金 融 衍 生 品 研 究 2025 年 11 月 25 日 股票股指期权：ETF 期权临近到期，近月隐波 上升。 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 | 2968.20 | 17.64 | 42.41 | -8.40 | 2960.67 | -7.54 | 2958.47 | -9.74 | | 沪深300指数 | 4490.40 | 42.36 | 169.57 | -16.26 | 4473.00 | -17.40 | 4463.87 | -26.54 | | 中证1000指数 | 7249.95 | 93.54 | 245.43 | 4.77 | 7179.00 | -7 ...

金 融 衍 生 品 研 究 2025 年 11 月 24 日 股票股指期权：震荡降波，可考虑卖出虚值看 涨期权。 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 | 2950.56 | -5.29 | 50.80 | -9.59 | 2946.20 | -4.36 | 2950.20 | -0.36 | | 沪深300指数 | 4448.05 | -5.56 | 185.83 | -37.02 | 4438.73 | -9.31 | 4427.93 | -20.11 | | 中证1000指数 | 7156.41 | 88.71 | 240.66 | -44.15 | 7098.67 | -5 ...

金 融 衍 生 品 研 究 2025 年 11 月 24 日 股票股指期权：震荡降波，可考虑卖出虚值看 涨期权。 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 | 2950.56 | -5.29 | 50.80 | -9.59 | 2946.20 | -4.36 | 2950.20 | -0.36 | | 沪深300指数 | 4448.05 | -5.56 | 185.83 | -37.02 | 4438.73 | -9.31 | 4427.93 | -20.11 | | 中证1000指数 | 7156.41 | 88.71 | 240.66 | -44.15 | 7098.67 | -57.74 ...

1. Report Industry Investment Rating - No relevant content provided. 2. Core View of the Report - The implied volatility of stock index options is decreasing, and stock index options are approaching expiration [2]. 3. Summary by Related Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai - Shenzhen 300 Index, CSI 1000 Index, Shanghai - Shenzhen related ETFs all decreased. For example, the Shanghai - Shenzhen 300 Index closed at 4564.95, down 23.34; the CSI 1000 Index closed at 7340.41, down 46.80. The trading volumes of most underlying assets changed, with some increasing and some decreasing [3]. - **Option Market Statistics**: The trading volumes and open interests of various options also changed. For instance, the trading volume of Shanghai - Shenzhen 300 Index options was 172,768, up 6704; the open interest was 233,386, down 1521. The VL - PCR and OI - PCR of different options varied, such as the VL - PCR of Shanghai - Shenzhen 300 Index options was 60.97%, and the OI - PCR was 78.20% [3]. 3.2 Option Volatility Statistics - **Near - month Options**: The ATM - IV, IV changes, and other volatility - related indicators of different options showed different trends. For example, the ATM - IV of Shanghai - Shenzhen 300 Index options was 15.02%, up 1.08%; the ATM - IV of Shanghai - Shenzhen 300 ETF options was 15.82%, down 0.13% [6]. - **Next - month Options**: Similar to near - month options, the ATM - IV and other indicators of next - month options also had different changes. For instance, the ATM - IV of Shanghai - Shenzhen 300 Index options was 16.40%, down 0.54% [6]. 3.3 Option Index Data Statistics - No specific analysis content is provided, only the table title is given [7]. 3.4 Different Option Types Analysis - **Shanghai 50 Index Options**: Multiple charts are provided, including the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term - structure chart, which can be used to analyze the market situation of Shanghai 50 Index options [10]. - **Shanghai - Shenzhen 300 Index Options**: Similar to Shanghai 50 Index options, multiple charts are used to analyze the market situation of Shanghai - Shenzhen 300 Index options, such as the full - contract PCR chart and the main - contract volatility chart [14][16]. - **CSI 1000 Index Options**: The report presents relevant charts for CSI 1000 Index options to help analyze its market characteristics [20][21]. - **Shanghai 50 ETF Options**: Various charts are provided to analyze the market of Shanghai 50 ETF options, including the main - contract volatility chart and the full - contract PCR chart [24][26]. - **Huatai - Baorui 300 ETF Options**: Multiple charts are used to analyze the market situation of Huatai - Baorui 300 ETF options [28][30]. - **Southern CSI 500 ETF Options**: The report uses charts to analyze the market of Southern CSI 500 ETF options [32][33]. - **Huaxia Science and Technology Innovation 50 ETF Options**: Relevant charts are provided for the analysis of Huaxia Science and Technology Innovation 50 ETF options [42][43]. - **E Fund Science and Technology Innovation 50 ETF Options**: Multiple charts are used to analyze the market situation of E Fund Science and Technology Innovation 50 ETF options [46][51]. - **Harvest 300 ETF Options**: The report presents charts to analyze the market of Harvest 300 ETF options [54][55]. - **Harvest CSI 500 ETF Options**: Various charts are used to analyze the market situation of Harvest CSI 500 ETF options [59][60]. - **Growth Enterprise Market ETF Options**: Multiple charts are provided to analyze the market of Growth Enterprise Market ETF options [64][66]. - **Shenzhen 100 ETF Options**: The report uses charts to analyze the market situation of Shenzhen 100 ETF options [68][70].

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - With the downward increase in volatility, it is advisable to consider buying put options for protection [2] 3. Summary of Key Information from the Report a. Market Data Statistics - **Underlying Market Statistics**: On November 18, 2025, the closing prices of the Shanghai - Shenzhen 300 Index, CSI 1000 Index, and most of the ETFs declined. For example, the Shanghai - Shenzhen 300 Index closed at 4568.19, down 29.86 points; the CSI 1000 Index closed at 7448.10, down 74.98 points. Trading volumes also showed changes, with some increasing and some decreasing [3]. - **Option Market Statistics**: Volumes and open interests of various options changed. For instance, the volume of CSI 1000 index options increased by 45561 to 323505, and the open interest increased by 5348 to 335884. The VL - PCR and OI - PCR values varied across different options [3]. - **Option Volatility Statistics**: The implied volatility (IV) of most options increased, while the historical volatility (HV) showed different trends. For example, the near - month ATM - IV of Shanghai - Shenzhen 300 index options increased by 2.47% to 16.32%, and the 20 - day HV decreased by 13.74% to 8.41% [6]. b. Option - Specific Figures - Multiple figures are presented for each type of option, including full - contract PCR, main - contract skewness, volatility cones, and volatility term structures, which help in analyzing the market trends and characteristics of different options [10][14][18]

Report Industry Investment Rating - Not provided in the report. Core Viewpoint - The stock index options are experiencing a downward increase in volatility, and a bearish put spread strategy can be considered [2]. Summary by Related Catalogs 1. Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of major indices and ETFs all declined, with the Shanghai - Shenzhen 300 Index dropping 73.93 points to 4628.14, the CSI 1000 Index falling 87.82 points to 7502.76, and the Shanghai 50 Index decreasing 35.24 points to 3038.43. Trading volumes also generally decreased, such as the Shanghai - Shenzhen 300 Index with a trading volume of 192.09 billion hands, a decrease of 15.27 billion hands [3]. - **Option Market Statistics**: The trading volumes of most option varieties decreased, while the open - interest of some increased. For example, the trading volume of Shanghai 50 Index options was 33387, a decrease of 7626, and the open - interest was 71949, an increase of 126. The VL - PCR and OI - PCR of different option varieties showed different characteristics, with the CSI 1000 Index options having an OI - PCR of 110.17% [3]. 2. Option Volatility Statistics - **Near - month Options**: The ATM - IV of most option varieties increased. For instance, the ATM - IV of Shanghai 50 Index options was 13.32%, an increase of 0.17%, and the ATM - IV of Shanghai - Shenzhen 300 Index options was 13.96%, an increase of 1.17%. The HV of most options also increased, and the skew generally decreased [6]. - **Next - month Options**: The changes in ATM - IV and HV of different option varieties were mixed. For example, the ATM - IV of Shanghai 50 Index options was 15.15%, an increase of 0.18%, while the ATM - IV of CSI 1000 Index options was 20.73%, a decrease of 0.01% [6]. 3. Option Charts for Different Varieties - **Index Options (Shanghai 50, Shanghai - Shenzhen 300, CSI 1000)**: There are charts showing the full - contract PCR, main - contract skewness, volatility cone, and volatility term structure. These charts can help analyze the market sentiment and volatility characteristics of different index options [10][14][23]. - **ETF Options (Shanghai 50ETF, Huatai - Baorui 300ETF, etc.)**: Similar to index options, there are also corresponding charts for each ETF option variety to show the PCR, skewness, volatility cone, and volatility term structure, which are used to analyze the market conditions of ETF options [27][31][40].

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - Today, all stock indices fluctuated and consolidated. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 1964.8 billion yuan, a decrease of 49.1 billion yuan compared to the previous day. In the short term, the fermentation rhythm of policy - favorable expectations and the profit - taking rhythm of funds are in a game, and the stock indices are in a volatile and repeated market. In the medium and long term, the policy - favorable expectations and the trend of capital inflow into the stock market together form strong support for the stock indices. Especially next year is the beginning of the "15th Five - Year Plan", and the policy - favorable expectations support the stock indices to rise in the medium and long term. However, the incremental policy signals have weakened in the short term. As the stock valuation has risen significantly, the willingness of profit - making funds to take profits has increased, and the stock indices technically need to consolidate. Overall, with multiple factors at play, the stock indices will mainly fluctuate within a range in the short term. Currently, the implied volatility of options is at a relatively low historical quantile level. Considering the medium - and long - term upward trend of the stock indices, the idea of maintaining a bull spread is recommended [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On November 12, 2025, the 50ETF rose 0.53% to close at 3.197; the 300ETF (Shanghai Stock Exchange) rose 0.04% to close at 4.765; the 300ETF (Shenzhen Stock Exchange) fell 0.06% to close at 4.912; the CSI 300 Index fell 0.13% to close at 4645.91; the CSI 1000 Index fell 0.72% to close at 7486.38; the 500ETF (Shanghai Stock Exchange) fell 0.51% to close at 7.356; the 500ETF (Shenzhen Stock Exchange) fell 0.54% to close at 2.937; the GEM ETF fell 0.16% to close at 3.108; the Shenzhen 100ETF rose 0.09% to close at 3.528; the SSE 50 Index rose 0.32% to close at 3044.30; the Science and Technology Innovation 50ETF fell 0.55% to close at 1.45; the E Fund Science and Technology Innovation 50ETF fell 0.50% to close at 1.41 [5]. - The trading volume PCR and position PCR of various options on November 12, 2025, and their changes compared to the previous trading day are provided in detail, including those of 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), GEM ETF options, Shenzhen 100ETF options, SSE 50 Index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [6]. - The implied volatility of at - the - money options in November 2025 and the 30 - trading - day historical volatility of the underlying assets for various options are also provided, such as 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), GEM ETF options, Shenzhen 100ETF options, SSE 50 Index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [7][8]. 3.2 Relevant Charts - **SSE 50ETF Options**: Include charts of the SSE 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [9]. - **Shanghai Stock Exchange 300ETF Options**: Include charts of the Shanghai Stock Exchange 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [18]. - **Shenzhen Stock Exchange 300ETF Options**: Include charts of the Shenzhen Stock Exchange 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [31]. - **CSI 300 Index Options**: Include charts of the CSI 300 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [43]. - **CSI 1000 Index Options**: Include charts of the CSI 1000 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [56]. - **Shanghai Stock Exchange 500ETF Options**: Include charts of the Shanghai Stock Exchange 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [70]. - **Shenzhen Stock Exchange 500ETF Options**: Include charts of the Shenzhen Stock Exchange 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [83]. - **GEM ETF Options**: Include charts of the GEM ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [96]. - **Shenzhen 100ETF Options**: Include charts of the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [109]. - **SSE 50 Index Options**: Include charts of the SSE 50 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [122]. - **Science and Technology Innovation 50ETF Options**: Include charts of the Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [135]. - **E Fund Science and Technology Innovation 50ETF Options**: Include charts of the E Fund Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [144].

Market Performance - The A-share market opened lower and maintained a weak trend throughout the day, with the Shanghai Composite Index down by 0.07%, the Shenzhen Component Index down by 0.62%, and the ChiNext Index down by 0.79% [1] - The total trading volume in the Shanghai and Shenzhen markets was 16,678 billion yuan [1] Options Market Activity - All varieties of options saw a decline in trading activity, influenced by the expiration of the main ETF contracts, leading to an overall decrease in open interest [2] - Specific trading volumes and open interest for major ETFs included: - Shanghai 50 ETF options: 1,068,860 contracts traded, 1,488,004 contracts open, with a trading volume of 431 million yuan - CSI 300 ETF options: 1,274,494 contracts traded, 1,249,609 contracts open, with a trading volume of 658 million yuan - CSI 500 ETF options: 1,646,858 contracts traded, 1,282,436 contracts open, with a trading volume of 1,456 million yuan - ChiNext ETF options: 1,867,528 contracts traded, 1,999,196 contracts open, with a trading volume of 1,175 million yuan [2] Implied Volatility - Implied volatility for various options slightly decreased but remained at relatively high levels for the year, indicating cautious market sentiment [3] - The weighted implied volatility for key ETFs included: - Shanghai 50 ETF options: 0.1639 - CSI 300 ETF options: 0.1428 - CSI 500 ETF options: 0.1873 - ChiNext ETF options: 0.2999 [3] Market Outlook - Recent significant intraday fluctuations in underlying assets suggest that a turning point may be approaching, with a recommendation to consider strategies that capitalize on increased volatility [3] - In the medium term, the Shanghai and Shenzhen markets are expected to continue a trend of oscillating upward, with opportunities to buy on dips or construct long positions in the distant months [3]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoint of the Report The market is fluctuating weakly, implied volatility is rising. Consider timing to buy put options for protection [1]. 3. Summary by Relevant Catalogs 3.1 Option Market Trading Overview - The total daily average trading volume of all options is 13.5785 million lots, with a total open interest of 10.3924 million lots and a total turnover of 12.963624 billion yuan [1]. 3.2 Option Volatility - The ATM - IV, IV weekly change, 20HV, HV weekly change, Skew, Skew weekly change, VIX, and VIX change of various options are presented in Table 2. For example, the ATM - IV of SSE 50 Index Option is 17.54%, with an IV weekly change of 2.29% [3]. 3.3 Option Liquidity - There are multiple charts showing 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 [4][6][7][8]. 3.4 Option Volatility Level - Last week, there was a divergence between at - the - money implied volatility and historical volatility for various options. The current at - the - money implied volatility and the correlation coefficient between the underlying asset and at - the - money implied volatility of each option are provided. For instance, for SSE 50 Index Option, the current at - the - money implied volatility is 17.54%, and the correlation coefficient is - 79.60% [9]. 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of options can reflect market bull - bear sentiment. There are multiple charts showing the PCR trends and daily环比 incremental percentages of various options [35][36]. 3.6 Market Support and Resistance Level Information - The key support and resistance levels of various option underlying assets are provided. For example, the key support level of SSE 50 Index is 3000, and the resistance level is 3000; the key support level of CSI 1000 Index is 7300, and the resistance level is 7500 [50].

Report Date - The report is dated October 16, 2025 [1] Core Viewpoint - As stock index options approach expiration, the trading volume ratio of put options has decreased [2] Market Data Statistics Underlying Market Statistics - The closing price of the SSE 50 Index was 3019.20, up 17.85, with a trading volume of 6.341 billion hands, an increase of 0.03 billion hands. The synthetic futures for the current month and next month were 3020.40 and 3021.33 respectively, with basis points of 1.20 and 2.14 [3] - The CSI 300 Index closed at 4618.42, up 12.13, with a trading volume of 24.824 billion hands, a decrease of 3.654 billion hands. The synthetic futures for the current month and next month were 4616.07 and 4604.13 respectively, with basis points of -2.36 and -14.29 [3] - The CSI 1000 Index closed at 7401.84, down 81.61, with a trading volume of 23.464 billion hands, a decrease of 1.021 billion hands. The synthetic futures for the current month and next month were 7400.73 and 7295.07 respectively, with basis points of -1.10 and -106.77 [3] Options Market Statistics - The trading volume of SSE 50 Index options was 72,709, an increase of 17,701, with an open interest of 78,533, an increase of 858. The VL - PCR was 58.30%, and the OI - PCR was 82.83%. The maximum call and put open interests in the near - month were at strike prices of 3050 and 2900 respectively [3] - The trading volume of CSI 300 Index options was 203,367, an increase of 14,560, with an open interest of 200,887, a decrease of 259. The VL - PCR was 73.39%, and the OI - PCR was 97.07%. The maximum call and put open interests in the near - month were at strike prices of 4700 and 4500 respectively [3] - The trading volume of CSI 1000 Index options was 362,400, a decrease of 58,777, with an open interest of 302,815, an increase of 5121. The VL - PCR was 98.62%, and the OI - PCR was 96.70%. The maximum call and put open interests in the near - month were at strike prices of 7500 and 7200 respectively [3] Options Volatility Statistics Near - Month - The ATM - IV of SSE 50 Index options was 14.96%, an increase of 0.35%. The Skew was -3.35%, a decrease of 1.45%. The VIX was 18.74, an increase of 0.152 [6] - The ATM - IV of CSI 300 Index options was 14.54%, a decrease of 0.69%. The Skew was -3.65%, a decrease of 0.48%. The VIX was 20.00, a decrease of 0.103 [6] - The ATM - IV of CSI 1000 Index options was 19.27%, a decrease of 0.05%. The Skew was -4.18%, an increase of 2.21%. The VIX was 24.67, an increase of 0.708 [6] Next - Month - The ATM - IV of SSE 50 Index options was 16.42%, an increase of 0.36%. The Skew was -1.69%, an increase of 0.88% [6] - The ATM - IV of CSI 300 Index options was 17.61%, a decrease of 0.10%. The Skew was -4.64%, a decrease of 0.18% [6] - The ATM - IV of CSI 1000 Index options was 23.02%, an increase of 0.86%. The Skew was -7.62%, a decrease of 1.40% [6] Option Types Analysis SSE 50 Index Options - Multiple charts are provided, including the full - contract PCR chart, the main - contract skew chart, the volatility cone chart, and the volatility term - structure chart [10][12] CSI 300 Index Options - Similar to SSE 50 Index options, multiple charts are presented, such as the main - contract volatility chart, the full - contract PCR chart, and the volatility cone chart [14][16] CSI 1000 Index Options - Relevant charts include the main - contract volatility chart, the full - contract PCR chart, and the volatility term - structure chart [19][23][25] SSE 50ETF Options - Charts cover the main - contract volatility, full - contract PCR, and volatility cone [27][28][29] Huatai - Baorui 300ETF Options - There are main - contract volatility, full - contract PCR, and volatility term - structure charts [31][33][36] Southern CSI 500ETF Options - The analysis includes main - contract volatility, full - contract PCR, and volatility cone charts [41][42][45] Huaxia Science and Technology Innovation 50ETF Options - Charts involve main - contract volatility, full - contract PCR, and volatility term - structure [49][51][53] E Fund Science and Technology Innovation 50ETF Options - Main - contract volatility, full - contract PCR, and volatility cone charts are provided [56][60][61] Harvest 300ETF Options - Relevant charts are main - contract volatility, full - contract PCR, and volatility term - structure [63][65] Harvest CSI 500ETF Options - The analysis includes main - contract volatility, full - contract PCR, and volatility cone charts [67][68][69] ChiNext ETF Options - Charts cover main - contract volatility, full - contract PCR, and volatility term - structure [71][72][73] Shenzhen 100ETF Options - There are main - contract volatility, full - contract PCR, and volatility cone charts [75][77][78]