80% 0.2 70% 60% 0.15 50% 0.1 40% 30% 0.05 20% 0 10% 2025-07-09 2025-09-09 2025-10-09 2025-11-09 2025-08-09 0% HV5 HV20 HV60 5日 20日 40日 60日 120日 波动率微笑曲线 上证50下月平值隐波 0.28 2512 2511 0.26 0.24 0000000000円円円円円11円 NW$010×4000×100×400 0.22 0.2 0.18 0.16 0.14 0.12 0.1 2325 2475 2400 2600 沪深300波动率分析 沪深300历史波动率 历史波动率锥 0.25 最小值 ·30%分位值 10%分位值 最大值 当前值 90%分位值 ·60%分位值 0.2 100% 90% 0.15 80% 70% 0.1 60% 50% 0.05 40% 30% 20% 0 10% 2025-07-09 2025-08-09 2025-09-09 2025-10-09 2025-11-09 0% HV5 - HV20 HV60 5日 20日 40日 60日 120日 波 ...

（1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为高位震荡上行的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率下降，但维持较高水平波动。 金融期权 2025-11-25 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： 金融期权研究 表3：期权因子—量仓PCR （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- ...

投资咨询业务资格:证监许可【2012】31号 股指期权数据日报 投资咨询号:Z0000116 国贸期货研究院 2025/11/24 金融衍生品中心 李泽钜 从业资格号:F0251925 数据来源: Wind,国贸期货研究院 行情回顾 指数 收盘价 涨跌幅(%) 成交额(亿元) 成交量(亿) 1263. 25 上证50 2955. 8541 -1.74 60. 39 222. 85 沪深300 4453. 6076 4812. 96 -2. 44 7067. 703 -3.72 4086. 72 284. 80 中证1000 中金所股指期权成交情况 期权成交量 认购期权 认洁期权 日成交量 期权持企量 认购期权 认洁期权 持仓量 指数 持仓量 (万张) (万张) 持仓量 成交量 成交量 PCR PCR 上证50 5. 22 9.09 3. 88 0. 74 5. 39 3. 15 2. 24 0. 71 15. 77 6. 32 沪深300 26. 30 13. 94 12. 36 0. 89 0. 67 9. 45 27. 70 中证1000 54. 63 0. 97 26. 75 12. 24 26. 93 ...

何跃以"论剑"的昵称连续参与了多年全国期货（期权）实盘交易大赛。今年，他获得了产业组第五名的 佳绩。 从"找差距"到"证体系" "刚开始参赛，就是想看看自己的东西能不能跟上行情。每年参赛人数都在涨，高手越来越多，不跟别 人比一比，很容易自我封闭。"何跃说。 不过，他也坦言，自己今年的交易并不完美。"回撤有点大，最大一次是在4月初。当时我做的是单边， 觉得大盘点位低，没做好对冲，忽略了市场的波动。"何跃表示，这次教训让他更加确信，任何时候都 要做好对冲，尤其是期权这个工具，一定要用到位。 何跃与期货的缘分，始于2008年的大学校园。彼时，他还是四川大学工商管理专业的学生，通过导师的 理财规划师课程接触到期货，又被网上利弗莫尔的交易传奇深深吸引。"我性格内向，不爱交流，觉得 交易这种'自己跟市场对话'的事，特别适合我。"他称。 2009年，何跃正式开始交易。最初几年，凭借对技术分析的迷恋——尤其是分时图，加上行情配合，他 顺风顺水。然而，这份"自信"很快变成了"自负"。2015年，何跃毅然成立期货交易工作室，开始重仓、 频繁交易。 "那时候觉得自己能掌控市场。结果，2015到2018年的那段日子，是我人生的'至暗 ...

不过，他也坦言，自己今年的交易并不完美。"回撤有点大，最大一次是在4月初。当时我做的是单边， 觉得大盘点位低，没做好对冲，忽略了市场的波动。"何跃表示，这次教训让他更加确信，任何时候都 要做好对冲，尤其是期权这个工具，一定要用到位。 在何跃的交易字典里，"极端"与"对冲"是两个绕不开的关键词。他的交易风格以主观交易为核心，今年 大赛的盈利正是基于对宏观政策的判断而布局的股指期货与股指期权仓单。"去年9月24日之后，国家出 台了一系列增量政策，我当时就判断，未来会有十年'牛市'。"何跃解释。 具体策略上，何跃有着明确的"点位纪律"。"大盘4000点之下，我做单边多头期货期权；4000点之上， 就切换成股指期货多头+期权空头对冲。现在是'牛市'初期，4000点之下的策略还会用一段时间。"他 称。 复杂的事简单做、简单的事重复做——专访产业组第五名何跃 何跃以"论剑"的昵称连续参与了多年全国期货（期权）实盘交易大赛。今年，他获得了产业组第五名的 佳绩。 1.从"找差距"到"证体系" "刚开始参赛，就是想看看自己的东西能不能跟上行情。每年参赛人数都在涨，高手越来越多，不跟别 人比一比，很容易自我封闭。"何跃说。 "股 ...

调整中见韧性：VIX 理性上行叠加期指资金积极布局 [Table_ReportTime] 2025 年 11 月 22 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 [Table_FirstAuthor] 于明明 金融工程与金融产品首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 证券研究报告 于明明 金融工程与金融产品 首席分析师 执业编号：S1500521070001 联系电话：+86 18616021459 邮 箱：yumingming@cindasc.com 崔诗笛 金融工程与金融产品 金融工程分析师 执业编号：S1500523080001 联系电话：+86 18516560686 邮 箱：cuishidi@cindasc.com 孙石 金融工程与金融产品 金融工程分析师 执业编号：S1500523080010 联系电话：+86 18817366228 邮 箱：sunshi@cindasc.com 信达证券股份有限公司 CINDA SECURITIES CO.,L ...

前言： 家人们快醒醒！最近又有人拿 "股指期货交割日必跌" 的说法忽悠人，还扯什么欧美 "四巫日" 的魔咒， 说得神乎其神，让不少散户没到交割日就慌着卖股票。 可你们知道吗？这根本就是资本市场的 "猎巫行动"，和欧洲中世纪迫害无辜的闹剧没两样！ 猎巫行动的本质是人心险恶 先给大家讲个真实的历史故事。1782 年，瑞士有个叫安娜・戈尔迪的女佣，因为撞见雇主妻子偷情， 被反咬一口指控用巫术给孩子下毒。 酷刑之下，安娜被迫承认和魔鬼签约，最后被送上断头台。其实根本没有什么巫术，只是人心的险恶在 作祟。 这场悲剧终结了欧洲长达 300 年的猎巫行动，可没想到，这么多年过去，资本市场里的 "猎巫" 从来没 停过。 现在流传的 "交割日必跌"，就是典型的资本市场猎巫。有人说欧美市场有 "四巫日"，每到季度第三个 星期五，股指期货、股指期权这些衍生品同时交割，市场肯定会跌。 还把这一套生搬硬套到 A 股，说咱们每月第三个星期五的交割日，也逃不过下跌的命运。这话听着挺 吓人，可真的是这么回事吗？ 今天就把这事掰开揉碎了说，用数据和事实告诉你：A 股根本没有所谓的 "交割日魔咒"，那些拿这话 唬人的，就是想收割韭菜！ 统计 2 ...

投资咨询号: Z0000116 国贸期货研究院 2025/11/21 金融衍生品中心 李泽钜 从业资格号:F0251925 数据来源: Wind,国贸期货研究院 行情回顾 指数 成交量(亿) 收盘价 涨跌幅(%) 成交额(亿元) 上证50 1009. 82 3008. 2904 54. 04 -0. 40 沪深300 4564. 9483 -0. 51 4150. 65 194. 56 3567. 12 227. 54 中证1000 7340. 4118 -0. 63 中金所股指期权成交情况 期权成交量 认购期权 认洁期权 日成交量 期权持企量 认购期权 认洁期权 持仓量 指数 持仓量 (万张) (万张) 持仓量 成交量 成交量 PCR PCR 上证50 3. 27 5. 53 3. 47 2. 07 0. 60 7. 69 0. 74 4. 42 10. 73 沪深300 17. 28 6. 54 0. 61 23. 34 13. 10 10. 24 0. 78 中证1000 33. 92 0. 78 34. 41 16. 23 19. 11 14. 82 18. 18 0. 89 沪深300PCR走势 中 ...

1. Report Industry Investment Rating - No information provided in the content 2. Core Viewpoints of the Report - The stock market, including the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks, shows a high - level volatile upward market trend [2]. - The implied volatility of financial options has decreased but remains at a relatively high level of fluctuation [2]. - For ETF options, it is suitable to construct a bullish buyer strategy and a bull spread strategy for call options; for index options, it is suitable to construct a bullish seller strategy, a bull spread strategy for call options, and an arbitrage strategy between synthetic long futures of options and short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Indexes - The Shanghai Composite Index closed at 3,931.05, down 15.69 (-0.40%), with a trading volume of 711.3 billion yuan, a decrease of 9.6 billion yuan, and a PE of 16.46 [3]. - The Shenzhen Component Index closed at 12,980.82, down 99.27 (-0.76%), with a trading volume of 996.8 billion yuan, a decrease of 8.2 billion yuan, and a PE of 29.93 [3]. - The Shanghai 50 Index closed at 3,008.29, down 12.06 (-0.40%), with a trading volume of 101 billion yuan, an increase of 1.4 billion yuan, and a PE of 12.03 [3]. - The SSE 300 Index closed at 4,564.95, down 23.34 (-0.51%), with a trading volume of 415.1 billion yuan, an increase of 29.8 billion yuan, and a PE of 14.14 [3]. - The CSI 500 Index closed at 7,061.95, down 60.80 (-0.85%), with a trading volume of 254.2 billion yuan, a decrease of 2.6 billion yuan, and a PE of 32.17 [3]. - The CSI 1000 Index closed at 7,340.41, down 46.80 (-0.63%), with a trading volume of 356.7 billion yuan, a decrease of 10.5 billion yuan, and a PE of 46.45 [3]. 3.2 Option - underlying ETF Market - The Shanghai 50 ETF closed at 3.156, down 0.009 (-0.28%), with a trading volume of 3.8637 million shares, an increase of 3.7926 million shares, and a trading value of 1.225 billion yuan, a decrease of 1.029 billion yuan [4]. - The Shanghai 300 ETF closed at 4.676, down 0.021 (-0.45%), with a trading volume of 5.6194 million shares, an increase of 5.5337 million shares, and a trading value of 2.645 billion yuan, a decrease of 1.382 billion yuan [4]. - The Shanghai 500 ETF closed at 7.170, down 0.057 (-0.79%), with a trading volume of 3.0324 million shares, an increase of 3.0077 million shares, and a trading value of 2.184 billion yuan, an increase of 0.397 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.396, down 0.017 (-1.20%), with a trading volume of 23.5876 million shares, an increase of 23.399 million shares, and a trading value of 3.317 billion yuan, an increase of 0.644 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.352, down 0.017 (-1.24%), with a trading volume of 6.5031 million shares, an increase of 6.4286 million shares, and a trading value of 0.886 billion yuan, a decrease of 0.137 billion yuan [4]. - The Shenzhen 300 ETF closed at 4.826, down 0.019 (-0.39%), with a trading volume of 1.2255 million shares, an increase of 1.2138 million shares, and a trading value of 0.594 billion yuan, an increase of 0.029 billion yuan [4]. - The Shenzhen 500 ETF closed at 2.865, down 0.024 (-0.83%), with a trading volume of 0.594 million shares, an increase of 0.5872 million shares, and a trading value of 0.171 billion yuan, a decrease of 0.026 billion yuan [4]. - The Shenzhen 100 ETF closed at 3.363, down 0.021 (-0.62%), with a trading volume of 0.6624 million shares, an increase of 0.6534 million shares, and a trading value of 0.225 billion yuan, a decrease of 0.081 billion yuan [4]. - The ChiNext ETF closed at 3.026, down 0.031 (-1.01%), with a trading volume of 13.808 million shares, an increase of 13.6755 million shares, and a trading value of 4.222 billion yuan, an increase of 0.162 billion yuan [4]. 3.3 Option Factors - Volume and Position PCR - For the Shanghai 50 ETF option, the trading volume was 978,500 contracts, a decrease of 38,300 contracts; the open interest was 1,510,500 contracts, a decrease of 19,200 contracts; the volume PCR was 0.94, a decrease of 0.12; the position PCR was 0.87, a decrease of 0.02 [5]. - For the Shanghai 300 ETF option, the trading volume was 1,167,700 contracts, a decrease of 68,200 contracts; the open interest was 1,443,800 contracts, an increase of 3,800 contracts; the volume PCR was 0.94, a decrease of 0.20; the position PCR was 0.91, a decrease of 0.04 [5]. - For the Shanghai 500 ETF option, the trading volume was 1,603,400 contracts, an increase of 34,900 contracts; the open interest was 1,492,900 contracts, an increase of 22,400 contracts; the volume PCR was 0.93, a decrease of 0.17; the position PCR was 1.04, a decrease of 0.04 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 1,440,700 contracts, a decrease of 27,400 contracts; the open interest was 2,532,800 contracts, an increase of 33,700 contracts; the volume PCR was 0.69, a decrease of 0.16; the position PCR was 0.79, a decrease of 0.03 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 323,700 contracts, an increase of 28,100 contracts; the open interest was 669,100 contracts, an increase of 12,900 contracts; the volume PCR was 1.03, a decrease of 0.01; the position PCR was 0.77, a decrease of 0.01 [5]. - For the Shenzhen 300 ETF option, the trading volume was 182,700 contracts, a decrease of 15,500 contracts; the open interest was 327,400 contracts, a decrease of 10,000 contracts; the volume PCR was 1.03, a decrease of 0.56; the position PCR was 0.91, a decrease of 0.07 [5]. - For the Shenzhen 500 ETF option, the trading volume was 369,500 contracts, an increase of 120,500 contracts; the open interest was 447,800 contracts, an increase of 400 contracts; the volume PCR was 1.78, an increase of 0.20; the position PCR was 0.70, a decrease of 0.03 [5]. - For the Shenzhen 100 ETF option, the trading volume was 128,900 contracts, an increase of 52,800 contracts; the open interest was 155,500 contracts, a decrease of 2,600 contracts; the volume PCR was 1.81, a decrease of 0.08; the position PCR was 1.29, a decrease of 0.12 [5]. - For the ChiNext ETF option, the trading volume was 2,098,800 contracts, an increase of 208,600 contracts; the open interest was 2,080,200 contracts, an increase of 19,300 contracts; the volume PCR was 0.90, a decrease of 0.06; the position PCR was 0.97, a decrease of 0.05 [5]. - For the Shanghai 50 index option, the trading volume was 54,100 contracts, an increase of 5,700 contracts; the open interest was 78,200 contracts, an increase of 1,600 contracts; the volume PCR was 0.59, a decrease of 0.08; the position PCR was 0.74, an increase of 0.01 [5]. - For the SSE 300 index option, the trading volume was 170,200 contracts, an increase of 4,100 contracts; the open interest was 236,000 contracts, an increase of 1,100 contracts; the volume PCR was 0.60, a decrease of 0.11; the position PCR was 0.78, a decrease of 0.01 [5]. - For the CSI 1000 index option, the trading volume was 336,200 contracts, a decrease of 25,500 contracts; the open interest was 347,200 contracts, an increase of 3,900 contracts; the volume PCR was 0.77, a decrease of 0.05; the position PCR was 0.89, a decrease of 0.02 [5]. 3.4 Option Factors - Pressure and Support Points - For the Shanghai 50 ETF, the underlying closing price was 3.156, the at - the - money strike price was 3.20, the pressure point was 3.20 with an offset of 0.00, the support point was 3.10 with an offset of 0.00, the maximum call open interest was 151,449 contracts, and the maximum put open interest was 99,449 contracts [7]. - For the Shanghai 300 ETF, the underlying closing price was 4.676, the at - the - money strike price was 4.70, the pressure point was 4.80 with an offset of 0.00, the support point was 4.60 with an offset of 0.00, the maximum call open interest was 107,595 contracts, and the maximum put open interest was 77,161 contracts [7]. - For the Shanghai 500 ETF, the underlying closing price was 7.170, the at - the - money strike price was 7.25, the pressure point was 7.50 with an offset of 0.00, the support point was 7.00 with an offset of 0.00, the maximum call open interest was 130,547 contracts, and the maximum put open interest was 87,079 contracts [7]. - For the Huaxia Science and Technology Innovation 50 ETF, the underlying closing price was 1.396, the at - the - money strike price was 1.40, the pressure point was 1.50 with an offset of 0.00, the support point was 1.35 with an offset of 0.00, the maximum call open interest was 139,380 contracts, and the maximum put open interest was 88,753 contracts [7]. - For the E Fund Science and Technology Innovation 50 ETF, the underlying closing price was 1.352, the at - the - money strike price was 1.35, the pressure point was 1.40 with an offset of - 0.10, the support point was 1.30 with an offset of 0.00, the maximum call open interest was 24,023 contracts, and the maximum put open interest was 19,237 contracts [7]. - For the Shenzhen 300 ETF, the underlying closing price was 4.826, the at - the - money strike price was 4.80, the pressure point was 4.90 with an offset of - 0.10, the support point was 4.70 with an offset of 0.00, the maximum call open interest was 19,268 contracts, and the maximum put open interest was 18,301 contracts [7]. - For the Shenzhen 500 ETF, the underlying closing price was 2.865, the at - the - money strike price was 2.85, the pressure point was 2.90 with an offset of - 0.20, the support point was 2.85 with an offset of 0.10, the maximum call open interest was 20,946 contracts, and the maximum put open interest was 14,193 contracts [7]. - For the Shenzhen 100 ETF, the underlying closing price was 3.363, the at - the - money strike price was 3.40, the pressure point was 3.61 with an offset of 0.00, the support point was 3.32 with an offset of 0.00, the maximum call open interest was 6,053 contracts, and the maximum put open interest was 7,559 contracts [7]. - For the ChiNext ETF, the underlying closing price was 3.026, the at - the - money strike price was 3.00, the pressure point was 3.10 with an offset of - 0.10, the support point was 3.00 with an offset of 0.00, the maximum call open interest was 144,175 contracts, and the maximum put open interest was 85,630 contracts [7]. - For the Shanghai 50 index option, the underlying closing price was 3,008.29, the at - the - money strike price was 3,000, the pressure point was 3,100 with an offset of 50, the support point was 2,900 with an offset of - 100, the maximum call open interest was 3,441 contracts, and the maximum put open interest was 2,106 contracts [7]. - For the SSE 300 index option, the underlying closing price was 4,564.95, the at - the - money strike price was 4,550, the pressure point was 4,700 with an offset of 0, the support point was 4,500 with an offset of - 100, the maximum call open interest was 6,788 contracts, and the maximum put open interest was 3,673 contracts [7]. - For the CSI 1000 index option, the underlying closing price was 7,340.41, the at - the - money strike price was 7,300, the pressure point was 7,400 with an offset of - 100, the support point was 7,000 with an offset of - 200, the maximum call open interest was 9,706 contracts, and the maximum put open interest was 6,047 contracts [7]. 3.5 Option Factors - Implied Volatility - For the Shanghai 50 ETF option, the at - the - money implied volatility was 14.09%, the weighted implied volatility was 14.88%, a decrease of 0.36%, the annual average was 16

投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2025-11-21 股市哑铃应对，债市表现分化 股指期货：哑铃结构应对市场。 股指期权：备兑防御为主。 国债期货：资⾦⾯因素或对多头情绪形成⼀定⽀撑。 股指期货方面，哑铃结构应对市场。周四权益市场延续弱势，煤炭、 电新、石化领跌，涨价链保持一天领涨一天领跌的状态，显示在涨价链量 能占比进入高位之后，资金的分歧心理加剧。故在主线明晰之前，股指期 货市场预计承压稳固为主。量能方面，全天成交额在1.7万亿附近，市场 换手率进入底部显示参与度降低，尤其是在隔夜美股以及日股反弹之后， 市场偏好延续下行隐含止盈需求强烈。对于后市，12月中下旬或是潜在变 盘点，一是重要会议临近，存在政策炒作的基础，二是美联储议息会议结 束，届时针对降息放缓的担忧存在弱化可能，三是临近传统春躁启动时 点，存在资金提前布局的可能性。短期，以哑铃结构应对市场。 股指期权方面，备兑防御为主。昨日权益指数震荡走弱，沪指收跌0. 40%。期权方面，各个品种成交额加总回落6.70%，虽然整体变动有限，但 昨日最新期权流动性位于10月以来的21.80%偏低分位水平。正如我 ...