Group 1: Report Information - Report Title: Stock Index Option Data Daily Report [2] - Date: September 17, 2025 [3] - Research Institute: Guomao Futures Research Institute [3] - Analyst: Li Zeju from the Financial Derivatives Center [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Group 2: Market Overview - Index Performance: The Shanghai Composite Index rose 0.04% to 3861.87 points, the Shenzhen Component Index rose 0.45%, the ChiNext Index rose 0.68%, the Beixin 50 rose 0.63%, the Kechuang 50 rose 1.32%, the Wind All A rose 0.48%, the Wind 4500 fell 0.1%, and the CSI A500 rose 0.03% [5] - A-share Trading Volume: The total trading volume of A-shares was 2.37 trillion yuan, compared with 2.3 trillion yuan the previous day [5] Group 3: Index Quotes | Index | Turnover (billion yuan) | Closing Price | Change (%) | Volume (billion) | | --- | --- | --- | --- | --- | | SSE 50 | 1554.30 | 2947.8222 | -0.50 | 4523.3367 | | CSI 300 | - | 7483.6282 | -0.21 | 249.27 | | CSI 1000 | - | - | 0.92 | 309.01 | [3] Group 4: CFFEX Stock Index Option Trading | 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 | | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.94 | 1.67 | 0.57 | 3.83 | 0.61 | 0.61 | | CSI 300 | 0.64 | 23.86 | 0.80 | 10.60 | 14.99 | 0.80 | | CSI 1000 | 37.50 | 20.75 | 0.81 | 16.75 | 16.89 | 1.09 | [3] Group 5: Volatility Analysis - SSE 50 Volatility: Analyzed historical volatility, historical volatility cone, and volatility smile curve [3][4] - CSI 300 Volatility: Analyzed historical volatility, historical volatility cone, and volatility smile curve [3][4] - CSI 1000 Volatility: Analyzed historical volatility, historical volatility cone, and volatility smile curve [3][4]

沪深300PCR走势 1.2 1 0.8 0.6 0.4 0.2 权教据日报 CI + m 中 2025/8/4 数据来源: Wind,国贸期货研究院 | | 行情回顾 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 指数 | 收盘价 | | 张肤帽(%) | | 成交额(亿元) | | 成交里(亿) | | | 上证50 | 2754. 1302 | | -0. 79 | | 940. 74 | | 48. 96 | | | 沪深300 | 4054. 9286 | | -0.51 | | 3596. 85 | | 196. 22 | | | 中证1000 | 6670. 472 | | 0.14 | | 3490. 71 | | 232. 48 | | | | 中金所股指期权成交情况 | | | | | | | | | 指数 | 期权成交望 | 认购期权 | 认沽期权 | 日成交里 | 期权持仓里 | 认购期权 | 认洁期权 | 持仓里 | | | (万张) | 成交堂 | 成交里 | PCR | (万张) ...

权教据日报 CI + 高中心 =: F0251925 投资咨询业务资格:证监许可【2012】31号 IIG 国兴期 1.2 0.8 0.6 0.4 0 2 上证50波动率分析 上证50历史波动率 力史波动率链 0.5 -最大值 量小值 -- 10%分位值 0.45 30%分位值 -- 60%分位值 · 当前值 0.4 90%分位值 0.35 0.3 80% 0.25 70% 0.2 eole 40% 0.1 30% 0.05 20% 0 10% 2025-03-17 2025-04-17 2025-05-17 2025-06-17 2025-07-17 0% 日 20日 40日 eo日 120日 -HV5 - HV20 = H/Veo 上证50下月平值隐波 波动车微笑曲线 0.4 - 2509 2508 0.27 - 0.35 0.24 0.3 0.21 0.25 0.18 0.2 0.15 0.15 0.12 0.1 0.09 2300 2450 2550 2375 沪深300波动率分析 沪深300历史波动率 历史波动率链 0.6 - 最小值 -最大值 -- 10%分位值 30%分位值 == 60%分位值 ...