【正文】 2025 年 7 月 29 日 股票股指期权：盘中隐波与标的呈现正相关上 行，隐波溢价扩大。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 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 | 2808.59 | 5.82 | 47.05 | -2.69 | 2814.33 | 5.74 | 2816.33 | 7.74 | | 沪深300指数 | 4152.02 | 16.20 | 230.81 | 8.05 | 4153.00 | 0.98 | 4142.67 | -9.36 | | 中证1000指数 | 6773.88 | 43.91 | 259.26 | 6.52 | 6732.20 | -41.68 | 6661.07 | -112.8 ...

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].