期货研究报告 投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2026 年 1 月 8 日 金融期权 专业研究·创造价值 股指延续震荡盘整 核心观点 今日各股指均延续震荡盘整。沪深京三市成交额 28262 亿元，较上日缩 量 553 亿元。股指大幅上行之后，技术面上需要一定时间震荡整固。不过目 前股市成交金额仍然处于较高水平，融资资金买入额保持较高水平，说明目 前市场情绪仍相对乐观。政策面利好预期以及资金净流入趋势这两个主线 逻辑不变，由于股指已经突破前期的震荡区间上沿，后续股指大概率保持相 对强势。总的来说，预计短期内股指震荡偏强运行。 期权方面，目前持仓量 PCR 与隐含波动率均有所回升，可以牛市价差 的思路对待。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 电话：0571-87006873 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本人承诺以勤勉的职业态度， 独立、客观地出具本报告。本 报告清晰准确地反 ...

期货研究报告 今日各股指均震荡盘整。沪深京三市成交额 28815 亿元，较上日放量 493 亿元。政策面利好预期以及资金净流入趋势构成驱动股指上行的主要逻 辑。政策面，中央经济工作会议的政策逐渐进入落实阶段，政策利好预期持 续发酵。资金面，融资资金买入金额由假期前的 2200 亿元左右飙升至 3000 亿元左右，反应出杠杆资金的入市热情较高。股指已经突破前期震荡区间上 沿，由于政策面利好预期以及资金净流入趋势这两个主线逻辑不变，后续股 指大概率保持强势。总的来说，预计短期内股指震荡偏强运行。 投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2026 年 1 月 7 日 金融期权 专业研究·创造价值 股市成交金额维持高位，股指震荡盘整 核心观点 期权方面，目前持仓量 PCR 与隐含波动率均有所回升，可以牛市价差 的思路对待。 （仅供参考，不构成任何投资建议） 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本人承诺以勤勉的职业态度， 独立、客观地出具本报告。本 报告清晰准确地反映了本人的 研究观点。本人 ...

Report Industry Investment Rating - Not provided in the report Core Viewpoints - The weekly market amplitude narrowed, 50ETF and 300ETF slightly pulled back, while 500ETF showed high resilience. The overall trading volume in the options market shrank, and the open interest slightly increased, which was related to the pre - holiday cautious sentiment. However, from the perspective of implied volatility level and shape, the overall wait - and - see sentiment did not rise significantly. The report maintained the relatively optimistic view from the previous period and was also bullish on the performance of the growth sector [4][46] Summary by Relevant Catalogs 1. Spot - Futures Market Review 1.1. Underlying Asset Market - From December 29th to December 31st, the Shanghai Composite Index fluctuated during the week, closing at 3968.84 with lower trading volume compared to the previous week. The Shenzhen Component Index also fluctuated, closing at 13525.02 with lower trading volume. - 50ETF opened at 3.120 at the beginning of the week and closed at 3.105 at the weekend, down 0.015 or 0.48% from the previous week, with a trading volume of 5.981 billion yuan. Huatai - Peregrine CSI 300ETF opened at 4.780 and closed at 4.753, down 0.031 or 0.65%, with a trading volume of 9.521 billion yuan. Southern CSI 500ETF opened at 7.579 and closed at 7.588, up 0.008 or 0.11%, with a trading volume of 7.777 billion yuan [2][7] 1.2. Index Futures Market - From December 29th to December 31st, all IH contracts of stock index futures closed down. Contract IH2601 fell by 0.79%. All IF contracts closed down, and contract IF2601 fell by 0.77%. All IC contracts closed down, with contract IC2601 falling by 0.01% [8] 2. Options Market Review 2.1. Trading and Open Interest - From December 29th to December 31st, the average daily trading volume of 50ETF options decreased compared to the previous week, while the total open interest increased. The average daily trading volume was 600,912 contracts, a decrease of 170,092 from the previous week. The total open interest was 1,076,466 contracts, an increase of 69,862 from the previous weekend. The total open - interest PCR was 0.92, a decrease of 0.06 from the previous weekend [12] - The average daily trading volume of Huatai - Peregrine CSI 300ETF options decreased, and the total open interest increased. The average daily trading volume was 755,077 contracts, a decrease of 197,862 from the previous week. The total open interest was 1,090,086 contracts, an increase of 47,280 from the previous weekend. The total open - interest PCR was 0.87, a decrease of 0.09 from the previous weekend [15] - The average daily trading volume of Southern CSI 500ETF options decreased, and the total open interest increased. The average daily trading volume was 1,063,830 contracts, a decrease of 302,468 from the previous week. The total open interest was 1,065,802 contracts, an increase of 67,144 from the previous weekend. The total open - interest PCR was 1.07, basically unchanged from the previous weekend [19] 2.2. Volatility 2.2.1. Historical Volatility - As of December 31st, the 5 - day historical rolling volatility of 50ETF rose to 4.72%, near the five - year historical low. The 5 - day, 10 - day, 20 - day, and 40 - day historical volatilities were 4.72%, 4.13%, 8.01%, and 9.71% respectively [23] - The 5 - day historical rolling volatility of Huatai - Peregrine CSI 300ETF rose to 5.97%, near the 25th percentile of the five - year historical level. The 5 - day, 10 - day, 20 - day, and 40 - day historical volatilities were 5.97%, 7.43%, 10.50%, and 12.44% respectively [27] - The 5 - day historical rolling volatility of Southern CSI 500ETF rose to 7.73%, near the 25th percentile of the five - year historical level. The 5 - day, 10 - day, 20 - day, and 40 - day historical volatilities were 7.73%, 9.77%, 13.80%, and 16.65% respectively [28] 2.2.2. Implied Volatility - Before the holiday, the market trading volume shrank, the volatility level changed little, and the overall shape of implied volatility basically maintained the original situation. Currently, the curve shapes of 50ETF and 300ETF options remain relatively right - skewed, while the curve shape of 500ETF options is slightly left - skewed [32] 2.2.3. Comparison of Historical and Implied Volatility Trends - In terms of volatility, short - term volatility continued to remain at a relatively low level, currently at around the 25th percentile of the historical level. Monthly volatility also declined slightly. Before the holiday, implied volatility rose slightly, with an increase of less than 1%. The volatility difference widened, but the overall level was relatively controllable. The market sentiment was stable during the pre - holiday trading, and the volatility level only increased slightly, with the overall volatility remaining at a low level [39] 3. Investment Recommendations - The weekly market amplitude narrowed, 50ETF and 300ETF slightly pulled back, while 500ETF showed high resilience. The overall trading volume in the options market shrank, and the open interest slightly increased, which was related to the pre - holiday cautious sentiment. However, from the perspective of implied volatility level and shape, the overall wait - and - see sentiment did not rise significantly. The report maintained the relatively optimistic view from the previous period and was also bullish on the performance of the growth sector [4][46]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - The implied volatility has risen, and the market has seen a significant increase [1] Summary by Relevant Catalogs Option Market Data - Financial Options - 50ETF options had an average daily trading volume of 771,000 contracts this week, a -0.47% decrease from the previous week. The put - call trading ratio was 0.88, higher than the historical average, and the put - call holding ratio last week was 1.01, also higher than the historical average [1] - Huatai - Baorui 300ETF options had an average daily trading volume of 952,900 contracts and an average daily open interest of 1,334,700 contracts [1] - Southern China CSI 500ETF options had an average daily trading volume of 1,366,300 contracts and an average daily open interest of 1,283,900 contracts [1] - Huaxia SSE STAR 50ETF options had an average daily trading volume of 1,210,800 contracts and an average daily open interest of 2,298,000 contracts [1] - Shenzhen 100ETF options had an average daily trading volume of 61,100 contracts and an average daily open interest of 117,100 contracts [1] - GEM ETF options had an average daily trading volume of 1,774,600 contracts and an average daily open interest of 1,807,500 contracts [1] - CSI 300 index options had an average daily trading volume of 91,900 lots and an average daily open interest of 197,700 lots [1] - CSI 1000 index options had an average daily trading volume of 226,500 lots and an average daily open interest of 332,900 lots [1] Option Market Data - Volatility - As of the close on Friday, the implied volatility of CSI 300 index options was 15.33%, a 0.23% increase from a week ago; the implied volatility of 50ETF options was 12.47%, a 0.14% decrease from a week ago; the implied volatility of CSI 1000 index options was 18.88%, a 1.47% increase from a week ago [2] - In commodity options, the implied volatility of crude oil options was 15.53%, a 0.12% increase from a week ago; the implied volatility of lithium carbonate options was 52.67%, an 11.30% increase from a week ago; the implied volatility of rebar options was 25.43%, a 3.86% increase from a week ago; the implied volatility of soda ash options was 24.79%, a 1.26% increase from a week ago; the implied volatility of gold options was 25.43%, a 3.86% increase from a week ago; the implied volatility of silver options was 57.34%, a 13.60% increase from a week ago; the implied volatility of palm oil options was 16.62%, a -0.17% decrease from a week ago; the implied volatility of soybean oil options was 10.43%, a -0.52% decrease from a week ago; the implied volatility of rapeseed oil options was 15.26%, a 0.33% increase from a week ago; the implied volatility of rubber options was 18.83%, a 2.62% increase from a week ago [2]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The market showed a narrow - range oscillation this week, with a significant increase in the implied volatility of metal options. In the financial options market, the trading volume of 50ETF options increased compared to the previous week, and the put - call trading ratio decreased, while the put - call holding ratio increased. Different types of options had various changes in trading volume, holding volume, and implied volatility [1][2]. 3. Summary by Category Financial Options - **Trading Volume and Holding Volume**: 50ETF options had an average daily trading volume of 1.0623 million contracts this week, a 37.14% increase from the previous week. The put - call trading ratio was 0.83, lower than the historical average, and the put - call holding ratio last week was 1.01, higher than the historical average. Other options such as Huatai - Baorui 300ETF options, Southern China CSI 500ETF options, etc., also had corresponding average daily trading and holding volumes [1]. - **Implied Volatility**: As of the close on Friday, the implied volatility of CSI 300 index options was 15.10%, a 1.06% increase from a week ago; the implied volatility of 50ETF options was 12.61%, a 1.09% increase; the implied volatility of CSI 1000 index options was 17.41%, a 0.16% decrease [2]. Commodity Options - **Implied Volatility**: As of the close on Friday, the implied volatility of crude oil options was 15.41%, a 0.53% decrease from a week ago; the implied volatility of lithium carbonate options was 41.37%, an 8.43% increase; the implied volatility of rebar options was 21.57%, a 2.26% increase; the implied volatility of soda ash options was 23.53%, a 1.01% increase; the implied volatility of gold options was 21.57%, a 2.26% increase; the implied volatility of silver options was 43.74%, a 6.02% increase; the implied volatility of palm oil options was 16.79%, a 0.34% increase; the implied volatility of soybean oil options was 10.95%, a 0.71% decrease; the implied volatility of rapeseed oil options was 14.93%, a 1.86% increase; the implied volatility of rubber options was 16.20%, a 0.85% increase [2].

1. Report Industry Investment Rating No information provided regarding the report industry investment rating. 2. Report's Core View No clear core view is presented in the given content. The report mainly provides data on various financial products such as ETFs and indices, including their prices, price changes, implied volatility (IV), and related quantile data. 3. Summary by Related Catalogs 3.1 50ETF - From December 10 - 12, 2025, the 50ETF price fluctuated, with a -0.32% decline on the 10th, -0.38% on the 11th, and a 0.45% increase on the 12th. The corresponding monthly IVs were 11.09%, 11.63%, and 11.04%, and the next - month IVs were 12.60%, 12.91%, and 12.44% [1]. - The skew index on December 12, 2025, was 94.15 [2]. 3.2 Shanghai 300ETF - Between December 10 - 12, 2025, the Shanghai 300ETF price changed, with a -0.13% decline on the 10th, -0.72% on the 11th, and a 0.56% increase on the 12th. The monthly IVs were 13.09%, 13.86%, and 12.70%, and the next - month IVs were 14.34%, 14.86%, and 14.32% [3]. - The skew index on December 12, 2025, was 101.55 [5]. 3.3 Shenzhen 300ETF - From December 10 - 12, 2025, the Shenzhen 300ETF price fluctuated, with a -0.17% decline on the 10th, -0.73% on the 11th, and a 0.55% increase on the 12th. The monthly IVs were 13.05%, 13.86%, and 13.14%, and the next - month IVs were 14.43%, 15.06%, and 14.27% [6]. 3.4 Shanghai CSI 500ETF - Between December 10 - 12, 2025, the Shanghai CSI 500ETF price changed, with a -0.21% decline on the 10th, -0.32% on the 11th, and a 0.30% increase on the 12th. The monthly IVs were 15.85%, 16.52%, and 15.67%, and the next - month IVs were 17.17%, 17.35%, and 16.95% [13]. - The skew index on December 12, 2025, was 104.79 [17]. 3.5 Shenzhen CSI 500ETF - From December 10 - 12, 2025, the Shenzhen CSI 500ETF price fluctuated, with a 0.56% increase on the 10th, -0.77% on the 11th, and a 1.20% increase on the 12th. The monthly IVs were 15.83%, 16.97%, and 15.48%, and the next - month IVs were 16.91%, 17.73%, and 12.60% [21]. - The skew index on December 12, 2025, was 111.18 [28]. 3.6 ChiNext ETF - Between December 10 - 12, 2025, the ChiNext ETF price changed, with a 0.13% increase on the 10th, -1.44% on the 11th, and a 0.89% increase on the 12th. The monthly IVs were 25.03%, 26.11%, and 23.78%, and the next - month IVs were 25.94%, 26.52%, and 26.13% [29]. - The skew index on December 12, 2025, was 112.31 [34]. 3.7 Shenzhen 100ETF - From December 10 - 12, 2025, the Shenzhen 100ETF price fluctuated, with a 0.23% increase on the 10th, -1.32% on the 11th, and a 0.58% increase on the 12th. The monthly IVs were 17.67%, 24.69%, and 18.19%, and the next - month IVs were 18.36%, 19.11%, and 18.79% [39]. - The skew index on December 12, 2025, was 106.03 [42]. 3.8 Science and Technology Innovation 50ETF - Between December 10 - 12, 2025, the Science and Technology Innovation 50ETF price changed, with a 0.07% increase on the 10th, -1.63% on the 11th, and a 1.87% increase on the 12th. The monthly IVs were 24.98%, 25.66%, and 24.11%, and the next - month IVs were 26.81%, 27.19%, and 26.69% [48]. - The skew index on December 12, 2025, was 103.82 [50]. 3.9 STAR 50ETF - From December 10 - 12, 2025, the STAR 50ETF price fluctuated, with a 0.00% change on the 10th, -1.53% on the 11th, and a 1.63% increase on the 12th. The monthly IVs were 25.16%, 26.48%, and 23.94%, and the next - month IVs were 27.10%, 27.43%, and 26.66% [54]. - The skew index on December 12, 2025, was 103.96 [60]. 3.10 300 Index - Between December 10 - 12, 2025, the 300 Index price changed, with a -0.14% decline on the 10th, -0.86% on the 11th, and a 0.63% increase on the 12th. The monthly IVs were 12.82%, 13.38%, and 11.78%, and the next - month IVs were 14.64%, 15.36%, and 14.46% [66]. - The skew index on December 12, 2025, was 100.59 [70]. 3.11 1000 Index - From December 10 - 12, 2025, the 1000 Index price fluctuated, with a 0.37% increase on the 10th, -1.30% on the 11th, and a 0.81% increase on the 12th. The monthly IVs were 16.04%, 17.06%, and 14.68%, and the next - month IVs were 17.36%, 18.03%, and 17.18% [71]. - The skew index on December 12, 2025, was 120.40 [76]. 3.12 SSE 50 Index - Between December 10 - 12, 2025, the SSE 50 Index price changed, with a -0.31% decline on the 10th, -0.39% on the 11th, and a 0.59% increase on the 12th. The monthly IVs were 11.52%, 12.19%, and 10.54%, and the next - month IVs were 53.96%, 53.93%, and 56.08% [78]. - The skew index on December 12, 2025, was 102.99 [84].

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - On December 12, 2025, all stock indices oscillated and rebounded. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2.12 trillion yuan, an increase of 233.5 billion yuan from the previous day [3]. - The Central Economic Work Conference pointed out that in 2026, China will continue to implement a more proactive fiscal policy and a moderately loose monetary policy. The key tasks for next year are to focus on domestic demand and build a strong domestic market, and to adhere to innovation - driven development and cultivate new growth drivers. Policy benefits in expanding domestic demand and supporting technological innovation will continue and intensify, which will play a positive role in stabilizing total economic demand and promoting structural transformation and upgrading. The risk appetite of the stock market has recovered, driving the stock index to rebound [3]. - External risk factors have eased, and the domestic liquidity environment is relatively loose. In the short term, the risk appetite of the stock market is relatively positive and optimistic. Overall, the expectation of policy benefits is gradually fermenting, and the stock index will be mainly oscillating and strengthening in the short term [3]. - For options, considering the long - term upward trend of the stock index, a bull spread or ratio spread strategy with a moderately bullish view can be adopted [3]. Summary by Relevant Catalogs 1 Option Indicators - **ETF and Index Performance**: On December 12, 2025, 50ETF rose 0.45% to 3.134; 300ETF (Shanghai Stock Exchange) rose 0.56% to 4.694; 300ETF (Shenzhen Stock Exchange) rose 0.55% to 4.766; the CSI 300 Index rose 0.63% to 4580.95; the CSI 1000 Index rose 0.81% to 7370.94; 500ETF (Shanghai Stock Exchange) rose 1.17% to 7.285; 500ETF (Shenzhen Stock Exchange) rose 1.20% to 2.872; the ChiNext ETF rose 0.89% to 3.174; the Shenzhen 100ETF rose 0.58% to 3.449; the SSE 50 Index rose 0.59% to 2994.64; the STAR 50ETF rose 1.87% to 1.42; and the E Fund STAR 50ETF rose 1.63% to 1.37 [5]. - **Volume and Position PCR**: The report provides the volume PCR and position PCR of various options on December 12, 2025, and their values on the previous trading day, including 50ETF options, SSE 300ETF options, etc [6]. - **Implied Volatility and Historical Volatility**: The report presents the implied volatility of at - the - money options in December 2025 and the 30 - trading - day historical volatility of the underlying assets for various options, such as 50ETF options, SSE 300ETF options [7][8]. 2 Relevant Charts - **SSE 50ETF Options**: The report includes charts of the SSE 50ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [9][10][11]. - **SSE 300ETF Options**: There are charts of the SSE 300ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [20][21][22]. - **SZSE 300ETF Options**: Charts cover the SZSE 300ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [32][33][34]. - **CSI 300 Index Options**: The report shows charts of the CSI 300 index trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [44][45][46]. - **CSI 1000 Index Options**: There are charts of the CSI 1000 index trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [57][58][59]. - **SSE 500ETF Options**: Charts include the SSE 500ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [71][72][73]. - **SZSE 500ETF Options**: The report provides charts of the SZSE 500ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [84][85][86]. - **ChiNext ETF Options**: There are charts of the ChiNext ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [97][98][99]. - **Shenzhen 100ETF Options**: The report shows charts of the Shenzhen 100ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [110][111][112]. - **SSE 50 Index Options**: Charts cover the SSE 50 index trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [123][124][125]. - **STAR 50ETF Options**: There are charts of the STAR 50ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [136][137][138]. - **E Fund STAR 50ETF Options**: The report provides charts of the E Fund STAR 50ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [145][146][147].

Report Industry Investment Rating - Not specified in the provided content Core Viewpoints - Today, all stock indices fluctuated and consolidated. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 1.79 trillion yuan, a decrease of 126 billion yuan compared to the previous day. The policy side indicated that in 2026, a more proactive fiscal policy and a moderately loose monetary policy will continue to be implemented, sending out positive signals [4]. - The expectation of policy benefits is gradually fermenting, and market risk appetite is rising. However, it is still necessary to wait for more policy details to be introduced in the subsequent Central Economic Work Conference. In the short term, due to the strong resilience of macro - economic data and the fact that the Politburo meeting's statement on aggregate policies did not exceed expectations, the stock indices still need to fluctuate and consolidate in the short term and are currently within the fluctuation range [4]. - Overall, the expectation of policy benefits is gradually fermenting, and in the short term, the stock indices will mainly fluctuate strongly. For options, considering the long - term upward trend of the stock indices, a bull spread or ratio spread strategy with a mild bullish view can be adopted [4]. Summary by Relevant Catalogs 1 Option Indicators - **Stock Index Performance**: On December 10, 2025, the 50ETF fell 0.32% to close at 3.132; the 300ETF (Shanghai Stock Exchange) fell 0.13% to close at 4.702; the 300ETF (Shenzhen Stock Exchange) fell 0.17% to close at 4.775; the CSI 300 Index fell 0.14% to close at 4591.83; the CSI 1000 Index rose 0.37% to close at 7408.24; the 500ETF (Shanghai Stock Exchange) rose 0.54% to close at 7.263; the 500ETF (Shenzhen Stock Exchange) rose 0.56% to close at 2.860; the GEM ETF rose 0.13% to close at 3.192; the Shenzhen 100ETF rose 0.23% to close at 3.475; the SSE 50 Index fell 0.31% to close at 2988.64; the STAR 50ETF rose 0.07% to close at 1.42; the E Fund STAR 50ETF remained unchanged at 1.37 [6]. - **Volume PCR and Open Interest PCR**: The volume PCR and open interest PCR of various options changed compared to the previous trading day. For example, the volume PCR of SSE 50ETF options was 85.15 (previous day: 79.26), and the open interest PCR was 97.51 (previous day: 100.45) [7]. - **Implied Volatility and Historical Volatility**: The implied volatility and 30 - day historical volatility of the 2025 December at - the - money options of various options were reported. For instance, the implied volatility of the SSE 50ETF options' 2025 December at - the - money options was 11.35%, and the 30 - day historical volatility of the underlying was 11.09% [8]. 2 Related Charts - **SSE 50ETF Options**: Charts include the SSE 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [10][11][12]. - **SSE 300ETF Options**: Charts cover the SSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [21][22][23]. - **SZSE 300ETF Options**: Charts involve the SZSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [33][34][35]. - **CSI 300 Index Options**: Charts include the CSI 300 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [36][37][38]. - **CSI 1000 Index Options**: Charts cover the CSI 1000 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [49][50][51]. - **SSE 500ETF Options**: Charts involve the SSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [62][63][64]. - **SZSE 500ETF Options**: Charts include the SZSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [75][76][77]. - **GEM ETF Options**: Charts cover the GEM ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [88][89][90]. - **Shenzhen 100ETF Options**: Charts involve the Shenzhen 100ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [101][102][103]. - **SSE 50 Index Options**: Charts include the SSE 50 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [115][116][117]. - **STAR 50ETF Options**: Charts cover the STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [128][129][130]. - **E Fund STAR 50ETF Options**: Charts involve the E Fund STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [135][136][137].

Report Industry Investment Rating - Not provided in the report Core Viewpoints - The implied volatility of precious metals has increased, and the financial and commodity markets have shown narrow - range fluctuations [1] Summary by Related Catalogs Financial Options - **Trading Volume and Open Interest**: The average daily trading volume of 50ETF options was 596,400 contracts, a - 20.44% decline from the previous week. The put - call trading ratio was 0.83, lower than the historical average. The put - call open interest ratio was 1.07, higher than the historical average. Other ETF and index options also had corresponding trading volumes and open interests, such as the average daily trading volume of Huatai - Baorui 300ETF options being 754,000 contracts and the average daily open interest being 1,263,900 contracts [1] - **Implied Volatility**: As of the end of this Friday's trading, the implied volatility of CSI 300 index options was 13.36%, a 0.53% decline from a week ago; the implied volatility of 50ETF options was 10.97%, a 0.87% decline from a week ago; the implied volatility of CSI 1000 index options was 17.02%, a 0.73% decline from a week ago [2] Commodity Options - **Implied Volatility**: As of the end of this Friday's trading, the implied volatility of crude oil options was 16.91%, a - 0.18% decline from a week ago; the implied volatility of lithium carbonate options was 34.69%, a - 2.74% decline from a week ago; the implied volatility of rebar options was 20.43%, a 2.25% increase from a week ago; the implied volatility of silver options was 39.72%, an 8.53% increase from a week ago [2]

期货研究报告 金融期权 | 日报 2025 年 12 月 4 日 金融期权 专业研究·创造价值 短期内股指延续区间震荡 核心观点 今日各股指均震荡小幅反弹。沪深京三市全天成交额 15617 亿元，较 上日缩量 1219 亿元。目前股指仍然处于震荡整理阶段，市场缺乏主线，资 金交投热情有所下降。一方面，短期内缺乏政策利好的主线，临近年末资金 交投热情下降，资金了结暂时离场的意愿较强，限制了股指的短线上行空 间。另一方面，未来政策面利好预期以及长线资金入市趋势不变，股指的支 撑力量较强，且中央经济工作会议的政策利好预期逐渐发酵，投资者风险偏 好不悲观。总的来说，短期内股指延续区间震荡。 期权方面，考虑到股指中长线向上，可以牛市价差或者比例价差温和 看涨的思路对待。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 投资咨询业务资格：证监许可【2011】1778 号 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 电话：0571-87006873 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本 ...