【金融期权日报0725】金融期权成交量594万张，中证500ETF期权下降0.31%

分析师谢怡伦从业资格号：F03135587投资咨询号：Z0021150Tel：021-65789205Email：xieyilun_qh@chinastock.com.cn 衍生品业务总部 目录一．1.1.成交持仓量.................................................................................................................................................31.2.波动率..........................................................................................................................................................4二．2.1.上交所上证50ETF期权..........................................................................................................................52.2.上交所沪深300ETF期权........................................................................................................................62.3.上交所中证500ETF期权........................................................................................................................72.4.上交所科创50ETF期权..........................................................................................................................82.5.上交所科创版50ETF期权.....................................................................................................................92.6.深交所沪深300ETF期权......................................................................................................................102.7.深交所中证500ETF期权......................................................................................................................11 2衍生品业务总部行情速览.....................................................................................................................................................3品种研究.....................................................................................................................................................5 一．行情速览1.1.成交持仓量图表1：期权成交持仓情况上交所上证50ETF上交所沪深300ETF上交所中证500ETF上交所科创50ETF上交所科创版50ETF深交所沪深300ETF深交所中证500ETF深交所创业板ETF深交所深证100ETF中金所沪深300指数中金所中证1000指数中金所上证50指数资料来源：衍生品业务总部图表2：期权成交持仓情况0500,0001,000,0001,500,0002,000,0002,500,000资料来源：衍生品业务总部 1.2.波动率图表3：期权波动率行情上交所上证50ETF上交所沪深300ETF上交所中证500ETF上交所科创50ETF上交所科创版50ETF深交所沪深300ETF深交所中证500ETF深交所创业板ETF深交所深证100ETF中金所沪深300指数中金所中证1000指数中金所上证50指数资料来源：衍生品业务总部*隐波指数（VIX）计算方式参考CBOE的VIX指数编制方案进行编制，详情请联系报告作者进行交流，且IV涨跌计算方式为绝对值计算。图表4：标的与波动率涨跌幅中金所中证1000指数-0.60%IV涨跌幅(绝对值)资料来源：衍生品业务总部 4衍生品业务总部上交所上证50ETF上交所沪深300ETF上交所中证500ETF上交所科创50ETF上交所科创版50ETF深交所沪深300ETF深交所中证500ETF深交所创业板ETF深交所深证100ETF中金所沪深300指数中金所上证50指数0.00%0.20%0.40%0.60%0.80%1.00%1.20%1.40%1.60%1.80%-0.40%-0.20%0.00%0.20%0.40%0.60%标的涨跌幅 二．品种研究2.1.上交所上证50ETF期权图表5：波动率微笑曲线0%5%10%15%20%25%2.62.652.72.752.82.852.92.95 3 3.1 3.2资料来源：衍生品业务总部图表7：VIX指数10.012.014.016.018.0资料来源：衍生品业务总部图表9：成交量PCR0.00.20.40.60.81.01.22025-06-242025-06-262025-06-282025-06-302025-07-02资料来源：衍生品业务总部 C2025-07-042025-07-062025-07-082025-07-10 资料来源：衍生品业务总部图表8：SKEW指数85.090.095.0100.0105.0110.0115.0资料来源：衍生品业务总部图表10：持仓量PCR2025-07-202025-07-220.00.51.01.52025-06-242025-06-262025-06-282025-06-302025-07-022025-07-042025-07-06资料来源：衍生品业务总部 2.2.上交所沪深300ETF期权图表11：波动率微笑曲线0%10%20%30%40%3.63.73.83.9 4 4.14.24.34.44.54.6C资料来源：衍生品业务总部图表13：VIX指数10.012.014.016.018.020.0资料来源：衍生品业务总部图表15：成交量PCR0.00.51.01.52025-06-242025-06-262025-06-282025-06-302025-07-022025-07-042025-07-062025-07-082025-07-10资料来源：衍生品业务总部 资料来源：衍生品业务总部图表14：SKEW指数80.090.0100.0110.0120.0资料来源：衍生品业务总部图表16：持仓量PCR2025-07-220.00.51.01.52025-06-242025-06-262025-06-282025-06-302025-07-022025-07-042025-07-06资料来源：衍生品业务总部 2.3.上交所中证500ETF期权图表17：波动率微笑曲线0%10%20%30%40%55.255.55.75 6 6.256.56.75 7 7.25C资料来源：衍生品业务总部图表19：VIX指数10.015.020.025.0资料来源：衍生品业务总部图表21：成交量PCR0.00.20.40.60.81.01.22025-06-242025-06-262025-06-282025-06-302025-07-022025-07-042025-07-062025-07-082025-07-10资料来源：衍生品业务总部 资料来源：衍生品业务总部图表20：SKEW指数90.095.0100.0105.0110.0115.0120.0资料来源：衍生品业务总部图表22：持仓量PCR2025-07-202025-07-220.00.51.01.52025-06-242025-06-262025-06-282025-06-302025-07-022025-07-042025-07-06资料来源：衍生品业务总部 2.4.上交所科创50ETF期权图表23：波动率微笑曲线0%10%20%30%40%50%0.850.90.95 1 1.051.11.151.21.25C资料来源：衍生品业务总部图表25：VIX指数20.022.024.026.028.030.032.0资料来源：衍生品业务总部图表27：成交量PCR0.00.20.40.60.81.02025-06-242025-06-262025-06-282025-06-302025-07-022025-07-042025-07-062025-07-082025-07-10资料来源：衍生品业务总部 资料来源：衍生品业务总部图表26：SKEW指数90.095.0100.0105.0110.0115.0资料来源：衍生品业务总部图表28：持仓量PCR2025-07-220.00.20.40.60.82025-06-242025-06-262025-06-282025-06-302025-07-022025-07-042025-07-06资料来源：衍生品业务总部 2.5.上交所科创版50ETF期权图表29：波动率微笑曲线0%20%40%60%0.80.850.90.95 1 1.051.11.151.21.25C资料来源：衍生品业务总部图表31：VIX指数20.022.024.026.028.030.032.0资料来源：衍生品业务总部图表33：成交量PCR0.00.20.40.60.81.02025-06-242025-06-262025-06-282025-06-302025-07-022025-07-042025-07-062025-07-082025-07-10资料来源：衍生品业务总部 资料来源：衍生品业务总部图表32：SKEW指数90.095.0100.0105.0110.0115.0资料来源：衍生品业务总部图表34：持仓量PCR2025-07-220.00.20.40.60.82025-06-242025-06-262025-06-282025-06-302025-07-022025-07-042025-07-06资料来源：衍生品业务总部 2.6.深交所沪深300ETF期权图表35：波动率微笑曲线0%10%20%30%40%3.73.83.9 4 4.14.24.34.44.54.64.7C资料来源：衍生品业务总部图表37：VIX指数10.012.014.016.018.020.0资料来源：衍生品业务总部图表39：成交量PCR0.00.20.40.60.81.01.22025-06-242025-06-262025-06-282025-06-302025-07-022025-07-042025-07-062025-07-082025-07-10资料来源：衍生品业务总部 资料来源：衍生品业务总部图表38：SKEW指数85.095.0