Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The stock market continues to defend and wait, while the bond market sentiment needs to be restored. Specifically, the trading volume of stock index futures is insufficient to support an upward trend; the market sentiment of stock index options is stable with differentiated volatility; and the sentiment of long - term treasury bond futures remains weak [1][2] Summary by Relevant Catalogs Market Views Stock Index Futures - **Viewpoint**: The trading volume is insufficient to support an upward trend. The basis, spread, and position of IF, IH, IC, and IM have changed. The Shanghai Composite Index on Thursday showed a pattern of rising and then falling, with a slight gain and continued shrinking volume to 1.72 trillion yuan. The market lacks both trading volume and a clear main line, so it continues to defend and wait. The persistence of popular sectors is limited, and the market logic is scattered. It still awaits event or main - line signals to resume an upward trend. Tactically, it is recommended to continue the dumbbell - shaped allocation in the short term and observe the window for layout adjustment [7] - **Operation Suggestion**: Hold long positions in Dividend ETF + IM [7] Stock Index Options - **Viewpoint**: The market sentiment is stable, and the volatility is differentiated. The total turnover of the options market decreased by 3.20% to 67.21 billion yuan compared with the previous day. After the expiration of ETF options on Wednesday, the put - call ratio in the remaining positions continued to rise, indicating that the market sentiment is still recovering. The volatility of 500ETF and ChiNext ETF has increased to a relatively high - middle position, while other varieties have not changed much and continue to fluctuate at a medium - low level, providing space for volatility - reducing strategies [7] - **Operation Suggestion**: Continue to hold covered call strategies to increase returns [7] Treasury Bond Futures - **Viewpoint**: The sentiment of long - term bonds remains weak. The central bank's net reverse - repurchase injection of 564 billion yuan led to a decline in inter - bank funding rates, and the funding situation has eased, which is relatively favorable for short - term performance. The long - term bonds fluctuated weakly, mainly due to the undetermined new regulations on public fund fees and the lack of positive drivers such as the central bank's loose monetary policy. The stock - bond seesaw effect also exists. In the short term, the impact of the new fund fee regulations on the bond market may continue; before the important meetings in December, policy expectation disturbances may increase. In the medium term, the bond market is expected to fluctuate strongly [7][9] - **Operation Suggestion**: For trend strategies, expect a strong - side fluctuation. For hedging strategies, pay attention to long - position substitution at high basis levels. For basis strategies, look for positive arbitrage opportunities and basis widening. For curve strategies, appropriately pay attention to curve steepening [9] Economic Calendar - It lists the economic data of the United States, China, and the EU from November 25th to 27th, 2025, including PPI annual rate, retail sales year - on - year, durable goods order monthly rate, initial jobless claims, industrial enterprise profits, and economic sentiment index [10] Important Information and News Tracking - The National Development and Reform Commission held a meeting on November 24th to study and formulate standards for identifying costs in disorderly price competition, aiming to manage disorderly price competition among enterprises and maintain a good market price order [11] - Li Chao, Deputy Director of the Policy Research Office of the National Development and Reform Commission, mentioned that in the development of the embodied intelligence industry, it is necessary to balance "speed" and "bubble". The scale of the embodied intelligence industry represented by humanoid robots is growing at a rate of over 50%, and it is expected to reach a market scale of tens of billions by 2030. However, there are also risks such as product duplication and compressed R & D space [11] - The National Bureau of Statistics released data showing that from January to October, the total profit of large - scale industrial enterprises in China was 5950.29 billion yuan, a year - on - year increase of 1.9%. The profit situations of different types of enterprises and industries vary [12] Derivatives Market Monitoring - The content only lists the sub - items of stock index futures data, stock index options data, and treasury bond futures data, but no specific monitoring data is provided [13][17][29]

以上信息由金融界利用AI助手整理发布。作为专业的金融信息服务平台，金融界致力于为用户提供全 面、准确的财经资讯、金融知识科普及市场动态分析，助力用户提升对金融领域的认知水平。 免责声明： 期货合约与远期合约作为金融衍生品市场中的基础工具，均以约定未来交易标的资产为核心逻辑，但二 者在交易机制、风险管控、监管框架等方面存在本质区别。明确这些差异，对于理解衍生品市场的运行 规律及合规参与交易具有重要意义。 首先是交易场所与组织形式的差异。期货合约是在依法设立的期货交易所内进行交易的标准化合约，交 易活动受交易所的集中组织和统一规则约束，所有交易通过交易所的交易系统完成；远期合约则主要在 场外市场开展，由交易双方根据自身需求直接协商达成，或通过中介机构促成，交易流程缺乏集中统一 的组织架构，更依赖双方的自主约定。 其次是合约条款的标准化程度不同。期货合约的标的资产种类、交易单位、交割日期、交割地点、质量 等级等核心条款均由交易所预先制定，所有交易者使用完全一致的合约文本，确保了合约的互换性和交 易效率；远期合约的各项条款则由交易双方自主协商确定，可根据特定需求定制，例如标的资产的具体 规格、交割时间地点等均具有个性 ...

1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - No clear core views are presented in the given content. The report mainly provides detailed data on the price, price change, implied volatility (IV), and IV quantiles of various ETFs and indices over specific periods, including 50ETF, Shanghai 300ETF, Shenzhen 300ETF, Shanghai CSI 500ETF, Shenzhen CSI 500ETF, ChiNext ETF, Shenzhen 100ETF, Science and Technology Innovation 50ETF, Science and Technology Innovation Board 50ETF, 300 Index, 1000 Index, and Shanghai 50 Index. 3. Summary by Related Catalogs 3.1 50ETF - **Price and Volatility Data**: From November 25 - 27, 2025, the 50ETF price was 3.110, 3.114, and 3.112 respectively, with corresponding price changes of 0.52%, 0.13%, and -0.06%. The current month IV was 11.24%, 12.36%, and 12.02%, and the next month IV was 12.76%, N/A, and 12.87%. The current month IV quantiles in the past 1 - 2 years were 2.80% - 3.40%, and the next month IV quantiles were 12.20% - 16.00% [1]. - **Skew Index**: The skew index of the main contract month on November 27, 2025, was 108.38 [7]. 3.2 Shanghai 300ETF - **Price and Volatility Data**: From November 25 - 27, 2025, the Shanghai 300ETF price was 4.597, 4.626, and 4.622 respectively, with corresponding price changes of 0.88%, 0.63%, and -0.09%. The current month IV was 14.87%, 14.02%, and 13.68%, and the next month IV was 14.47%, N/A, and 14.54%. The current month IV quantiles in the past 1 - 2 years were 22.40% - 44.10%, and the next month IV quantiles were 29.50% - 34.80% [8]. - **Skew Index**: The skew index of the main contract month on November 27, 2025, was 111.50 [10]. 3.3 Shenzhen 300ETF - **Price and Volatility Data**: From November 25 - 27, 2025, the Shenzhen 300ETF price was 4.740, 4.778, and 4.768 respectively, with corresponding price changes of 0.64%, 0.80%, and -0.21%. The current month IV was 16.50%, 14.09%, and 13.88%, and the next month IV was 14.91%, N/A, and 14.59%. The current month IV quantiles in the past 1 - 2 years were 26.50% - 63.80%, and the next month IV quantiles were 30.60% - 39.10% [11]. - **Skew Index**: The skew index of the main contract month on November 27, 2025, was 111.13 [17]. 3.4 Shanghai CSI 500ETF - **Price and Volatility Data**: From November 25 - 27, 2025, the Shanghai CSI 500ETF price was 7.054, 7.065, and 7.050 respectively, with corresponding price changes of 1.91%, 1.36%, and -0.06%. The current month IV was 20.90%, 17.97%, and 17.67%, and the next month IV was 18.55%, N/A, and 18.53%. The current month IV quantiles in the past 1 - 2 years were 27.80% - 61.70%, and the next month IV quantiles were 30.80% - 36.30% [20]. - **Skew Index**: The skew index of the main contract month on November 27, 2025, was 113.37 [25]. 3.5 Shenzhen CSI 500ETF - **Price and Volatility Data**: From November 25 - 27, 2025, the Shenzhen CSI 500ETF price was 2.820, 2.825, and 2.817 respectively, with corresponding price changes of 1.18%, 0.18%, and -0.28%. The current month IV was 20.52%, 18.98%, and 18.52%, and the next month IV was 19.26%, N/A, and 18.99%. The current month IV quantiles in the past 1 - 2 years were 33.40% - 59.50%, and the next month IV quantiles were 35.10% - 42.90% [29]. - **Skew Index**: The skew index of the main contract month on November 27, 2025, was 110.26 [35]. 3.6 ChiNext ETF - **Price and Volatility Data**: From November 25 - 27, 2025, the ChiNext ETF price was 2.961, 3.027, and 3.012 respectively, with corresponding price changes of 1.82%, 2.23%, and -0.50%. The current month IV was 26.96%, 26.05%, and 26.15%, and the next month IV was 26.08%, N/A, and 26.69%. The current month IV quantiles in the past 1 - 2 years were 50.60% - 63.10%, and the next month IV quantiles were 45.10% - 63.40% [36]. - **Skew Index**: The skew index of the main contract month on November 27, 2025, was 105.55 [42]. 3.7 Shenzhen 100ETF - **Price and Volatility Data**: From November 25 - 27, 2025, the Shenzhen 100ETF price was 3.313, 3.370, and 3.358 respectively, with corresponding price changes of 1.35%, 1.72%, and -0.36%. The current month IV was 23.34%, 18.41%, and 17.90%, and the next month IV was 19.17%, N/A, and 18.51%. The current month IV quantiles in the past 1 - 2 years were 29.70% - 74.80%, and the next month IV quantiles were 33.80% - 53.00% [46]. - **Skew Index**: The skew index of the main contract month on November 27, 2025, was 108.04 [49]. 3.8 Science and Technology Innovation 50ETF - **Price and Volatility Data**: From November 25 - 27, 2025, the Science and Technology Innovation 50ETF price was 1.369, 1.382, and 1.379 respectively, with corresponding price changes of 0.66%, 0.95%, and -0.22%. The current month IV was 34.51%, 26.80%, and 27.06%, and the next month IV was 27.59%, N/A, and 27.16%. The current month IV quantiles in the past 1 - 2 years were 34.20% - 73.00%, and the next month IV quantiles were 35.10% - 54.90% [55]. - **Skew Index**: The skew index of the main contract month on November 27, 2025, was 97.96 [57]. 3.9 Science and Technology Innovation Board 50ETF - **Price and Volatility Data**: From November 25 - 27, 2025, the Science and Technology Innovation Board 50ETF price was 1.325, 1.340, and 1.336 respectively, with corresponding price changes of 0.61%, 1.13%, and -0.30%. The current month IV was 28.18%, 27.18%, and 27.64%, and the next month IV was 28.36%, N/A, and 28.44%. The current month IV quantiles in the past 1 - 2 years were 35.90% - 58.30%, and the next month IV quantiles were 40.00% - 58.10% [60]. - **Skew Index**: The skew index of the main contract month on November 27, 2025, was 101.92 [64]. 3.10 300 Index - **Price and Volatility Data**: From November 25 - 27, 2025, the 300 Index price was 4490.405, 4517.626, and 4515.403 respectively, with corresponding price changes of 0.95%, 0.61%, and -0.05%. The current month IV was 14.92%, 13.89%, and 14.12%, and the next month IV was 15.81%, 15.02%, and 14.81%. The current month IV quantiles in the past 1 - 2 years were 33.40% - 43.70%, and the next month IV quantiles were 27.70% - 44.50% [70]. - **Skew Index**: The skew index of the main contract month on November 27, 2025, was 105.31 [74]. 3.11 1000 Index - **Price and Volatility Data**: From November 25 - 27, 2025, the 1000 Index price was 7249.947, 7248.449, and 7257.454 respectively, with corresponding price changes of 1.31%, -0.02%, and 0.12%. The current month IV was 19.12%, 18.68%, and 17.88%, and the next month IV was 19.92%, 19.30%, and 19.00%. The current month IV quantiles in the past 1 - 2 years were 17.30% - 26.50%, and the next month IV quantiles were 14.70% - 25.30% [75]. - **Skew Index**: The skew index of the main contract month on November 27, 2025, was 118.11 [80]. 3.12 Shanghai 50 Index - **Price and Volatility Data**: From November 25 - 27, 2025, the Shanghai 50 Index price was 2968.202, 2971.799, and 2972.265 respectively, with corresponding price changes of 0.60%, 0.12%, and 0.02%. The current month IV was 13.18%, 12.13%, and 12.25%, and the next month IV was 48.04%, 48.30%, and 47.22%. The current month IV quantiles in the past 1 - 2 years were 8.10% - 19.40%, and the next month IV quantiles were 40.80% - 68.00% [86]. - **Skew Index**: The skew index of the main contract month on November 27, 2025, was 109.32 [93].

以上信息由金融界利用AI助手整理发布。金融界是国内专业的金融信息服务平台，长期致力于为用户 提供全面、及时、准确的财经资讯与金融知识内容，覆盖衍生品、股票、债券、基金等多个金融领域， 助力用户深入理解金融市场的运行逻辑及各类产品特性。 免责声明： 期货合约是由交易所统一制定的标准化合约，其标的资产的种类、数量、质量、交割地点、交割日期等 关键条款均已预先确定，市场参与者只能在这些标准化条款中选择，无法自行协商修改。例如，商品期 货的合约规模通常固定，到期日也为交易所规定的特定日期。而远期合约则是交易双方根据自身需求私 下协商达成的非标准化合约，所有条款均可灵活约定，包括标的资产的规格、交割时间、交割方式等， 完全贴合双方的个性化需求。 期货合约在集中式的交易所内进行交易，交易过程受到交易所的严格监管，并且通过中央对手方 （CCP）进行清算。根据2025年全国最新修订的金融衍生品交易法规，中央对手方需承担履约担保责 任，即在期货交易达成后，中央对手方会介入成为买方的卖方和卖方的买方，从而将双边信用风险转化 为对中央对手方的单一风险，极大降低了违约可能性。远期合约则主要在场外市场进行交易，没有统一 的清算机构，依 ...

Conflicting signals from the Federal Reserve on the timing and magnitude of U.S. interest rate cuts have accelerated hedging flows into swaptions and derivatives tied to overnight rates, with investors seeking protection against heightened policy uncertainty. ...

80% 0.2 70% 60% 0.15 50% 0.1 40% 30% 0.05 20% 0 10% 2025-07-10 2025-11-10 2025-08-10 2025-09-10 2025-10-10 0% HV5 HV20 HV60 5日 20日 40日 60日 120日 波动率微笑曲线 上证50下月平值隐波 0.28 2512 2511 0.26 0.24 0000000000円円円円円11円 NW$010×4000×100×400 0.22 0.2 0.18 0.16 0.14 0.12 0.1 2325 2475 2400 2600 沪深300波动率分析 沪深300历史波动率 历史波动率锥 0.25 最小值 ·30%分位值 10%分位值 最大值 当前值 90%分位值 ·60%分位值 0.2 100% 90% 0.15 80% 70% 0.1 60% 50% 0.05 40% 30% 20% 0 10% 2025-07-10 2025-09-10 2025-10-10 2025-11-10 2025-08-10 0% HV5 - HV20 HV60 5日 20日 40日 60日 120日 波 ...

针对MIAX交易，Kalshi未立即回应置评请求。 Kalshi是首批获得美国商品期货交易委员会批准、开设交易所上市与事件结果挂钩的金融合约的公司之 一。自Kalshi利用其交易所开始提供体育赛事交易以来，该业务在今年呈现爆发式增长。 智通财经APP获悉，Robinhood Markets Inc.(HOOD.US)与Susquehanna International Group正在接管一家 曾与已破产的加密货币业务FTX关联的受监管交易所LedgerX，据悉，两家公司正在收购LedgerX的多数 股权，这为它们在快速增长的预测市场领域赢得了强大的新立足点。 LedgerX是一家曾由FTX拥有、目前由迈阿密国际控股公司运营的美国衍生品交易所。收购方早已与预 测市场存在紧密联系。Susquehanna曾表示其担任美国领先预测市场交易所Kalshi的做市商。Robinhood 则向其零售投资客户提供Kalshi的事件合约。 这项新交易将使Robinhood和Susquehanna获得直接控制权，能够按自身条款上市和清算事件合约所需的 基础设施。此刻，华尔街、体育联盟和加密公司正竞相角逐，试图塑造受监管投机市场的未 ...

期权交易中常用的波动率类型 本信息不构成任何投资建议,投资者不应 以该等信息取代其独立判断或仅根据该等 信息做出决策。本信息根据当前法律法规 规则的相关规定形成解答,方便市场主体 参考使用。法律法规规则如有变化,以最 新规定的要求为准。我们力求本材料信息 准确可靠,但对这些信息的准确性或完整 性不作保证,亦不对因使用该等信息而引 发的损失承担任何责任。更多投资知识, 投资者关注"上交所ETF之家"及"上交 所期权之家"微信公众号。 ● 隐含波动率则是把期权价格代入期 权定价模型 里反推出来的波动率,代表市 场对标的证券未来一段时间内波幅的预期 ● 实际波动率是指在未来一段时间内 股票价格的真实波动率。这个实际波动率其 实在我们做交易的时点并不清楚,只能通过 结合历史波动率以及当前的市场信息来对其 进行预测。 在实际交易中,我们可以用隐含波动率 来判断期权价格合理与否。如果隐含波动率 低于你对未来实际波动率的预测值,那么说 明期权价格低估了,可以买进;如果隐含波 动率高于你对未来实际波动率的预测值,那 么说明期权高估了,可以卖出。波动率交易 的核心就是赚取隐含波动率与未来实际波动 率之间的价差。 波动率在期权定 ...

金 融 衍 生 品 研 究 2025 年 11 月 25 日 股票股指期权：ETF 期权临近到期，近月隐波 上升。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【正文】 表 1：期权市场数据统计 | 标的市场统计 | 收盘价 | 涨 跌 | 成交量(亿 | 成交变化 | 当 月 | 当月基差 | 次 月 | 次月基差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | 手 ) | (亿手) | 合成期货 | | 合成期货 | | | 上证50指数 | 2968.20 | 17.64 | 42.41 | -8.40 | 2960.67 | -7.54 | 2958.47 | -9.74 | | 沪深300指数 | 4490.40 | 42.36 | 169.57 | -16.26 | 4473.00 | -17.40 | 4463.87 | -26.54 | | 中证1000指数 | 7249.95 | 93.54 | 245.43 | 4.77 | 7179.00 | -7 ...

策略: 对冲的原理 投资者持有的ETF 成分股公司股 票市值经Beta值调整,估计出其系统性 风险敞口 所对应的ETF市值,通过买 入相应数量的认洁期权对估算出的ETF 市值进行等量对冲。 案例 背景: 某机构长期持有1万股科创50指数 成分股A公司股票,希望完全对冲该股 票的系统性风险。 2025年3月18日A公司的收盘价为 94.1元，科创50ETF（588000）的收 盘价为1.146元。经计算A公司相对于科 创50ETF的Beta值为1.1。 免责声明 本信息不拘成任何投资建议,投资者不应 以该等信息取代其独立判断或仅根据该等 信息做出决策。本信息根据当前法律法规 规则的相关规定形成解答,方便市场主体 参考使用。法律法规规则如有变化,以最 新规定的要求为准。我们力求本材料信息 准确可靠,但对这些信息的准确性或完整 性不作保证,亦不对因使用该等信息而引 发的损失承担任何责任。更多投资知识, 投资者关注"上交所ETF之家"及"上交 所期权之家"微信公众号。 12 上交所期权之家 上交所ETF之家 公众号 公众号 该机构买入90张 (941000×1.1÷11500)科创50沽4月 1150. 期权价格为0 ...