投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2025 年 8 月 26 日 金融期权 专业研究·创造价值 股指短线存在震荡整理需求 核心观点 今日各股指窄幅震荡整理。沪深京三市全天成交额 27098 亿元，较上 日缩量 4671 亿元。由于部分股票已经实现较大涨幅，获利资金止盈意愿有 所上升，因此股指存在技术性调整的需求，此前涨幅较大的板块表现出资金 轮动的特征。目前股市情绪仍然处于较为乐观的状态，政策面利好预期构成 较强支撑，资金面持续入市推动估值修复。反内卷政策与促消费政策分别从 供应、需求两端推动供需结构优化，促进价格指数温和回升，促进企业利润 修复，推动"消费复苏-企业营收改善-员工薪资提升-居民消费信心上升" 的正向循环，宏观预期回暖。由于市场利率趋势下行，流动性偏宽松，保险、 社保、两融、私募等增量资金持续流入股市，推动估值修复行情。总的来说， 短期内股市情绪仍较为积极乐观，股指震荡偏强运行。 目前期权隐含波动率持续回升，考虑到股指中长线向上，可以继续持 有牛市价差或比例价差温和看多。 （仅供参考，不构成任何投资建议） 作者声明：本人具有中国期货 业协会授予的期货从业资 ...

波动率数据日报 历史波动率分位数排名 0. 83 300位指 0.84 中聘 0.54 PTA 0.80 PTA 0.27 五年 0.43 50ETF 0 39 PVC 0.38 24.4 6 0.19 天峻 0.38 300 版 猫 031 字母 019 棒花 0.18 45 0.05 0.16 HAR 0.04 75 87 0.26 炸花 0.04 五米 0.09 钟 0.03 45 0.07 品 析 L 0.02 白练 台新 0.01 I 0 0.2 03 0.6 0.1 0.4 05 0.7 0.8 0 a 1 0.1 0.3 0.6 0.7 0.8 0 0.2 0.4 0.5 0 a 1 永安期货期权总部 更新时间: 2025/8/25 一、隐含波动率指数、历史波动率及其价差走势图 1、金融期权隐含波动率指数反映截止上一交易日的30日隐波走势,商品期权隐含波动 率指数通过主力月平值期权上下两档隐波加权所得,反映主力合约的隐波变化趋势。2 隐波指数与历史波动率的差值,差值越大反映隐波相对历史波动率越高,差值越小代 表隐波相对历史波动率越低。 70 -300股指IV -- 300股指HV IVHV差 - ...

金融期权周报 I 2025/08/18—2025/08/22 隐波上升，情绪持续升温 本周摘要 路智名 从业资格证号：F03124116 金融期权方面，50ETF 期权本周日均成交量为 190.67 万 张，较前周上升 20.55%，其中认沽期权成交量低于认购期权， 认沽-认购成交比为 0.64，相对前周有所下降，低于历史均值水 平。上周认沽认购持仓比为 1.19，较前周上升，高于历史均值。 华泰柏瑞 300ETF 期权日均成交 186.24 万张，日均持仓量 151.78 万张；南方中证 500ETF 期权日均成交 238.46 万张，日 均持仓量 150.08 万张；华夏上证科创 50ETF 期权日均成交 217.47 万张，日均持仓量 208.11 万张；深证 100ETF 期权日均 成交 18.99 万张，日均持仓量 16.4 万张；创业板 ETF 期权日均 成交 290.74 万张，日均持仓量 192.49 万张；沪深 300 股指期权 日均成交 13.46 万手，日均持仓量 16.2 万手；中证 1000 股指期 权日均成交 31.7 万手，日均持仓 25.3 万手。 波动率方面，截止本周五收盘， ...

Group 1: Implied Volatility Index and Its Calculation - The implied volatility index of financial options reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the IV of the two strike - prices above and below the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [2] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [2] Group 2: Implied Volatility and Historical Volatility Difference Graph - The document presents graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as soybeans, corn, sugar, cotton, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. The volatility spread is calculated as the IV index minus the historical volatility [4] - The implied volatility quantile rankings are provided for different options, such as 50ETF with a quantile of 0.79, 300 - stock index with 0.80, iron ore with 0.37, PVC with 0.46, etc [5][7]

Market Performance - The stock market experienced a significant upward trend on August 20, with the Shanghai Composite Index rising by 1.04%, the Shenzhen Component Index by 0.89%, the ChiNext Index by 0.23%, and the STAR Market 50 Index by 3.23% [1] - All four major indices closed in the green, with the Shanghai 50 Index increasing by 1.23%, the CSI 300 Index by 1.14%, the CSI 500 Index by 1.09%, and the CSI 1000 Index by 0.86% [1] Options Market Activity - The trading volume of various options increased overall, with specific figures showing that the 50ETF options had a trading volume of 1,709,339 contracts and a turnover of 612 million yuan [2] - The 300ETF options recorded a trading volume of 1,887,385 contracts with a turnover of 942 million yuan, while the 500ETF options had a trading volume of 2,431,663 contracts and a turnover of 2.282 billion yuan [2] - The ChiNext ETF options had a trading volume of 2,648,667 contracts and a turnover of 1.328 billion yuan, indicating robust market activity [2] Implied Volatility - The implied volatility for various options is currently elevated, with the 50ETF options at 0.1826 and the 300ETF options at 0.1902, reflecting a positive market sentiment [3] - The implied volatility for the ChiNext ETF options is at 0.3542, which is among the highest, indicating strong market expectations for future price movements [3] Market Outlook - The market sentiment is positive, with expectations for continued upward movement in the stock indices, suggesting that investors may consider buying on dips [4] - Investors holding stocks are advised to roll over out-of-the-money call options to enhance profits, while being cautious of potential risks as the main ETF options contracts are set to expire next Wednesday [4]

Key Points of the Report Core Concepts - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - point - up and - down options at the at - the - money strike price of the main contract month, reflecting the implied volatility change trend of the main contract [2]. - The difference between the implied volatility index and historical volatility shows the relative level of implied volatility to historical volatility. A larger difference means the implied volatility is relatively higher, and a smaller difference means it is relatively lower [2]. - The implied volatility quantile represents the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low. The volatility spread is the implied volatility index minus the historical volatility [4]. Implied Volatility and Historical Volatility Data - The report presents the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) of various options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as soybean meal, corn, sugar, cotton, etc. [3] Implied Volatility Quantile and Volatility Spread Quantile Ranking - The report shows the ranking of implied volatility quantiles and historical volatility quantiles of different varieties, such as 300 Index, PVC, PTA, corn, etc. [4][5]

1. Report Industry Investment Rating - Not provided in the given content 2. Core Views - Today, the stock index trends were volatile and differentiated. The Shanghai Stock Exchange 50 Index rose slightly after a rise and fall throughout the day, while the CSI 500 and CSI 1000 showed weak performance and closed slightly lower. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2,306.3 billion yuan, an increase of 131.1 billion yuan from the previous day. The high trading volume indicates an optimistic market sentiment. In the short term, due to the profit - taking demand of profitable funds after continuous rises, the stock index may experience short - term technical consolidation. However, the positive policy expectations strongly support the stock index. Anti - involution and consumption - promotion policies are conducive to promoting a moderate recovery of the price index, restoring the profit margins of listed companies, and promoting a positive cycle in the "residents' consumption - corporate profits - employee salaries" chain, leading to an increasing expectation of an improving macro - economic fundamentals. Overall, in the short term, the domestic policy expectations are positive, external risk factors are temporarily alleviated, the risk appetite of the stock market continues to recover, and the stock index will mainly show a volatile and upward trend. Currently, the implied volatility of options has rebounded. Considering the long - term upward trend of the stock index, investors can continue to hold bull spreads or ratio spreads to maintain a moderately bullish view [2] 3. Summary by Relevant Catalogs 3.1 Option Indicators - On August 14, 2025, the 50ETF rose 0.48% to 2.954; the 300ETF (Shanghai Stock Exchange) fell 0.16% to 4.256; the 300ETF (Shenzhen Stock Exchange) fell 0.16% to 4.392; the CSI 300 Index fell 0.08% to 4,173.31; the CSI 1000 Index fell 1.24% to 6,976.49; the 500ETF (Shanghai Stock Exchange) fell 1.03% to 6.514; the 500ETF (Shenzhen Stock Exchange) fell 1.14% to 2.601; the ChiNext ETF fell 1.09% to 2.446; the Shenzhen 100ETF fell 0.70% to 2.992; the Shanghai Stock Exchange 50 Index rose 0.59% to 2,829.47; the Science and Technology Innovation 50ETF rose 0.79% to 1.14; the E Fund Science and Technology Innovation 50ETF rose 0.54% to 1.11 [5] - The trading volume PCR and position PCR of various options changed compared to the previous trading day. For example, the trading volume PCR of the Shanghai Stock Exchange 50ETF option was 68.37 (previous day: 68.38), and the position PCR was 114.70 (previous day: 103.45) [6] - The implied volatility of at - the - money options and the 30 - day historical volatility of the underlying assets of various options were reported. For instance, the implied volatility of the at - the - money option of the Shanghai Stock Exchange 50ETF option in August 2025 was 13.41%, and the 30 - day historical volatility of the underlying asset was 8.18% [7] 3.2 Relevant Charts - **Shanghai Stock Exchange 50ETF Option**: Charts include the Shanghai Stock Exchange 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [9] - **Shanghai Stock Exchange 300ETF Option**: Charts cover the Shanghai Stock Exchange 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [20] - **Shenzhen Stock Exchange 300ETF Option**: Charts involve the Shenzhen Stock Exchange 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [33] - **CSI 300 Index Option**: Charts include the CSI 300 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [36] - **CSI 1000 Index Option**: Charts cover the CSI 1000 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [49] - **Shanghai Stock Exchange 500ETF Option**: Charts involve the Shanghai Stock Exchange 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [63] - **Shenzhen Stock Exchange 500ETF Option**: Charts include the Shenzhen Stock Exchange 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [75] - **ChiNext ETF Option**: Charts cover the ChiNext ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [88] - **Shenzhen 100ETF Option**: Charts involve the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [99] - **Shanghai Stock Exchange 50 Index Option**: Charts include the Shanghai Stock Exchange 50 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [112] - **Science and Technology Innovation 50ETF Option**: Charts cover the Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [126] - **E Fund Science and Technology Innovation 50ETF Option**: Charts involve the E Fund Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [129]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - All stock indices fluctuated upwards today. The half - day trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1.8499 trillion yuan, an increase of 113.6 billion yuan compared to the previous day [3]. - In July, the month - on - month decline of PPI narrowed, and the supply - demand relationship in some industries improved, with prices showing positive changes. Policy support and positive expectations from anti - involution policies, along with the suspension of overseas uncertainty risks, jointly promoted the recovery of the stock market's risk appetite [3]. - Considering that some stocks have already achieved significant gains, there is a need for technical consolidation in the later market. In the short term, there is a possibility of consolidation and accumulation for stock indices, but in the long - term, the upward trend of stock indices remains unchanged. Currently, the stock market's risk appetite is rising, and it is expected that stock indices will fluctuate strongly in the short term [3]. - The current implied volatility of options is within the normal range. Considering the long - term upward trend of stock indices, investors can continue to hold bull spreads or ratio spreads for a mild bullish view [3]. 3. Summary by Related Catalogs 3.1 Option Indicators - On August 11, 2025, 50ETF rose 0.07% to close at 2.912; 300ETF (Shanghai Stock Exchange) rose 0.45% to close at 4.202; 300ETF (Shenzhen Stock Exchange) rose 0.56% to close at 4.339; the CSI 300 Index rose 0.43% to close at 4122.51; the CSI 1000 Index rose 1.55% to close at 6943.94; 500ETF (Shanghai Stock Exchange) rose 1.05% to close at 6.464; 500ETF (Shenzhen Stock Exchange) rose 1.06% to close at 2.583; the GEM ETF rose 1.95% to close at 2.357; the Shenzhen 100ETF rose 1.42% to close at 2.934; the SSE 50 Index rose 0.03% to close at 2789.90; the STAR 50ETF rose 0.64% to close at 1.10; and the E Fund STAR 50ETF rose 0.65% to close at 1.08 [5]. - The trading volume PCR and position PCR of various options changed compared to the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 88.43 (previous day: 92.32), and the position PCR was 94.14 (previous day: 95.22) [6]. - The implied volatility of at - the - money options and the 30 - day historical volatility of the underlying assets of various options are provided. For example, the implied volatility of at - the - money options of SSE 50ETF options in August 2025 was 11.66%, and the 30 - day historical volatility of the underlying asset was 8.08% [7]. 3.2 Related Charts - The report includes multiple charts related to different types of options, such as the trend, volatility, trading volume PCR, position PCR, implied volatility curve, and term - structure of at - the - money implied volatility of SSE 50ETF options, SSE 300ETF options, etc. For example, there are charts showing the trend of SSE 50ETF and the volatility of SSE 50ETF options [9][10].

Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The commodity option implied volatility index is obtained by weighting the IV of the two - strike options around the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [3] Group 2: Implied Volatility and Historical Volatility Graphs - The document presents graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as silver, soybean meal, corn, etc [4] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - Implied volatility quantile represents the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. Volatility spread is the difference between the implied volatility index and historical volatility [5] - The document provides the implied volatility quantile rankings for different options, such as PVC with a quantile of 0.92, PTA with 0.39, etc [6]

Quantitative Models and Construction Methods Genetic Programming Industry Rotation Model - **Model Name**: Genetic Programming Industry Rotation Model - **Model Construction Idea**: Directly extract factors from industry index data such as volume, price, and valuation, and update the factor library at the end of each quarter[30] - **Model Construction Process**: The model adopts weekly frequency rebalancing, selecting the top five industries with the highest composite multi-factor scores for equal-weight allocation every weekend[30] - **Model Evaluation**: The model has achieved an absolute return of 28.79% this year, outperforming the industry equal-weight benchmark by 17.68 percentage points[30] - **Model Testing Results**: - Annualized Return: 31.39% - Annualized Volatility: 18.12% - Sharpe Ratio: 1.73 - Maximum Drawdown: -19.63% - Calmar Ratio: 1.60 - Last Week Performance: 3.15% - Year-to-Date (YTD): 28.79%[32] Absolute Return ETF Simulation Portfolio - **Model Name**: Absolute Return ETF Simulation Portfolio - **Model Construction Idea**: The asset allocation weights are mainly calculated based on the recent trends of various assets, with stronger trend assets assigned higher weights. The internal equity asset allocation weights directly adopt the monthly views of the monthly frequency industry rotation model[34] - **Model Construction Process**: The model's latest holdings include dividend style ETFs and ETFs related to pharmaceuticals, non-ferrous metals, media, steel, and energy chemicals[36] - **Model Evaluation**: The model has risen by 0.34% last week and has accumulated a 5.69% return this year[34] - **Model Testing Results**: - Annualized Return: 6.52% - Annualized Volatility: 3.81% - Maximum Drawdown: 4.65% - Sharpe Ratio: 1.71 - Calmar Ratio: 1.40 - Year-to-Date (YTD): 5.69% - Last Week Performance: 0.34%[39] Global Asset Allocation Simulation Portfolio - **Model Name**: Global Asset Allocation Simulation Portfolio - **Model Construction Idea**: Predict future returns of global major assets using a cycle three-factor pricing model, and construct the portfolio using a "momentum selects assets, cycle adjusts weights" risk budgeting framework[40] - **Model Construction Process**: The strategy currently overweights bonds and foreign exchange, with higher risk budgets assigned to assets such as Chinese bonds and US bonds[40] - **Model Evaluation**: The strategy has achieved an annualized return of 7.22% in the backtest period, with a Sharpe ratio of 1.50[40] - **Model Testing Results**: - Annualized Return: 7.22% - Annualized Volatility: 4.82% - Maximum Drawdown: -6.44% - Sharpe Ratio: 1.50 - Calmar Ratio: 1.12 - Year-to-Date (YTD): -3.04% - Last Week Performance: 0.61%[41] Quantitative Factors and Construction Methods Sentiment Indicators - **Factor Name**: Sentiment Indicators - **Factor Construction Idea**: Construct sentiment indicators from the perspectives of the put-call ratio, implied volatility, and basis in the options and futures markets[2] - **Factor Construction Process**: - **Put-Call Ratio**: Observe the ratio of the trading volume of call options to put options in the 50ETF and 500ETF options markets[17] - **Implied Volatility**: Construct the implied volatility ratio series of call and put options[20] - **Basis**: Construct the annualized basis rate weighted by the open interest for the four major stock index futures products[26] - **Factor Evaluation**: The sentiment indicators show that the previous overheating sentiment in the A-share market has continued to ease[2] Factor Backtesting Results Sentiment Indicators - **Put-Call Ratio**: The ratio has significantly fallen from the high levels observed on July 23, indicating a more rational market sentiment[17] - **Implied Volatility Ratio**: Despite the stock market rebound last week, the implied volatility ratio of call options to put options has been trending downward, further reflecting rational investor sentiment[20] - **Annualized Basis Rate**: The basis rate has been fluctuating downward, indicating rational sentiment in the futures market[26]