2025 年 7 月 24 日 股票股指期权：偏度正偏分位较高，可考虑牛 市看涨价差。 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 | 2812.44 | 11.24 | 60.28 | -7.65 | 2815.47 | 3.02 | 2817.27 | 4.82 | | 沪深300指数 | 4149.04 | 29.27 | 319.63 | 19.13 | 4151.20 | 2.16 | 4146.20 | -2.84 | | 中证1000指数 | 6701.12 | 93.90 | 285.42 | -8.69 | 6684.47 | -16.65 | 6627.13 | -7 ...

2025 年 7 月 22 日 金 融 衍 生 品 研 究 股票股指期权：上行升波，ETF 期权临近到 期，注意末日风险。 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 | | 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 | 2792.18 | 19.94 | 68.31 | 18.36 | 2795.07 | 2.88 | 2796.47 | 4.28 | | 沪深300指数 | 4118.96 | 33.35 | 257.60 | 34.33 | 4117.27 | -1.69 | 4107.00 | -11.96 | | 中证1000指数 | 6637.10 | 24.84 | 301.66 | 25.07 | 6587.00 | -50.1 ...

2025 年 7 月 17 日 股票股指期权：正偏增加，看涨情绪上升，股 指期权临近到期。 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 | 2744.26 | 3.36 | 36.15 | 1.91 | 2744.27 | 0.01 | 2741.80 | -2.46 | | 沪深300指数 | 4034.49 | 27.29 | 161.25 | 10.22 | 4031.13 | -3.36 | 4025.00 | -9.49 | | 中证1000指数 | 6535.67 | 73.61 | 227.83 | 7.60 | 6531.47 | -4.20 | 6468.07 | -6 ...

Report Date - The report is dated June 25, 2025 [1] Investment Recommendation - The report suggests that stock index options are experiencing an upward volatility trend, with increasing bullish sentiment, and recommends considering a bull call spread strategy [2] Core Viewpoints - The market shows an upward trend in stock index options, with increasing trading volume and changes in various indicators such as volatility and PCR [2][3] Market Data Summary Underlying Market Statistics - The closing prices of major indices like the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index have increased, along with corresponding changes in trading volume and basis [3] Option Market Statistics - Trading volumes and open interests of various options have changed, and indicators such as VL - PCR and OI - PCR show different levels of bullish or bearish sentiment [3] Option Volatility Statistics - ATM - IV, IV changes, HV, and Skew of different options have fluctuated, indicating changes in market expectations and risks [6] Option - Specific Analysis Shanghai Composite 50 Index Options - Analyzed through charts of PCR, skew, volatility cone, and volatility term structure, showing changes in market sentiment and volatility characteristics [9][10] CSI 300 Index Options - Similar to the Shanghai Composite 50 Index Options, with its own unique data and trends in PCR, skew, and volatility [13][14] CSI 1000 Index Options - Exhibits distinct features in trading volume, open interest, and volatility compared to other index options [16][17] ETF Options - Options on various ETFs such as Shanghai Composite 50 ETF, Huatai - Berry 300 ETF, and Southern 500 ETF are analyzed in terms of PCR, skew, and volatility [20][21][24]

金 融 衍 生 品 研 究 2025 年 5 月 29 日 股票股指期权：上行降波，可考虑备兑策略。 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 | 【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 手 ) | 成交变化 (亿手) | 当 月 合成期货 | 当月基差 | 次 月 合成期货 | 次月基差 | | 上证50指数 | 2690.89 | 7.83 | 27.47 | 2.30 | 2677.80 | -13.09 | 2654.47 | -36.43 | | 沪深300指数 | 3858.70 | 22.46 | 108.47 | 19.44 | 3836.47 | -22.23 | 3801.47 | -57.23 | | 中证1000指数 | 6089.58 | 105.12 ...