股指期权日报 | 2026-01-13 股指期权日报 股指期权市场概况 期权成交量 2026-01-12，上证50ETF期权成交量为101.85万张；沪深300ETF期权（沪市）成交量为130.58万张； 中证500ETF期权（沪市）成交量为232.75万张；深证100ETF期权成交量为5.94万张； 创业板ETF期权成交量为256.07万张；上证50股指期权成交量为5.26万张； 沪深300股指期权成交量为19.69万张；中证1000期权总成交量为57.42万张。 期权PCR 上证50ETF期权成交额PCR报0.56，环比变动为+0.04；持仓量PCR报0.99，环比变动为+0.02； 沪深300ETF期权（沪市）成交额PCR报0.57，环比变动为-0.15；持仓量PCR报1.00，环比变动为-0.06； 中证500ETF期权（沪市）成交额PCR报0.33，环比变动为-0.02；持仓量PCR报1.46，环比变动为+0.06 ； 深圳100ETF期权成交额PCR报0.53 ，环比变动为+0.08；持仓量PCR报1.34；环比变动为-0.02； 创业板ETF期权成交额PCR报0.42，环比变动为-0.07 ；持 ...

股指期权日报 | 2026-01-12 股指期权日报 股指期权市场概况 期权成交量 2026-01-09，上证50ETF期权成交量为79.49万张；沪深300ETF期权（沪市）成交量为92.14万张； 中证500ETF期权（沪市）成交量为156.90万张；深证100ETF期权成交量为5.17万张； 创业板ETF期权成交量为181.35万张；上证50股指期权成交量为6.23万张； 沪深300股指期权成交量为15.23万张；中证1000期权总成交量为52.29万张。 期权PCR 上证50ETF期权成交额PCR报0.52，环比变动为-0.19；持仓量PCR报0.97，环比变动为+0.02； 沪深300ETF期权（沪市）成交额PCR报0.72，环比变动为-0.08；持仓量PCR报1.06，环比变动为+0.06； 中证500ETF期权（沪市）成交额PCR报0.35，环比变动为-0.14；持仓量PCR报1.40，环比变动为+0.03 ； 深圳100ETF期权成交额PCR报0.45 ，环比变动为-0.23；持仓量PCR报1.37；环比变动为+0.13； 创业板ETF期权成交额PCR报0.49，环比变动为-0.15 ；持仓量 ...

1. Report Industry Investment Rating - No relevant content provided 2. Report's Core View - Implied volatility is positively correlated and rising. It is advisable to consider a bull spread strategy with caution and take a long position [2] 3. Summary by Relevant Sections 3.1 Option Market Transaction Overview - The daily average total trading volume of options reached 9.5451 million lots, with a total turnover of 12.5736002 billion yuan. For specific options: - Shanghai 50 Index Option: Call trading volume was 41,200 lots, Put trading volume was 17,700 lots, and total turnover was 288.733 million yuan [2] - CSI 1000 Index Option: Call trading volume was 221,300 lots, Put trading volume was 158,100 lots, and total turnover was 4.8323127 billion yuan [2] - Shanghai and Shenzhen 300 Index Option: Call trading volume was 114,200 lots, Put trading volume was 57,500 lots, and total turnover was 1.1351234 billion yuan [2] - Other ETF options also had corresponding trading volumes and turnovers [2] 3.2 Option Volatility Statistics - For near - month options, the ATM - IV, IV weekly change, 20HV, HV weekly change, Skew, Skew weekly change, VIX, and VIX change of various options were presented. For example: - Shanghai 50 Index Option: ATM - IV was 14.71%, IV weekly change was 1.83%, 20HV was 12.63%, HV weekly change was 4.01% [4] - CSI 1000 Index Option: ATM - IV was 24.13%, IV weekly change was 5.29%, 20HV was 16.18%, HV weekly change was 1.92% [4] 3.3 Option Liquidity - Various charts showed the changes in total trading volume, total open interest, total turnover, total trading market value, and total open - interest market value of financial options, as well as the trading volume and open - interest proportions of each option variety [5][6][7][8][9] 3.4 Option Volatility Level - Comparing the at - the - money implied volatility (ATM - IV) and historical volatility of options, last week, the ATM - IV and historical volatility of most options showed signs of divergence or convergence. The current ATM - IV and the positive correlation between the ATM - IV and the underlying asset price were also presented. For example: - Shanghai 50 Index Option: The current ATM - IV was 14.71%, and the correlation coefficient between the underlying asset and the ATM - IV was 95.75% [10] - CSI 1000 Index Option: The current ATM - IV was 24.13%, and the correlation coefficient was 96.30% [12] 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of options can reflect the market's bull - bear sentiment to some extent. The report presented the PCR trends and daily - on - daily incremental percentages of various options [39][40][41][42][43][44][46] 3.6 Market Support and Resistance Level Information - The trading volume and open interest at different strike prices of options can help reveal the support and resistance levels of the underlying asset. For example: - Shanghai 50 Index: Key support level was 3000, and resistance level was 3150 [46] - CSI 1000 Index: Key support level was 7700, and resistance level was 8000 [46] - Shanghai and Shenzhen 300 Index: Key support level was 4650, and resistance level was 4750 [46] - Other underlying assets also had corresponding support and resistance levels [46]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoint No relevant information provided. 3. Summary by Directory Option Trading Volume - On January 8, 2026, the trading volume of SSE 50 ETF options was 1.0683 million contracts; CSI 300 ETF options (Shanghai) was 1.1011 million contracts; CSI 500 ETF options (Shanghai) was 1.6205 million contracts; Shenzhen 100 ETF options was 48,200 contracts; ChiNext ETF options was 1.4152 million contracts; SSE 50 index options was 46,800 contracts; CSI 300 index options was 151,200 contracts; and CSI 1000 options was 356,600 contracts [1]. Option PCR - The SSE 50 ETF options' turnover PCR was reported at 0.71, with a month - on - month change of +0.17; the position PCR was reported at 0.96, with a month - on - month change of -0.06. Similar data was presented for other options, such as CSI 300 ETF options (Shanghai), CSI 500 ETF options (Shanghai), etc. [2]. Option VIX - The SSE 50 ETF options' VIX was reported at 17.30%, with a month - on - month change of -0.58%. Other options also had their respective VIX values and month - on - month changes reported, like CSI 300 ETF options (Shanghai) and so on [3].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - No explicit core viewpoints presented in the given content 3. Summary by Directory Option Trading Volume - On January 7, 2026, the trading volume of SSE 50 ETF options was 1.4844 million contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 1.5256 million contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 1.9431 million contracts; the trading volume of Shenzhen 100 ETF options was 0.0828 million contracts; the trading volume of ChiNext ETF options was 1.6736 million contracts; the trading volume of SSE 50 index options was 0.0533 million contracts; the trading volume of CSI 300 index options was 0.2043 million contracts; the total trading volume of CSI 1000 options was 0.3391 million contracts [1] - The detailed breakdown of call and put trading volumes and total trading volumes for various index ETF options on the same day is as follows: for SSE 50 ETF options, call volume was 0.6178 million contracts, put volume was 0.4505 million contracts, and total volume was 1.0683 million contracts; for CSI 300 ETF options (Shanghai market), call volume was 0.6514 million contracts, put volume was 0.4497 million contracts, and total volume was 1.1011 million contracts; for CSI 500 ETF options (Shanghai market), call volume was 0.9397 million contracts, put volume was 0.6809 million contracts, and total volume was 1.6205 million contracts; for Shenzhen 100 ETF options, call volume was 0.0294 million contracts, put volume was 0.0188 million contracts, and total volume was 0.0482 million contracts; for ChiNext ETF options, call volume was 0.9337 million contracts, put volume was 0.7399 million contracts, and total volume was 1.6736 million contracts; for SSE 50 index options, call volume was 0.0146 million contracts, put volume was 0.0387 million contracts, and total volume was 0.0533 million contracts; for CSI 300 index options, call volume was 0.0923 million contracts, put volume was 0.0523 million contracts, and total volume was 0.1512 million contracts; for CSI 1000 index options, call volume was 0.2031 million contracts, put volume was 0.1360 million contracts, and total volume was 0.3391 million contracts [19] Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.54, with a month - on - month change of +0.18; the open interest PCR was reported at 1.01, with a month - on - month change of - 0.06; for CSI 300 ETF options (Shanghai market), the turnover PCR was 0.48, with a month - on - month change of +0.01; the open interest PCR was 1.05, with a month - on - month change of - 0.09; for CSI 500 ETF options (Shanghai market), the turnover PCR was 0.37, with a month - on - month change of +0.02; the open interest PCR was 1.30, with a month - on - month change of - 0.02; for Shenzhen 100 ETF options, the turnover PCR was 0.39, with a month - on - month change of +0.14; the open interest PCR was 1.46, with a month - on - month change of - 0.14; for ChiNext ETF options, the turnover PCR was 0.52, with a month - on - month change of +0.02; the open interest PCR was 1.16, with a month - on - month change of +0.00; for SSE 50 index options, the turnover PCR was 0.23, with a month - on - month change of +0.00; the open interest PCR was 0.76, with a month - on - month change of +0.00; for CSI 300 index options, the turnover PCR was 0.33, with a month - on - month change of +0.08; the open interest PCR was 0.83, with a month - on - month change of +0.01; for CSI 1000 index options, the turnover PCR was 0.36, with a month - on - month change of +0.01; the open interest PCR was 1.12, with a month - on - month change of +0.02 [2][33] Option VIX - The VIX of SSE 50 ETF options was reported at 17.88%, with a month - on - month change of - 0.71%; the VIX of CSI 300 ETF options (Shanghai market) was 18.28%, with a month - on - month change of +0.11%; the VIX of CSI 500 ETF options (Shanghai market) was 23.02%, with a month - on - month change of +0.18%; the VIX of Shenzhen 100 ETF options was 21.43%, with a month - on - month change of +0.59%; the VIX of ChiNext ETF options was 27.75%, with a month - on - month change of - 0.41%; the VIX of SSE 50 index options was 18.19%, with a month - on - month change of - 0.28%; the VIX of CSI 300 index options was 17.99%, with a month - on - month change of +0.14%; the VIX of CSI 1000 index options was 21.63%, with a month - on - month change of - 0.66% [3][48]

Report Industry Investment Rating - No relevant content provided Core Viewpoints - No core viewpoints are explicitly stated in the provided content Summary by Directory Option Trading Volume - On January 6, 2026, the trading volumes of various index options were as follows: Shanghai Stock Exchange 50 ETF option was 1145600 contracts; Shanghai Stock Exchange CSI 300 ETF option was 1190100 contracts; Shanghai Stock Exchange CSI 500 ETF option was 1462800 contracts; Shenzhen Stock Exchange 100 ETF option was 65800 contracts; ChiNext ETF option was 2065000 contracts; Shanghai Stock Exchange 50 index option was 81200 contracts; CSI 300 index option was 153900 contracts; and CSI 1000 option was 364200 contracts [1] - The detailed breakdown of call, put, and total trading volumes for different index ETF options on the same day is presented in Table 1, including Shanghai Stock Exchange 50 ETF option with call volume of 934300 contracts, put volume of 550100 contracts, and total volume of 1484400 contracts; Shanghai Stock Exchange CSI 300 ETF option with call volume of 855100 contracts, put volume of 670500 contracts, and total volume of 1525600 contracts; etc [18] Option PCR - The PCR data of various index options on January 6, 2026, are as follows: For Shanghai Stock Exchange 50 ETF option, the turnover PCR was 0.36 with a -0.22 monthly change, and the open - interest PCR was 1.07 with a -0.02 monthly change; For Shanghai Stock Exchange CSI 300 ETF option, the turnover PCR was 0.47 with a -0.14 monthly change, and the open - interest PCR was 1.14 with a +0.06 monthly change; etc [2][34] Option VIX - The VIX data of various index options on January 6, 2026, are as follows: Shanghai Stock Exchange 50 ETF option VIX was 18.59% with a +3.80% monthly change; Shanghai Stock Exchange CSI 300 ETF option VIX was 18.17% with a +1.70% monthly change; etc [3][49]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The report presents the trading data of various stock index options on January 5, 2026, including trading volume, PCR, and VIX, to reflect the market situation of stock index options [1][2][3] Summary by Directory 1. Option Trading Volume - On January 5, 2026, the trading volumes of various options were as follows: Shanghai - Shenzhen 300ETF option (Shanghai) was 78.90 million contracts; CSI 500ETF option (Shanghai) was 105.32 million contracts; Shenzhen 100ETF option was 3.50 million contracts; ChiNext ETF option was 169.50 million contracts; SSE 50 stock index option was 5.11 million contracts; Shanghai - Shenzhen 300 stock index option was 10.32 million contracts; and CSI 1000 option was 31.41 million contracts [1] - The detailed breakdown of call, put, and total trading volumes of each option is shown in Table 1 [19] 2. Option PCR - The PCR data of various options and their changes are presented. For example, the turnover PCR of SSE 50ETF option was 0.58, with a month - on - month change of - 0.23; the position PCR was 1.10, with a month - on - month change of + 0.18. Similar data for other options are also provided [2][34] 3. Option VIX - The VIX data of various options and their changes are given. For instance, the VIX of SSE 50ETF option was 14.79%, with a month - on - month change of + 0.35%. The data for other options are also included [3][49]

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints - No clear core viewpoints presented in the given content 3. Summary by Directory Option Trading Volume - On December 31, 2025, the trading volume of SSE 50 ETF options was 581,500 contracts; CSI 300 ETF options (Shanghai market) was 696,100 contracts; CSI 500 ETF options (Shanghai market) was 1,105,100 contracts; Shenzhen 100 ETF options was 36,000 contracts; ChiNext ETF options was 1,264,700 contracts; SSE 50 index options was 26,500 contracts; CSI 300 index options was 98,000 contracts; and CSI 1000 options was 221,900 contracts [1]. - The near - day trading volume details of index ETF options on another table show that the total trading volume of SSE 50 ETF options was 600,100 contracts, CSI 300 ETF options (Shanghai market) was 789,000 contracts, CSI 500 ETF options (Shanghai market) was 1,053,200 contracts, Shenzhen 100 ETF options was 35,000 contracts, ChiNext ETF options was 1,264,700 contracts, SSE 50 index options was 26,500 contracts, CSI 300 index options was 103,200 contracts, and CSI 1000 index options was 221,900 contracts [19]. Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.80 with a month - on - month change of - 0.01; the position PCR was reported at 0.92 with a month - on - month change of - 0.03. Similar data is provided for other options including CSI 300 ETF options (Shanghai market), CSI 500 ETF options (Shanghai market), Shenzhen 100 ETF options, ChiNext ETF options, SSE 50 index options, CSI 300 index options, and CSI 1000 index options [2][34]. Option VIX - The VIX of SSE 50 ETF options was reported at 14.43% with a month - on - month change of - 0.37%; the VIX of CSI 300 ETF options (Shanghai market) was reported at 16.34% with a month - on - month change of - 0.17%. Similar data is provided for other options including CSI 500 ETF options (Shanghai market), Shenzhen 100 ETF options, ChiNext ETF options, SSE 50 index options, CSI 300 index options, and CSI 1000 index options [3][47].

| 张雪慧 | 投资咨询从业资格号：Z0015363 | zhangxuehui@gtht.com | | --- | --- | --- | | 张银 | 投资咨询从业资格号：Z0018397 | zhangyin2@gtht.com | 报告导读： 二 〇 二 六 年 度 本周沪深 300 股指期权策略表现中，卖跨式策略领跑期权策略，本周录得 0.21%的收益。 本周上证 50ETF 期权策略表现中，跨式统计套利策略领跑期权策略，本周录得 0.28%的收益。 本周中证 1000 股指期权策略表现中，跨式统计套利策略领跑期权策略，本周录得 0.25%的收益。 注释 1：累计收益为自 2025 年 1 月 1 日至今的表现； 2026 年 1 月 4 日 注释 2：每个策略中的每份仓位本金均为 2025 年 1 月 1 日与基准等市值的金额，即所有策略都不加 杠杆，也不考虑组合保证金。 卖跨式策略领跑期权策略 请务必阅读正文之后的免责条款部分 1 期货研究 国 泰 君 安 期 货 研 究 所 期货研究 （正文） 1. 本周行情回顾 1.1 沪深 300 股指期权策略回顾 以下策略基于沪深 300 股指、沪深 ...

Report Industry Investment Rating - Not provided Core Viewpoints - Not provided Summary by Relevant Catalogs Option Trading Volume - On December 30, 2025, the trading volume of SSE 50 ETF options was 621,100 contracts; CSI 300 ETF options (Shanghai market) was 780,100 contracts; CSI 500 ETF options (Shanghai market) was 1,033,100 contracts; Shenzhen 100 ETF options was 44,300 contracts; ChiNext ETF options was 1,312,900 contracts; SSE 50 index options was 25,100 contracts; CSI 300 index options was 94,800 contracts; and CSI 1000 options was 211,400 contracts [1] - The table shows the call, put, and total trading volumes of various index ETF options on a recent day, such as the total trading volume of SSE 50 ETF options was 581,500 contracts [20] Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.74, with a month - on - month change of +0.10; the position PCR was reported at 0.94, with a month - on - month change of - 0.07. Similar data for other options are also provided [2] - The table presents the turnover PCR, month - on - month change, position PCR, and month - on - month change of various index ETF options on a recent day [34] Option VIX - The VIX of SSE 50 ETF options was reported at 14.23%, with a month - on - month change of +0.34%. Similar data for other options are also provided [3] - The table shows the VIX and month - on - month change values of various index ETF options on a recent day [51]