Report Summary 1. Report Industry Investment Rating - No information provided 2. Core View of the Report - On January 5th, the Shanghai Composite Index rose by over 1% with increased trading volume, returning to 4000 points; the ChiNext Index soared nearly 3%. There was a broad - based rally in theme stocks, with nearly 4200 stocks rising in the market. The Shanghai Composite Index closed up 1.38% at 4023.42 points, the Shenzhen Component Index rose 2.24%, the ChiNext Index rose 2.85%, the BeiZheng 50 rose 1.8%, the KeChuang 50 rose 4.41%, the Wind All - A rose 1.99%, the Wind A500 rose 2.08%, and the CSI A500 rose 2.14%. A - share trading volume for the whole day was 2.57 trillion yuan, compared with 2.07 trillion yuan the previous day [5] 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Performance**: The closing prices, daily percentage changes, trading volumes (in billions of shares), and turnovers (in billions of yuan) of the SSE 50, CSI 300, and CSI 1000 are presented. For example, the SSE 50 closed at 3099.7462, with a turnover of 1695.62 billion yuan and a trading volume of 2.26 billion shares, showing a 53.50% change [3] - **CFFEX Stock Index Options Trading**: The trading volume and open interest of call and put options, as well as the PCR (Put - Call Ratio) of the SSE 50, CSI 300, and CSI 1000 are provided. For instance, the SSE 50 call option trading volume was 3.26 million contracts, the put option trading volume was 2.32 million contracts, and the trading volume PCR was 0.77 [3] 3.2 Volatility Analysis - **Historical Volatility and Volatility Cone**: The historical volatility and volatility cone of the SSE 50, CSI 300, and CSI 1000 are analyzed, including the 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values, as well as the 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day historical volatilities [3][4] - **Volatility Smile Curve**: The volatility smile curves and next - month at - the - money implied volatilities of the SSE 50, CSI 300, and CSI 1000 are presented [3][4]

| () () = | 6900 | 6000 | 6300 | 6600 | 5/00 | | | --- | --- | --- | --- | --- | --- | --- | | 行情概况 | 12月31日，A股2025年交易收官，上证指数收涨0.09%报3968.84点，深证成指跌0.58%，创业板指跌1.23%，北证50跌 | | | | | | | 0.7%，科创50跌1.15%，万得全A跌0.17%，万得A500跌0.36%，中证A500跌0.28%。A股全天成交2.07万亿元，上日成交2.16万 | 亿元。 | | | | | | | 本报告中的信息均源于公开可获得的资料,国贸期货力求推确可靠,但不对上述信息的准确性及完整性做任何保证。本报告不构 | 免责 | 成个人投资建议,也未针对个别投资者特殊的投资目标、财务状况或需要,投资者需自行判断本报告中的任何意见或建议是否符 | 合其特定状况,据此投资，责任自负。本报告未经国贸期货授权许可,任何引用、转载以及向第三方传播的行为均构成对国贸期 | | | | | 声明 | 货的侵权,我司将视情况追究法律责任。期市有风险,入市需谨慎。 | | | ...

投资咨询业务资格:证监许可【2012】31号 股指期权数据日报 投资咨询号:Z0000116 国贸期货研究院 2025/12/22 金融衍生品中心 李泽钜 从业资格号:F0251925 数据来源: Wind,国贸期货研究院 行情回顾 指数 收盘价 涨跌幅(%) 成交额(亿元) 成交量(亿) 上证50 949. 40 36. 61 3004. 3401 0. 19 3715. 77 沪深300 4568. 1781 0. 34 154. 88 0. 79 3623. 45 中证1000 7329. 8057 219. 21 中金所股指期权成交情况 期权成交量 认购期权 认沾期权 日成交量 期权持企量 认购期权 认洁期权 持仓量 指数 持仓量 (万张) (万张) 持仓量 成交量 成交量 PCR PCR 上证50 3. 47 5. 58 2. 10 0. 61 3. 89 2. 39 1. 50 0. 63 9. 27 5. 75 5. 27 沪深300 15. 02 0. 62 13. 32 8. 05 0. 65 中证1000 32. 84 17.11 15. 73 0. 92 22. 82 11. 80 11 ...

旨期权数据日报 投资咨询号: Z0000116 国贸期货研究院 2025/12/19 金融衍生品中心 李泽矩 从业资格号:F0251925 数据来源: Wind,国资期货研 Time to Matutity 行情回顾 成交量(亿) 收盘价 涨跌幅(%) 成交额(亿元) 指数 0. 23 827.17 32. 55 上证50 2998. 517 4552. 7926 -0. 59 3821. 02 沪深300 151. 68 7272. 4024 -0. 22 中证1000 3489. 84 200. 04 中金所股指期权成交情况 期权成交量 认洁期权 持仓量 认购期权 期权持企量 认购期权 日成交量 认洁期权 指数 持仓量 持仓量 (万张) 成交量 成交量 PCR (万张) PCR 上证50 0. 78 2. 59 7. 05 3. 97 3.08 4. 20 1.61 0. 62 沪深300 15. 23 8. 90 6. 33 0. 71 21. 36 11. 98 9. 38 0. 78 中证1000 33. 46 17. 38 0. 93 36. 06 17. 52 18. 54 16. 08 1. ...

投资咨询业务资格:证监许可【2012】31号 股指期权数据日报 本报告中的信息均源于公开可获得的资料,国贸期货力求准确可靠，但不对上述信息的准确性及完整性做任何保证。本报告不构 成个人投资建议,也未针对个别投资者特殊的投资目标、财务状况或需要,投资者需自行判断本报告中的任何意见或建议是否符 合其特定状况,据此投资,责任自负。本报告未经国贸期货授权许可,任何引用、转载以及向第三方传播的行为均构成对国贸期 货的侵权,我司将视情况追究法律责任。期市有风险,入市需谨慎。 ITC E 認 期货 世界500强投资企业 国贸期货有限公司 成为一 -流的衍生品综合服务商 投资咨询号: Z0000116 国贸期货研究院 2025/12/15 金融衍生品中心 李泽钜 从业资格号:F0251925 数据来源: Wind,国贸期货研究院 行情回顾 指数 涨跌幅(%) 收盘价 成交额(亿元) 成交量(亿) 1372. 58 上证50 57. 19 0. 59 2994. 6446 212. 83 沪深300 0. 63 5238. 63 4580. 95 4227.79 中证1000 7370. 9416 0. 81 243. 53 ...

Report Summary 1. Report Industry Investment Rating - No information provided about the industry investment rating [2][3][4] 2. Core View of the Report - On December 3rd, the A - share market fluctuated and declined, with more stocks falling than rising, over 3800 stocks declined; market hotspots were scarce, and trading volume remained relatively low. The Shanghai Composite Index closed down 0.51% at 3878 points, the Shenzhen Component Index fell 0.78%, the ChiNext Index dropped 1.12%, the North - Securities 50 declined 0.4%, the STAR 50 fell 0.89%, the Wind All - A dropped 0.72%, the Wind A500 declined 0.58%, and the CSI A500 fell 0.56%. The total trading volume of A - shares was 1.68 trillion yuan, compared with 1.61 trillion yuan the previous day [3] 3. Summary According to Related Catalogs 3.1 Market Index Performance - The closing prices, price changes, trading volumes (in billions), and trading amounts (in billions of yuan) of the Shanghai Composite 50, CSI 300, and CSI 1000 are as follows: - Shanghai Composite 50: closing price 2963.0763, down 0.52%, trading volume 38.52 billion, trading amount 854.95 billion yuan [3] - CSI 300: closing price 4531.0486, down 0.51%, trading volume 169.76 billion, trading amount 3744.86 billion yuan [3] - CSI 1000: closing price 7248.274, down 0.89%, trading volume 214.63 billion, trading amount 3350.34 billion yuan [3] 3.2 CFFEX Stock Index Option Trading Situation - Option trading volume, open interest, trading volume of call options, trading volume of put options, open interest of call options, open interest of put options, trading volume PCR, and open interest PCR of the Shanghai Composite 50, CSI 300, and CSI 1000 are presented in detail [3] 3.3 Volatility Analysis - Historical volatility, historical volatility cones, and volatility smile curves of the Shanghai Composite 50, CSI 300, and CSI 1000 are analyzed, including the 10% - 30% quantile, maximum, minimum, current value, 90% quantile, and 60% quantile of historical volatility [3]

Report Summary Core View - The report provides a daily data analysis of stock index options, including market trends, trading volume, open interest, and volatility of major indices such as SSE 50, CSI 300, and CSI 1000 [3]. Index Performance - SSE 50 closed at 2969.6171, down 0.09% with a trading volume of 0.25 billion and a turnover of 850.31 billion yuan [3]. - CSI 300 closed at 4526.6616, up 0.25% with a trading volume of 1.06 billion and a turnover of 3418.32 billion yuan [3]. - CSI 1000 closed at 6616.3421, up 1.06% with a trading volume of 200.68 million and a turnover of 7334.2097 billion yuan [3]. Option Trading Volume and Open Interest - For SSE 50 options, the call option trading volume was 3.70 million, the put option trading volume was 1.87 million, the call option open interest was 6.24 million, and the put option open interest was 2.55 million [3]. - For CSI 300 options, the call option trading volume was 4.48 million, the put option trading volume was 2.89 million, the call option open interest was 17.16 million, and the put option open interest was 7.06 million [3]. - For CSI 1000 options, the call option trading volume was 17.35 million, the put option trading volume was 9.32 million, the call option open interest was 29.74 million, and the put option open interest was 8.04 million [3]. Volatility Analysis - The report presents historical volatility and volatility cone for SSE 50, CSI 300, and CSI 1000, as well as their volatility smile curves for the next - month at - the - money implied volatility [3][4]. Overall Market Conditions - The Shanghai Composite Index rose 0.34% to 3888.6, down 1.67% monthly; the Shenzhen Component Index rose 0.85%, down 2.95% monthly; the ChiNext Index rose 0.7%, down 4.23% monthly; the North - Star 50 Index rose 0.39%, down 12.32% monthly; the STAR 50 Index rose 1.25%, down 6.24% monthly; the Wind All - A Index rose 0.77%, down 2.22% monthly; the Wind A500 Index rose 0.44%, down 2.71% monthly; the CSI A500 Index rose 0.46%, down 2.56% monthly. A - share trading volume was 1.6 trillion yuan, compared to 1.72 trillion yuan the previous day [5].

Group 1: Report Information - The report is the "Stock Index Option Data Daily Report" released by the Research Institute of Guomao Futures on November 28, 2025 [2][3] - The data sources are Wind and Guomao Futures Research Institute [3] Group 2: Market Review Index Performance - The closing price of SSE 50 is 2972.2651, with a turnover of 39.29 billion yuan, a trading volume of 10.5106 billion, and a daily increase of 0.02% [3] - The closing price of CSI 300 is 4515.4027, with a turnover of 417.79 billion yuan, a trading volume of 21.128 billion, and a daily decrease of 0.05% [3] - The closing price of CSI 1000 is 7257.454, with a turnover of 365.626 billion yuan, a trading volume of 15.031 billion, and a daily increase of 0.12% [3] Overall Market Conditions - The Shanghai Composite Index rose 0.29% to 3875.26 points, the Shenzhen Component Index fell 0.25%, the ChiNext Index fell 0.44%, the Beijing Stock Exchange 50 fell 0.62%, the STAR 50 fell 0.33%, the Wind All A fell 0.01%, the Wind A500 fell 0.12%, and the CSI A500 fell 0.12% [4] - A-share trading volume was 1.72 trillion yuan, down from 1.8 trillion yuan the previous day [4] Group 3: CFFEX Stock Index Option Trading Option Trading Volume - For SSE 50, the trading volume of call options is 2.17 million contracts, put options is 1.30 million contracts, and the trading volume PCR is 0.67 [3] - For CSI 300, the trading volume of call options is 9.05 million contracts, put options is 5.40 million contracts, and the trading volume PCR is 0.68 [3] - For CSI 1000, the trading volume of call options is 9.69 million contracts, put options is 8.71 million contracts, and the trading volume PCR is 0.90 [3] Option Open Interest - For SSE 50, the open interest of call options is 6.05 million contracts, put options is 3.55 million contracts, and the open - interest PCR is 0.70 [3] - For CSI 300, the open interest of call options is 16.81 million contracts, put options is 9.86 million contracts, and the open - interest PCR is 0.70 [3] - For CSI 1000, the open interest of call options is 29.21 million contracts, put options is 14.18 million contracts, and the open - interest PCR is 0.94 [3] Group 4: Volatility Analysis SSE 50 Volatility - Analyzed through historical volatility and historical volatility cone, and presented the volatility smile curve and next - month at - the - money implied volatility [3][4] CSI 300 Volatility - Analyzed through historical volatility and historical volatility cone, and presented the volatility smile curve and next - month at - the - money implied volatility [3][4] CSI 1000 Volatility - Analyzed through historical volatility and historical volatility cone, and presented the volatility smile curve and next - month at - the - money implied volatility [3][4]

Section 1: Report Overview - The report, titled "Stock Index Options Data Daily Report", is provided by the Research Institute of Guomao Futures on November 21, 2025, with data sourced from Wind and the institute itself [2][3] Section 2: Market Review Index Performance - The Shanghai Composite Index closed down 0.4% at 3931.05 points, the Shenzhen Component Index fell 0.76%, the ChiNext Index dropped 1.12%, the Beijing Stock Exchange 50 declined 1.07%, the Science and Technology Innovation Board 50 decreased 1.24%, the Wind All A fell 0.66%, the Wind A500 dropped 0.62%, and the CSI A500 declined 0.67%. A - shares traded 1.72 trillion yuan throughout the day, compared to 1.74 trillion yuan the previous day [5] - The Shanghai 50 index had a trading volume of 1009.82 billion, a closing price of 3008.2904, a decline of 0.54, and a turnover of 194.56 billion yuan; the CSI 300 index had a trading volume of 4564.9483 billion, a closing price of 3567.12, a decline of 18.19, and a turnover of 227.54 billion yuan; the CSI 1000 index had a trading volume of 7340.4118 billion, a closing price of 6999.7818, a decline of 44.89, and a turnover of 4150.65 billion yuan [3] CFFEX Stock Index Options Trading | Index | Call Option Volume (10,000 contracts) | Put Option Volume (10,000 contracts) | Volume PCR | Call Option Open Interest (10,000 contracts) | Put Option Open Interest (10,000 contracts) | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | Shanghai 50 | 3.27 | 5.53 | 0.60 | 3.47 | 2.07 | 0.74 | | CSI 300 | 17.28 | 6.54 | 0.61 | 13.10 | 10.24 | 0.78 | | CSI 1000 | 33.92 | 0.78 | 0.89 | 16.23 | 19.11 | 0.89 | [3] Section 3: Volatility Analysis Shanghai 50 Volatility - The historical volatility of the Shanghai 50 index is analyzed through the historical volatility cone, including 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values. The volatility smile curve shows the next - month at - the - money implied volatility [3][4] CSI 300 Volatility - The historical volatility of the CSI 300 index is presented using the historical volatility cone with various quantile values. The volatility smile curve depicts the next - month at - the - money implied volatility [3][4] CSI 1000 Volatility - The historical volatility of the CSI 1000 index is analyzed via the historical volatility cone, and the volatility smile curve shows the next - month at - the - money implied volatility [3][4]

Market Overview - On November 19, boosted by the rise of heavy - weight sectors, the Shanghai Composite Index closed in the red after volatile trading. Tech stocks performed poorly, with more than 4,100 stocks falling in the market. The Shanghai Composite Index rose 0.18% to 3,946.74 points, the Shenzhen Component Index remained flat, the ChiNext Index rose 0.25%, the North - bound 50 Index fell 1.4%, the STAR 50 Index fell 0.97%, the Wind All - A Index fell 0.3%, the Wind A500 Index rose 0.35%, and the CSI A500 Index rose 0.29% [5] - A - share trading volume for the whole day was 1.74 trillion yuan, compared with 1.95 trillion yuan the previous day [5] Index Performance | Index | Closing Price | Change (%) | Trading Volume (billion yuan) | Turnover (billion) | | --- | --- | --- | --- | --- | | SSE 50 | 995.51 | 0.58 | 48.20 | 3852.30 | | CSI 300 | 4588.2922 | 0.44 | 7387.2084 | 3671.73 | | CSI 1000 | - | -0.82 | 238.39 | - | [3] CFFEX Stock Index Options Trading Option Volume | Index | Call Option Volume (million contracts) | Put Option Volume (million contracts) | Total Volume (million contracts) | Volume PCR | | --- | --- | --- | --- | --- | | SSE 50 | 3.23 | 2.89 | 7.66 | 0.90 | | CSI 300 | 16.61 | 23.49 | 40.1 | 1.41 | | CSI 1000 | 36.16 | 34.33 | 70.49 | 0.95 | [3] Option Open Interest | Index | Call Option Open Interest (million contracts) | Put Option Open Interest (million contracts) | Total Open Interest (million contracts) | Open Interest PCR | | --- | --- | --- | --- | --- | | SSE 50 | 0.73 | 0.67 | 1.4 | 0.92 | | CSI 300 | 6.94 | 13.07 | 20.01 | 1.88 | | CSI 1000 | 19.86 | 16.30 | 36.16 | 0.82 | [3] Volatility Analysis - The report presents historical volatility and volatility cone charts for SSE 50, CSI 300, and CSI 1000, as well as their next - month at - the - money implied volatility smile curves [3][4]