Report Information - Report Title: Stock Index Options Data Daily Report [2] - Date: September 16, 2025 [3] - Research Institute: Guomao Futures Research Institute [3] - Analyst: Li Zeju from the Financial Derivatives Center [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Market Review Index Performance - The closing price of the Shanghai Stock Exchange 50 Index was 1456.98, with a decline of 0.20% and a trading volume of 296.26154 billion yuan [3]. - The closing price of the CSI 300 Index was 4533.0557, with an increase of 0.24% and a trading volume of 613.315 billion yuan [3]. - The closing price of the CSI 1000 Index was 7415.5711, with a decline of 0.10% and a trading volume of 475.105 billion yuan [3]. Overall Market Conditions - The Shanghai Composite Index fell 0.26% to 3860.5 points, the Shenzhen Component Index rose 0.63%, the ChiNext Index rose 1.51%, the Beijing Stock Exchange 50 Index rose 0.38%, the Science and Technology Innovation 50 Index rose 0.18%, the Wind All - A Index rose 0.09%, the Wind A500 rose 0.22%, and the CSI A500 rose 0.3% [5]. - The total A - share trading volume for the day was 2.3 trillion yuan, compared to 2.55 trillion yuan the previous day [5]. CFFEX Stock Index Options Trading Situation Option Trading Volume - For the Shanghai Stock Exchange 50 Index options, the trading volume of call options was 2.71 million contracts, and that of put options was 3.77 million contracts, with a trading volume PCR of 0.51 [3]. - For the CSI 300 Index options, the trading volume of call options was 8.63 million contracts, and that of put options was 0.55 million contracts, with a trading volume PCR of 0.83 [3]. - For the CSI 1000 Index options, the trading volume of call options was 25.04 million contracts, and that of put options was 13.62 million contracts, with a trading volume PCR of 0.84 [3]. Option Open Interest - For the Shanghai Stock Exchange 50 Index options, the open interest of call options was 9.71 million contracts, and that of put options was 4.08 million contracts, with an open interest PCR of 0.64 [3]. - For the CSI 300 Index options, the open interest of call options was 12.77 million contracts, and that of put options was 10.58 million contracts, with an open interest PCR of 0.83 [3]. - For the CSI 1000 Index options, the open interest of call options was 35.62 million contracts, and that of put options was 18.56 million contracts, with an open interest PCR of 1.09 [3]. Volatility Analysis Shanghai Stock Exchange 50 Index Volatility - Historical volatility and historical volatility cone are presented, along with the volatility smile curve and next - month at - the - money implied volatility [3][4]. CSI 300 Index Volatility - Historical volatility and historical volatility cone are shown, as well as the volatility smile curve and next - month at - the - money implied volatility [3][4]. CSI 1000 Index Volatility - Historical volatility and historical volatility cone are provided, together with the volatility smile curve and next - month at - the - money implied volatility [3][4].

Group 1: Volatility Index Explanation - Financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, while the commodity option implied volatility index is weighted by the IV of the upper and lower two - strike options of the front - month at - the - money options, showing the IV change trend of the front - month contract [2] - The difference between the implied volatility index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher than HV, and a smaller difference means IV is relatively lower [2] Group 2: Volatility Data Chart - The chart shows the IV, HV, and IV - HV differences of various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as silver, soybean meal, corn, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - Implied volatility quantile represents the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. Volatility spread is the difference between the implied volatility index and historical volatility [4] - The implied volatility quantile rankings of different varieties are presented, such as 300 Index with a quantile of 0.63, 50ETF with 0.73, PTA with 0.22, etc [5]

Group 1 - The article emphasizes the importance of understanding volatility in options trading, highlighting that a precise grasp of volatility is key to improving trading success rates [1][2] - It distinguishes between price fluctuations and volatility itself, explaining that price fluctuations are actual market movements, while volatility measures the intensity of these movements [1][2] - The concept of volatility has evolved from traditional commodity trading, where price changes were the main focus, to a critical variable in options pricing models [2][3] Group 2 - Historical volatility is defined as the standard deviation of price changes over a specific period, often annualized for practical use, and serves as a reference for predicting future volatility [3][5] - Implied volatility, in contrast, reflects market participants' expectations of future price fluctuations and is derived from observed market prices, acting as a gauge of market sentiment [4][5] - The relationship between historical and implied volatility is significant, as changes in one can influence the other, indicating potential future price movements [5]

Group 1 - The core concept of options volatility strategy emphasizes the importance of analyzing volatility over the option price itself, as volatility is a critical indicator for investors when trading options [1] - Volatility can be categorized into implied volatility and historical volatility, with implied volatility reflecting market expectations of future price fluctuations [6][7] - The article outlines various volatility strategies, including long volatility strategies such as buying straddles and strangles, which are used when significant price movements are anticipated without a clear direction [3][4][6] Group 2 - A long straddle strategy involves purchasing both a call and a put option with the same strike price and expiration date, allowing for profit if the underlying asset's price moves significantly in either direction [3] - A long strangle strategy entails buying a call option with a higher strike price and a put option with a lower strike price, which is generally less expensive than a straddle and can yield high returns during significant price movements [4] - Directly purchasing volatility index futures, such as VIX futures, is another strategy employed when investors expect an increase in market volatility, allowing them to profit from rising volatility [4] Group 3 - The article also discusses short volatility strategies, where investors can profit from a decrease in volatility by selling options when volatility is expected to revert to its mean [7] - Historical volatility is calculated using past data, while implied volatility is derived from option pricing models, indicating market sentiment regarding future volatility [7] - The strategies discussed can be particularly effective during events that cause significant market fluctuations, such as geopolitical tensions or economic announcements [6][7]

Group 1: Volatility Index Introduction - 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 volatility 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: a larger difference indicates that the implied volatility is relatively higher than historical volatility, and a smaller difference means the opposite [3] Group 2: Implied Volatility Quantile Ranking - The historical volatility quantile ranking of 50ETF is 0.81 [7] - The historical volatility quantile ranking of 300 Index is 0.79 [5] Group 3: Implied Volatility and Historical Volatility Difference Graph Explanation - The implied volatility quantile represents the current level of the implied volatility of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [8] - The volatility spread refers to the implied volatility index minus the historical volatility [8]

Group 1: Core Concepts - Financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, while 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 it is relatively lower [2] - 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. Volatility spread is the implied volatility index minus historical volatility [4] Group 2: Implied Volatility and Historical Volatility Difference Chart - The document presents charts showing the differences between implied volatility (IV) and historical volatility (HV) for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as soybean meal, corn, sugar, cotton, etc. [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - The implied volatility quantile rankings are provided for different options, such as 50ETF, 300 - stock index, etc. For example, the implied volatility quantile of 300 - stock index is 0.82, and for 50ETF, it is shown in the context. The historical volatility quantile rankings are also presented for these options [4][5]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - The report presents the daily data of stock index options, including the market performance of major stock indices, the trading volume and open interest of stock index options, and the volatility analysis of relevant indices [3][4][5] 3. Summary by Related Catalogs Market Review - **Index Performance**: The Shanghai Composite Index fell 1.97% to 3738.32 points, the Shenzhen Component Index fell 2.37%, the ChiNext Index fell 3.2%, the Northbound 50 Index rose 0.58%, the Science and Technology Innovation 50 Index fell 5.38%, the Wind All - A Index fell 1.88%, the Wind A500 Index fell 2.39%, and the CSI A500 Index fell 2.58%. A - share half - day trading volume was 1.62 trillion yuan [5] - **Specific Index Data**: The Shanghai Stock Exchange 50 Index closed at 2910.47, with a trading volume of 91.92 billion, a decline of 1.71%, and a turnover of 2080.35 billion yuan; the CSI 300 Index closed at 4365.2085, with a trading volume of 307.93 billion, a decline of 2.12%, and a turnover of 7731.25 billion yuan; the CSI 1000 Index closed at 7041.1544, with a trading volume of 297.62 billion, a decline of 2.30%, and a turnover of 4885.95 billion yuan [3] CFFEX Stock Index Options Trading Situation - **Option Volume and Open Interest**: For the Shanghai Stock Exchange 50 Index, the call option trading volume was 5.85 million, the put option trading volume was 3.57 million, the trading volume PCR was 0.61, the call option open interest was 6.39 million, the put option open interest was 3.63 million, and the open interest PCR was 0.57; for the CSI 300 Index, the call option trading volume was 22.82 million, the put option trading volume was 9.24 million, the trading volume PCR was 0.68, the call option open interest was 13.19 million, the put option open interest was 9.75 million, and the open interest PCR was 0.74; for the CSI 1000 Index, the call option trading volume was 22.66 million, the put option trading volume was 21.77 million, the trading volume PCR was 0.96, the call option open interest was 16.22 million, the put option open interest was 18.90 million, and the open interest PCR was 0.86 [3] Volatility Analysis - **Historical Volatility and Volatility Cone**: The report provides historical volatility and volatility cone data for the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index, including minimum, maximum, 10% quantile, 30% quantile, 60% quantile, 90% quantile, and current values [3][4] - **Volatility Smile Curve**: The report also shows the next - month at - the - money implied volatility and volatility smile curves for the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index [3][4]

Market Review - The closing price of SSE 50 was 2976.4732, up 0.53%, with a trading volume of 84.76 billion and a turnover of 226.531 billion yuan; the closing price of CSI 300 was 4496.7591, up 0.74%, with a trading volume of 351.94 billion and a turnover of 831.194 billion yuan; the closing price of CSI 1000 was 7438.6767, down 0.11%, with a trading volume of 327.64 billion and a turnover of 565.059 billion yuan [4]. - For SSE 50 index options, the trading volume was 77,700 contracts (58,500 call options and 19,300 put options, PCR 0.33), and the open interest was 93,000 contracts (56,700 call options and 36,300 put options, PCR 0.64); for CSI 300 index options, the trading volume was 208,000 contracts (139,000 call options and 69,000 put options, PCR 0.50), and the open interest was 219,400 contracts (118,500 call options and 101,000 put options, PCR 0.85); for CSI 1000 index options, the trading volume was 330,600 contracts (187,100 call options and 143,500 put options, PCR 0.77), and the open interest was 321,800 contracts (151,900 call options and 169,900 put options, PCR 1.12) [4]. Market Overview - The Shanghai Composite Index rose 0.37% to 3857.93 points, the Shenzhen Component Index rose 0.99%, the ChiNext Index rose 2.23%, the CSI 300 rose 0.74%, the North - bound 50 rose 1.28%, the STAR 50 fell 1.71%, the Wind All - A rose 0.37%, the Wind A500 rose 0.86%, and the CSI A500 rose 0.84%. A - shares traded 2.83 trillion yuan throughout the day, compared with 3 trillion yuan the previous day [8]. Volatility Analysis - The report presents historical volatility chains and volatility smile curves for SSE 50, CSI 300, and CSI 1000, including historical volatility values at different time points (5 - day, 20 - day, 40 - day, etc.) and next - month at - the - money implied volatility [8].

Report Summary Core View - The report provides daily volatility data, including the implied volatility index, historical volatility, and their spread for various financial and commodity options [2]. - The implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day for financial options and the implied volatility change trend of the main contract for commodity options, calculated through weighted two - level implied volatility of at - the - money options in the main month [2]. - The difference between the implied volatility index and historical volatility indicates the relative level of implied volatility compared to historical volatility [2]. Implied Volatility and Historical Volatility Analysis - Multiple charts show the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for different options such as 300 Index, 50ETF, 1000 Index, 500ETF, and various commodity options including beans, corn, sugar, cotton, methanol, etc [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, while a low quantile means it is low [4]. - The implied volatility quantile rankings are provided for different options, e.g., 300 Index has a quantile of 0.90, 50ETF has 0.63, and corn has 0.51 [5]. - The historical volatility quantile rankings are also presented, but specific data is not fully detailed in the given text [4].

Group 1: Volatility Index Explanation - Financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. Commodity option implied volatility index is weighted by the IV of the two - strike options around the at - the - money option of the main contract, showing the IV change trend of the main contract. The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV [2] Group 2: Implied Volatility and Historical Volatility Chart - The chart shows the IV, HV, and IV - HV differences of various financial and commodity options, including 300 Index, 50ETF, 1000 Index, PTA, cotton, etc [3] Group 3: Implied Volatility and Volatility Spread Quantile Ranking - Implied volatility quantile represents the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. Volatility spread is the difference between the implied volatility index and historical volatility [4] - The implied volatility quantile rankings of some varieties are as follows: 300 Index (0.84, 0.89), 50ETF (0.62), PTA (0.52, 0.26), PVC (0.25), methanol (0.13), etc [5]