Report Summary 1. Report Industry Investment Rating - There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints - On November 3rd, the A - share market recovered after hitting a low, with all three major indexes closing in the green. The ChiNext Index dropped 2% during the session. The Shanghai Composite Index rose 0.55% to 3976.52 points, the Shenzhen Component Index rose 0.19%, and the ChiNext Index rose 0.29%. The North Securities 50 Index fell 0.98%, the Sci - Tech Innovation 50 Index fell 1.04%, the Wind All - A Index rose 0.39%, the Wind 4500 Index rose 0.19%, and the CSI A500 Index rose 0.19%. The total trading volume of A - shares for the day was 2.13 trillion yuan, compared with 2.35 trillion yuan the previous day [5]. 3. Summary by Relevant Catalogs 3.1 Market Index Quotes - The Shanghai Stock Exchange 50 Index closed at 3016.3507, up 0.16%, with a trading volume of 1346.37 billion yuan and a trading volume of 54.90 billion [3]. - The CSI 300 Index closed at 4653.4028, up 0.27%, with a trading volume of 5576.03 billion yuan and a trading volume of 239.87 billion [3]. - The CSI 1000 Index closed at 7538.1178, up 0.42%, with a trading volume of 4324.23 billion yuan and a trading volume of 278.24 billion [3]. 3.2 CFFEX Stock Index Option Trading Situation | 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 Stock Exchange 50 | 3.57 | 2.22 | 0.61 | 2.98 | 1.97 | 0.66 | | CSI 300 | 7.15 | 5.25 | 0.73 | 11.03 | 8.64 | 0.78 | | CSI 1000 | 24.31 | 12.92 | 0.88 | 14.44 | 15.01 | 1.04 | [3] 3.3 Volatility Analysis - The report presents historical volatility cones and volatility smile curves for the Shanghai Stock Exchange 50, CSI 300, and CSI 1000 indexes, including historical volatility data for different periods such as 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day, as well as the current value and percentile values [3][4].

Report Summary 1) Report Industry Investment Rating No information provided. 2) Core Viewpoints - Corn futures prices rose slightly, and the option implied volatility remained stable. The futures main contract C2601 closed at 2141 yuan/ton. [1][2] - Soybean meal futures prices continued to rise, and the option implied volatility decreased slightly. The futures main contract M2601 closed at 3026 yuan/ton. [1][2] 3) Summaries by Relevant Catalogs Futures Market Data Statistics - Corn main - contract C2601 closed at 2141 yuan/ton, up 11 yuan with a 0.52% increase. The trading volume was 637365, an increase of 23242, and the open interest was 917237, a decrease of 13914. [3] - Soybean meal main - contract M2601 closed at 3026 yuan/ton, up 5 yuan with a 0.17% increase. The trading volume was 1248829, a decrease of 167595, and the open interest was 1595045, a decrease of 54240. [3] Option Market Data Statistics - Corn option trading volume was 88151, a decrease of 10905. The trading volume PCR was 0.424, a decrease of 0.140. The open interest was 239955, an increase of 6767, and the open - interest PCR was 0.308, a decrease of 0.007. [8] - Soybean meal option trading volume was 462403, a decrease of 65620. The trading volume PCR was 0.616, a decrease of 0.014. The open interest was 834523, a decrease of 1998, and the open - interest PCR was 0.692, an increase of 0.022. [8] Option Volatility Situation - The weighted implied volatility of corn options was 10.57%, an increase of 0.07 with a 0.62% change rate. The 30 - day historical volatility was 10.53%, and the 30 - day volatility quantile was 0.59. [19] - The weighted implied volatility of soybean meal options was 16.27%, a decrease of 0.21 with a - 1.25% change rate. The 30 - day historical volatility was 16.46%, and the 30 - day volatility quantile was 0.37. [19]

Group 1: General Information - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract, reflecting the implied volatility change trend of the main contract [2] - The difference between the implied volatility index and historical volatility, a larger difference indicates that the implied volatility is relatively higher than historical volatility, and a smaller difference means the opposite [2] Group 2: Implied Volatility and Historical Volatility Charts - There are charts showing the implied volatility (IV), historical volatility (HV), and the difference (IV - HV) for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, gold, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, copper, crude oil, aluminum, PVC, rebar, zinc, rapeseed oil, palm oil, etc [3] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent 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. Volatility spread is the difference between the implied volatility index and historical volatility [4] - There are rankings of implied volatility quantiles and historical volatility quantiles for different options such as 300 - stock index, PTA, 50ETF, corn, PVC, sugar, etc [5]

Group 1: Explanation of Volatility Index - Financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and commodity option implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility, where a larger difference indicates that the implied volatility is relatively higher than historical volatility, and a smaller difference means the opposite [3] Group 2: Volatility Data Chart - The chart shows the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various products including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, copper, crude oil, aluminum, PVC, rebar, urea, palm oil, etc [4] Group 3: Explanation of Quantile Ranking - 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 [5] - Volatility spread is the difference between the implied volatility index and historical volatility [5] - The document provides the implied volatility quantile ranking and historical volatility quantile ranking for different products such as 300 - stock index, corn, PTA, 50ETF, methanol, etc [6]

Core Views - The financial options implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and the commodity options implied volatility index is obtained by weighting the implied volatilities of the two - strike prices above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility indicates the relative level of implied volatility to historical volatility. A larger difference means higher implied volatility relative to historical volatility, and a smaller difference means lower implied volatility relative to historical volatility [3] - 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, while a low quantile means it is low. The volatility spread is the implied volatility index minus the historical volatility [5] Summary by Related Content Implied Volatility Index, Historical Volatility and Their Spread Chart - The chart shows the implied volatility (IV), historical volatility (HV) and their differences (IV - HV) of various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, gold, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, copper, crude oil, aluminum, PVC, rebar, zinc, urea, palm oil, etc [4] Implied Volatility Quantile and Volatility Spread Quantile Ranking Chart - The chart presents the implied volatility quantile ranking and historical volatility quantile ranking of different varieties such as 300 - stock index, 50ETF, PTA, methanol, PVC, iron ore, cotton, etc [5][6]

Report Summary 1. Report Industry Investment Rating - No information provided in the content. 2. Core View of the Report - No information provided in the content. 3. Summary by Related Catalog Historical Volatility - This section presents the historical volatility data of various commodity options, including the main contract price, price change, daily volatility, and historical volatility for different time - periods (HV20, HV40, HV60, HV120) of multiple commodities such as metals (e.g.,沪铝,沪铜,沪锌), energy (e.g.,原油), agricultural products (e.g.,白糖,玉米), and chemical products (e.g., PVC,甲醇). For example,沪铝's main contract price is 21360 with a 0.61% increase, and its daily volatility is 19.32%, HV20 is 9%, HV40 is 8%, HV60 is 7%, and HV120 is 9% [5]. Implied Volatility - It shows the implied volatility of the main contract at - the - money options (主力平值IV) for different commodities like多晶硅,丙烯,尿素, etc. For instance, the主力平值IV of多晶硅 is 33% and 61% [8]. - There are also historical trend charts for some commodities such as工业硅,铁矿,豆油,菜油,原油, and橡胶, which display the relationship between the main contract closing price, main contract at - the - money implied volatility, and HV60 over time [10][11]. Main Contract At - the - Money IV Quantile - Information about the main contract at - the - money IV quantile value is presented, but the specific data is incomplete as only "120%" is given without clear context [12].

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The report presents the daily data of stock index options, including the performance of major indices such as the Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index, as well as the trading volume, closing price, and turnover of index options [3][5] 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Performance**: The Shanghai Composite Index rose 0.71% to 3950.31 points, with a weekly increase of 2.88%. The Shenzhen Component Index rose 2.02% with a weekly increase of 4.73%. The ChiNext Index rose 3.57% with a weekly increase of 8.05%. The CSI 300 rose 1.18% with a weekly increase of 3.24%. The Beijing Stock Exchange 50 rose 1.15% with a weekly increase of 2.74%. The STAR 50 rose 4.35% with a weekly increase of 7.27%. The Wind All A rose 1.27% with a weekly increase of 3.47%. The Wind A500 rose 1.31% with a weekly increase of 3.46%. The CSI A500 rose 1.38% with a weekly increase of 3.59% [5] - **Trading Volume**: A - shares had a full - day trading volume of 1.99 trillion yuan, compared with 1.66 trillion yuan the previous day [5] 3.2 CFFEX Stock Index Option Trading Situation - **Shanghai 50 Index Options**: The trading volume of call options was 3.67 million contracts, and put options was 3.73 million contracts. The open interest of call options was 2.51 million contracts, and put options was 6.25 million contracts. The trading volume PCR was 1.16, and the open interest PCR was 0.46 [3] - **CSI 300 Index Options**: The trading volume of call options was 10.20 million contracts, and put options was 6.52 million contracts. The open interest of call options was 8.83 million contracts, and put options was 7.06 million contracts. The trading volume PCR was 0.56, and the open interest PCR was 0.80 [3] - **CSI 1000 Index Options**: The trading volume of call options was 22.14 million contracts, and put options was 12.73 million contracts. The open interest of call options was 26.83 million contracts, and put options was 13.75 million contracts. The trading volume PCR was 0.74, and the open interest PCR was 0.95 [3] 3.3 Volatility Analysis - **Shanghai 50 Volatility**: Historical volatility and volatility smile curves are presented, including historical volatility cone data such as 10% and 30% quantile values, minimum, maximum, and current values [3][4] - **CSI 300 Volatility**: Similar to the Shanghai 50, historical volatility and volatility smile curves are shown, along with historical volatility cone data [3][4] - **CSI 1000 Volatility**: Historical volatility and volatility smile curves are provided, along with historical volatility cone data [3][4]

Group 1: Report Information - Report Title: Stock Index Option Data Daily Report [2] - Date: October 24, 2025 [3] - Author: Li Zeju from the Financial Derivatives Center of Guomao Futures Research Institute [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Group 2: Market Review Index Performance - The closing price of SSE 50 was 1212.08, with a daily increase of 60.21, a turnover of 302.69044 billion yuan, and a trading volume of 0.56 billion [3]. - The closing price of CSI 300 was not available, with a daily increase of 0.30, a turnover of 420.8 billion yuan, and a trading volume of 200.46 billion [3]. - The closing price of CSI 1000 was not provided, with a daily decrease of 0.06 [3]. Overall Market - The Shanghai Composite Index rose 0.22% to 3922.41 points, the Shenzhen Component Index rose 0.22%, the ChiNext Index rose 0.09%, the Beijing Stock Exchange 50 Index fell 1.07%, the STAR 50 Index fell 0.3%, the Wind All - A Index rose 0.14%, the Wind A500 Index rose 0.37%, and the CSI A500 Index rose 0.29% [4]. - A - share trading volume was 1.66 trillion yuan for the day, compared with 1.69 trillion yuan the previous day [4]. Group 3: CFFEX Stock Index Option Trading Option Volume - For SSE 50, the trading volume of call options was 2.27 million contracts, and that of put options was 3.60 million contracts, with a trading volume PCR of 1.32 [3]. - For CSI 300, the trading volume of call options was 6.35 million contracts, and that of put options was 6.54 million contracts, with a trading volume PCR of 0.74 [3]. - For CSI 1000, the trading volume of call options was 24.00 million contracts, and that of put options was 12.98 million contracts, with a trading volume PCR of 0.85 [3]. Option Open Interest - For SSE 50, the open interest of call options was 3.59 million contracts, and that of put options was 2.41 million contracts, with an open - interest PCR of 0.67, and the total open interest was 6.00 million contracts [3]. - For CSI 300, the open interest of call options was 10.41 million contracts, and that of put options was 4.06 million contracts, with an open - interest PCR of 0.39, and the total open interest was 15.42 million contracts [3]. - For CSI 1000, the open interest of call options was 25.99 million contracts, and that of put options was 12.26 million contracts, with an open - interest PCR of 0.47 [3]. Group 4: Volatility Analysis SSE 50 Volatility - Historical volatility was analyzed using a historical volatility cone, showing different percentile values and current values for different time - periods (HV5, HV20, HV60, etc.) [3][4]. - The volatility smile curve for the next - month at - the - money implied volatility was presented [3][4]. CSI 300 Volatility - Similar to SSE 50, historical volatility was analyzed using a historical volatility cone, and the volatility smile curve for the next - month at - the - money implied volatility was shown [4]. CSI 1000 Volatility - Historical volatility was analyzed with a historical volatility cone, and the volatility smile curve for the next - month at - the - money implied volatility was provided [4].

Group 1: Volatility Index Explanation - 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 - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility indicates the relative level of implied volatility to historical volatility. A larger difference means the implied volatility is relatively higher, while a smaller difference means it is relatively lower [3] Group 2: Volatility Data Visualization - The document presents the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, gold, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, copper, crude oil, aluminum, PVC, rebar, zinc, urea, palm oil, etc [4] Group 3: Implied Volatility and Volatility Spread Quantile Ranking - Implied volatility quantiles represent 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. Volatility spread is related to the implied volatility index and historical volatility [5] - The document shows the implied volatility quantile rankings and historical volatility quantile rankings for different options such as 300 - stock index, 50ETF, PTA, methanol, etc [6]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - Corn futures prices rose slightly, with the futures main contract C2601 closing at 2,144 yuan/ton, and the option implied volatility decreased slightly [1][2] - Soybean meal futures prices fell slightly, with the futures main contract M2601 closing at 2,889 yuan/ton, and the option implied volatility continued to rise [1][2] Summary by Relevant Catalogs 1. Futures Market Data Statistics - Corn main contract C2601 closed at 2,144 yuan/ton, up 6 yuan or 0.28%, with a trading volume of 597,677 (down 75,378) and an open interest of 849,415 (up 49,071) [3] - Soybean meal main contract M2601 closed at 2,889 yuan/ton, down 6 yuan or -0.21%, with a trading volume of 746,759 (down 200,095) and an open interest of 1,985,599 (up 1,290) [3] 2. Option Market Data Statistics - Corn option trading volume was 133,679 (down 41,494), the trading volume PCR was 0.727 (down 0.152), the open interest was 451,544 (up 3,895), and the open interest ratio was 0.383 (down 0.014) [8] - Soybean meal option trading volume was 225,780 (down 127,165), the trading volume PCR was 0.840 (down 0.081), the open interest was 1,066,736 (up 4,203), and the open interest ratio was 0.559 (down 0.005) [8] 3. Option Volatility Situation - The weighted implied volatility of corn options was 16.18% (down 0.30, -1.84%), and the 30 - day historical volatility was 10.39% with a 30 - day volatility quantile of 0.55 [19] - The weighted implied volatility of soybean meal options was 20.92% (up 0.46, 2.27%), and the 30 - day historical volatility was 14.79% with a 30 - day volatility quantile of 0.25 [19]