（正文） 二 〇 二 五 年 度 2025 年 10 月 10 日 金融期权：隐波与标的走势呈现负相关性，市 场看涨情绪下降。 张雪慧 投资咨询从业资格号：Z0015363 Zhangxuehui022447@gtjas.com 报告导读： 隐波与标的走势呈现负相关性，市场看涨情绪下降。 1. 期权市场交易概况回顾 表 1：期权市场交易概况回顾（日均） | 期权名称 | C A L L成交 | P U T成交 | 总成交量 | C A L L持仓 | P U T持仓 | 总持仓量 | C A L L成交额 (万 | P U T成交额 (万 | 总成交额 (万 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 量 (万手 ) | 量 (万手 ) | (万手 ) | 量 (万手 ) | 量 (万手 ) | (万手 ) | 元 ) | 元 ) | 元 ) | | 上证50股指期权 | 3.92 | 1.92 | 5.84 | 4.20 | 3.09 | 7.28 | 22979.47 | 6583.29 | 29562.76 | ...

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - The report presents the daily data of stock index options, including the performance of major indices, trading volume, open interest, and volatility analysis of Shanghai - Shenzhen 300, Shanghai Stock Exchange 50, and China Securities 1000 [3][4] 3. Summary by Directory 3.1 Market Review - **Index Performance**: The Shanghai Composite Index rose 1.32% to 3933.97 points, the Shenzhen Component Index rose 1.47%, the ChiNext Index rose 0.73%, the Beijing Stock Exchange 50 fell 0.18%, the Science and Technology Innovation 50 rose 2.93%, the Wind All - A rose 1.31%, the Wind A500 rose 1.56%, and the China Securities A500 rose 1.59%. A - shares traded 2.67 trillion yuan throughout the day, compared with 2.2 trillion yuan the previous day [4][5] - **Index Details**: The Shanghai Stock Exchange 50 closed at 2319.23 with a turnover of 3020.5964 billion yuan and a trading volume of 1.06 billion; the Shanghai - Shenzhen 300 closed at 8622.08 with a turnover of 4709.482 billion yuan and a trading volume of 347.68; the China Securities 1000 closed at 7648.0523 with a turnover of 5305.00 billion yuan and a trading volume of 303.49 [3] 3.2 CFFEX Stock Index Options Trading Situation - **Trading Volume and Open Interest**: For the Shanghai Stock Exchange 50, the call option trading volume was 6.84 million, the put option trading volume was 7.04 million, the call option open interest was 3.95 million, and the put option open interest was 3.09 million; for the Shanghai - Shenzhen 300, the call option trading volume was 11.83 million, the put option trading volume was 17.90 million, the call option open interest was 19.00 million, and the put option open interest was 8.94 million; for the China Securities 1000, the call option trading volume was 30.05 million, the put option trading volume was 15.64 million, the call option open interest was 27.69 million, and the put option open interest was 14.41 million [3] - **PCR (Put - Call Ratio)**: The trading volume PCR for the Shanghai Stock Exchange 50 was 0.78, the open interest PCR was 0.49; for the Shanghai - Shenzhen 300, the trading volume PCR was 1.00, the open interest PCR was 8.96; for the China Securities 1000, the trading volume PCR was 0.92, the open interest PCR was 1.06 [3] 3.3 Volatility Analysis - **Historical Volatility and Volatility Cone**: The report shows the historical volatility and volatility cone of the Shanghai Stock Exchange 50, Shanghai - Shenzhen 300, and China Securities 1000, including the minimum, 10% quantile, 30% quantile, maximum, 90% quantile, 60% quantile, and current values [3][4] - **Volatility Smile Curve**: The report presents the next - month at - the - money implied volatility smile curves of the Shanghai Stock Exchange 50, Shanghai - Shenzhen 300, and China Securities 1000 [3][4]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints of the Report - The stock market showed strong performance, with the Shanghai Composite Index breaking through 3900 points. The bond market closed higher across the board. For stock index futures, continue to over - allocate IM long positions. For stock index options, maintain a high - level hedging strategy. For treasury bond futures, the market is in a cautious and volatile state, and long - end arbitrage opportunities are recommended [1][2][3] Summary by Relevant Catalogs 1. Market Views Stock Index Futures - The Shanghai Composite Index broke through 3900 points. On the first trading day after the holiday, the equity market was generally positive. Sectors such as non - ferrous metals, semiconductors, and power generation equipment led the gains, and the ChiNext and STAR Market styles continued to outperform. The CSI 500 Index was strong, related to its physical attributes. The trading volume was close to 2.7 trillion, indicating high market activity. After the holiday, continue to focus on growth sectors. The strategy is to continue to over - allocate IM long positions [1][7] Stock Index Options - Options continue with a high - level hedging strategy. The equity index rose strongly, with the Shanghai Composite Index rising 1.32% in a single day. On October 9, the implied volatility of various option varieties decreased by about 4% on average. Although the short - volatility strategy performed well, it is necessary to use option purchases to hedge positions. The trading volume of call and put options of CSI 1000 index options increased, indicating market adoption of the option - purchase hedging strategy. Overall, the option strategy recommends high - level defense [2][7] Treasury Bond Futures - Treasury bond futures closed higher across the board. T, TF, TS, and TL main contracts rose 0.15%, 0.07%, 0.02%, and 0.46% respectively. Although the central bank had a net reverse - repurchase withdrawal of 1.45 trillion, it carried out a 1.1 - trillion 3 - month outright reverse - repurchase, and the overnight funding became looser. In the short term, factors such as fund fee reform and the stock - bond seesaw may continue to affect the bond market. The bond market is in a cautious and volatile state, and it is recommended to pay attention to long - end arbitrage opportunities [3][7][8] 2. Economic Calendar - The economic data released this week include China's September official manufacturing PMI (49.8, with a previous value of 49.4 and a forecast of 50.1), the US September ISM manufacturing PMI (49.1, with a previous value of 48.7), and China's September foreign exchange reserves ($33386.58 billion, with a previous value of $33221.54 billion) [10] 3. Important Information and News Tracking - Domestic Macro: During the 8 - day National Day and Mid - Autumn Festival holiday, the number of domestic tourist trips reached 888 million, an increase of 123 million compared to the 7 - day National Day holiday in 2024. Domestic tourism spending was 809.006 billion yuan, an increase of 108.189 billion yuan. The average daily sales revenue of national consumption - related industries increased by 4.5% year - on - year [10] - Artificial Intelligence: Ant Group released the trillion - parameter general language model Ling - 1T, which achieved SOTA performance in multiple complex reasoning benchmarks and leading results in many high - difficulty benchmark tests [11] - Overseas Macro: The European Automobile Manufacturers Association said that the EU Commission's reduction of steel import quotas would push up prices and exacerbate inflation, and the complexity of applying new origin rules in the automotive industry should be recognized [11] - Market Access: The Ministry of Commerce included foreign entities such as anti - drone technology companies and TechInsights and their branches in the unreliable entity list, banning relevant import and export, investment, and cooperation activities [12] 4. Derivatives Market Monitoring - Not provided in detail in the given content

投资咨询业务资格:证监许可【2012】31号 股指期权数据日报 投资咨询号: Z0000116 国贸期货研究院 2025/9/30 金融衍生品中心 李泽钜 从业资格号:F0251925 数据来源: Wind,国贸期货研究院 行情回顾 指数 收盘价 涨跌幅(%) 成交额(亿元) 成交量(亿) 上证50 1899. 69 70. 63 2973. 0417 1. 09 4620. 0528 沪深300 6933. 95 274. 36 1. 54 7497. 8308 4195. 35 中证1000 1. 36 258. 68 中金所股指期权成交情况 期权成交量 认购期权 认洁期权 日成交量 期权持企量 认购期权 认洁期权 持仓量 指数 持仓量 (万张) (万张) 持仓量 成交量 成交量 PCR PCR 上证50 7. 41 5. 10 2. 31 7.14 0. 70 0. 45 4. 20 2. 94 沪深300 17. 60 11. 38 6. 22 0. 55 17. 86 9. 31 8. 55 0. 92 13. 72 中证1000 30. 66 17. 05 0. 80 27. 35 13. 61 ...

中信期货研究|⾦融衍⽣品策略⽇报 2025-09-30 股市偏积极，债市偏谨慎 投资咨询业务资格：证监许可【2012】669号 股指期货：整体情绪偏积极 股指期权：情绪偏强，但期权节前仍建议买权防御 国债期货：债市震荡偏谨慎 股指期货方面，整体情绪偏积极。周一权益市场情绪整体偏积极，新 能源及保险券商异动，市场量能略收缩，节前预计以成长局部行情为主。 值得注意的是，券商股昨日异动，或隐含资金对于节后相对积极的看法。 我们认为节后行情能够持续的原因如下，其一，外部扰动有限，资金对于 美联储四季度降息计价偏积极，弱美元环境利于全球资本市场走势，其 二，十五五规划临近，预计科技及反内卷成为关键词，这或诱发资金提前 布局，政策的看涨期权仍在，其三，9月盘面虽有波折，但整体呈现强韧 性，这有利于吸引增量资金进入股市。故操作层面，节前半仓过节应对不 确定性，节后仍建议积极参与成长及反内卷博弈行情。 ⾦融衍⽣品团队 研究员: 康遵禹 从业资格号:F03090802 投资咨询号:Z0016853 股指期权方面，情绪偏强，但期权节前仍建议买权防御。昨日权益市 场震荡偏强，沪指单日涨幅0.90%。期权方面，各个品种市场成交额提 ...

同时，《关于开展外汇衍生品交易业务的议案》也获全票通过。为防范汇率、利率波动风险，公司及控 股子公司拟适度开展外汇套期保值业务。预计动用的交易保证金和权利金在期限内任一时点占用的资金 余额不超过300万美元或其他等值外币，使用最高额（任一时点合计，含收益再交易金额）不超过8000 万美元（或等值货币，含本数），在授权期限内该额度可循环使用。交易额度自董事会审议通过之日起 12个月内有效，期限内任一时点的交易金额（含收益再交易金额）不超过已审议额度。 两项议案均不构成关联交易，也无需提交股东会审议。海航科技此次决策，展现出其积极应对市场风 险，保障公司稳健运营的决心与策略。 点击查看公告原文>> 海航科技股份有限公司于2025年9月29日以现场结合通讯表决方式召开第十二届董事会第四次会议，审 议通过了两项重要议案，旨在应对市场波动风险，保障公司及控股子公司的稳定经营。 会议全票通过《关于开展金融衍生品业务（远期运费协议）的议案》。为有效应对市场波动，减少不利 影响，海航科技及控股子公司拟以套期保值、防范市场风险为目的，使用自有资金开展远期运费协议 （FFA）业务。交易保证金金额不超过300万美元，任一交易日持有 ...

公司及控股子公司本次拟开展的外汇套期保值业务额度为不超过人民币19亿元(含本数)或等值其他货 币，上述额度在投资期限内可循环滚动使用，但期限内任一时点的累计金额不超过人民币19亿元或等值 其他货币。 智通财经APP讯，钧达股份(02865)发布公告，为有效规避和防范外汇风险，降低汇率大幅波动对公司及 控股子公司经营造成的不利影响，增强财务稳健性，公司及控股子公司拟开展外汇套期保值业务。拟开 展的外汇套期保值业务是为了满足正常经营需要，以规避和防范汇率风险为目的，不进行单纯以盈利为 目的的投机和套利交易。 ...

A股震荡走低，创业板指跌超2%失守3200点，科技股全线回调。 上证指数收跌0.65%报3828.11点，深证成指跌1.76%，创业板 指跌2.6%，北证50跌1.81%，科创50跌1.6%，万得全A跌1.2%，万得A500跌1%，中证A500跌1.14%。A股全天成交2.17万亿元， 上日成交2.39万亿元。 | 免责 | 本报告中的信息均源于公开可获得的资料,国贸期货力求准确可靠,但不对上述信息的准确性及完整性做任何保证。本报告不构 | | | --- | --- | --- | | | 成个人投资建议,也未针对个别投资者特殊的投资目标、财务状况或需要，投资者需自行判断本报告中的任何意见或建议是否符 合其特定状况,据此投资,责任自负。本报告未经国贸期货授权许可,任何引用、转载以及向第三方传播的行为均构成对国贸期 | | | 声明 | 货的侵权,我司将视情况追究法律责任。期市有风险,入市需谨慎。 | | | ITG国贸期货 | | | | | 世界500强投资企业 | | | | 贸期货有限公司 | | | | 流的衍生品综合服务商 | | | | 入 期 | 市 市 | | | 需 有 客 服 热 线 官 ...

Core Insights - The "Swap Connect" mechanism allows domestic and foreign investors to connect through Hong Kong and mainland infrastructure institutions, facilitating participation in both Hong Kong and mainland financial derivative markets [1][3] - Recent optimization measures for "Swap Connect" aim to enhance market vitality and better meet the demand of foreign investors for managing RMB interest rate risks [1][4] Group 1 - "Swap Connect" provides foreign investors with a convenient tool for managing interest rate risks, reducing the impact of interest rate fluctuations on the value of their bond holdings [3] - Since its launch on May 15, 2023, "Swap Connect" has facilitated over 15,000 RMB interest rate swap transactions with a nominal principal of 8.15 trillion yuan from 82 foreign investors across 15 countries and regions by the end of August 2025 [3] - The optimization measures include establishing a dynamic adjustment mechanism for "Swap Connect" quote providers and expanding the pool of quote providers [4] Group 2 - A daily net limit dynamic assessment mechanism will be improved, with the daily net limit set to increase to 45 billion yuan starting from October 13, 2025 [4]

Core Viewpoint - The rapid development of China's options market has significantly enhanced its ability to serve the real economy, becoming a crucial pillar for capital market reform and risk management in a volatile global financial landscape [1][2]. Market Growth - The market scale has continuously expanded, with record high open interest of 13.48 million contracts on August 6, 2025, and a daily average open interest increase of 207% compared to 2022 [2]. - The number of listed options has accelerated, with 62 options currently available, covering major sectors such as energy, agriculture, and metals [7]. - Corporate participation has increased, with notable growth in open interest and trading activity among corporate clients in various sectors, indicating a rising acceptance of options as flexible risk management tools [2][6]. Historical Development - The options market in China has evolved from its inception in 2015, with significant milestones including the launch of the first financial ETF options and commodity options, paving the way for a comprehensive derivatives market [4][5]. - The period from 2015 to 2018 was characterized by the expansion of pilot programs and regulatory frameworks, establishing a solid foundation for market growth [4]. - Since 2019, the market has entered a phase of accelerated growth, with the introduction of various commodity options and the expansion of index options [5]. Performance Metrics - In the first half of 2025, the average daily trading volume of financial futures options reached 284.78 billion yuan, reflecting a sustained increase in market activity [3]. - The average daily trading volume for the soybean meal options was 148,100 contracts, with a year-on-year increase of 29.72%, while gold options saw a staggering 173.54% increase in average daily trading volume [3]. Future Outlook - The options market is expected to continue expanding, with projections indicating that the total trading volume could exceed 1 trillion yuan in 2025, supported by economic recovery and foreign capital inflow [9]. - Product innovation is anticipated to accelerate, with exchanges expected to introduce more options products to achieve full industry chain coverage [9]. - The integration of options with insurance products is expected to empower more small and medium-sized enterprises, enhancing their risk management capabilities [9].