Core Insights - The article discusses the differences between futures contracts and forward contracts, highlighting their standardization and trading mechanisms [1][2]. Group 1: Futures Contracts - Futures contracts are standardized agreements set by exchanges, with predetermined terms such as asset type, quantity, quality, delivery location, and date [1]. - They are traded on centralized exchanges under strict regulation and cleared through a central counterparty (CCP), which mitigates default risk by converting bilateral credit risk into a single risk against the CCP [1]. - The fulfillment method for futures contracts primarily involves hedging and closing positions before expiration, allowing participants to avoid actual delivery of the underlying asset [2]. - Futures trading employs a strict margin system and daily mark-to-market mechanism, ensuring that traders maintain the ability to fulfill their obligations [2]. - Due to their standardized nature and active trading environment, futures contracts exhibit high liquidity, enabling quick and low-cost market entry or exit [2]. Group 2: Forward Contracts - Forward contracts are non-standardized agreements negotiated privately between parties, allowing for flexible terms tailored to individual needs [1]. - They are primarily traded in the over-the-counter (OTC) market without a centralized clearing institution, relying on the creditworthiness of the parties involved, which introduces higher credit risk [1]. - The fulfillment of forward contracts typically involves physical delivery or cash settlement at expiration, as they lack the ability for quick hedging through opposing trades [2]. - Forward contracts generally do not have daily mark-to-market requirements, with profits and losses settled only at maturity, which can lead to increased risk exposure [2]. - The unique nature of each forward contract results in lower liquidity compared to futures contracts, making it challenging to find matching counterparties for trades [2].

Core Insights - Conflicting signals from the Federal Reserve regarding the timing and magnitude of interest rate cuts in the U.S. have led to increased hedging activities in swaptions and derivatives linked to overnight rates, indicating a rise in investor demand for protection against policy uncertainty [1] Group 1 - The Federal Reserve's mixed messages are creating uncertainty in the market, prompting investors to seek hedging solutions [1] - There is a notable increase in flows into swaptions and derivatives as investors react to the heightened policy uncertainty [1]

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 ...

Group 1 - Robinhood Markets Inc. and Susquehanna International Group are acquiring a majority stake in LedgerX, a regulated exchange previously associated with the bankrupt cryptocurrency business FTX, positioning themselves strongly in the growing prediction market sector [1] - LedgerX, now operated by Miami International Holdings, is a U.S. derivatives exchange that was once owned by FTX and has close ties to prediction markets, with Susquehanna acting as a market maker for Kalshi, a leading prediction market exchange [1] - The acquisition will allow Robinhood and Susquehanna to gain direct control over the infrastructure needed for listing and clearing event contracts, amidst competition from Wall Street, sports leagues, and crypto companies to shape the future of regulated speculative markets [1] Group 2 - The move may pose a challenge to Kalshi, which has relied on its partnership with Robinhood to push contracts to a broad user base, with over half of Kalshi's business coming from Robinhood in recent months [2] - Robinhood reported that its customers traded 2.3 billion event contracts in Q3, more than double the previous quarter, indicating strong demand for prediction markets [2] - Kalshi has faced significant legal uncertainties, including a recent ruling that requires it to be subject to gambling regulators, which has led to a halt in offering sports contracts in Nevada [2] Group 3 - Several companies interested in prediction markets have acquired regulated derivatives exchanges to offer competing contracts against Kalshi, including DraftKings and Flutter Entertainment's FanDuel [3] - LedgerX was initially a crypto-related derivatives platform and was one of the few solvent business units during FTX's bankruptcy, later acquired by MIAX for $50 million to expand its influence in the crypto sector [3] - MIAX will retain a 10% stake in the new business to maintain exposure to the risks associated with prediction markets [3]

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 ...

Report Summary 1. Report Industry Investment Rating No information provided in the report. 2. Core View of the Report ETF options are approaching expiration, and the implied volatility of near - month contracts is rising [2]. 3. Summary by Related Catalogs 3.1 Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index increased by 17.64, 42.36, and 93.54 respectively. The trading volumes of the Shanghai Composite 50 Index and CSI 300 Index decreased by 8.40 billion and 16.26 billion hands, while that of the CSI 1000 Index increased by 4.77 billion hands. For ETFs, the trading volume of some decreased, while others increased [3]. - **Option Market Statistics**: The trading volumes of some option contracts decreased, such as the Shanghai Composite 50 Index Option and Shanghai Composite 50 ETF Option, while others increased, like the CSI 1000 Index Option and Southern CSI 500 ETF Option. The open - interest also showed different trends of increase or decrease [3]. - **Option Volatility Statistics**: In the near - month contracts, the ATM - IV of most option contracts decreased, except for the Southern CSI 500 ETF Option and Huaxia Science and Technology Innovation 50 ETF Option which increased. The same - term HV of some contracts increased, and the Skew also had different changes [6]. 3.2 Option Index Data Statistics - **PCR and Maximum Positions**: The VL - PCR and OI - PCR of different option contracts varied. For example, the VL - PCR of the Shanghai Composite 50 Index Option was 54.85%, and the OI - PCR was 69.94%. The maximum positions of call and put options in the near - month contracts also differed for each option [3]. 3.3 Option Charts - For each type of option (e.g., Shanghai Composite 50 Index Option, CSI 300 Index Option), there are charts showing the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure, which visually present the historical and current option data [10][14][24]

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 ...

目前，CME的加密货币合约主要覆盖比特币与以太坊等资产，交易者可用于对冲价格波动风险或进行 杠杆化投机，而无需持有现货。例如，对比特币走势转弱的预期，可通过做空比特币期货来对冲现货头 寸。据CME披露，今年以来加密产品日均交易量已增长至270,900份合约，名义价值达120亿美元，同比 激增132%；未平仓合约同比增长82%，升至299,700份，名义价值达266亿美元。仅在第四季度，日均交 易量同比增长106%，达到403,200份，未平仓合约同比激增117%，名义规模达354亿美元。 随着更多投资者寻求受监管的加密敞口，CME自2017年推出比特币期货以来持续扩大产品线，市场需 求在波动周期中更加凸显。与此同时，比特币价格周一小幅反弹至88,000美元上方，但涨幅仍落后于美 股整体反弹，且尚未完全摆脱上周暴跌带来的疲弱情绪。上周五，比特币一度跌至近七个月低点80,554 美元，过去四周跌幅超过20%。尽管周末出现修复性反弹，周一涨幅不足2.5%。其他高波动代币表现更 为强劲，XRP上涨约7%，Solana上涨约3%。 智通财经APP获悉，芝商所宣布，其加密货币期货与期权产品在11月21日创下单日交易量新高 ...

金 融 衍 生 品 研 究 2025 年 11 月 24 日 股票股指期权：震荡降波，可考虑卖出虚值看 涨期权。 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 | 2950.56 | -5.29 | 50.80 | -9.59 | 2946.20 | -4.36 | 2950.20 | -0.36 | | 沪深300指数 | 4448.05 | -5.56 | 185.83 | -37.02 | 4438.73 | -9.31 | 4427.93 | -20.11 | | 中证1000指数 | 7156.41 | 88.71 | 240.66 | -44.15 | 7098.67 | -5 ...

金 融 衍 生 品 研 究 2025 年 11 月 24 日 股票股指期权：震荡降波，可考虑卖出虚值看 涨期权。 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 | 2950.56 | -5.29 | 50.80 | -9.59 | 2946.20 | -4.36 | 2950.20 | -0.36 | | 沪深300指数 | 4448.05 | -5.56 | 185.83 | -37.02 | 4438.73 | -9.31 | 4427.93 | -20.11 | | 中证1000指数 | 7156.41 | 88.71 | 240.66 | -44.15 | 7098.67 | -57.74 ...