Group 1: Implicit Volatility Index and Historical Volatility - The financial option implicit volatility index reflects the 30 - day implicit volatility trend as of the previous trading day. The commodity option implicit volatility index is obtained by weighting the implicit volatilities of the two - level options above and below the at - the - money option of the main contract month, reflecting the implicit volatility change trend of the main contract [3] - The difference between the implicit volatility index and historical volatility: a larger difference indicates that the implicit volatility is relatively higher than the historical volatility, while a smaller difference means the opposite [3] Group 2: Implicit Volatility Quantile and Volatility Spread Quantile - The implicit volatility quantile represents the current level of the variety's implicit volatility in history. A high quantile means the current implicit volatility is high, and a low quantile means it is low [5] - The volatility spread is related to the implicit volatility index and historical volatility [5]

1. Report Industry Investment Rating - No relevant information provided. 2. Core Viewpoints - The report is a daily report on volatility data, including the calculation methods of implied volatility indices and the meaning of the difference between implied volatility and historical volatility [3]. 3. Summary by Related Catalogs Implied Volatility Index, Historical Volatility and Their Spread Chart - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day, and the implied volatility index of commodity options is weighted by 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 [3]. - The difference between the implied volatility index and historical volatility indicates that a larger difference means the implied volatility is relatively higher than historical volatility, and a smaller difference means the implied volatility is relatively lower [3]. Implied Volatility Quantile and Volatility Spread Quantile Ranking Chart - 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 the implied volatility is low [5]. - The volatility spread is related to the implied volatility index and historical volatility [5].

Group 1: Report Introduction - The report is a daily volatility data report from the Options Headquarters of Yong'an Futures, updated on January 9, 2026 [1][2] Group 2: Volatility Index Explanation - The implied volatility index of financial options reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the IV of the two - strike options above and below the at - the - money option of the main contract month, reflecting the IV change trend of the main 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 3: Volatility Data Charts - There are charts showing the IV, HV, and IV - HV differences of various options including 300 Index, 50ETF, 1000 Index, 500ETF, silver, corn, cotton, rubber, iron ore, PTA, crude oil, aluminum, PVC, rebar, urea, rapeseed oil, and palm oil from July 2024 to January 2026 [3] Group 4: Quantile Ranking Charts - The 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. The volatility spread is calculated as IV index minus HV [4] - There are ranking charts for implied volatility quantiles and historical volatility quantiles [5]

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, while 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 trend of the main contract [3] - The difference between the implied volatility index and historical volatility indicates the relationship between implied and historical volatility. A larger difference means implied volatility is relatively higher, and a smaller difference means it is relatively lower [3] Group 2: Volatility Data Visualization - The document presents multiple charts showing the relationships between implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options such as 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, gold, etc., from 2024 to 2025 [4] Group 3: Quantile Explanation - 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 calculated by adding the index and historical volatility [5]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the performance of CSI 300 Index Option strategies this week, the short straddle strategy led with a 0.21% return. In the SSE 50 ETF Option strategies, the straddle statistical arbitrage strategy led with a 0.28% return. In the CSI 1000 Index Option strategies, the straddle statistical arbitrage strategy led with a 0.25% return [2]. - From the beginning of 2025 to now, the benchmark performed best in all three option markets. Among option strategies, the short put strategy led in the CSI 300 and SSE 50 ETF option markets, while in the CSI 1000 Index Option market, the short put strategy also performed well [7][11][15]. - Three option hedging strategies (covered call, protective put, and collar) can effectively reduce the benchmark's drawdown. Three option volatility trading strategies (straddle statistical arbitrage, short straddle, and short maximum - position wide straddle) can reduce the strategy's drawdown by adding threshold limits in the implied volatility clustering dimension [7][11][15]. - In the CSI 300 and CSI 1000 Index Option markets, the short straddle strategy has a greater Theta value and can obtain higher returns compared to the short maximum - position wide straddle strategy in a downward - moving volatility market. In the SSE 50 ETF Option market, the short maximum - position wide straddle strategy performs relatively better [7][11][15]. - The bull call spread strategy has stronger returns than the benchmark in all three option markets and can reduce the maximum drawdown because it can avoid tail risks and reduce losses in a falling market [7][12][16]. 3. Summary by Relevant Catalogs 3.1 This Week's Market Review 3.1.1 CSI 300 Index Option Strategy Review - Back - tested eight common strategies against the benchmark (CSI 300 Index Futures main contract). This week, the short straddle strategy led with a 0.21% return. From the beginning of 2025 to now, the benchmark performed best with a 27.15% return, and the short put strategy led among option strategies with a 19.11% return [5][6][7]. - Three option hedging strategies effectively reduced the benchmark's drawdown. Three option volatility trading strategies reduced the strategy's drawdown and achieved different cumulative returns. The short straddle strategy had better returns than the short maximum - position wide straddle strategy in a downward - moving volatility market. The bull call spread strategy had stronger returns than the benchmark and reduced the maximum drawdown [7]. 3.1.2 SSE 50 ETF Option Strategy - Back - tested eight common strategies against the benchmark (50ETF). This week, the straddle statistical arbitrage strategy led with a 0.28% return. From the beginning of 2025 to now, the benchmark performed best with a 19.51% return, and the short put strategy led among option strategies with a 19.21% return [8][10][11]. - Three option hedging strategies reduced the benchmark's drawdown. Three option statistical arbitrage strategies reduced the strategy's drawdown and achieved different cumulative returns. The short maximum - position wide straddle strategy performed relatively better than the short straddle strategy [11]. - The bull call spread strategy had stronger returns than the benchmark and reduced the maximum drawdown [12]. 3.1.3 CSI 1000 Index Option Strategy - Back - tested eight common strategies against the benchmark (CSI 1000 Index Futures main contract). This week, the straddle statistical arbitrage strategy led with a 0.25% return. From the beginning of 2025 to now, the benchmark performed best with a 47.08% return, and the short put strategy led among option strategies with a 28.48% return [13][15][17]. - Three option hedging strategies effectively reduced the benchmark's drawdown. Three option volatility trading strategies reduced the strategy's drawdown and achieved different cumulative returns. The short straddle strategy had better returns than the short maximum - position wide straddle strategy [15]. - The bull call spread strategy had stronger returns than the benchmark and reduced the maximum drawdown [16]. 3.2 Specific Strategy Descriptions 3.2.1 Covered Call Strategy - It is used to enhance returns, commonly used by overseas mutual funds. In the SSE 50 ETF, it involves buying 1 share of 50ETF and selling 1 share of a 10% out - of - the - money call option. In the CSI 300 Index Option, it involves buying 1 CSI 300 Index Futures main contract and selling 3 shares of a 4% out - of - the - money call option [18][21]. 3.2.2 Short Put Strategy - A one - way seller strategy, gaining mainly in a sideways or rising market. In the SSE 50 ETF, it involves short - selling an at - the - money put option. In the CSI 300 Index Option, it also involves short - selling an at - the - money put option [24][26]. 3.2.3 Protective Put Strategy - A protective hedging strategy. In the SSE 50 ETF, it involves buying 1 share of 50ETF and 1 share of a 10% out - of - the - money put option. In the CSI 300 Index Option, it involves buying 1 CSI 300 Index Futures main contract and 3 shares of a 4% out - of - the - money put option [28][29][31]. 3.2.4 Collar Strategy - A neutral strategy, a combination of covered call and protective put. In the SSE 50 ETF, it involves holding 1 share of 50ETF, buying 1 share of a 10% out - of - the - money put option, and selling 1 share of a 10% out - of - the - money call option. In the CSI 300 Index Option, it involves holding 1 CSI 300 Index Futures main contract, buying 3 shares of a 4% out - of - the - money put option, and selling 3 shares of a 4% out - of - the - money call option [33][35]. 3.2.5 Straddle Statistical Arbitrage Strategy - Based on the relationship between implied and historical volatility. In the SSE 50 ETF, when the difference between implied and historical volatility is greater than 1.5%, short volatility; when it is less than - 1.5%, long volatility. In the CSI 300 Index Option, the thresholds are 3% and - 3% respectively [40][41][43]. 3.2.6 Short Straddle Strategy - A short - volatility strategy. In both the SSE 50 ETF and CSI 300 Index Option, it involves selling at - the - money call and put options of the same month. Adjust positions when the at - the - money price or the main contract changes, and close positions when the implied volatility change rate is greater than 10% [44][45][47]. 3.2.7 Short Maximum - Position Wide Straddle Strategy - Based on the maximum - position strike prices. In the SSE 50 ETF and CSI 300 Index Option, sell the maximum - position call and put options of the same month. Adjust positions when the maximum - position price or the main contract changes, and close positions when the implied volatility change rate is greater than 10% [49][50][52]. 3.2.8 Bull Call Spread Strategy - A low - cost long - call strategy. In the SSE 50 ETF, buy an at - the - money call option and sell a 10% out - of - the - money call option. In the CSI 300 Index Option, buy an at - the - money call option and sell a 4% out - of - the - money call option [55][57].

Report Overview - This is an index option data daily report from Guomao Futures Research Institute, covering market trends, trading volumes, and volatility analysis of the Shanghai - Shenzhen 300, Shanghai 50, and China Securities 1000 indices on December 30, 2025 [3][5] Market Trends Index Performance - The Shanghai Composite Index closed slightly lower at 3965.12 points. The Shenzhen Component Index rose 0.49%, the ChiNext Index rose 0.63%, the Beijing Stock Exchange 50 fell 0.4%, the Science and Technology Innovation 50 rose 1.01%, the Wind All - A rose 0.13%, the Wind A500 rose 0.28%, and the CSI A500 rose 0.32% [5] - The trading volume of A - shares throughout the day was 2.16 trillion yuan, the same as the previous day [5] Index Details | Index | Closing Price | Change (%) | Trading Volume (Billion Yuan) | Turnover (Billion) | |--|--|--|--|--| | Shanghai 50 | 38.54 | 0.06 | 3036.5523 | 1131.75 | | Shanghai - Shenzhen 300 | 4651.2818 | 0.26 | 4571.85 | 180.37 | | China Securities 1000 | 7597.299 | 0.04 | 4680.24 | 263.33 | [3] Option Trading Volume and Open Interest Shanghai 50 - Call option trading volume was 2.51 million contracts, put option trading volume was 1.53 million contracts, with a trading volume PCR of 0.64. The open interest of call options was 3.11 million contracts, and that of put options was 2.09 million contracts, with an open - interest PCR of 0.67 [3] Shanghai - Shenzhen 300 - Call option trading volume was 9.80 million contracts, put option trading volume was 6.08 million contracts, with a trading volume PCR of 0.61. The open interest of call options was 9.87 million contracts, and that of put options was 7.26 million contracts, with an open - interest PCR of 0.74 [3] China Securities 1000 - Call option trading volume was 12.30 million contracts, put option trading volume was 8.84 million contracts, with a trading volume PCR of 0.72. The open interest of call options was 14.17 million contracts, and that of put options was 14.59 million contracts, with an open - interest PCR of 0.97 [3] Volatility Analysis Shanghai 50 - Historical volatility analysis includes historical volatility cones, with different percentile values and current values presented. The volatility smile curve shows the implied volatility of next - month at - the - money options [3][4] Shanghai - Shenzhen 300 - Similar to the Shanghai 50, historical volatility analysis and volatility smile curves are provided [3][4] China Securities 1000 - Historical volatility analysis and volatility smile curves are also presented, with different percentile values and current values for historical volatility [3][4]

Report Summary Core View - The report provides daily volatility data, including the implied volatility index, historical volatility, and their spread trends for various financial and commodity options, as well as the ranking of implied volatility quantiles and volatility spread quantiles [3][5]. Summary by Related Content Implied Volatility Index and Historical Volatility - 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 weighted by the implied volatility of the two - strike options around the at - the - money option of the main contract, 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]. Implied Volatility Quantiles and Volatility Spread Quantiles - Implied volatility quantiles represent the current level of a variety's implied volatility in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [5]. - Volatility spread quantiles are calculated based on the index and historical volatility [5].

Group 1: Implied Volatility Index and Historical Volatility - 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 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 higher implied volatility relative to historical volatility, while a smaller difference represents lower implied volatility relative to historical volatility [3] Group 2: Implied Volatility Quantile and Volatility Spread Quantile - 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 the current implied volatility is low [5] - The volatility spread is the implied volatility index plus historical volatility [5]

波动率数据日报 永安期货期权总部 更新时间:2025/12/26 、隐含波动率指数、历史波动率及其价差走势图 1、金融期权隐含波动率指数反映截止上一交易日的30日隐波走势,商品期权隐含波动 率指数通过主力月平值期权上下两档隐波加权所得,反映主力合约的隐波变化趋势。2 隐波指数与历史波动率的差值,差值越大反映隐波相对历史波动率越高,差值越小代 表隐波相对历史波动率越低。 隐波指教分位教与波动率价差分位费排名图 1、隐波分位数代表当前品种隐波在历史上的水平。分位数高代表当前稳波偏高。分位数低代表稳疲偏低。2、波动率价差书急按指数一切史皮 动率。 隐含波动率分位数排名 历史波动率分位数排名 en 6-15 0.1 0.2 0.3 0.4 0.5 ore 0.7 0.8 0.9 1 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 ■ 0 ora 1 免费声明：本文所有内得均不符成改造仪、对文中信息的准明情和克题性不作任何保证，仅供学习交流。我受课模或作出的任何放受决策与平企司完美。就仅仅为我 公司所有、未来书面许可。任何扎格和个人不得以世同形式相談、提到发布。如引用、代度、规控班出处为水安和货公司、且 ...

Market Overview - The A-share market experienced narrow fluctuations on December 23, with the Shanghai Composite Index rising by 0.07%, the ChiNext Index increasing by 0.41%, and the STAR Market Index up by 0.36% [1] - The total trading volume in the Shanghai and Shenzhen markets reached 1.91 trillion yuan, with over 3,800 stocks declining, indicating a generally subdued market atmosphere [1] Sector Performance - Sectors such as batteries, energy metals, precious metals, and non-metallic materials showed the highest gains, while tourism and hotels, education, military industry, food and beverage, and software development sectors faced the largest declines [1] Options Market Activity - The total options trading volume in the Shanghai and Shenzhen markets and the China Financial Futures Exchange was 7.5541 million contracts, a decrease of 5.95% from the previous trading day, while total open interest rose by 9.96% to 10.5698 million contracts [1] - The trading volume of the SSE 50 ETF options significantly increased by 20.91%, with open interest rising by 11.79% [1] - For the January contracts, a total of 108,500 contracts were added, with call options increasing by 47,900 contracts and put options by 60,600 contracts, indicating a bullish short-term outlook for the SSE 50 Index [1] Specific Index Options - The overall trading volume of the CSI 300 options decreased, while open interest increased, with the Shenzhen Stock Exchange CSI 300 ETF options open interest rising by 20.93% and the Shanghai Stock Exchange by 12.35% [2] - The trading volume for the Shenzhen Stock Exchange CSI 300 ETF options fell by 21.67%, while the Shanghai Stock Exchange saw a minor decrease of 0.28% [2] - The January contracts for the Shanghai Stock Exchange CSI 300 ETF options saw a total increase of 122,700 contracts, with both call and put options seeing significant additions [2] Volatility Insights - Implied volatility showed a downward trend throughout the day, with the SSE 50 ETF at 10.45% and historical volatility at 10.59% for the SSE 50 ETF and 13.48% for the CSI 300 Index [3] - There was a notable increase in open interest for both call and put options in out-of-the-money and near-the-money positions, indicating heightened expectations for significant price movements in the underlying assets [3]