股指期权日报 | 2026-01-12 股指期权日报 股指期权市场概况 期权成交量 2026-01-09，上证50ETF期权成交量为79.49万张；沪深300ETF期权（沪市）成交量为92.14万张； 中证500ETF期权（沪市）成交量为156.90万张；深证100ETF期权成交量为5.17万张； 创业板ETF期权成交量为181.35万张；上证50股指期权成交量为6.23万张； 沪深300股指期权成交量为15.23万张；中证1000期权总成交量为52.29万张。 期权PCR 上证50ETF期权成交额PCR报0.52，环比变动为-0.19；持仓量PCR报0.97，环比变动为+0.02； 沪深300ETF期权（沪市）成交额PCR报0.72，环比变动为-0.08；持仓量PCR报1.06，环比变动为+0.06； 中证500ETF期权（沪市）成交额PCR报0.35，环比变动为-0.14；持仓量PCR报1.40，环比变动为+0.03 ； 深圳100ETF期权成交额PCR报0.45 ，环比变动为-0.23；持仓量PCR报1.37；环比变动为+0.13； 创业板ETF期权成交额PCR报0.49，环比变动为-0.15 ；持仓量 ...

2026 年 01 月 10 日 融 工 程 金 融 工 程 定 期 报 衍生品市场提示情绪中性偏谨慎——1 月衍生品 月报（2026/1） 投资要点： 股指期货 主要股指（沪深 300、上证 50、中证 500 和中证 1000）在 12 月份 成交额与上月基本持平，显示市场成交活跃度下跌幅度趋缓。 从贴水比例来看，贴水幅度继续在较低水平，显示市场最近空头 力量持续较弱，情绪偏中性。 金 华福证券 团队成员 分析师： 李杨(S0210524100005) ly30676@hfzq.com.cn 分析师： 熊晓湛(S0210524100006) xxz30674@hfzq.com.cn 相关报告 国债期货 12 月份国债期货小幅震荡， 10 年期国债期货对应隐含收益率为 1.76%，低于现货对应的 1.85%。 告 从升贴水结构来看，近远月合约价差在 0 附近波动，整体投资者 对于未来债券市场情绪中性偏乐观。 期权市场 12月份 1000 指数期权波动率小幅低于标的的实际波动率，300ETF 期权波动率与标的的实际波动率持平，显示期权当前价值合理或者低 估。 期权市场 PCR，上证 50 和沪深 300 指数 ...

投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2026-01-09 股市配置中盘，债市情绪修复 股指期权方面，昨日标的市场震荡为主，中证500、中证1000及科创 上涨，大盘品种下跌，连续上涨后出现一定风格分化，期权市场成交量 113.10亿元，与前一日基本持平，略低2.64%，流动性维持高位。情绪指 标方面，偏度各品种低位震荡，持仓量PCR变动与风格分化方向相同，市 场整体跟随为主，对冲行为未集中大量出现；隐含波动率方面，多数品种 震荡，科创50ETF平均上行较多，市场波动仍在近一月高位，上方拐点还 未出现。今日市场虽动量不足，但局部仍有上行，且整体情绪维持较好， 因此中盘成长及科创风格仍推荐买入认购及牛市价差，其余品种观察后续 波动及量能拐点出现后可转回备兑。 国债期货方面，昨日国债期货全线上涨，日内看，T主力合约开盘后 先震荡下行，后一直走强，最终收于107.790。昨日央行开展99亿元7天期 逆回购（利率1.40%），单日净投放99亿元；同步实施11000亿元3个月期 买断式逆回购，规模与到期量持平。银行间资金面平稳偏松，DR001利率 微升至1.27%附近。开年后 ...

股强债弱格局延续 投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2026-01-08 股指期货：震荡但中期不改趋势 股指期权：波动及情绪维持⾼位 国债期货：债市持续下跌 股指期货方面，周三权益市场上攻放缓，主要指数虽飘红居多，但幅 度较周一周二显著减少，同时量能2.88万亿，环比略增，活跃度显示资金 配置意愿强烈，另外涨停家数降至97家，较周二略有减少。期货维度，有 迹象显示上攻可能放缓，其一，IC、IM当季年化基差率有见顶回落的可能 性，投机资金主导环境下，隐含多头力量削弱，其二，周三股指期货整体 减仓，结合两者，阶段休整的可能性在放大。但若从中期视角而言，目前 仍是上攻的初期，全球流动性宽松、两会炒作等逻辑难以证伪，在机构定 价强化的背景下，预计赚钱效应后续将集中，且聚集在中盘股及双创链 条，目前以配置思路进行布局。 股指期权方面，昨日标的市场日内波动，沪指收盘险守阳线，中证 500及科创维持强势，其余品种略有回撤，期权市场成交量116.16亿元， 相较前一日上升16.75%，流动性有所下降但维持高位。首先从波动率层 面，昨日各品种并未出现大幅回落，各品种在近一个月高位 ...

1. Report Industry Investment Rating No information provided in the report. 2. Core Views of the Report - The stock market shows a positive trend with both price and trading volume increasing, while the bond market sentiment is weak [1]. - For stock index futures, the Shanghai Composite Index reached a new high with heavy trading volume, and it is recommended to allocate long positions in IC contracts before the Two Sessions [1]. - In the stock index options market, the trading volume increased significantly, and there was an obvious phenomenon of rising price and volatility. It is recommended to hold long call options or bull spreads [2]. - Regarding treasury bond futures, the market is expected to be volatile in the short - term, and investors should pay attention to whether the 10 - year treasury bond yield can hold the 1.9% mark [3]. 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - The Shanghai Composite Index continued its upward trend on Tuesday, rising 1.5% with heavy volume. Non - ferrous metals and non - bank finance led the gains, and the CSI 500 performed better among broad - based indices. The rally was driven by positive external sentiment, early entry of institutional funds, and the resonance between the commodity and stock markets. It is recommended to hold long positions in IC contracts [1][7]. - The basis of IF, IH, IC, and IM current - month contracts was 4.71 points, 0.04 points, 21.86 points, and 10.10 points respectively, with a month - on - month change of 8.45 points, 2.38 points, 8.26 points, and 4.78 points. The spread between current - month and next - month contracts and the total positions also changed [7]. 3.1.2 Stock Index Options - The underlying market continued to rise significantly, and the trading volume of the options market reached 139.52 billion yuan, a 42.38% increase from the previous day. The game and chasing intensity at the options end increased significantly, with an obvious rise in the call trading volume ratio and an average increase of 2.05% in the implied volatility index. It is recommended to hold long call options or bull spreads and turn to a wait - and - see attitude for short - selling strategies [2]. 3.1.3 Treasury Bond Futures - Treasury bond futures declined across the board. The T main contract showed a volatile trend throughout the day. The inter - bank market liquidity was loose, and the DR001 rate slightly rose to around 1.26%. The A - share market's continuous improvement affected the bond market sentiment. The central bank's bond - buying scale in December was 50 billion yuan, falling short of expectations. Investors need to pay attention to whether the 10 - year treasury bond yield can hold the 1.9% mark. The bond market is expected to be volatile, and institutional investors can play for rebounds but should wait for a reversal [3][8][10]. - The trading volume, open interest, spread, and basis of T, TF, TS, and TL contracts changed. The central bank conducted 16.2 billion yuan of 7 - day reverse repurchase operations, with 312.5 billion yuan of reverse repurchases maturing [8]. - Operational suggestions include a volatile trend strategy, paying attention to short - hedging at low basis levels, appropriately focusing on basis widening, and expecting the yield curve to remain steep [10]. 3.2 Economic Calendar - The report provides an economic calendar for the current week, including indicators such as China's December SPGI Services PMI, China's December foreign exchange reserves, the US December ADP employment change, the Eurozone November unemployment rate, etc., along with their previous values, forecast values, and some yet - to - be - announced values [11]. 3.3 Important Information and News Tracking - The 2026 work meeting of the People's Bank of China emphasized continuing to implement a moderately loose monetary policy, enhancing the integrated effect of incremental and existing policies, and providing financial support for the "15th Five - Year Plan" [12]. - A Fed governor said that subsequent economic data would support the view that interest rate cuts are appropriate, and the Fed should cut interest rates by more than 100 basis points this year [12]. 3.4 Derivatives Market Monitoring - The report mentions monitoring data for stock index futures, stock index options, and treasury bond futures, but specific data details are not fully presented [13][17][29].

为促进金融衍生品市场规范发展，落实非集中清算衍生品交易保证金要求，中国银行间市场交易商 协会（以下简称"交易商协会"）组织制定了《中国银行间市场金融衍生产品交易转让式履约保障文件 （变动保证金-2025年版）》（以下简称《变动保证金文件》），于近日正式发布。 交易商协会表示，下一步，将持续做好协议文本服务，助力非集中清算交易保证金平稳落地，促进 我国金融衍生品市场稳步发展。 责任编辑：杨喜亭 《变动保证金文件》作为《中国银行间市场金融衍生产品交易主协议》的配套文本，兼顾境内外合 规需求，将标准化与灵活性相结合，为市场参与者实施变动保证金提供清晰实用的标准文本。一方面， 将变动保证金纳入主协议终止净额，明确履约保障品类型、交换、估值与争议处理流程，提升交易确定 性；另一方面，结合监管要求和市场共识，设置部分条款的默认选项，并加入条款释义和范例，减少市 场参与者的理解分歧，提升签署效率。 ...

Report Summary 1. Report Industry Investment Rating - Not provided in the content 2. Core Views of the Report - **Stock Index Futures**: The Shanghai Composite Index returned above 4000 points. The Spring Rally may start earlier, led by institutional funds. The ChiNext and STAR Market, along with the CSI 500 index, are expected to perform well before the Two Sessions [1][7]. - **Stock Index Options**: After the holiday, the underlying market continued the pre - holiday optimism. Option trading volume was stable, and the implied volatility declined. A covered - call strategy can be continued [2][7]. - **Treasury Bond Futures**: The bond market showed a differentiated performance. The central bank's net injection of funds was offset by tightened year - end liquidity. The short - end is supported, while the ultra - long - end may face uncertainties [3][7][8]. 3. Summary by Relevant Catalogs 3.1 Market Views - **Stock Index Futures** - **Market Performance**: On Monday, the equity market closed higher, with the Shanghai Composite Index back above 4000 points. The STAR Market led the gains, and the trading volume reached 2.57 trillion yuan. The CSI 500 index broke through its previous high [1][7]. - **Data**: The basis of IF, IH, IC, and IM contracts changed, and the spreads between contracts also changed. The total open interest of each contract increased [7]. - **Outlook**: The Spring Rally may start earlier, and growth - style stocks are expected to lead. It is recommended to hold IC contracts [7]. - **Stock Index Options** - **Market Performance**: The underlying market rose across the board, and the total option trading volume reached 9799 million yuan, up 41.46% from the previous day. The trading ratio of call and put options was stable, and the implied volatility declined [2][7]. - **Strategy**: A covered - call strategy can be continued [2][7]. - **Treasury Bond Futures** - **Market Performance**: Treasury bond futures closed with a differentiated performance. Most yields of major interest - rate bonds in the inter - bank market rose, and the spot bond yields showed a differentiated trend [3][7][8]. - **Data**: The trading volume and open interest of T, TF, TS, and TL contracts decreased. The inter - period spreads, inter - variety spreads, and basis of each contract changed [7][8]. - **Policy Impact**: The central bank's net injection of 253.2 billion yuan was offset by tightened year - end liquidity. The "Two New" policy was issued to support economic growth [3][8]. - **Outlook**: The central bank's attitude is favorable for the short - end, while the ultra - long - end may be affected by interest - rate cut and supply expectations. Trend strategy: range - bound; Hedging strategy: pay attention to short - hedging at low basis; Basis strategy: pay attention to basis widening; Curve strategy: the curve may remain steep [7][9]. 3.2 Economic Calendar - The economic data to be released this week include China's December SPGI Services PMI (released, reaching 52), China's December foreign exchange reserves, US December ADP employment change, Eurozone November unemployment rate, Eurozone December economic sentiment index, China's December CPI and PPI annual rates, US December non - farm payrolls change, and US January University of Michigan Consumer Sentiment Index preliminary value [10]. 3.3 Important Information and News Tracking - **Pension**: The long - term assessment of the over 700 billion yuan annuity fund is being promoted, which will encourage long - term investment and attract more medium - and long - term funds into the market [11]. - **Geopolitical**: In the US military action against Venezuela, 32 Cuban citizens died. The Cuban President expressed condolences to the families of the victims [11]. 3.4 Derivatives Market Monitoring - **Stock Index Futures Data**: Not provided in the content - **Stock Index Options Data**: Not provided in the content - **Treasury Bond Futures Data**: Not provided in the content

Report Industry Investment Rating - Not provided in the report Core Viewpoints - The weekly market amplitude narrowed, 50ETF and 300ETF slightly pulled back, while 500ETF showed high resilience. The overall trading volume in the options market shrank, and the open interest slightly increased, which was related to the pre - holiday cautious sentiment. However, from the perspective of implied volatility level and shape, the overall wait - and - see sentiment did not rise significantly. The report maintained the relatively optimistic view from the previous period and was also bullish on the performance of the growth sector [4][46] Summary by Relevant Catalogs 1. Spot - Futures Market Review 1.1. Underlying Asset Market - From December 29th to December 31st, the Shanghai Composite Index fluctuated during the week, closing at 3968.84 with lower trading volume compared to the previous week. The Shenzhen Component Index also fluctuated, closing at 13525.02 with lower trading volume. - 50ETF opened at 3.120 at the beginning of the week and closed at 3.105 at the weekend, down 0.015 or 0.48% from the previous week, with a trading volume of 5.981 billion yuan. Huatai - Peregrine CSI 300ETF opened at 4.780 and closed at 4.753, down 0.031 or 0.65%, with a trading volume of 9.521 billion yuan. Southern CSI 500ETF opened at 7.579 and closed at 7.588, up 0.008 or 0.11%, with a trading volume of 7.777 billion yuan [2][7] 1.2. Index Futures Market - From December 29th to December 31st, all IH contracts of stock index futures closed down. Contract IH2601 fell by 0.79%. All IF contracts closed down, and contract IF2601 fell by 0.77%. All IC contracts closed down, with contract IC2601 falling by 0.01% [8] 2. Options Market Review 2.1. Trading and Open Interest - From December 29th to December 31st, the average daily trading volume of 50ETF options decreased compared to the previous week, while the total open interest increased. The average daily trading volume was 600,912 contracts, a decrease of 170,092 from the previous week. The total open interest was 1,076,466 contracts, an increase of 69,862 from the previous weekend. The total open - interest PCR was 0.92, a decrease of 0.06 from the previous weekend [12] - The average daily trading volume of Huatai - Peregrine CSI 300ETF options decreased, and the total open interest increased. The average daily trading volume was 755,077 contracts, a decrease of 197,862 from the previous week. The total open interest was 1,090,086 contracts, an increase of 47,280 from the previous weekend. The total open - interest PCR was 0.87, a decrease of 0.09 from the previous weekend [15] - The average daily trading volume of Southern CSI 500ETF options decreased, and the total open interest increased. The average daily trading volume was 1,063,830 contracts, a decrease of 302,468 from the previous week. The total open interest was 1,065,802 contracts, an increase of 67,144 from the previous weekend. The total open - interest PCR was 1.07, basically unchanged from the previous weekend [19] 2.2. Volatility 2.2.1. Historical Volatility - As of December 31st, the 5 - day historical rolling volatility of 50ETF rose to 4.72%, near the five - year historical low. The 5 - day, 10 - day, 20 - day, and 40 - day historical volatilities were 4.72%, 4.13%, 8.01%, and 9.71% respectively [23] - The 5 - day historical rolling volatility of Huatai - Peregrine CSI 300ETF rose to 5.97%, near the 25th percentile of the five - year historical level. The 5 - day, 10 - day, 20 - day, and 40 - day historical volatilities were 5.97%, 7.43%, 10.50%, and 12.44% respectively [27] - The 5 - day historical rolling volatility of Southern CSI 500ETF rose to 7.73%, near the 25th percentile of the five - year historical level. The 5 - day, 10 - day, 20 - day, and 40 - day historical volatilities were 7.73%, 9.77%, 13.80%, and 16.65% respectively [28] 2.2.2. Implied Volatility - Before the holiday, the market trading volume shrank, the volatility level changed little, and the overall shape of implied volatility basically maintained the original situation. Currently, the curve shapes of 50ETF and 300ETF options remain relatively right - skewed, while the curve shape of 500ETF options is slightly left - skewed [32] 2.2.3. Comparison of Historical and Implied Volatility Trends - In terms of volatility, short - term volatility continued to remain at a relatively low level, currently at around the 25th percentile of the historical level. Monthly volatility also declined slightly. Before the holiday, implied volatility rose slightly, with an increase of less than 1%. The volatility difference widened, but the overall level was relatively controllable. The market sentiment was stable during the pre - holiday trading, and the volatility level only increased slightly, with the overall volatility remaining at a low level [39] 3. Investment Recommendations - The weekly market amplitude narrowed, 50ETF and 300ETF slightly pulled back, while 500ETF showed high resilience. The overall trading volume in the options market shrank, and the open interest slightly increased, which was related to the pre - holiday cautious sentiment. However, from the perspective of implied volatility level and shape, the overall wait - and - see sentiment did not rise significantly. The report maintained the relatively optimistic view from the previous period and was also bullish on the performance of the growth sector [4][46]

交易商协会表示，下一步协会将持续做好协议文本服务，助力非集中清算交易保证金平稳落地，促进我 国金融衍生品市场稳步发展。 1月4日金融一线消息，为促进金融衍生品市场规范发展，落实非集中清算衍生品交易保证金要求，中国 银行间市场交易商协会（以下简称"交易商协会"）组织制定了《中国银行间市场金融衍生产品交易转让 式履约保障文件（变动保证金-2025年版）》（以下简称《变动保证金文件》），于日前正式发布。 变动保证金用于缓释与存量衍生品交易净额结算组合每日盯市价值相关的当前风险暴露。《变动保证金 文件》作为《中国银行间市场金融衍生产品交易主协议》的配套文本，兼顾境内外合规需求，将标准化 与灵活性相结合，为市场参与者实施变动保证金提供清晰实用的标准文本。一方面，将变动保证金纳入 主协议终止净额，明确履约保障品类型、交换、估值与争议处理流程，提升交易确定性。另一方面，结 合监管要求和市场共识，设置部分条款的默认选项，并加入条款释义和范例，减少市场参与者的理解分 歧，提升签署效率。 交易商协会表示，下一步协会将持续做好协议文本服务，助力非集中清算交易保证金平稳落地，促进我 国金融衍生品市场稳步发展。 责任编辑：曹睿潼 变动 ...

受到隔夜市场波动影响，12月30日黄金基金ETF（518800）跌2.05%。虽然有观点认为贵金属短期 已经超买，但从中长期来看，支撑金价的降息、去美元化、地缘政治等因素依然坚实。作为资产配置的 一部分，在回调后可能是较好的布局时点。 近期，贵金属价格波动比较剧烈，金价回调一定程度上受到银价溢出效应的影响。在周一夜盘（美 国交易时间），白银现货一度突破84美元/盎司，比上周的收盘价上涨近10%，使得今年以来的涨幅创 下1951年来的记录，但随后快速下跌10%以上。黄金、铂金等贵金属价格也随之回调。 导致这一结果的原因包括但不限于：（1）海外流传中国作为世界第三大白银生产国，可能限制白 银出口，马斯克在X平台发文称"这不是好事，白银在许多工业流程中都是必须的"。这促进了银价早期 的上涨。（2）芝商所将白银期货的保证金上调25%，以应对近期的波动，这可能促使杠杆交易者不得 不部分平仓以符合保证金要求。（3）临近年底，跟踪彭博和标普商品指数的基金将开始调仓，这涉及 数千亿美元的规模，投资者将大概率卖出今年涨幅较多的黄金和白银，以匹配新的权重，一些非指数基 金持有人可能在指数调整前"抢跑"提前卖出。据悉，指数调整将于 ...