周度报告——商品期权 商品期权周报：2026 年第 8 周 期权市场情绪：当前沥青、白银、合成橡胶、玻璃成交量 PCR 位于历史高位，市场短期集中博弈下跌预期；烧碱、LPG 成 交量 PCR 处于近一年低位，市场集中博弈上涨预期；沥青、 合成橡胶、纸浆、PVC 持仓量 PCR 位于历史高位，市场对 下跌的博弈情绪已积累至较高水平；而棕榈油、菜油、白银、 黄金、多晶硅、铁矿石等持仓量 PCR 位于近一年低位，市场 对看涨的博弈情绪积累。 ★ 风险提示 模型风险、政策风险、末日轮极端行情 报告日期： 2026 年 2 月 23 日 ★ 商品期权市场活跃度 节前最后一周（2026.02.09-2026.02.13）商品期权市场成交活 跃度继续下滑，日均成交量为 663 万手，日均持仓量为 821 万手，环比变化分别为-22.34%和-11.72%。分品种来看，日均 成交活跃的品种主要包括白银（83 万手）、PTA（60 万手）、 玻璃（34 万手）。此外，成交量增长较为显著的品种为豆一 （+214%）、镍（+100%）。与此同时，成交量下降较为明 显的品种则有多晶硅（-94%）、燃油（-89%）、工业硅（-88%） ...

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Report's Core View There is no clear core view presented in the provided content. The report mainly presents data on various financial products such as ETFs and indices, including their prices, price changes, implied volatility (IV), IV quantiles, skew indices, and related trends over different time periods. 3. Summary by Related Catalogs 3.1 50ETF - **Price and IV Data**: From February 9 - 11, 2026, the 50ETF price changed from 3.161 to 3.170, with corresponding daily price changes of 1.48%, 0.28%, and 0.00%. The corresponding monthly IVs were 17.21%, 16.27%, and 17.51%, and the next - month IVs were 17.34%, 16.57%, and 16.75% [1]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are provided, with the 1 - year current - month IV quantiles being 77.90%, 69.70%, and 80.40% [1]. - **Skew Index**: The skew index on February 11, 2026, was 91.85, with previous values of 94.71 (yesterday), 92.27 (two days ago), 99.29 (three days ago), and 98.62 (four days ago) [2]. 3.2 Shanghai 300ETF - **Price and IV Data**: From February 6 - 11, 2026, the Shanghai 300ETF price changed, with the price on February 11 being 4.733. The daily price changes and corresponding monthly and next - month IVs are provided. For example, on February 9, the price was 4.727, with a 1.68% change, monthly IV of 16.56%, and next - month IV of 17.06% [3]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are presented, such as the 1 - year current - month IV quantiles being 68.90%, 54.20%, etc. [3]. - **Skew Index**: The skew index on February 6, 2026, was 111.30, with previous values also provided [5]. 3.3 Shenzhen 300ETF - **Price and IV Data**: From February 9 - 11, 2026, the Shenzhen 300ETF price changed from 4.928 to 4.920, with corresponding daily price changes and monthly and next - month IVs. For instance, on February 9, the price change was 1.61%, monthly IV was 18.23%, and next - month IV was 17.91% [6]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are given, like the 1 - year current - month IV quantiles being 78.70%, 69.70%, etc. [6]. - **Skew Index**: The skew index on February 9, 2026, was 107.99, with previous values available [10]. 3.4 Shanghai CSI 500ETF - **Price and IV Data**: From February 9 - 11, 2026, the Shanghai CSI 500ETF price changed from 8.395 to 8.411, with corresponding daily price changes and monthly and next - month IVs. For example, on February 9, the price change was 2.17%, monthly IV was 27.08%, and next - month IV was 26.47% [12]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are provided, such as the 1 - year current - month IV quantiles being 93.40%, 88.50%, etc. [12]. - **Skew Index**: The skew index on February 11, 2026, was 108.27, with previous values also presented [15]. 3.5 Shenzhen CSI 500ETF - **Price and IV Data**: From February 10 - 12, 2026, the Shenzhen CSI 500ETF price changed, with the price on February 12 being 3.338. The daily price changes and corresponding monthly and next - month IVs are shown. For example, on February 10, the price change was - 0.24%, monthly IV was 27.32%, and next - month IV was 26.88% [20]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are given, like the 1 - year current - month IV quantiles being 94.20%, 88.10%, etc. [20]. - **Skew Index**: The skew index on February 10, 2026, was 113.89, with previous values available [27]. 3.6 ChiNext ETF - **Price and IV Data**: From February 9 - 11, 2026, the ChiNext ETF price changed from 3.321 to 3.273, with corresponding daily price changes and monthly and next - month IVs. For instance, on February 9, the price change was 2.85%, monthly IV was 27.90%, and next - month IV was 28.10% [28]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are presented, such as the 1 - year current - month IV quantiles being 66.50%, 64.00%, etc. [28]. - **Skew Index**: The skew index on February 11, 2026, was 97.50, with previous values also provided [34]. 3.7 Shenzhen 100ETF - **Price and IV Data**: From February 9 - 11, 2026, the Shenzhen 100ETF price changed from 3.494 to 3.462, with corresponding daily price changes and monthly and next - month IVs. For example, on February 9, the price change was 1.96%, monthly IV was 22.64%, and next - month IV was 22.48% [38]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are given, like the 1 - year current - month IV quantiles being 75.10%, 68.10%, etc. [38]. - **Skew Index**: The skew index on February 11, 2026, was 106.18, with previous values available [42]. 3.8 Science and Technology Innovation 50ETF - **Price and IV Data**: From February 9 - 11, 2026, the Science and Technology Innovation 50ETF price changed from 1.535 to 1.533, with corresponding daily price changes and monthly and next - month IVs. For instance, on February 9, the price change was 2.40%, monthly IV was 33.05%, and next - month IV was 32.07% [48]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are presented, such as the 1 - year current - month IV quantiles being 67.30%, 67.60%, etc. [48]. - **Skew Index**: The skew index on February 11, 2026, was 95.49, with previous values also provided [50]. 3.9 STAR 50ETF - **Price and IV Data**: From February 9 - 11, 2026, the STAR 50ETF price changed from 1.486 to 1.486, with corresponding daily price changes and monthly and next - month IVs. For example, on February 9, the price change was 2.48%, monthly IV was 34.38%, and next - month IV was 32.88% [54]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are given, like the 1 - year current - month IV quantiles being 62.80%, 62.70%, etc. [54]. - **Skew Index**: The skew index on February 11, 2026, was 92.95, with previous values available [61]. 3.10 300 Index - **Price and IV Data**: From February 9 - 11, 2026, the 300 Index price changed from 4719.056 to 4713.819, with corresponding daily price changes and monthly and next - month IVs. For instance, on February 9, the price change was 1.63%, monthly IV was 18.70%, and next - month IV was 18.21% [66]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are presented, such as the 1 - year current - month IV quantiles being 86.50%, 73.80%, etc. [66]. - **Skew Index**: The skew index on February 11, 2026, was 100.38, with previous values also provided [69]. 3.11 1000 Index - **Price and IV Data**: From February 9 - 11, 2026, the 1000 Index price changed from 8233.778 to 8239.513, with corresponding daily price changes and monthly and next - month IVs. For example, on February 9, the price change was 2.26%, monthly IV was 27.20%, and next - month IV was 26.14% [70]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are given, like the 1 - year current - month IV quantiles being 91.80%, 78.70%, etc. [70]. - **Skew Index**: The skew index on February 11, 2026, was 113.30, with previous values available [75]. 3.12 Shanghai Composite 50 Index - **Price and IV Data**: From February 9 - 11, 2026, the Shanghai Composite 50 Index price changed from 3081.779 to 3088.457, with corresponding daily price changes and monthly and next - month IVs. For instance, on February 9, the price change was 1.45%, monthly IV was 17.74%, and next - month IV was 66.58% [80]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are presented, such as the 1 - year current - month IV quantiles being 82.00%, 77.10%, etc. [80]. - **Skew Index**: The skew index on February 11, 2026, was 100.49, with previous values also provided [86].

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoint of the Report - It is the right time to adopt the long straddle strategy for CSI 300 index options as the PCR of open interest and the at - the - money implied volatility of CSI 300 index options have both fallen to relatively low historical quantile levels. Although the short - term stock market risk appetite has been negatively disturbed, with the approaching of the Spring Festival, the expectation of consumption recovery is rising, and the CSI 300 index has the potential for "catch - up growth" [1][18] 3. Summary by Relevant Catalogs 3.1 Market Performance of CSI 300 Index - Since the beginning of the year, the CSI 300 index has shown a trend of rising first and then falling, with a maximum of 4836.95 points, presenting a range - bound market. Compared with the CSI 500 and CSI 1000 indexes, the CSI 300 index has been relatively stable. However, since January 26, the CSI 500 and CSI 1000 indexes have significantly corrected, while the CSI 300 index has remained relatively robust, indicating a possible shift in market style [2] 3.2 Analysis from the Perspective of Open Interest PCR - As of February 4, the open interest PCR of CSI 300 index options was 63.47%, at the 43.8% quantile level since 2023, and has been continuously declining since January 8. This indicates that investors' risk preference has weakened marginally, and the current low level implies a possibility of bottom - out recovery [3] 3.3 Analysis from the Perspective of Implied Volatility - As of February 4, the at - the - money implied volatility of CSI 300 index options was 14.79%, at the 39.9% quantile level since 2023, and has been continuously decreasing since January 7. The current low level is more favorable for option buyers [4] 3.4 Analysis of the Direction of the Underlying Index 3.4.1 Macro - fundamental Aspect - The problem of insufficient effective demand still exists. In January, the manufacturing PMI was 49.3%, down 0.8 percentage points from the previous month, returning to the contraction range. The new order index declined more than the production index, indicating that the demand side is the main drag. The price scissors - gap dilemma has been alleviated to some extent, and there is an obvious differentiation in the economic prosperity among enterprises [9] 3.4.2 Policy Aspect - Policy needs to stabilize domestic demand at the overall level and support technology and consumption at the structural level. Stabilizing domestic demand is a short - term measure to stabilize growth, while structural support for technology and consumption aims at long - term kinetic energy transformation [12] 3.4.3 Market Style and Capital Flow - Since the beginning of the year, stocks related to strategic emerging industries and future industries mentioned in the "15th Five - Year Plan" have been favored by funds, and the valuations of the CSI 500 and CSI 1000 indexes have significantly increased. However, with the regulatory signal of de - leveraging and risk control, the market driven by valuation has ended. As the Spring Festival approaches, the CSI 300 index has the potential for "catch - up growth" due to consumption recovery expectations. Since mid - January, the inflow of margin trading funds into the stock market has slowed down [13][14] 3.4.4 External Factors - The news about the next Fed chairman at the end of January and early February has caused market volatility, and the stock market has been under pressure. However, this is mainly a short - term disturbance, and the stock market logic will eventually return to its fundamentals [17] 3.5 Conclusion and Operation Ideas - It is advisable to choose the long straddle strategy to layout the Spring Festival market. This strategy involves buying the same number of call and put options with the same expiration month and strike price. It can profit whether the market breaks upward as expected or experiences an unexpected downward risk, and can control the risk exposure [18]

1. Report Industry Investment Rating There is no information provided in the content regarding the industry investment rating. 2. Core Viewpoints There is no explicit core view presented in the given content. 3. Summary by Related Catalogs 3.1 50ETF - The price, daily change, and implied volatility (IV) of 50ETF from January 28 - 30, 2026 are presented, with the price rising on January 29 and falling on January 30 [1]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided, showing relatively high IV quantiles [1]. - Graphs display the price, IV, skew index, and other indicators' trends over different time periods [1][2]. 3.2 Shanghai 300ETF - The price, daily change, and IV of Shanghai 300ETF from January 27 - 30, 2026 are shown, with price fluctuations during this period [3]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are given, with high IV quantiles [3]. - Various graphs illustrate the price, IV, skew index, and other trends [3][6]. 3.3 Shenzhen 300ETF - The price, daily change, and IV of Shenzhen 300ETF from January 28 - 30, 2026 are presented, with price changes and IV fluctuations [7]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided, indicating high IV quantiles [7]. - Graphs show the price, IV, skew index, and other trends [7][12]. 3.4 Shanghai CSI 500ETF - The price, daily change, and IV of Shanghai CSI 500ETF from January 28 - 30, 2026 are given, with significant price drops on January 30 [14]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are very high [14]. - Graphs display the price, IV, skew index, and other trends [14][20]. 3.5 Shenzhen CSI 500ETF - The price, daily change, and IV of Shenzhen CSI 500ETF from January 28 - 30, 2026 are shown, with price declines on January 29 and 30 [22]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are high [22]. - Graphs illustrate the price, IV, skew index, and other trends [22][28]. 3.6 ChiNext ETF - The price, daily change, and IV of ChiNext ETF from January 28 - 30, 2026 are presented, with a price increase on January 30 [29]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [29]. - Graphs show the price, IV, skew index, and other trends [29][39]. 3.7 Shenzhen 100ETF - The price, daily change, and IV of Shenzhen 100ETF from January 28 - 30, 2026 are given, with minor price changes [40]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [40]. - Graphs display the price, IV, skew index, and other trends [40][47]. 3.8 Science and Technology Innovation 50ETF - The price, daily change, and IV of Science and Technology Innovation 50ETF from January 28 - 30, 2026 are shown, with price drops on January 29 [49]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [49]. - Graphs illustrate the price, IV, skew index, and other trends [49][54]. 3.9 STAR 50ETF - The price, daily change, and IV of STAR 50ETF from January 28 - 30, 2026 are presented, with price declines on January 29 and 30 [57]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [57]. - Graphs show the price, IV, skew index, and other trends [57][68]. 3.10 300 Index - The price, daily change, and IV of the 300 Index from January 28 - 30, 2026 are given, with a price drop on January 30 [69]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [69]. - Graphs display the price, IV, skew index, and other trends [69][73]. 3.11 1000 Index - The price, daily change, and IV of the 1000 Index from January 28 - 30, 2026 are shown, with price drops on January 29 and 30 [74]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [74]. - Graphs illustrate the price, IV, skew index, and other trends [74][83]. 3.12 Shanghai 50 Index - The price, daily change, and IV of the Shanghai 50 Index from January 28 - 30, 2026 are presented, with a price drop on January 30 [85]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [85]. - Graphs show the price, IV, skew index, and other trends [85][92].

Group 1 - The core viewpoint of the articles indicates a mixed performance in the stock indices, with significant changes in options trading volumes and open interest, suggesting a shift in market sentiment and risk management strategies [1][2] Group 2 - The Shanghai and Shenzhen 300, CSI 1000, and SSE 50 indices showed varied performance, with a notable decline in stock index options trading volume and value, while open interest increased [1] - Implied volatility for stock index options has decreased significantly, with IO at 16.24%, MO at 23.05%, and HO at 15.28%, indicating a potential for future declines in implied volatility premiums [1] - Market risk aversion has risen, as evidenced by the PCR ratios for various options, with IO at 0.67 for open interest, MO at 0.94, and HO at 0.62, reflecting changing trading behaviors [1] - The concentration of open interest in specific strike prices remains stable, with CSI 1000 options focused on 8600 call and 8400 put, SSE 50 options on 3200 call and 3000 put, and Shanghai 300 options on 4800 call and 4700 put [2] - The significant drop in trading volume and implied volatility suggests that traders may consider buying put options to hedge against potential risks in their positions [2]

1. Report's Industry Investment Rating No information provided in the content about the report's industry investment rating. 2. Core Viewpoints of the Report - The market showed a volatile trend last week, with most indices rising after falling and closing higher on a weekly basis. The Sci - Tech Innovation 50 Index led the gains with a weekly increase of 2.58%. The computer and electronics sectors were outstanding with weekly gains of 3.82% and 3.77% respectively, while the national defense and military industry sector was weak with a weekly decline of about 4.92% [1]. - The market focus last week was on the US dollar liquidity environment and domestic policy dynamics. The strengthening of the US dollar index due to geopolitical situations disturbed global risk - asset prices. Domestically, the central bank introduced a structural relending rate - cut tool, and the market generally interpreted it as aiming to guide liquidity to the real economy more effectively. After the stock indices rose for several consecutive trading days, regulatory authorities took measures such as raising the margin ratio for margin trading to cool the market moderately [1]. - It is expected that the short - term market may change from a smooth upward trend to a relatively strong volatile pattern, and the medium - to - long - term trend remains positive. Attention should continue to be paid to changes in US dollar liquidity and domestic policy signals [1]. - In the options market last week, the implied volatility (IV) of most financial options varieties rebounded slightly and was generally slightly higher than the one - year median. The IV of most financial options' position - volume PCR was in the range of 80% - 110%, showing a slight decline compared with the previous week [2]. - The market may continue to be volatile and relatively strong, and the IV of most financial options has rebounded. Investment strategies include: continuing to hold indices with relatively reasonable valuations such as the CSI 300 and CSI A500, and selling out - of - the - money put options on the corresponding indices; for the Sci - Tech Innovation 50 Index, which has large recent fluctuations and relatively high static valuations, if holding the underlying asset, one can consider buying out - of - the - money put options or selling out - of - the - money call options to reduce exposure risks; if there are substantial spot - market gains, one can consider taking profits on the spot and keeping a small amount of long - term call options to cope with irrational market rallies, such as for the ChiNext Index; for the CSI 1000 - 2603 stock index futures with converging discounts, one can consider moving positions to the 2606 contract with a higher discount to continue a covered - call strategy [3]. 3. Summary by Relevant Catalogs Overview - Market trend: Most indices rose after falling last week, with the Sci - Tech Innovation 50 Index leading the gains at 2.58%. The computer and electronics sectors were strong, while the national defense and military industry sector was weak [1]. - Market focus: US dollar liquidity environment and domestic policy dynamics. The strengthening US dollar index disturbed global risk - asset prices, and the central bank introduced a structural relending rate - cut tool. Regulatory authorities took measures to cool the market [1]. - Market outlook: The short - term market may shift to a volatile pattern, and the medium - to - long - term trend is positive. Attention should be paid to US dollar liquidity and domestic policies [1]. Options Market - Implied volatility: The IV of most financial options varieties rebounded slightly and was generally slightly higher than the one - year median. For example, the IV of the Sci - Tech Innovation 50 options was 29%, and that of the ChiNext Index options was 24%, approaching the one - year median. The IV of 50 and 300 options was in the 13% - 16% range, and the IV of CSI 500 and CSI 1000 options was in the 20% - 22% range [2]. - Position - volume PCR: The position - volume PCR of most financial options was in the 80% - 110% range, showing a slight decline compared with the previous week [2]. Strategy Outlook - Market situation: The market may continue to be volatile and relatively strong, and the IV of most financial options has rebounded [3]. - Investment strategies: Hold reasonable - valued indices and sell out - of - the - money put options on them; for high - volatility and high - valuation indices, take risk - reduction measures; consider taking profits on spot and keeping long - term call options; move positions for stock index futures with converging discounts to continue a covered - call strategy [3]. Market Overview - Multiple tables show the closing prices, price changes, IV, historical quantiles of IV, option trading volumes, and position - volume PCR of various underlying assets such as the SSE 50ETF, CSI 300ETF, and others from January 12 - 15, 2026, providing detailed information on market performance [5].

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - Since the beginning of 2026, the CSI 1000 Index has broken through the upper edge of the previous shock range and risen rapidly, but entered a shock consolidation phase after January 13. The long - term upward logic of the index is solid, but it is likely to consolidate in the short term. Buying the butterfly spread strategy of CSI 1000 index options can match the current market expectation [2][10][11] 3. Summary by Relevant Catalogs Market Condition Analysis - The CSI 1000 Index broke through the upper edge of the shock range due to multiple factors such as the strong resilience of macro - economic data, positive policy expectations, and net inflow of incremental funds. After January 13, it entered a shock consolidation period [2] - As of January 16, the position PCR of CSI 1000 index options was 92.97%, at the 74.6% quantile level since 2023. The decline of position PCR since January 13 indicates that market sentiment has cooled [3] - As of January 16, the at - the - money implied volatility of CSI 1000 index options was 21.90%, at the 55.0% quantile level since 2023. The decline of implied volatility since January 13 shows that investors' expectation of high - volatility risk has returned to normal [4] Factors Affecting the Index Policy - related - The macro - policy has a strong determination to stabilize domestic demand. The macro - economic data in December 2025 showed strong resilience, and the policy will focus on promoting the economic positive cycle by boosting residents' consumption [5][6] - The policy has a clear determination to support scientific and technological innovation. The "15th Five - Year Plan" has set goals for key technological breakthroughs and the development of strategic emerging industries, which strongly support the CSI 1000 Index [7] Capital - related - As of January 15, the margin trading balance of the Shanghai and Shenzhen stock markets was 2.69 trillion yuan, and the margin trading purchase amount increased significantly. The active margin trading funds have promoted the market rally [8] - On January 14, the minimum margin ratio for margin trading was raised from 80% to 100%. This adjustment reflects the regulator's intention to guide rational investment and prevent systemic risks. With the significant increase in stock valuations, investors' profit - taking intention has risen, and the index is likely to consolidate in the short term [9] Strategy Recommendation - Buying the butterfly spread strategy of CSI 1000 index options can match the current market expectation. This strategy is composed of three option contracts with different strike prices in arithmetic progression and the same expiration date and type. It can limit both maximum profit and maximum loss, and has a relatively high probability of profit within a certain range. It can capture potential mild - rise returns and control callback risks [10][11]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Not provided in the given content Summary by Related Catalogs 1. 50ETF - From January 13 - 15, 2026, the price decreased from 3.214 to 3.180 with a cumulative decline of about 1.06%, and both the current - month IV and next - month IV decreased [1] - The next - month IV quantiles in the past 1 and 2 years were relatively high, at 86.40% and 77.30% respectively on January 15, 2026 [1] 2. Shanghai 300ETF - From January 12 - 15, 2026, the price fluctuated slightly, and the current - month IV and next - month IV generally decreased [3] - The next - month IV quantiles in the past 1 and 2 years were relatively high, and the current - month IV quantiles also showed certain characteristics [3] 3. Shenzhen 300ETF - From January 13 - 15, 2026, the price first decreased and then increased slightly, and the current - month IV and next - month IV decreased [7] - The next - month IV quantiles in the past 1 and 2 years were relatively high, and the current - month IV quantiles had different levels [7] 4. Shanghai CSI 500ETF - From January 13 - 15, 2026, the price fluctuated, and the current - month IV and next - month IV decreased [15] - The current - month and next - month IV quantiles in the past 1 and 2 years were relatively high [15] 5. Shenzhen CSI 500ETF - From January 13 - 15, 2026, the price fluctuated slightly, and the current - month IV and next - month IV decreased [22] - The current - month and next - month IV quantiles in the past 1 and 2 years were relatively high [22] 6. ChiNext ETF - From January 13 - 15, 2026, the price increased slightly, and the current - month IV and next - month IV decreased [28] - The current - month and next - month IV quantiles in the past 1 and 2 years showed certain levels [28] 7. Shenzhen 100ETF - From January 13 - 15, 2026, the price increased slightly, and the current - month IV and next - month IV decreased [38] - The current - month and next - month IV quantiles in the past 1 and 2 years were at different levels [38] 8. Science and Technology Innovation 50ETF - From January 13 - 15, 2026, the price fluctuated, and the current - month IV and next - month IV showed certain changes [47] - The current - month and next - month IV quantiles in the past 1 and 2 years were relatively high [47] 9. Science and Technology Innovation Board 50ETF - From January 13 - 15, 2026, the price decreased slightly, and the current - month IV and next - month IV decreased [53] - The current - month and next - month IV quantiles in the past 1 and 2 years were relatively high [53] 10. 300 Index - From January 13 - 15, 2026, the price first decreased and then increased slightly, and the current - month IV and next - month IV changed accordingly [65] - The current - month and next - month IV quantiles in the past 1 and 2 years were at different levels [65] 11. 1000 Index - From January 13 - 15, 2026, the price fluctuated, and the current - month IV and next - month IV showed certain trends [70] - The current - month and next - month IV quantiles in the past 1 and 2 years were at different levels [70] 12. Shanghai Composite 50 Index - From January 13 - 15, 2026, the price decreased slightly, and the current - month IV and next - month IV decreased [80] - The current - month and next - month IV quantiles in the past 1 and 2 years were at different levels [80]

Group 1: Report Overview - The report is an early morning strategy report on energy and chemical options, covering various option varieties in the energy and chemical sector [2][3] - It provides an overview of the underlying futures market, including the latest prices, price changes, trading volumes, and open interest of different option varieties [4] - The report also analyzes option factors such as volume - open interest PCR, pressure and support levels, and implied volatility for each option variety [5][6][7] Group 2: Industry Investment Rating - Not provided in the report Group 3: Core Viewpoints - The energy and chemical sector is divided into several sub - sectors, including energy, alcohols, polyolefins, rubber, polyesters, alkalis, and others [9] - The strategy suggests constructing option portfolio strategies mainly as sellers, along with spot hedging or covered call strategies to enhance returns [3] Group 4: Summary by Option Variety Energy Options (Crude Oil, LPG) - **Crude Oil**: NNPC data shows an increase in Nigerian crude + condensate production. The market shows a weak rebound. Implied volatility is below average, and the option PCR indicates a weak market. Strategies include selling neutral call + put option combinations and constructing long collar strategies for spot hedging [8] - **LPG**: Supply has no significant increase, and chemical demand supports the price. The market shows an upward - pressured oscillating recovery. Implied volatility is around the average, and the option PCR indicates a weak market. Similar strategies to crude oil are recommended [10] Alcohol Options (Methanol, Ethylene Glycol) - **Methanol**: Production and capacity utilization are expected to increase slightly. The market shows an upward - pressured rebound. Implied volatility is around the historical average, and the option PCR indicates a weak market. Strategies involve selling neutral call + put option combinations and long collar strategies for spot hedging [10] - **Ethylene Glycol**: Polyester load remains stable. The market shows an upward - pressured oscillating recovery. Implied volatility is above the average, and the option PCR indicates strong short - term power. Strategies include selling volatility and long collar strategies for spot hedging [11] Olefin Options (PVC) - **PVC**: Inventory is increasing, and the market is in a supply - strong and demand - weak situation. The market shows an upward - pressured rebound. Implied volatility is below the average, and the option PCR indicates a continuous weakening. Strategies include constructing a bull call spread and long collar strategies for spot hedging [11] Rubber Options (Rubber) - **Rubber**: Warehouse receipts and inventory data show changes. The market shows a bottom - supported and upward - pressured recovery. Implied volatility is approaching the average, and the option PCR indicates a weak market. Strategies include selling neutral call + put option combinations [12] Polyester Options (PTA) - **PTA**: PTA load is slightly increasing. The market shows a short - term strong rebound. Implied volatility is below the average, and the option PCR indicates a strong market. Strategies include selling neutral call + put option combinations [12] Alkali Options (Caustic Soda, Soda Ash) - **Caustic Soda**: Capacity utilization is increasing in some regions. The market shows a short - term weak bearish trend. Implied volatility is high, and the option PCR indicates a weak market. Strategies include constructing a bear spread and long collar strategies for spot hedging [13] - **Soda Ash**: Factory inventory is increasing. The market shows a low - level weak oscillation. Implied volatility is at a relatively high historical level, and the option PCR indicates a bearish market. Strategies include selling volatility and long collar strategies for spot hedging [13] Other Options (Urea) - **Urea**: Supply - demand difference is decreasing, and enterprise inventory is increasing. The market shows a short - term weak trend. Implied volatility is below the historical average, and the option PCR indicates strong short - term pressure. Strategies include selling slightly bullish call + put option combinations and long collar strategies for spot hedging [14]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints - For non - ferrous metals, a seller's neutral volatility strategy is recommended as they tend to move upwards [2]. - For the black metals sector, which experiences significant fluctuations, a short - volatility combination strategy is suitable [2]. - For precious metals, as they rebound and rise, a bull spread combination strategy is suggested [2]. 3. Summary by Related Catalogs 3.1 Futures Market Overview - The report presents the latest prices, price changes, trading volumes, and open interest of various metal futures contracts. For example, the latest price of copper futures (CU2602) is 103,390, down 520 (- 0.50%) with a trading volume of 16.55 million lots and an open interest of 15.95 million lots [3]. 3.2 Option Factors - **Volume and Open Interest PCR**: It shows the volume and open - interest put - call ratios (PCR) of different metal options. For instance, the volume PCR of copper options is 0.40, with a change of - 0.05, and the open - interest PCR is 0.66, with a change of 0.02 [4]. - **Pressure and Support Levels**: The pressure and support levels of option underlying assets are analyzed. The pressure point of copper is 110,000 and the support point is 98,000 [5]. - **Implied Volatility**: The implied volatility data of various metal options are given, including at - the - money implied volatility, weighted implied volatility, and its change, etc. The at - the - money implied volatility of copper is 33.62% [6]. 3.3 Strategy and Recommendations - **Non - ferrous Metals**: - **Copper**: Directional strategy - construct a bull spread combination strategy of call options; volatility strategy - construct a short - volatility seller's option combination strategy; spot long - hedging strategy - hold a spot long position + buy put options + sell out - of - the - money call options [8]. - **Aluminum, Zinc, Nickel, Tin, Lithium Carbonate**: Similar strategies are provided, mainly including directional strategies (such as bull spread combination strategies for some), volatility strategies (such as short - volatility strategies or selling call + put option combination strategies), and spot hedging strategies [10][11][12]. - **Precious Metals (Silver)**: Directional strategy - construct a bull spread combination strategy of call options; volatility strategy - construct a short - volatility option seller's combination strategy with a bullish bias; spot hedging strategy - hold a spot long position + buy put options + sell out - of - the - money call options [13]. - **Black Metals**: - **Rebar**: Volatility strategy - construct a short - volatility selling call + put option combination strategy with a bearish bias; spot long - covered strategy - hold a spot long position + sell call options [14]. - **Iron Ore, Ferroalloys, Industrial Silicon, Glass**: Similar strategies are given, covering directional, volatility, and spot hedging strategies [14][15][16].