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 | ...

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 ； ...

Group 1 - The core cost of buying one hand of stock index options is the premium, which is calculated using the formula: one hand premium = option price × contract multiplier [3] - The main stock index options in China include CSI 300, SSE 50, and CSI 1000, with a contract multiplier of 100 RMB per point [3] - Examples of premiums for different options are provided: CSI 300 at 40 points results in a premium of 4000 RMB, SSE 50 at 50 points results in 5000 RMB, and CSI 1000 at 89.2 points results in 8920 RMB [3] Group 2 - The trading cost of stock index options consists of exchange fees and broker commissions, with a dual charging mechanism for opening and closing positions [5] - The China Financial Futures Exchange (CFFEX) has a unified fee rate for major products: 15 RMB per hand for single transactions and 2 RMB per hand for exercise fees for CSI 300 options [6] - For a typical transaction involving one hand of CSI 300 options, the total cost would be 30 RMB for opening and closing positions, plus an additional 2 RMB if exercised [6] Group 3 - Broker commissions typically range from 1 to 5 RMB per hand for ordinary investors, added on top of the exchange fees [7] - Sellers of options are required to pay a margin, which is calculated based on the option contract's value and the exchange's margin ratio [8][9] - Additional costs may include exercise fees, which can vary by option type and exchange regulations [11] Group 4 - Investors must meet certain conditions to open an options account, including maintaining an average asset of over 500,000 RMB for the first 20 trading days and having at least six months of trading experience [14][16] - Options provide the holder the right to buy or sell an underlying asset at an agreed price within a specified time, with the buyer's maximum loss limited to the premium paid [15]

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. Investment Rating The provided content does not contain information about the industry investment rating. 2. Core View The report presents a daily overview of the stock index options market, including option trading volume, PCR (Put-Call Ratio), and VIX (Volatility Index) data for various index options on September 26, 2025. 3. Section Summaries Option Trading Volume - On September 26, 2025, the trading volumes were as follows: 883,800 contracts for SSE 50 ETF options, 1,061,000 for CSI 300 ETF options (Shanghai market), 1,492,600 for CSI 500 ETF options (Shanghai market), 69,200 for Shenzhen 100 ETF options, 1,769,800 for ChiNext ETF options, 43,800 for SSE 50 index options, 134,200 for CSI 300 index options, and 282,500 for CSI 1000 options [1]. - The table also shows the call, put, and total trading volumes for each option type [20]. Option PCR - The report provides the turnover PCR and position PCR, along with their环比 changes, for different index options. For example, the turnover PCR of SSE 50 ETF options was 0.67 with a +0.07环比 change, and the position PCR was 0.79 with a -0.01环比 change [2][30]. Option VIX - The VIX values and their环比 changes are reported for each option type. For instance, the VIX of SSE 50 ETF options was 16.81% with a +0.29%环比 change [3][42].

Report Industry Investment Rating - Not mentioned in the provided content Core Viewpoints - The report presents the trading data of various index options on September 25, 2025, including option volume, PCR, and VIX, which helps investors understand the market conditions and sentiment of index options [1][2][3] Summary by Related Catalogs Option Volume - On September 25, 2025, the trading volume of Shanghai Stock Exchange 50 ETF options was 1.1772 million contracts; the trading volume of Shanghai Stock Exchange 300 ETF options (Shanghai market) was 1.2981 million contracts; the trading volume of China Securities 500 ETF options (Shanghai market) was 2.273 million contracts; the trading volume of Shenzhen 100 ETF options was 0.1449 million contracts; the trading volume of ChiNext ETF options was 1.9582 million contracts; the trading volume of Shanghai Stock Exchange 50 index options was 0.0543 million contracts; the trading volume of Shanghai Stock Exchange 300 index options was 0.1098 million contracts; the total trading volume of China Securities 1000 options was 0.2291 million contracts [1] - The table shows the call, put, and total trading volumes of various index ETF options on September 25, 2025, such as the total trading volume of Shanghai Stock Exchange 50 ETF options was 0.8838 million contracts [20] Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.59, with a month - on - month change of - 0.09; the position PCR was reported at 0.79, with a month - on - month change of + 0.01. Similar data were provided for other types of options [2] - The table shows the turnover PCR, month - on - month change, position PCR, and month - on - month change of various index ETF options on September 25, 2025 [28] Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 16.53%, with a month - on - month change of - 1.15%. Similar data were provided for other types of options [3] - The table shows the VIX and month - on - month change values of various index ETF options on September 25, 2025 [42]

Report Industry Investment Rating No relevant content provided. Core Viewpoints No relevant content provided. Summary by Directory Option Trading Volume - On September 23, 2025, the trading volume of SSE 50 ETF options was 1.1104 million contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 0.9962 million contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 1.6188 million contracts; the trading volume of Shenzhen 100 ETF options was 0.142 million contracts; the trading volume of ChiNext ETF options was 3.1791 million contracts; the trading volume of SSE 50 index options was 0.0667 million contracts; the trading volume of CSI 300 index options was 0.0855 million contracts; the total trading volume of CSI 1000 options was 0.3566 million contracts [1]. - The table shows the call, put and total trading volumes of various index ETF options on the same day, such as the total trading volume of SSE 50 ETF options was 1.4543 million contracts, with 0.7932 million call contracts and 0.6611 million put contracts [21]. Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.90, with a month - on - month change of +0.04; the position PCR was reported at 0.74, with a month - on - month change of +0.01. Similar data for other options are also provided, including CSI 300 ETF options (Shanghai market), CSI 500 ETF options (Shanghai market), etc. [2][34]. Option VIX - The VIX of SSE 50 ETF options was reported at 18.22%, with a month - on - month change of - 0.31%. For other options like CSI 300 ETF options (Shanghai market), CSI 500 ETF options (Shanghai market), etc., their VIX values and month - on - month changes are also presented [3][47].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoint No core viewpoint was presented in the provided content. 3. Summary by Directory Option Trading Volume - On September 22, 2025, the trading volume of Shanghai Stock Exchange 50 ETF options was 1546800 contracts; the trading volume of Shanghai Stock Exchange 300 ETF options (Shanghai market) was 1840300 contracts; the trading volume of Shanghai Stock Exchange 500 ETF options (Shanghai market) was 2478700 contracts; the trading volume of Shenzhen 100 ETF options was 161100 contracts; the trading volume of GEM ETF options was 2011400 contracts; the trading volume of Shanghai Stock Exchange 50 index options was 48000 contracts; the trading volume of Shanghai Stock Exchange 300 index options was 188700 contracts; the total trading volume of CSI 1000 options was 197900 contracts [1]. - The detailed trading volume data for call, put, and total options of different types are presented in Table 1, such as the total trading volume of Shanghai Stock Exchange 50 ETF options was 1110400 contracts, with 640700 call contracts and 469600 put contracts [20]. Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.86, with a month - on - month change of - 0.05; the position PCR was reported at 0.73, with a month - on - month change of - 0.03. Similar data for other types of options are also provided, like the turnover PCR of Shanghai Stock Exchange 300 ETF options (Shanghai market) was 0.67, with a month - on - month change of - 0.16; the position PCR was 1.11, with a month - on - month change of - 0.04 [2][34]. Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 18.53%, with a month - on - month change of - 0.18%. The VIX of Shanghai Stock Exchange 300 ETF options (Shanghai market) was 19.86%, with a month - on - month change of + 0.18%. Similar data for other types of options are presented, such as the VIX of Shenzhen 100 ETF options was 26.83%, with a month - on - month change of + 0.55% [3][49].