金 融 衍 生 品 研 究 2025 年 10 月 10 日 股票股指期权：下行升波，部分品种偏度转向 负偏。 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 | 2974.85 | -45.74 | 67.28 | -9.09 | 2975.93 | 1.08 | 2977.87 | 3.01 | | 沪深300指数 | 4616.83 | -92.65 | 319.02 | -28.66 | 4615.13 | -1.70 | 4611.27 | -5.57 | | 中证1000指数 | 7533.82 | -114.23 | 290.43 | -13.06 | 7518.27 | -15.55 ...

（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 | ...

| 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | zc511 | 10.1% | 1 | 0.0% | 66 | 0.0% | 66 | | ps2511 | 2.9% | 2 | 1.4% | 14 | 4.2% | 5 | | 科创板50etf10月 | 2.8% | 3 | 2.4% | 2 | 6.5% | 2 | | 科创50etf10月 | 2.8% | 4 | 2.4% | 1 | 6.7% | 1 | | lc2511 | 2.6% | 5 | 1.4% | 17 | 1.8% | 35 | | 创业板etf10月 | 2.2% | 6 | 2.2% | 3 | 5.3% | 3 | | fg511 | 2.2% | 7 | 1.9% | 5 | 2.5% | 13 | | ag2511 | 2.2% | 8 | 1.5% | 11 | 4.7% | 4 | | sn2511 | 2.0% | ...

股指期权日报 | 2025-10-10 股指期权日报 股指期权市场概况 期权成交量 2025-10-09，上证50ETF期权成交量为81.95万张；沪深300ETF期权（沪市）成交量为95.65万张； 中证500ETF期权（沪市）成交量为121.41万张；深证100ETF期权成交量为4.68万张； 创业板ETF期权成交量为196.19万张；上证50股指期权成交量为10.36万张； 沪深300股指期权成交量为11.71万张；中证1000期权总成交量为30.05万张。 期权PCR 上证50ETF期权成交额PCR报0.41，环比变动为-0.04；持仓量PCR报0.86，环比变动为+0.06； 沪深300ETF期权（沪市）成交额PCR报0.38，环比变动为-0.04；持仓量PCR报1.18，环比变动为+0.10； 中证500ETF期权（沪市）成交额PCR报0.44，环比变动为-0.07；持仓量PCR报1.45，环比变动为+0.14 ； 深圳100ETF期权成交额PCR报0.56 ，环比变动为-0.15；持仓量PCR报1.24；环比变动为+0.06； 创业板ETF期权成交额PCR报0.52，环比变动为-0.10 ；持仓 ...

股指期权日报 | 2025-10-09 股指期权日报 股指期权市场概况 期权成交量 2025-09-30，上证50ETF期权成交量为147.37万张；沪深300ETF期权（沪市）成交量为144.72万张； 中证500ETF期权（沪市）成交量为152.95万张；深证100ETF期权成交量为12.79万张； 创业板ETF期权成交量为137.49万张；上证50股指期权成交量为5.18万张； 沪深300股指期权成交量为17.60万张；中证1000期权总成交量为26.77万张。 期权PCR 上证50ETF期权成交额PCR报0.45，环比变动为-0.03；持仓量PCR报0.80，环比变动为+0.01； 沪深300ETF期权（沪市）成交额PCR报0.42，环比变动为-0.05；持仓量PCR报1.08，环比变动为+0.01； 中证500ETF期权（沪市）成交额PCR报0.51，环比变动为-0.12；持仓量PCR报1.31，环比变动为+0.03 ； 深圳100ETF期权成交额PCR报0.71 ，环比变动为-0.01；持仓量PCR报1.18；环比变动为+0.01； 创业板ETF期权成交额PCR报0.62，环比变动为+0.03 ； ...

Report Information - Report Name: Pioneer Futures Options Daily Report - Report Date: October 9, 2025 [1] Option Underlying Market Volatility Ranking | Underlying | Implied Volatility of At-the-Money Options | Ranking | 30-Day Historical Volatility of Underlying | Ranking | Realized Volatility of Underlying on the Day | Ranking | | --- | --- | --- | --- | --- | --- | --- | | ps2511 | 3.3% | 1 | 1.5% | 12 | 4.3% | 10 | | lc2511 | 3.3% | 2 | 1.5% | 10 | 3.6% | 12 | | Science and Technology Innovation Board 50 ETF (October) | 2.7% | 3 | 1.9% | 5 | 5.9% | 4 | | Science and Technology Innovation 50 ETF (October) | 2.7% | 4 | 1.9% | 2 | 6.0% | 3 | | si2511 | 2.4% | 5 | 2.0% | 1 | 2.4% | 22 | | sn2511 | 2.3% | 6 | 1.3% | 22 | 4.7% | 7 | | sc2511 | 2.2% | 7 | 1.7% | 7 | 3.0% | 16 | | ChiNext ETF (October) | 2.2% | 8 | 1.9% | 3 | 2.5% | 20 | | ag2511 | 2.2% | 9 | 1.5% | 11 | 3.5% | 13 | | fg511 | 1.9% | 10 | 1.9% | 4 | 2.3% | 24 | | ao2511 | 1.9% | 11 | 1.0% | 37 | 1.9% | 44 | | br2511 | 1.8% | 12 | 1.2% | 28 | 2.1% | 35 | | ni2511 | 1.7% | 13 | 1.0% | 34 | 3.0% | 15 | | cj601 | 1.7% | 14 | 1.6% | 8 | 2.4% | 21 | | jd2511 | 1.6% | 15 | 1.9% | 6 | 6.9% | 2 | | lh2511 | 1.6% | 16 | 1.6% | 9 | 7.1% | 1 | | cu2511 | 1.5% | 17 | 1.4% | 15 | 4.5% | 9 | | au2512 | 1.5% | 18 | 1.3% | 18 | 4.9% | 5 | | ru2601 | 1.5% | 19 | 1.2% | 26 | 2.7% | 17 | | p2511 | 1.4% | 20 | 1.4% | 14 | 3.4% | 14 | | ap601 | 1.4% | 21 | 1.3% | 21 | 2.6% | 19 | | Shenzhen 100 ETF (October) | 1.4% | 22 | 1.4% | 13 | 2.2% | 28 | | sa511 | 1.3% | 23 | 1.4% | 17 | 2.2% | 26 | | i2511 | 1.3% | 24 | 0.8% | 39 | 2.0% | 38 | | sh511 | 1.3% | 25 | 1.4% | 16 | 4.7% | 6 | | mo2510 | 1.2% | 26 | 1.1% | 29 | 1.3% | 58 | | CSI 500 ETF (October) | 1.2% | 27 | 1.2% | 23 | 2.2% | 29 | | pg2511 | 1.2% | 28 | 1.3% | 19 | 4.6% | 8 | | 500 ETF (October) | 1.2% | 29 | 1.2% | 24 | 2.1% | 34 | | eb2511 | 1.2% | 30 | 0.8% | 42 | 1.6% | 48 | | lg2511 | 1.1% | 31 | 0.6% | 59 | 1.9% | 41 | | rb2601 | 1.1% | 32 | 0.8% | 43 | 0.9% | 65 | | ad2511 | 1.0% | 33 | 0.6% | 54 | 1.9% | 43 | | pb2511 | 1.0% | 34 | 0.6% | 53 | 1.5% | 52 | | zn2511 | 1.0% | 35 | 0.8% | 41 | 2.3% | 23 | | v2511 | 1.0% | 36 | 0.7% | 46 | 2.6% | 18 | | rm511 | 1.0% | 37 | 1.1% | 31 | 2.1% | 31 | | 50 ETF (October) | 1.0% | 38 | 0.7% | 48 | 1.5% | 50 | | SSE 50 ETF (October) | 1.0% | 39 | 1.0% | 35 | 1.9% | 42 | | bz2603 | 1.0% | 40 | 0.6% | 52 | 2.0% | 37 | | eg2511 | 0.9% | 41 | 0.5% | 62 | 1.8% | 46 | | io2510 | 0.9% | 42 | 0.9% | 38 | 1.8% | 45 | | 300 ETF (October) | 0.9% | 43 | 1.0% | 36 | 2.0% | 39 | | ho2510 | 0.9% | 44 | 0.7% | 49 | 1.5% | 49 | | cs2511 | 0.9% | 45 | 0.7% | 47 | 2.1% | 32 | | sf511 | 0.9% | 46 | 1.1% | 30 | 1.4% | 55 | | al2511 | 0.9% | 47 | 0.6% | 56 | 2.0% | 40 | | c2511 | 0.8% | 48 | 0.6% | 58 | 1.2% | 60 | | ta511 | 0.8% | 49 | 0.8% | 40 | 1.5% | 51 | | y2511 | 0.8% | 50 | 1.2% | 25 | 2.2% | 25 | | m2511 | 0.8% | 51 | 1.2% | 27 | 1.3% | 57 | | l2511 | 0.8% | 52 | 0.4% | 64 | 1.4% | 56 | | ur511 | 0.8% | 53 | 1.0% | 32 | 3.9% | 11 | | ma511 | 0.7% | 54 | 0.7% | 50 | 2.1% | 36 | | b2511 | 0.7% | 55 | 1.3% | 20 | 1.4% | 54 | | sm511 | 0.7% | 56 | 0.7% | 45 | 0.9% | 64 | | pk511 | 0.7% | 57 | 0.5% | 61 | 2.2% | 30 | | oi511 | 0.7% | 58 | 1.0% | 33 | 2.1% | 33 | | a2511 | 0.6% | 59 | 0.7% | 51 | 1.4% | 53 | | pf511 | 0.6% | 60 | 0.6% | 55 | 1.2% | 62 | | pp2601 | 0.6% | 61 | 0.5% | 60 | 2.2% | 27 | | cf601 | 0.6% | 62 | 0.5% | 63 | 1.2% | 59 | | pr511 | 0.5% | 63 | 0.6% | 57 | 1.1% | 63 | [3][4] Volatility Explanation - The implied volatility of at-the-money options reflects the market's expectation of the future volatility of the underlying asset. A higher value indicates a greater likelihood of significant market movements. Trend traders may focus on the top-ranked varieties [5]. - The 30-day historical volatility of the underlying asset reflects the actual historical market movements of the underlying asset. If this value is smaller than the implied volatility, it may suggest that the option price is relatively high. Option sellers can pay attention to the difference in rankings between the two [5]. - The realized volatility of the underlying asset on the day reflects the intraday market movements of the underlying asset. Intraday traders may focus on the top-ranked varieties [5]. Exchange Option Analysis Shanghai Stock Exchange Options SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options was 1,080,033 contracts, and the open interest was 935,204 contracts. The trading volume ratio of call options to put options was 1.69, and the weighted average implied volatility was 17.64% [18][20]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [22]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 15.6%; when trading at the counterparty price, it is 3.79% [26][28]. Huatai-PineBridge SSE 300 ETF - **Basic Information**: The trading volume of the Huatai-PineBridge SSE 300 ETF's main options was 1,103,712 contracts, and the open interest was 724,243 contracts. The trading volume ratio of call options to put options was 1.37, and the weighted average implied volatility was 16.67% [29][31]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [35]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.52%; when trading at the counterparty price, it is 1.00% [38][40]. Southern CSI 500 ETF - **Basic Information**: The trading volume of the Southern CSI 500 ETF's main options was 1,342,230 contracts, and the open interest was 659,034 contracts. The trading volume ratio of call options to put options was 1.08, and the weighted average implied volatility was 19.54% [41][43]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [45]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 34.8%; when trading at the counterparty price, it is 7.72% [49][51]. Huaxia SSE Science and Technology Innovation Board 50 ETF - **Basic Information**: The trading volume of the Huaxia SSE Science and Technology Innovation Board 50 ETF's main options was 1,844,940 contracts, and the open interest was 1,034,741 contracts. The trading volume ratio of call options to put options was 1.43, and the weighted average implied volatility was 41.82% [52][54]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [59]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 64.0%; when trading at the counterparty price, it is 12.4% [61][63]. E Fund SSE Science and Technology Innovation Board 50 ETF - **Basic Information**: The trading volume of the E Fund SSE Science and Technology Innovation Board 50 ETF's main options was 409,101 contracts, and the open interest was 277,356 contracts. The trading volume ratio of call options to put options was 1.65, and the weighted average implied volatility was 42.64% [64][66]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [68]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 40.0%; when trading at the counterparty price, it is 8.65% [72][74]. Shenzhen Stock Exchange Options Harvest SSE 300 ETF - **Basic Information**: The trading volume of the Harvest SSE 300 ETF's main options was 184,080 contracts, and the open interest was 185,103 contracts. The trading volume ratio of call options to put options was 1.41, and the weighted average implied volatility was 18.39% [75][77]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [79].

Group 1 - The core viewpoint of the article is that qualified foreign institutional investors (QFIIs) are now allowed to participate in ETF options trading starting from October 9, 2023, which is expected to enhance foreign investment in the A-share market [1][3][4] - The China Securities Regulatory Commission (CSRC) has progressively relaxed restrictions on QFIIs' participation in domestic commodity futures, options, and ETF options, aiming to expand their investment scope and improve the stability of foreign investment behavior [1][6] - The Shanghai and Shenzhen Stock Exchanges have issued notifications to accept applications from QFIIs for stock options trading, with specific requirements for hedging purposes [3][4] Group 2 - QFIIs can apply for long and short hedging positions and must report their A-share accounts through authorized options operating institutions before opening corresponding derivative accounts [3][4] - The introduction of ETF options is seen as a significant tool for risk management, which is expected to attract more long-term capital into the A-share market [6][7] - The article highlights that major foreign institutions have been actively investing in ETFs, with Barclays Bank holding over 19.2 billion yuan in listed funds, indicating a growing trend of foreign capital entering the Chinese market through ETFs [7][8]

先锋期货期权日报 2025-9-30 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 期权标的行情波动龙虎榜： | | --- | | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | lc2511 | 2.9% | 1 | 1.7% | 8 | 1.7% | 22 | | ps2511 | 2.7% | 2 | 2.7% | 1 | 2.7% | 6 | | 科创50etf10月 | 2.6% | 3 | 2.5% | 4 | 2.4% | 11 | | 科创板50 ...

股指期权日报 | 2025-09-30 股指期权日报 股指期权市场概况 期权成交量 2025-09-29，上证50ETF期权成交量为78.82万张；沪深300ETF期权（沪市）成交量为93.73万张； 中证500ETF期权（沪市）成交量为144.35万张；深证100ETF期权成交量为12.45万张； 创业板ETF期权成交量为178.77万张；上证50股指期权成交量为11.74万张； 沪深300股指期权成交量为10.64万张；中证1000期权总成交量为30.66万张。 期权PCR 上证50ETF期权成交额PCR报0.48，环比变动为-0.19；持仓量PCR报0.79，环比变动为+0.01； 沪深300ETF期权（沪市）成交额PCR报0.47，环比变动为-0.16；持仓量PCR报1.08，环比变动为-0.03； 中证500ETF期权（沪市）成交额PCR报0.63，环比变动为-0.25；持仓量PCR报1.28，环比变动为-0.04 ； 深圳100ETF期权成交额PCR报0.73 ，环比变动为+0.03；持仓量PCR报1.16；环比变动为-0.02； 创业板ETF期权成交额PCR报0.59，环比变动为-0.15 ；持 ...

Report Summary 1. Option Underlying Volatility Ranking - The report presents a ranking of option underlying assets based on implied volatility, 30 - day historical volatility, and daily true range. For example, lc2511 ranks 1st in implied volatility with 3.0%, ps2511 ranks 1st in 30 - day historical volatility with 2.7%, and cj601 ranks 1st in daily true range with 4.8% [3]. 2. Shanghai Stock Exchange Options 2.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - contract options of Shanghai 50ETF on the day is 1,169,164 lots, the open interest is 879,616 lots, the trading volume ratio of call options to put options is 1.95, and the weighted - average implied volatility is 18.18% [18][20]. - **Volatility Trading**: Suggestions include selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling the options with points above the curve and buying those with points below the curve for the same month [23]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.80%; when trading at the counter - offer price, it is 2.63% [26][28]. 2.2 Huatai -柏瑞 CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Huatai -柏瑞 CSI 300ETF on the day is 1,058,849 lots, the open interest is 707,790 lots, the trading volume ratio of call options to put options is 1.59, and the weighted - average implied volatility is 18.52% [29][31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those with points below the curve for the same month [36]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.14%; when trading at the counter - offer price, it is 0.45% [39][41]. 2.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - contract options of Southern CSI 500ETF on the day is 1,205,915 lots, the open interest is 616,631 lots, the trading volume ratio of call options to put options is 1.28, and the weighted - average implied volatility is 22.3% [42][44]. - **Volatility Trading**: The trading suggestions are the same as above [48]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 20.2%; when trading at the counter - offer price, it is 3.59% [51][53]. 2.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main - contract options of Huaxia Shanghai Science and Technology Innovation 50ETF on the day is 1,082,103 lots, the open interest is 969,460 lots, the trading volume ratio of call options to put options is 1.56, and the weighted - average implied volatility is 44.22% [54][56]. - **Volatility Trading**: The trading suggestions remain consistent [58]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5%; when trading at the counter - offer price, it is 2.25% [62][64]. 2.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main - contract options of E Fund Shanghai Science and Technology Innovation 50ETF on the day is 222,896 lots, the open interest is 257,534 lots, the trading volume ratio of call options to put options is 1.83, and the weighted - average implied volatility is 44.53% [65][67]. - **Volatility Trading**: The trading suggestions are unchanged [69]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.4%; when trading at the counter - offer price, it is 1.63% [73][75]. 3. Shenzhen Stock Exchange Options 3.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Harvest CSI 300ETF on the day is 215,662 lots, the open interest is 173,644 lots, the trading volume ratio of call options to put options is 1.31, and the weighted - average implied volatility is 19.84% [76][78]. - **Volatility Trading**: The trading suggestions are to sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those with points below the curve for the same month [80].