance**: On November 4, 2025, 50ETF fell 0.16% to 3.156; 300ETF (Shanghai Stock Exchange) fell 0.71% to 4.729; 300ETF (Shenzhen Stock Exchange) fell 0.77% to 4.881; CSI 300 Index fell 0.75% to 4618.70; CSI 1000 Index fell 1.36% to 7435.73; 500ETF (Shanghai Stock Exchange) fell 1.69% to 7.313; 500ETF (Shenzhen Stock Exchange) fell 1.48% to 2.924; GEM ETF fell 2.02% to 3.112; Shenzhen 100ETF fell 1.46% to 3.519; SSE 50 Index fell 0.11% to 3012.97; STAR 50ETF fell 1.02% to 1.46; E Fund STAR 50ETF fell 0.98% to 1.41 [5]. - **Volume PCR and Position PCR**: The report provides the volume PCR and position PCR data of various options on November 4, 2025, and their changes compared with the previous trading day, including 50ETF options, 300ETF options (Shanghai and Shenzhen), CSI 300 index options, CSI 1000 index options, 500ETF options (Shanghai and Shenzhen), GEM ETF options, Shenzhen 100ETF options, SSE 50 index options, STAR 50ETF options, and E Fund STAR 50ETF options [6]. - **Implied Volatility and Historical Volatility**: The report presents the implied volatility of at - the - money options in November 2025 and the 30 - trading - day historical volatility of the underlying assets for various options, such as 50ETF options, 300ETF options (Shanghai and Shenzhen), CSI 300 index options, CSI 1000 index options, 500ETF options (Shanghai and Shenzhen), GEM ETF options, Shenzhen 100ETF options, SSE 50 index options, STAR 50ETF options, and E Fund STAR 50ETF options [7][8]. 3.2 Relevant Charts - **50ETF Options**: Include the trend chart of 50ETF, the volatility chart of 50ETF options, the volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility of each term [9][10][11]. - **300ETF Options (Shanghai Stock Exchange)**: Include the trend chart of 300ETF (Shanghai), the volatility chart of 300ETF options (Shanghai), the volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility of each term [20][21][22]. - **300ETF Options (Shenzhen Stock Exchange)**: Include the trend chart of 300ETF (Shenzhen), the volatility chart of 300ETF options (Shenzhen), the volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility of each term [33][34][35]. - **CSI 300 Index Options**: Include the trend chart of the CSI 300 index, the volatility chart of CSI 300 index options, the volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility of each term [47][48]. - **CSI 1000 Index Options**: Include the trend chart of the CSI 1000 index, the volatility chart of CSI 1000 index options, the volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility of each term [49][50][51]. - **500ETF Options (Shanghai Stock Exchange)**: Include the trend chart of 500ETF (Shanghai), the volatility chart of 500ETF options (Shanghai), the volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility of each term [62][63][64]. - **500ETF Options (Shenzhen Stock Exchange)**: Include the trend chart of 500ETF (Shenzhen), the volatility chart of 500ETF options (Shenzhen), the volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility of each term [75][76][77]. - **GEM ETF Options**: Include the trend chart of GEM ETF, the volatility chart of GEM ETF options, the volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility of each term [88][89][90]. - **Shenzhen 100ETF Options**: Include the trend chart of Shenzhen 100ETF, the volatility chart of Shenzhen 100ETF options, the volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility of each term [101][102][103]. - **SSE 50 Index Options**: Include the trend chart of the SSE 50 index, the volatility chart of SSE 50 index options, the volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility of each term [114][115][116]. - **STAR 50ETF Options**: Include the trend chart of STAR 50ETF, the volatility chart of STAR 50ETF options, the volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility of each term [127][128][129]. - **E Fund STAR 50ETF Options**: Include the trend chart of E Fund STAR 50ETF, the volatility chart of E Fund STAR 50ETF options, the volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility of each term [138][139].