【金融期权日报0721】金融期权成交量971万张，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-1.80%-1.60%-1.40%-1.20%-1.00%-0.80%-0.60%-0.40%-0.20%0.00%0.20%0.00%0.10%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指数中金所中证1000指数中金所上证50指数0.20%0.30%0.40%0.50%0.60%0.70%0.80%0.90%1.00%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%10%20%30%40%50%2.552.62.652.72.752.82.852.92.95 3 3.1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PCR0.00.51.01.52025-06-192025-06-212025-06-232025-06-252025-06-27资料来源：衍生品业务总部 C2025-06-292025-07-012025-07-032025-07-05 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PCR2025-07-152025-07-170.00.51.01.52025-06-192025-06-212025-06-232025-06-252025-06-272025-06-292025-07-01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%20%40%60%80%3.4233.53.523.63.6183.73.7163.83.814C资料来源：衍生品业务总部图表13：VIX指数10.012.014.016.018.0资料来源：衍生品业务总部图表15：成交量PCR0.00.51.01.52025-06-192025-06-212025-06-232025-06-252025-06-272025-06-292025-07-012025-07-032025-07-05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PCR2025-07-170.00.20.40.60.81.01.22025-06-192025-06-212025-06-232025-06-252025-06-272025-06-292025-07-01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%50%100%4.95 5.255.55.75 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PCR0.00.20.40.60.81.01.22025-06-192025-06-212025-06-232025-06-252025-06-272025-06-292025-07-012025-07-032025-07-05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PCR2025-07-152025-07-170.00.51.01.52025-06-192025-06-212025-06-232025-06-252025-06-272025-06-292025-07-01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%50%100%150%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PCR0.00.20.40.60.81.02025-06-192025-06-212025-06-232025-06-252025-06-272025-06-292025-07-012025-07-032025-07-05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90.095.0100.0105.0110.0115.0120.0资料来源：衍生品业务总部图表28：持仓量PCR2025-07-170.00.20.40.60.82025-06-192025-06-212025-06-232025-06-252025-06-272025-06-292025-07-01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%50%100%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PCR0.00.51.01.52.02025-06-192025-06-212025-06-232025-06-252025-06-272025-06-292025-07-012025-07-032025-07-05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PCR2025-07-170.00.20.40.60.82025-06-192025-06-212025-06-232025-06-252025-06-272025-06-292025-07-01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%20%40%60%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PCR0.00.20.40.60.81.01.22025-06-192025-06-212025-06-232025-06-252025-06-272025-06-292025-07-012025-07-032025-07-05资料来源：衍生品业务总部 资料来源：