南华期权周报 I 2025/11/17—2025/11/21 隐波上升，金融、商品市场整体下跌 本周摘要 金融期权方面，50ETF 期权本周日均成交量为 80.63 万张， 较前周下降 0.00%，其中认沽期权成交量高于认购期权，认沽-认 购成交比为 1.04，相对前周有所下降，高于历史均值水平。上周 认沽认购持仓比为 0.98，较前周下降，高于历史均值。华泰柏瑞 300ETF 期权日均成交 98.95 万张，日均持仓量 146.93 万张；南 方中证 500ETF 期权日均成交 145.55 万张，日均持仓量 145.36 万张；华夏上证科创 50ETF 期权日均成交 118.44 万张，日均持 仓量 247.69 万张；深证 100ETF 期权日均成交 8.7 万张，日均持 仓量 13.98 万张；创业板 ETF 期权日均成交 184.65 万张，日均 持仓量 198.33 万张；沪深 300 股指期权日均成交 11.88 万手， 日均持仓量 21.09 万手；中证 1000 股指期权日均成交 26.93 万 手，日均持仓 32.31 万手。 波动率方面，截止本周五收盘，沪深 300 股指期权隐含波动 率 ...

- The report tracks various market factors, including stock market, commodity market, options market, and convertible bond market, focusing on their weekly performance and trends[1][3][12] - **Stock Market Factors**: The report highlights the following: - **Market Style**: Small-cap stocks outperformed large-cap stocks, and value stocks outperformed growth stocks. Both small-cap and value-growth style volatilities decreased[12][14] - **Market Structure**: Industry excess return dispersion and industry rotation speed increased. The proportion of rising constituent stocks also increased, while the concentration of trading in the top 100 stocks and top 5 industries decreased[12][14] - **Market Activity**: Both market volatility and turnover rate declined[13][14] - **Commodity Market Factors**: Key observations include: - **Trend Strength**: The trend strength of agricultural products decreased, while other sectors showed minimal changes[24][31] - **Basis Momentum**: Basis momentum increased across all sectors[24][31] - **Volatility**: Volatility decreased across all sectors except agricultural products[24][31] - **Liquidity**: Liquidity declined across all sectors[24][31] - **Options Market Factors**: The implied volatility levels of SSE 50 and CSI 1000 options decreased. However, the put-call open interest ratio increased. Additionally, the skewness of both put and call options for SSE 50 rose significantly[35] - **Convertible Bond Market Factors**: The convertible bond market performed well, with the following trends: - The premium rate of bonds priced around 100 yuan increased significantly, nearing the 90th percentile of the past year[37] - The premium rate of pure debt bonds also slightly increased, while the proportion of low premium rate bonds remained stable[37] - Weekly trading volume continued to recover[37]

波动率数据日报 隐含波动率分位数排名 历史波动率分位数排名 0. 89 494 0.63 300 级 指 0.64 45 0.62 PTA 0.53 300 版 指 0.49 五米 0.51 50ETF 0.47 50ETE 0.42 PTA 0.45 天峻 0.30 铁矿石 0.15 45 0.23 天殿 0.12 a 88 0.20 7 14 011 铁,4,6 o Ta EX 0.01 台新 0.18 神花 0.01 PVC 白等 0.00 0.12 PVC 神花 0.03 0 0.3 0.6 0.1 0.2 0.4 05 0.7 0.8 0 a 0.1 0.3 0.6 0.7 0.8 1 0 0.2 0.4 0.5 0 a 1 永安期货期权总部 更新时间: 2025/11/12 、隐含波动率指数、历史波动率及其价差走势图 1、金融期权隐含波动率指数反映截止上一交易日的30日隐波走势,商品期权隐含波动 率指数通过主力月平值期权上下两档隐波加权所得,反映主力合约的隐波变化趋势。2 隐波指数与历史波动率的差值,差值越大反映隐波相对历史波动率越高,差值越小代 表隐波相对历史波动率越低。 70 -300股指 I ...

- The report tracks various market environment factors, including stock market factors, commodity market factors, options market factors, and convertible bond market factors [1][7][11] - **Stock Market Factors**: - **Market Style**: The style of large-cap and small-cap stocks was balanced, while the value-growth style leaned towards growth [11][13] - **Market Style Volatility**: Both large-cap/small-cap and value-growth style volatilities increased [11][13] - **Market Structure**: Industry excess return dispersion increased, industry rotation speed decreased, and the proportion of rising constituent stocks increased [11][13] - **Trading Concentration**: The transaction amount of the top 100 stocks slightly decreased, while the transaction amount of the top 5 industries remained unchanged compared to the previous period [11][13] - **Market Activity**: Market volatility increased, and market turnover rate decreased [12][13] - **Commodity Market Factors**: - **Trend Strength**: Precious metals and agricultural products showed a decline in trend strength, while other sectors experienced an increase [26][32] - **Basis Momentum**: Basis momentum increased across all sectors [26][32] - **Volatility**: Volatility rose in all sectors except for the black sector [26][32] - **Liquidity**: Liquidity decreased in precious metals, non-ferrous metals, and agricultural products [26][32] - **Options Market Factors**: - **Implied Volatility**: Implied volatility for the SSE 50 and CSI 1000 indices decreased, reflecting a moderation in market expectations regarding Trump's tariff policies [35] - **Implied Discount Rate**: The implied discount rate for CSI 1000 narrowed, but the market did not turn fully optimistic [35] - **Option Holdings**: Both put and call option holdings increased, indicating persistent market uncertainty [35] - **Convertible Bond Market Factors**: - **Market Recovery**: The convertible bond market showed slight recovery last week [37] - **Valuation**: Pure bond premium rates remained stable, while the premium rate for 100-yuan convertible bonds steadily increased [37] - **Low Premium Convertible Bonds**: The proportion of low premium convertible bonds decreased significantly [37] - **Market Turnover**: Market transaction volume stabilized without further contraction [37]

Report Summary Core View - The report provides daily volatility data, including implied volatility indices, historical volatility, and their spread trends for various financial and commodity options [3]. Details by Category Implied Volatility Index and Historical Volatility - Financial option implied volatility indices reflect the 30 - day implied volatility (IV) trend as of the previous trading day, while commodity option implied volatility indices are weighted by the IV of the two - strike prices above and below the at - the - money option of the main contract, showing the IV change trend of the main contract [3]. - The difference between the implied volatility index and historical volatility (HV) indicates the relative level of IV to HV, with a larger difference meaning higher IV relative to HV and vice versa [3]. Implied Volatility and Historical Volatility Charts - The report presents charts showing the IV, HV, and IV - HV spreads for multiple options such as 300 Index, 50ETF, 1000 Index, 500ETF, and various commodity options like corn, sugar, cotton, etc. [4]. Implied Volatility Quantile and Volatility Spread Quantile Ranking - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means it is low. Volatility spread is the difference between the implied volatility index and historical volatility [5]. - The report shows the ranking of implied volatility quantiles and historical volatility quantiles for different options, including 300 Index, 50ETF, corn, PTA, etc. [6]

Core Viewpoint - Investors in the US stock market are preparing for volatility as the earnings season approaches, with expected average stock price fluctuations of 4.7% for S&P 500 companies following earnings announcements, similar to the highest levels seen since 2022 [1] Group 1: Market Sentiment and Volatility - The rise in option prices indicates risks facing the US bull market, particularly after a drop in the S&P 500 due to Trump's threats of increased tariffs on China [1] - The upcoming earnings season is crucial in determining whether the current themes, particularly around AI and tech stocks, will continue to dominate [4] - Investors expect individual stock news to drive recent market volatility, with rising option prices reflecting this anticipation [7] Group 2: Sector-Specific Insights - Non-essential consumer goods, technology, and healthcare sectors are projected to experience the largest fluctuations this quarter, with non-essential consumer goods expected to see the highest volatility since 2020 [9] - The implied volatility of S&P 500 components has increased, likely due to focus on AI and major tech companies, indicating a potential for significant stock price movements post-earnings [11] Group 3: Macro Factors and Market Dynamics - The US government shutdown is seen as a macro catalyst absence, limiting position adjustments in single-stock options trading [6] - Low correlation among individual stocks has contributed to smaller index fluctuations, although macro shocks like Trump's tariff threats may increase correlations again [9] - The significant volatility in stocks like Oracle and AMD has led the options market to reassess the value of other individual stocks, highlighting the market's strong influence [14]

Core Viewpoint - The article emphasizes the need for investors to adopt a cautious approach during the upcoming National Day holiday, highlighting the coexistence of risks and opportunities in the market. It suggests utilizing options as a way to manage risk while participating in the market, particularly focusing on the advantages and disadvantages of options combinations during the holiday period [4]. Market Overview - The current market exhibits differentiated characteristics across various sectors, with notable volatility in crude oil and LPG, while precious metals show a divergence from macroeconomic trends. Industrial metals and new energy metals are experiencing significant differentiation, and agricultural products display marked internal structural differences. Investors are advised to strategically position themselves before the holiday, focusing on volatility trading in energy and chemicals, avoiding selling risks in precious metals, and monitoring macroeconomic and policy dynamics [5][6]. Historical Volatility Analysis - An analysis of the futures market over the past three years reveals a trend of converging volatility, with most futures showing fluctuations below 3%. This reflects heightened risk control requirements from institutional investors and the prevalence of algorithmic trading, which is altering traditional seasonal volatility patterns. The holiday effect is shifting from unilateral volatility to structural opportunities, necessitating more sophisticated selection and position management by investors [5][6]. Sector-Specific Insights - **Energy and Chemicals**: This sector shows the strongest volatility elasticity, with crude oil futures experiencing significant increases before the holidays in both 2022 and 2024. LPG and downstream chemicals follow suit. Investors are encouraged to focus on volatility trading opportunities, utilizing directional call options or spread combinations to optimize holding costs [6][26]. - **Precious Metals**: The sector is characterized by a divergence from macro indicators, with gold prices remaining resilient despite rising U.S. Treasury yields and a strong dollar. The implied volatility for precious metals has surged above the 80th percentile historically, indicating heightened market awareness of upward risks. Investors are advised to carefully assess holding risks and avoid maintaining naked short positions before major macro events [17][26]. - **Industrial and New Energy Metals**: This sector shows clear differentiation, with copper, polysilicon, lithium carbonate, and industrial silicon experiencing significant volatility. The implied volatility for these commodities is high, suggesting that buying call combinations may be costly. Investors are recommended to use vertical spreads to control costs while seeking upward gains, while weaker commodities may benefit from time decay strategies [19][26]. - **Agricultural Products**: The agricultural sector displays structural differences, with oilseed products influenced by seasonal factors and policy impacts. The implied volatility for oilseed options is currently declining, while the volatility for meal products is on the rise. Investors are advised to deploy short volatility strategies flexibly before the holiday and to be cautious with large positions in meal products due to external policy influences [22][27]. Trading Strategy Recommendations - Investors should focus on two key dimensions for options trading around the National Day holiday: the levels of implied and actual volatility, and the trends in skew structure. For high-volatility products, a spread-based trading approach is recommended to manage risk exposure effectively, while for low-volatility products, careful position management and monitoring of macroeconomic data are essential [23][26].

Group 1: Volatility Index Explanation - Financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the IV of the two - strike options above and below the at - the - money option of the main contract, reflecting the IV change trend of the main contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher, and a smaller difference means IV is relatively lower [3] Group 2: Volatility Data Graphs - The graphs show the IV, HV, and IV - HV differences of various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, silver, gold, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, crude oil, aluminum, PVC, rebar, zinc, urea, palm oil, and rapeseed oil [4] Group 3: Implied Volatility and Volatility Spread Quantiles - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. Volatility spread is the difference between the IV index and HV [5] - The implied volatility quantile rankings are as follows: 300 Index (0.83), 50ETF (0.74), PTA (0.19), etc., and the historical volatility quantile rankings are also presented [6]

Group 1 - The recent stock market has experienced increased volatility, while the bond market shows signs of improvement but remains oscillatory. The optimistic expectation for the resumption of government bond trading operations has contributed to this recovery, with the ten-year government bond yield dropping below 1.75% [2][5] - The market style has slightly shifted towards small-cap stocks, with growth styles prevailing. The volatility of market styles has increased, while the volatility of value and growth styles has decreased [7][8] - In the commodity market, the strength of the non-ferrous and energy chemical sectors has increased, while the trend strength of other sectors remains stable. The basis momentum across all sectors has decreased [3][20][23] Group 2 - In the options market, the implied volatility of the Shanghai Stock Exchange 50 index remains stable, while the implied volatility of the CSI 1000 index has begun to decline. The market experienced a brief pullback in early September, particularly affecting small-cap stocks, but current sentiment has eased [28] - The convertible bond market showed a relatively flat performance, with the index primarily oscillating. The premium rate for convertible bonds remains stable, and the proportion of low premium convertible bonds has not changed significantly [30]

Group 1: Volatility Index Explanation - Financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, while the commodity option implied volatility index is weighted by the IV of the upper and lower two - strike options of the front - month at - the - money options, showing the IV change trend of the front - month contract [2] - The difference between the implied volatility index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher than HV, and a smaller difference means IV is relatively lower [2] Group 2: Volatility Data Chart - The chart shows the IV, HV, and IV - HV differences of various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as silver, soybean meal, corn, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - Implied volatility quantile represents the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. Volatility spread is the difference between the implied volatility index and historical volatility [4] - The implied volatility quantile rankings of different varieties are presented, such as 300 Index with a quantile of 0.63, 50ETF with 0.73, PTA with 0.22, etc [5]