二 〇 二 五 年 度 2025 年 10 月 17 日 张雪慧 投资咨询从业资格号：Z0015363 Zhangxuehui022447@gtjas.com 报告导读： 市场震荡偏弱，隐波上行，可考虑择时买入看跌期权保护。 （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 | 4.13 | 2.59 | 6.71 | 4.12 | 3.10 | 7.22 | 19960.93 | 9110.97 | 29071.90 | | 中证1000股指期权 | 21.71 | 21.6 ...

（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 | ...

1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - The volatility trends of near - and far - month options are diverging. It is advisable to consider building a protective put position for the next month when prices are low [1] 3. Summary by Relevant Catalogs 3.1 Option Market Trading Overview - The daily average trading volume, open interest, and turnover of various financial options are presented. For example, the total daily average trading volume of all options is 1242.50 million lots, with a total open interest of 1169.28 million lots and a total turnover of 13.2349519 billion yuan [1] 3.2 Option Volatility Statistics - The implied volatility (IV), historical volatility (HV), skew, and VIX of various options on the last trading day of the week are provided. For instance, the ATM - IV of SSE 50 Index Options is 21.01% with a - 2.19% change [3] 3.3 Option Liquidity - Multiple charts show the changes in total trading volume, open interest, turnover, trading value, and the proportion of trading volume and open interest of each option variety [4][6][10] 3.4 Option Volatility Level - Comparing the at - the - money implied volatility (ATM - IV) and historical volatility (HV) of various options, there were signs of convergence last week. The current ATM - IVs of different options range from 18.21% to 46.36%. The relationship between the underlying asset and ATM - IV varies, with correlation coefficients ranging from - 44.74% to 95.63% [11][13][15] 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of various options is used to reflect market bull - bear sentiment, and the PCR trends and daily环比increment percentages of different options are presented through charts [39][40] 3.6 Market Support and Resistance Levels - The key support and resistance levels of various option underlying assets are given. For example, the key support level of the SSE 50 Index is 2850, and the resistance level is 3000 [53]

| 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 ...

Report Date - The report is dated September 17, 2025 [1] Investment Rating - Not provided in the report Core Viewpoint - Stock index options are experiencing an upward volatility trend, with implied volatility rising to a medium-high level. It is advisable to consider building long option positions on dips for protection [1] Key Data Summaries 1. Underlying Market Statistics - **Indices**: The closing prices of the Shanghai 50 Index, CSI 300 Index, and CSI 1000 Index were 2952.78, 4551.02, and 7554.81 respectively, with increases of 4.96, 27.69, and 71.18. Their trading volumes were 56.67 billion, 235.72 billion, and 301.71 billion shares respectively, showing decreases of 0.97 billion, 13.55 billion, and 7.30 billion shares [2] - **ETFs**: The closing prices of various ETFs such as SSE 50 ETF, Huatai-PineBridge CSI 300 ETF, and Southern CSI 500 ETF showed different degrees of increase, and their trading volumes also had corresponding changes [2] 2. Option Market Statistics - **Trading Volume and Open Interest**: The trading volumes and open interests of various stock index options and ETF options showed different degrees of increase or decrease. For example, the trading volume of SSE 50 Index Options increased by 11,756 to 57,826, and the open interest increased by 4,820 to 105,477 [2] - **PCR Indicators**: The VL-PCR and OI-PCR of different options also varied. For instance, the VL-PCR of SSE 50 Index Options was 48.38%, and the OI-PCR was 63.55% [2] 3. Option Volatility Statistics - **ATM-IV and HV**: The at-the-money implied volatility (ATM-IV) and historical volatility (HV) of different options showed different trends. For example, the ATM-IV of SSE 50 Index Options (near - month) was 21.94%, with an increase of 2.39%, and the HV was 7.38%, with an increase of 4.06% [5] - **Skew and VIX**: The skew and VIX of different options also had corresponding changes. For example, the skew of SSE 50 Index Options (near - month) was 14.02%, with an increase of 9.46%, and the VIX was 22.08, with an increase of 0.874 [5] Option - Specific Charts - For each type of option (SSE 50 Index Options, CSI 300 Index Options, etc.), there are charts showing full - contract PCR,主力 contract volatility,主力 contract skew, volatility cone, and volatility term structure [9][13][16]

Report Summary Core View The stock index options showed an upward movement with a decreasing volatility, and the implied volatility premium narrowed [1]. Market Data Summary Underlying Market Statistics - **Indices**: The Shanghai Composite 50 Index closed at 2790.73, up 21.34 points, with a trading volume of 41.26 billion hands, a decrease of 0.70 billion hands. The CSI 300 Index closed at 4103.45, up 32.75 points, with a trading volume of 178.85 billion hands, an increase of 16.58 billion hands. The CSI 1000 Index closed at 6787.48, up 47.79 points, with a trading volume of 223.72 billion hands, an increase of 10.23 billion hands [2]. - **ETFs**: The Shanghai Composite 50 ETF closed at 2.912, up 0.022, with a trading volume of 7.24 billion hands, an increase of 2.44 billion hands. The Huatai-PB CSI 300 ETF closed at 4.183, up 0.031, with a trading volume of 5.48 billion hands, an increase of 1.13 billion hands [2]. Option Market Statistics - **Trading Volume and Open Interest**: The trading volume of Shanghai Composite 50 Index Options was 30,577, an increase of 280, and the open interest was 72,824, a decrease of 1,212. The trading volume of CSI 300 Index Options was 78,143, an increase of 5,831, and the open interest was 205,892, an increase of 668 [2]. - **Volatility and PCR**: The ATM-IV of Shanghai Composite 50 Index Options was 11.59%, a decrease of 0.57%, and the VL-PCR was 48.61%, and the OI-PCR was 57.04%. The ATM-IV of CSI 300 Index Options was 11.16%, a decrease of 1.41%, and the VL-PCR was 52.69%, and the OI-PCR was 70.72% [2][5]. Individual Option Analysis The report provides detailed analysis and charts for various options, including Shanghai Composite 50 Index Options, CSI 300 Index Options, CSI 1000 Index Options, and multiple ETF options, covering aspects such as PCR, skew, volatility cone, and volatility term structure [8][12][15].

Report Date - The report is dated July 30, 2025 [1] Core Viewpoint - Stock index options: Implied volatility has declined, and there is still a significant implied volatility premium. A covered call strategy can be considered [2] Market Data Summary Underlying Market Statistics - **Indices**: The Shanghai Composite 50 Index closed at 2819.35, up 10.76; the CSI 300 Index closed at 4151.24, down 0.79; the CSI 1000 Index closed at 6718.48, down 55.40 [3] - **ETFs**: The Shanghai Composite 50 ETF closed at 2.943, up 0.009; the Huatai-PineBridge CSI 300 ETF closed at 4.232, down 0.003; etc [3] Option Market Statistics - **Volume and Open Interest**: For example, the trading volume of Shanghai Composite 50 index options was 56,146, an increase of 29,906; the open interest was 68,176, a decrease of 2,286 [3] - **PCR**: The VL-PCR and OI-PCR of different options vary, such as the VL-PCR of Shanghai Composite 50 index options was 51.35%, and the OI-PCR was 58.89% [3] Option Volatility Statistics - **ATM-IV and HV**: The ATM-IV of Shanghai Composite 50 index options (near - month) was 14.82%, down 1.32%; the same - term HV was 6.37%, up 0.05% [6] - **Skew and VIX**: The Skew of Shanghai Composite 50 index options was 9.62%, down 3.24%; the VIX was 18.64, down 0.976 [6]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Not provided in the given content Summary by Related Catalogs Option Market Data Statistics - **Underlying Market Statistics**: The closing prices, price changes, trading volumes, and other data of various indexes and ETFs are presented, including the Shanghai Composite 50 Index, CSI 300 Index, and others. For example, the Shanghai Composite 50 Index closed at 2728.43, up 11.80, with a trading volume of 31.43 billion lots [1]. - **Option Market Statistics**: The trading volumes, changes, open interests, and other data of various index options and ETF options are provided. For instance, the trading volume of Shanghai Composite 50 Index options was 20,579, a decrease of 3,760, and the open interest was 54,113, an increase of 1,521 [1]. Option Indicator Data Statistics - **Option Volatility Statistics (Near - Month)**: Data such as ATM - IV, IV changes, same - term HV, HV changes, Skew, Skew changes, and VIX are given for different options. For example, the ATM - IV of Shanghai Composite 50 Index options was 13.21%, with an IV change of 0.31% [4]. - **Option Volatility Statistics (Next - Month)**: Similar data for the next - month options are presented, including ATM - IV, IV changes, same - term HV, HV changes, Skew, and Skew changes [4]. Option Charts - **Index Option Charts**: For each index option (e.g., Shanghai Composite 50 Index options, CSI 300 Index options, and CSI 1000 Index options), there are charts showing the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [6][10][15]. - **ETF Option Charts**: For each ETF option (e.g., Shanghai Composite 50 ETF options, Huatai - Baorui 300 ETF options), there are charts presenting the main - contract volatility trend, the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [22][24][26].

Investment Rating - The report provides a positive outlook on the stock index options market, indicating a significant boost in market sentiment [2]. Core Insights - The report highlights a substantial increase in trading volumes and open interest across various stock index options, reflecting heightened market activity and investor interest [4][5]. - The volatility statistics for different index options suggest a mixed but generally stable outlook, with some options showing increased implied volatility, indicating potential for future price movements [5][6]. Summary by Sections Stock Index Options - The Shanghai Stock Exchange 50 Index option closed at 2740.51, with a trading volume of 106,706 and an open interest of 75,838, reflecting a 41.84% increase in volume [4]. - The CSI 300 Index option showed a trading volume of 229,347 and an open interest of 132,647, with a volume change of -1,970, indicating a 47.84% increase [4]. - The CSI 1000 Index option had a trading volume of 344,717 and an open interest of 33,040, with a significant volume increase of 75.27% [4]. Volatility Statistics - The ATM implied volatility for the SSE 50 Index option is reported at 18.54%, with a 4.80% increase, while the historical volatility shows a 15.32% increase [5]. - The CSI 300 Index option has an ATM implied volatility of 17.96%, with a 4.08% increase, and a historical volatility of 18.81% [5]. - The CSI 1000 Index option shows a higher ATM implied volatility of 22.23%, with a slight decrease of 0.36% [5]. ETF Options - The SSE 50 ETF option has an ATM implied volatility of 16.78%, with a 3.03% increase, and a historical volatility of 18.05% [5]. - The Huatai-PineBridge 300 ETF option shows an ATM implied volatility of 16.40%, with a 1.98% increase [5]. - The Southern 500 ETF option has a higher ATM implied volatility of 20.40%, with a 0.71% increase [5]. Market Trends - The report indicates a general upward trend in market sentiment, with various options experiencing increased trading volumes and open interest, suggesting a bullish outlook among investors [2][4]. - The volatility trends indicate that while some options are stabilizing, others are experiencing fluctuations that could present trading opportunities [5][6].

金 融 衍 生 品 研 究 2025 年 3 月 13 日 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【正文】 金融衍生品研究 | 表 2：期权指标数据统计 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 期权波动率统计 | | | | | | | VIX | V I X变动 | | (近月) | ATM-IV | IV变动 | 同期限HV | HV变动 | Skew | Skew变动 | | | | 上证50股指期权 | 13.73% | 0.25% | 12.48% | -0.28% | 5.97% | -3.16% | 16.30 | 0.007 | | 沪深300股指期权 | 13.88% | -0.06% | 11.03% | 0.33% | 5.12% | -2.04% | 16.95 | 0.133 | | 中证1000股指期权 | 22.59% | 0.45% | 18.66% | 5.37% | -5.55% | 1.98% | ...