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 | ...

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 Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The market has undergone a significant adjustment, and the implied volatility of financial options has decreased. The trading volume of 50ETF options has declined compared to the previous week, with the trading volume of put options lower than that of call options. The put - call trading ratio has increased compared to the previous week but is below the historical average, while the put - call holding ratio has decreased compared to the previous week but is above the historical average [1][2]. 3. Section Summaries 3.1 Financial Option Data - **Trading Volume and Holdings**: The average daily trading volume of 50ETF options this week was 1.4576 million contracts, a decrease of 18.99% compared to the previous week. The put - call trading ratio was 0.8, which increased compared to the previous week and was below the historical average. The put - call holding ratio last week was 0.85, which decreased compared to the previous week and was above the historical average. The average daily trading volume of Huatai Bairui 300ETF options was 1.5743 million contracts, and the average daily holdings were 1.4231 million contracts; the average daily trading volume of Southern China Securities 500ETF options was 2.1945 million contracts, and the average daily holdings were 1.4044 million contracts; the average daily trading volume of Huaxia Shanghai Stock Exchange Science and Technology Innovation 50ETF options was 2.1735 million contracts, and the average daily holdings were 2.1941 million contracts; the average daily trading volume of Shenzhen 100ETF options was 0.2263 million contracts, and the average daily holdings were 0.1551 million contracts; the average daily trading volume of GEM ETF options was 2.8928 million contracts, and the average daily holdings were 1.6524 million contracts; the average daily trading volume of CSI 300 index options was 0.1834 million lots, and the average daily holdings were 0.2248 million lots; the average daily trading volume of CSI 1000 index options was 0.3718 million lots, and the average daily holdings were 0.3404 million lots [1][4]. - **Implied Volatility**: As of the close on Friday, the implied volatility of CSI 300 index options was 20.54%, a decrease of 3.19% compared to a week ago. The implied volatility of 50ETF options was 18.48%, a decrease of 3.81% compared to a week ago. The implied volatility of CSI 1000 index options was 25.51%, a decrease of 0.98% compared to a week ago [2][4].

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].

金融期权周报 I 2025/08/18—2025/08/22 隐波上升，情绪持续升温 本周摘要 路智名 从业资格证号：F03124116 金融期权方面，50ETF 期权本周日均成交量为 190.67 万 张，较前周上升 20.55%，其中认沽期权成交量低于认购期权， 认沽-认购成交比为 0.64，相对前周有所下降，低于历史均值水 平。上周认沽认购持仓比为 1.19，较前周上升，高于历史均值。 华泰柏瑞 300ETF 期权日均成交 186.24 万张，日均持仓量 151.78 万张；南方中证 500ETF 期权日均成交 238.46 万张，日 均持仓量 150.08 万张；华夏上证科创 50ETF 期权日均成交 217.47 万张，日均持仓量 208.11 万张；深证 100ETF 期权日均 成交 18.99 万张，日均持仓量 16.4 万张；创业板 ETF 期权日均 成交 290.74 万张，日均持仓量 192.49 万张；沪深 300 股指期权 日均成交 13.46 万手，日均持仓量 16.2 万手；中证 1000 股指期 权日均成交 31.7 万手，日均持仓 25.3 万手。 波动率方面，截止本周五收盘， ...