金 融 衍 生 品 研 究 股票股指期权：上行降波，市场下行担忧情绪 下降。 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 2025 年 9 月 5 日 | 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 | 2942.22 | 31.75 | 62.38 | -29.54 | 2939.60 | -2.62 | 2940.40 | -1.82 | | 沪深300指数 | 4460.32 | 95.12 | 249.63 | -58.31 | 4458.13 | -2.19 | 4450.87 | -9.46 | | 中证1000指数 | 7245.67 | 204.51 | 282.77 | -14.86 | 7221.47 | -24.20 | ...

报告导读： 二 〇 二 五 年 度 2025 年 9 月 5 日 金融期权：回调降波，可考虑波动率逢低买入 看跌期权保护。 张雪慧 投资咨询从业资格号：Z0015363 Zhangxuehui022447@gtjas.com 金融衍生品研究 回调降波，可考虑波动率逢低买入看跌期权保护。 （正文） 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 | 4.38 | 2.37 | 6.75 | 5.88 | 3.69 | 9.56 | 27981.42 | 10246.02 | 38227. ...

Report Overview - The report is an index option daily report, covering information on option trading volume, PCR, and VIX in the index option market on September 4, 2025 [1] 1. Report Industry Investment Rating - Not provided in the report 2. Report's Core View - Not provided in the report 3. Summary by Relevant Catalogs Option Trading Volume - On September 4, 2025, the trading volume of Shanghai Stock Exchange 50 ETF options was 1.6938 million contracts; for CSI 300 ETF options (Shanghai market), it was 1.5669 million contracts; for CSI 500 ETF options (Shanghai market), it was 2.3131 million contracts; for Shenzhen 100 ETF options, it was 0.2733 million contracts; for ChiNext ETF options, it was 3.5481 million contracts; for Shanghai Stock Exchange 50 index options, it was 0.0866 million contracts; for CSI 300 index options, it was 0.1820 million contracts; for CSI 1000 options, the total trading volume was 0.4443 million contracts [1] - The detailed trading volume data also includes the call and put trading volumes and total trading volumes of various options [22] Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.87, with a month - on - month change of +0.26; the position PCR was reported at 0.81, with a month - on - month change of - 0.07. Similar data are provided for other types of options [2][31] Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 21.47%, with a month - on - month change of +0.43%. Similar data are provided for other types of options [3][44]

期权VIX 股指期权日报 | 2025-09-04 上证50ETF期权VIX报21.04%，环比变动为-1.63%； 沪深300ETF期权（沪市）VIX报20.99%,环比变动为-0.84%； 中证500ETF期权（沪市）VIX报26.28%，环比变动为-0.56%； 深证100ETF期权VIX报27.49%，环比变动为+0.01%； 创业板ETF期权VIX报38.10%，环比变动为-0.10%； 上证50股指期权VIX报22.06%，环比变动为-0.85%； 沪深300股指期权VIX报22.11%，环比变动为-0.82%； 中证1000股指期权VIX报27.53%，环比变动为-1.14%。 股指期权日报 2025-09-03，上证50ETF期权成交量为137.70万张；沪深300ETF期权（沪市）成交量为159.28万张； 中证500ETF期权（沪市）成交量为243.88万张；深证100ETF期权成交量为23.84万张； 创业板ETF期权成交量为261.77万张；上证50股指期权成交量为6.84万张； 沪深300股指期权成交量为19.09万张；中证1000期权总成交量为37.86万张。 期权PCR 上证50 ...

Report Summary Investment Rating The report does not provide an investment rating for the industry. Core View The core view of the report is that for stock index options, as the volatility decreases during the downward trend, long - position investors can consider selling call options for hedging [1]. Summary by Category 1. Market Data Statistics - **Underlying Market Statistics**: The closing prices of most indexes and ETFs decreased, with varying degrees of decline in trading volume. For example, the Shanghai - Shenzhen 300 Index closed at 4459.83, down 30.62 points, and its trading volume was 254.32 billion hands, a decrease of 49.61 billion hands [2]. - **Option Market Statistics**: There were different changes in option trading volume, open interest, VL - PCR, OI - PCR, and maximum positions for calls and puts. For instance, the trading volume of Shanghai - Shenzhen 300 index options was 181,996, a decrease of 8,859, and the open interest was 226,889, an increase of 3,849 [2]. - **Option Volatility Statistics**: ATM - IV of most options decreased, while the changes in HV were diverse. For example, the ATM - IV of Shanghai - Shenzhen 300 index options (near - month) was 18.23%, a decrease of 1.74% [5]. 2. Option Charts - **Shanghai 50 Index Options**: Include charts of full - contract PCR, main - contract skewness, volatility cone, and volatility term structure [9]. - **Shanghai - Shenzhen 300 Index Options**: Include similar charts as Shanghai 50 index options, such as full - contract PCR, main - contract skewness, etc. [13]. - **CSI 1000 Index Options**: Include relevant charts like main - contract volatility, full - contract PCR, etc. [16]. - **ETF Options**: For various ETF options such as Shanghai 50ETF, Huatai - Baorui 300ETF, etc., there are also corresponding charts of main - contract volatility, full - contract PCR, and other indicators [21].

Report Industry Investment Rating - Not provided Core Viewpoints - Not provided Summary by Relevant Catalogs Option Trading Volume - On September 2, 2025, the trading volume of SSE 50 ETF options was 958,300 contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 1,071,600 contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 1,355,700 contracts; the trading volume of Shenzhen 100 ETF options was 178,100 contracts; the trading volume of ChiNext ETF options was 2,877,900 contracts; the trading volume of SSE 50 index options was 64,500 contracts; the trading volume of CSI 300 index options was 133,600 contracts; and the total trading volume of CSI 1000 options was 389,200 contracts [1] - The call trading volume, put trading volume, and total trading volume of different index ETF options on a recent day are presented in a table, including details for SSE 50 ETF options, CSI 300 ETF options (Shanghai market), etc [19] Option PCR - The turnover PCR and position PCR, along with their环比 changes, are reported for various options such as SSE 50 ETF options, CSI 300 ETF options (Shanghai market), etc. For example, the turnover PCR of SSE 50 ETF options is reported at 0.47 with a环比 change of +0.04, and the position PCR is 0.94 with a环比 change of +0.00 [2] Option VIX - The VIX and its环比 changes are provided for different options. For instance, the VIX of SSE 50 ETF options is 22.66% with a环比 change of -0.09%, and the VIX of CSI 300 ETF options (Shanghai market) is 21.83% with a环比 change of -0.01% [3]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report provides a daily overview of the stock index options market, including option trading volume, PCR (Put - Call Ratio), and VIX (Volatility Index) data for various stock index options on September 1, 2025. 3. Summary by Directory I. Option Trading Volume - On September 1, 2025, the trading volume of Shanghai Stock Exchange 50 ETF options was 1630800 contracts; the trading volume of Shanghai - listed CSI 300 ETF options was 1754800 contracts; the trading volume of Shanghai - listed CSI 500 ETF options was 1980300 contracts; the trading volume of Shenzhen 100 ETF options was 146800 contracts; the trading volume of ChiNext ETF options was 2018000 contracts; the trading volume of Shanghai Stock Exchange 50 stock index options was 41700 contracts; the trading volume of CSI 300 stock index options was 208000 contracts; and the total trading volume of CSI 1000 options was 264200 contracts [1]. - The detailed breakdown of call, put, and total trading volumes for each option type is presented in Table 1 [20]. II. Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.42, with a month - on - month change of +0.04; the position PCR was reported at 0.94, with a month - on - month change of - 0.04. Similar data for other options are also provided, showing different changes in turnover PCR and position PCR [2]. - The detailed PCR data for each option type, including turnover PCR, month - on - month change, position PCR, and month - on - month change, are presented in Table 2 [31]. III. Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 22.75%, with a month - on - month change of - 1.57%; the VIX of Shanghai - listed CSI 300 ETF options was reported at 21.85%, with a month - on - month change of - 1.67%. Similar data for other options are also provided, with most showing a decline in VIX except for ChiNext ETF options which had a slight increase [3]. - The detailed VIX data for each option type, including VIX and month - on - month change, are presented in Table 3 [45].

股指期权日报 | 2025-09-01 股指期权日报 股指期权市场概况 期权成交量 期权PCR 上证50ETF期权成交额PCR报0.38，环比变动为-0.19；持仓量PCR报0.98，环比变动为+0.05； 沪深300ETF期权（沪市）成交额PCR报0.35，环比变动为-0.15；持仓量PCR报1.26，环比变动为+0.05； 中证500ETF期权（沪市）成交额PCR报0.53，环比变动为-0.14；持仓量PCR报1.31，环比变动为+0.03 ； 深圳100ETF期权成交额PCR报0.35 ，环比变动为-0.01；持仓量PCR报1.12；环比变动为+0.07； 创业板ETF期权成交额PCR报0.30，环比变动为-0.16 ；持仓量PCR报1.35，环比变动为+0.07； 上证50股指期权成交额PCR报0.18，环比变动为-0.05；持仓量PCR报0.64，环比变动为+0.04； 沪深300股指期权成交额PCR报0.24 ，环比变动为-0.14；持仓量PCR报0.85，环比变动为+0.06； 中证1000股指期权成交额PCR报0.54，环比变动为-0.19；持仓量PCR报1.12，环比变动为+0.02。 期权 ...

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Not provided in the given content Summary by Directory Option Trading Volume - On August 28, 2025, the trading volume of SSE 50 ETF options was 1.8433 million contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 1.7581 million contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 2.199 million contracts; the trading volume of Shenzhen 100 ETF options was 0.1668 million contracts; the trading volume of GEM ETF options was 2.4143 million contracts; the trading volume of SSE 50 index options was 0.0692 million contracts; the trading volume of CSI 300 index options was 0.1749 million contracts; the total trading volume of CSI 1000 options was 0.4057 million contracts [1] - The table shows the call, put, and total trading volumes of various index ETF options on the previous day, such as 0.8848 million call contracts and 0.7077 million put contracts for SSE 50 ETF options, with a total of 1.5925 million contracts [18] Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.57, with a month - on - month change of +0.09; the position PCR was reported at 0.93, with a month - on - month change of - 0.16. Similar data is provided for other types of options [2] - The table presents the turnover PCR, month - on - month change, position PCR, and month - on - month change of various index ETF options, e.g., for SSE 50 ETF options, the turnover PCR was 0.57 with a +0.09 change, and the position PCR was 0.93 with a - 0.16 change [28] Option VIX - The VIX of SSE 50 ETF options was reported at 24.21%, with a month - on - month change of +0.43%. Similar data is given for other options [3] - The table shows the VIX and month - on - month change values of various index ETF options, such as 24.21% VIX and +0.43% change for SSE 50 ETF options [44]

股指期权日报 | 2025-08-28 股指期权日报 股指期权市场概况 期权成交量 2025-08-27，上证50ETF期权成交量为161.46万张；沪深300ETF期权（沪市）成交量为143.13万张； 中证500ETF期权（沪市）成交量为231.47万张；深证100ETF期权成交量为17.74万张； 创业板ETF期权成交量为314.89万张；上证50股指期权成交量为7.54万张； 沪深300股指期权成交量为13.74万张；中证1000期权总成交量为36.74万张。 期权PCR 上证50ETF期权成交额PCR报0.48，环比变动为+0.08；持仓量PCR报1.09，环比变动为-0.07； 沪深300ETF期权（沪市）成交额PCR报0.39，环比变动为+0.10；持仓量PCR报1.29，环比变动为+0.00； 中证500ETF期权（沪市）成交额PCR报0.47，环比变动为+0.08；持仓量PCR报1.57，环比变动为+0.05 ； 深圳100ETF期权成交额PCR报0.35 ，环比变动为-0.13；持仓量PCR报1.56；环比变动为+0.09； 创业板ETF期权成交额PCR报0.35，环比变动为+0.07 ； ...