金 融 衍 生 品 研 究 2025 年 9 月 23 日 股票股指期权：近月隐波下行，ETF 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 | | 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 | 2919.51 | -2.66 | 62.90 | 15.92 | 2922.20 | 2.69 | 2920.33 | 0.82 | | 沪深300指数 | 4519.78 | -2.83 | 252.83 | 56.37 | 4508.67 | -11.11 | 4495.47 | -24.31 | | 中证1000指数 | 7408.07 | -81.41 | 313.26 | 42.90 | 7309.53 | -98.54 | ...

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 | 2968.54 | -14.54 | 61.71 | -6.62 | 2968.27 | -0.27 | 2970.27 | 1.73 | | 沪深300指数 | 4522.00 | -26.04 | 266.44 | 13.18 | 4523.93 | 1.94 | 4520.20 | -1.80 | | 中证1000指数 | 7422.88 | 23.00 | 315.84 | 21.86 | 7389.47 | -33.42 | 7326.73 | -96.15 | | 上证50ETF | 3.104 | -0.018 | 6.95 | -6 ...

2025 年 9 月 11 日 股票股指期权：上行升波，看涨情绪上升，可 考虑牛市看涨价差策略。 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 | 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 | 2983.08 | 43.49 | 68.33 | 11.92 | 2988.67 | 5.58 | 2989.00 | 5.92 | | 沪深300指数 | 4548.03 | 102.67 | 253.26 | 49.67 | 4559.07 | 11.03 | 4552.00 | 3.97 | | 中证1000指数 | 7399.89 | 169.72 | 293.98 | 41.30 | 7385.27 | -14.62 | 7320.07 | ...

Report Summary 1. Market Conditions - On July 29, 2025, in the stock index option market, the intraday implied volatility showed a positive correlation with the underlying assets and increased, and the implied volatility premium expanded [1]. 2. Market Data 2.1 Underlying Market Statistics - **Indices**: The closing prices of the Shanghai - Shenzhen 300 Index, the CSI 1000 Index, and the Shanghai Composite 50 Index were 4152.02, 6773.88, and 2808.59 respectively, with increases of 16.20, 43.91, and 5.82. Their trading volumes were 230.81 billion, 259.26 billion, and 47.05 billion shares, with changes of 8.05 billion, 6.52 billion, and - 2.69 billion shares [1]. - **ETFs**: The closing prices of the Huatai - Bairui 300 ETF, the Southern 500 ETF, and the ChinaAMC Science - Innovation 50 ETF were 4.235, 6.431, and 1.125 respectively, with increases of 0.021, 0.040, and 0.015. Their trading volumes were 8.06 billion, 2.13 billion, and 37.52 billion shares, with changes of 2.03 billion, 0.11 billion, and - 0.73 billion shares [1]. 2.2 Option Market Statistics - **Trading Volume and Open Interest**: The trading volumes of the Shanghai - Shenzhen 300 Index Option, the CSI 1000 Index Option, and the Shanghai Composite 50 Index Option were 71146, 181506, and 26240 respectively, with changes of - 5069, 476, and - 5095. Their open interests were 191714, 253286, and 70462 respectively, with changes of 3662, 7762, and 1265 [1]. - **PCR Indicators**: The VL - PCR of the Shanghai - Shenzhen 300 Index Option, the CSI 1000 Index Option, and the Shanghai Composite 50 Index Option were 58.24%, 81.44%, and 44.26% respectively, and the OI - PCR were 72.66%, 96.82%, and 55.62% respectively [1]. 2.3 Option Volatility Statistics - **ATM - IV and HV**: For the Shanghai - Shenzhen 300 Index Option, the near - month ATM - IV was 15.72% with a change of - 0.07%, and the same - term HV was 6.49% with a change of - 0.04%. For the CSI 1000 Index Option, the near - month ATM - IV was 19.03% with a change of - 0.36%, and the same - term HV was 8.53% with a change of 0.04% [4]. - **Skew and VIX**: The skew of the Shanghai - Shenzhen 300 Index Option was 9.81% with a change of - 2.44%, and the VIX was 19.76 with a change of 0.059. The skew of the CSI 1000 Index Option was 1.81% with a change of - 1.18%, and the VIX was 23.21 with a change of - 0.002 [4]. 3. Option - Specific Charts - For each type of option (such as the Shanghai Composite 50 Index Option, the Shanghai - Shenzhen 300 Index Option, etc.), there are charts showing the full - contract PCR, the main - contract volatility, the main - contract skew, the volatility cone, and the volatility term structure [8][12][15].

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View In 2025, on June 4th, the implied volatility of stock index options increased in a positive correlation during intraday trading. A bull call spread strategy can be considered [1]. 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, and other indices rose. For example, the Shanghai - Shenzhen 300 Index closed at 3868.74, up 16.73 points; the CSI 1000 Index closed at 6123.17, up 53.14 points. Trading volumes of most indices decreased, such as the Shanghai - Shenzhen 300 Index with a trading volume of 116.80 billion shares, a decrease of 14.60 billion shares [2]. - **Option Market Statistics**: Trading volumes of most options decreased, while open interest increased. For instance, the trading volume of Shanghai - Shenzhen 300 index options was 44122, a decrease of 6399, and the open interest was 174658, an increase of 2711. The VL - PCR and OI - PCR of different options varied [2]. 3.2 Option Indicator Data Statistics - **Option Volatility Statistics (Near - Month)**: The ATM - IV of different options showed different changes. For example, the ATM - IV of CSI 1000 index options was 18.40%, up 0.32%. The HV of most options also changed, with the HV of CSI 1000 index options at 14.70%, up 0.51% [5]. - **Option Volatility Statistics (Next - Month)**: The ATM - IV and HV of different options also had corresponding changes. For example, the ATM - IV of Shanghai - Shenzhen 300 index options was 12.90%, down 0.30%, and the HV was 8.09%, up 0.06% [5]. 3.3 Option Charts - **Shanghai 50 Index Options**: Include full - contract PCR charts, main - contract skewness trend charts, volatility cone charts, and volatility term structure charts [9]. - **Shanghai - Shenzhen 300 Index Options**: Include full - contract PCR charts, main - contract skewness trend charts, volatility cone charts, and volatility term structure charts [13]. - **CSI 1000 Index Options**: Include full - contract PCR charts, main - contract skewness trend charts, volatility cone charts, and volatility term structure charts [17]. - **ETF Options (Shanghai 50ETF, Huatai - Baorui 300ETF, etc.)**: Each type of ETF option has corresponding full - contract PCR charts, main - contract skewness trend charts, volatility cone charts, and volatility term structure charts [24][28].

Investment Rating - The report provides a positive outlook on the stock index options market, indicating a stable implied volatility and an overall positive bias structure [1]. Core Insights - The report highlights that the options market is experiencing fluctuations, with the implied volatility remaining steady. This suggests a potential for investment opportunities in the current market environment [1]. Summary by Sections Options Market Data Statistics - The report includes detailed statistics on various indices, such as the Shanghai Composite Index, CSI 300 Index, and others, showing closing prices, changes, and trading volumes. For instance, the CSI 300 Index closed at 4007.72 with a change of +10.94, while the trading volume was 140.21 million contracts, reflecting a decrease of 21.99 million contracts [2]. - The report also provides insights into the options market statistics, including trading volumes and open interest for different ETFs, such as the Huatai-PineBridge 300 ETF and the Southern 500 ETF, indicating significant trading activity [2]. Options Volatility Statistics - The report presents volatility statistics for various options, such as the ATM implied volatility for the CSI 1000 index options at 20.95%, with a slight decrease of 0.25% [4]. - It also details the skew and historical volatility changes, providing a comprehensive view of market sentiment and potential price movements [4]. Specific Index Options Analysis - The report analyzes specific index options, including the Shanghai 50 Index options, which show an ATM implied volatility of 15.95% and a historical volatility of 25.48% [4][7]. - The CSI 300 Index options are highlighted with an ATM implied volatility of 15.17%, indicating a stable market environment [11]. ETF Options Analysis - The report discusses various ETF options, such as the Huatai-PineBridge 300 ETF options, which have an ATM implied volatility of 15.73% and a trading volume of 884,964 contracts [22]. - The Southern 500 ETF options show a significant increase in trading volume, indicating heightened market interest [28]. Overall Market Sentiment - The report concludes with an analysis of market sentiment, suggesting that the current market conditions may present favorable investment opportunities, particularly in the options segment [1].

Investment Rating - The report does not explicitly state an investment rating for the industry or specific companies [1]. Core Insights - The report indicates a slight increase in implied volatility, with market sentiment turning bearish as evidenced by the decline in the underlying indices [1]. - The trading volume for options has shown significant changes, with notable increases in the trading volume of the CSI 1000 index options, which reached 291,254 contracts, an increase of 42,809 contracts [1]. - The report highlights that the implied volatility for the CSI 1000 index options is at 22.14%, reflecting a decrease of 0.15% [4]. Summary by Sections Market Statistics - The Shanghai Composite Index closed at 2,669.01, down by 13.21 points, with a trading volume of 43.45 billion contracts, an increase of 1.26 billion contracts [1]. - The CSI 300 Index closed at 3,927.23, down by 14.18 points, with a trading volume of 156.73 billion contracts, an increase of 11.98 billion contracts [1]. Options Market Statistics - The trading volume for the Shanghai 50 index options was 27,268 contracts, an increase of 3,066 contracts, with an open interest of 75,500 contracts, up by 1,532 contracts [1]. - The trading volume for the CSI 300 index options was 94,675 contracts, an increase of 9,018 contracts, with an open interest of 219,064 contracts, up by 4,506 contracts [1]. Volatility Statistics - The ATM implied volatility for the Shanghai 50 index options is at 13.48%, down by 0.17% [4]. - The ATM implied volatility for the CSI 300 index options is at 13.94%, up by 0.16% [4]. - The ATM implied volatility for the CSI 1000 index options is at 22.14%, down by 0.15% [4].

2025 年 3 月 11 日 股票股指期权：低开升波，隐波未随市场上行 而有明显下降，市场表现偏谨慎。 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 | 2682.22 | 13.42 | 42.19 | -8.64 | 2674.67 | -7.56 | 2674.60 | -7.62 | | 沪深300指数 | 3941.42 | 12.61 | 144.75 | -8.01 | 3929.53 | -11.88 | 3922.07 | -19.35 | | 中证1000指数 | 6551.73 | 30.7 ...

Investment Rating - The report suggests a low volatility environment in the stock index options market, recommending a reverse ratio spread strategy [2]. Core Insights - The report highlights the current state of the options market, indicating a significant decrease in trading volumes across various indices, with the Shanghai Composite Index and CSI 300 Index showing declines of 13.40 million and 27.23 million contracts respectively [3]. - The implied volatility (IV) for major indices is relatively low, with the Shanghai 50 Index at 13.48% and the CSI 300 Index at 13.63%, suggesting a stable market outlook [6]. Summary by Sections Options Market Statistics - The Shanghai 50 Index closed at 2682.02, down 1.93, with a trading volume of 44.32 billion contracts, a decrease of 13.40 billion contracts [3]. - The CSI 300 Index closed at 3944.01, down 12.22, with a trading volume of 166.73 billion contracts, a decrease of 27.23 billion contracts [3]. - The trading volume for the CSI 1000 Index was 308.89 billion contracts, with a decrease of 8.33 billion contracts [3]. Options Volatility Statistics - The ATM implied volatility for the Shanghai 50 Index is 13.48%, with a decrease of 1.27% [6]. - The ATM implied volatility for the CSI 300 Index is 13.63%, with a decrease of 1.13% [6]. - The ATM implied volatility for the CSI 1000 Index is 21.57%, with a decrease of 0.54% [6]. Options Trading Volume and Open Interest - The trading volume for the Shanghai 50 stock index options was 27123, down 18102, with an open interest of 72970, down 497 [3]. - The trading volume for the CSI 300 stock index options was 80920, down 61347, with an open interest of 206136, up 3282 [3]. - The trading volume for the CSI 1000 stock index options was 239415, down 60512, with an open interest of 250917, up 4076 [3].