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 | ...

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]

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 19 日 股票股指期权：市场震荡，ETF 期权临近到 期，期限波动率差扩大。 | 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 | 2909.74 | -3.08 | 57.24 | -17.62 | 2915.73 | 5.99 | 2924.47 | 14.72 | | 沪深300指数 | 4501.92 | 3.81 | 225.04 | -84.82 | 4491.27 | -10.65 | 4492.47 | -9.45 | | 中证1000指数 | 7438.19 | -38.21 | 295.90 | -102.70 | 7354.67 | -83.52 | 729 ...

二 〇 二 五 年 度 2025 年 9 月 19 日 国 泰 君 安 期 货 研 究 金融期权：近远月波动率走势分化，可考虑逢 低构建下月买看跌保护布局。 张雪慧 投资咨询从业资格号：Z0015363 Zhangxuehui022447@gtjas.com 报告导读： 近远月波动率走势分化，可考虑逢低构建下月买看跌保护布局。 （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 | 4.17 | 2.34 | 6.51 | 5.71 | 3.54 | 9.25 | 16127.5 ...

| 标的市场统计 | 收盘价 | 涨跌 | 成交量(亿 | 成交变化 | 当月 | | 次月 | 次月基差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | 手) | (亿手) | 合成期货 | 当月基差 | 合成期货 | | | 上证50指数 | 2912.83 | -39.95 | 74.86 | 18.19 | 2908.93 | -3.89 | 2912.20 | -0.63 | | 沪深300指数 | 4498.11 | -52.91 | 309.86 | 74.14 | 4484.13 | -13.98 | 4473.80 | -24.31 | | 中证1000指数 | 7476.40 | -78.41 | 398.60 | 96.89 | 7449.93 | -26.47 | 7366.20 | -110.20 | | 上证50ETF | 3.048 | -0.040 | 13.05 | 7.25 | 3.043 | -0.005 | 3.045 | -0.003 | | 华泰柏瑞3 0 0 E T F | 4.5 ...

2025 年 9 月 17 日 股票股指期权：上行升波，隐波升高至中高分 位，可考虑逢低建仓买权保护。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 资料来源：Wind、国泰君安期货研究 国 泰 君 安 期 货 研 究 所 请务必阅读正文之后的免责条款部分 1 金融衍生品研究 金 融 衍 生 品 研 究 【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 | | 次月 | 次月基差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | 手) | (亿手) | 合成期货 | 当月基差 | 合成期货 | | | 上证50指数 | 2952.78 | 4.96 | 56.67 | -0.97 | 2957.07 | 4.29 | 2958.00 | 5.22 | | 沪深300指数 | 4551.02 | 27.69 | 235.72 | -13.55 | 4553.33 | 2.31 | 4545.67 | -5.36 ...

Report Industry Investment Rating - Not provided in the given content Core Viewpoint - The stock index options show an upward trend with declining volatility, indicating a decrease in the market's concern about a downward trend [1] Summary by Related Catalogs Market Data Statistics - **Underlying Market Statistics**: The closing prices of major indices and ETFs all increased, with the CSI 1000 Index rising 204.51 points to 7245.67. Trading volumes generally decreased, such as the Shanghai - Shenzhen 300 Index with a volume change of - 58.31 billion hands [1] - **Option Market Statistics**: Trading volumes and open interests of various options decreased. For example, the trading volume of SSE 50 Index Options decreased by 37,944 to 56,278, and the open interest decreased by 2,790 to 97,398. The VL - PCR and OI - PCR values varied among different options [1] Option Volatility Statistics - **Near - month Options**: The ATM - IV of most options decreased, like the SSE 50 Index Options with a - 2.22% change. The HV also showed different trends, with some increasing and some decreasing [4] - **Next - month Options**: Similar to near - month options, the ATM - IV of most next - month options decreased, while the HV generally increased [4] Option Types Analysis - **SSE 50 Index Options**: Presented data on PCR, skew, volatility cone, and volatility term structure through multiple charts [7][8] - **CSI 300 Index Options**: Similar to SSE 50 Index Options, with relevant data presented in corresponding charts [11][12] - **CSI 1000 Index Options**: Showed data on PCR, skew, volatility cone, and volatility term structure in charts [14][15] - **SSE 50 ETF Options**: Analyzed through charts including PCR, skew, volatility cone, and volatility term structure [18][19] - **Huatai - Berry 300ETF Options**: Similar analysis methods with corresponding chart data [22][23] - **Southern CSI 500ETF Options**: Presented data through various charts for analysis [28][32] - **Huaxia Science and Technology Innovation 50ETF Options**: Analyzed using multiple charts [34][36] - **E Fund Science and Technology Innovation 50ETF Options**: Similar to the above, with data presented in charts [39][44] - **Harvest 300ETF Options**: Analyzed through relevant charts [45][46] - **Harvest CSI 500ETF Options**: Presented data in charts for analysis [49][50] - **ChiNext ETF Options**: Analyzed using multiple charts [54][57] - **Shenzhen 100ETF Options**: Similar analysis with chart - based data [59][60]

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].

Market Performance - The stock market experienced a significant upward trend on August 20, with the Shanghai Composite Index rising by 1.04%, the Shenzhen Component Index by 0.89%, the ChiNext Index by 0.23%, and the STAR Market 50 Index by 3.23% [1] - All four major indices closed in the green, with the Shanghai 50 Index increasing by 1.23%, the CSI 300 Index by 1.14%, the CSI 500 Index by 1.09%, and the CSI 1000 Index by 0.86% [1] Options Market Activity - The trading volume of various options increased overall, with specific figures showing that the 50ETF options had a trading volume of 1,709,339 contracts and a turnover of 612 million yuan [2] - The 300ETF options recorded a trading volume of 1,887,385 contracts with a turnover of 942 million yuan, while the 500ETF options had a trading volume of 2,431,663 contracts and a turnover of 2.282 billion yuan [2] - The ChiNext ETF options had a trading volume of 2,648,667 contracts and a turnover of 1.328 billion yuan, indicating robust market activity [2] Implied Volatility - The implied volatility for various options is currently elevated, with the 50ETF options at 0.1826 and the 300ETF options at 0.1902, reflecting a positive market sentiment [3] - The implied volatility for the ChiNext ETF options is at 0.3542, which is among the highest, indicating strong market expectations for future price movements [3] Market Outlook - The market sentiment is positive, with expectations for continued upward movement in the stock indices, suggesting that investors may consider buying on dips [4] - Investors holding stocks are advised to roll over out-of-the-money call options to enhance profits, while being cautious of potential risks as the main ETF options contracts are set to expire next Wednesday [4]