Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - The stock market, including the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks, shows a market trend of high - level shock and decline [2]. - The implied volatility of financial options gradually declines to a relatively low level around the mean [2]. - Different option strategies are suitable for different types of financial options. For ETF options, covered strategies, neutral double - selling strategies, and vertical spread combination strategies are appropriate. For index options, neutral double - selling strategies and arbitrage strategies between option synthetic futures and futures are recommended [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,573.21, down 42.51 points or 1.18%, with a trading volume of 845.9 billion yuan and an increase of 26.3 billion yuan in trading volume [3]. - The Shenzhen Component Index closed at 11,009.77, down 193.26 points or 1.73%, with a trading volume of 1090.1 billion yuan and an increase of 65.5 billion yuan in trading volume [3]. - Other important indices such as the SSE 50, CSI 300, CSI 500, and CSI 1000 also showed different degrees of decline [3]. 3.2 Option - related Data - **ETF Option Market Overview**: Various ETFs, including SSE 50ETF, SSE 300ETF, etc., showed price declines, and there were corresponding changes in trading volume and trading value [4]. - **Option Factor - Volume and Position PCR**: Different option varieties have different volume and position PCR values and their changes, which can be used to describe the strength of the option underlying market and the turning point of the underlying market [5][6]. - **Option Factor - Pressure and Support Points**: From the perspective of the strike prices with the largest open interest of call and put options, the pressure and support points of different option underlying assets are obtained [7][8]. - **Option Factor - Implied Volatility**: The implied volatility of different option varieties is at different levels, and there are differences in the changes of weighted implied volatility [9][10]. 3.3 Strategy and Recommendations - **Market Segmentation**: The financial option sector is divided into large - cap blue - chip stocks, small and medium - sized boards, and ChiNext. Each sector includes different option varieties [11]. - **Option Strategies for Each Sector** - **Financial Stocks**: For SSE 50ETF and SSE 50, the underlying asset shows a high - level shock and decline trend. Neutral selling strategies and covered call strategies are recommended [12]. - **Large - Cap Blue - Chip Stocks**: For SSE 300ETF, SZSE 300ETF, and CSI 300, the underlying asset also shows a high - level shock and decline trend. Short - volatility strategies and covered call strategies are recommended [12]. - **Large - and Medium - Sized Stocks**: For SZSE 100ETF, short - volatility strategies and covered call strategies are recommended [13]. - **Small and Medium - Sized Boards**: For SSE 500ETF, SZSE 500ETF, and CSI 1000, different strategies are recommended according to the market trend of the underlying assets, including short - volatility strategies and covered call strategies [13][14]. - **ChiNext**: For ChiNext ETF, Huaxia Science and Technology Innovation 50ETF, and E Fund Science and Technology Innovation 50ETF, bullish call option combination strategies and short - volatility strategies are recommended [14]. 3.4 Option Charts - The report provides a large number of option - related charts, including price trends, trading volume and open interest, PCR, implied volatility, etc., of SSE 50ETF, SSE 300ETF, SSE 500ETF, ChiNext ETF, SZSE 100ETF, and CSI 1000 index options, which help to visually understand the market situation of different option varieties [15][34][54][73][95][111]

Report Date - The report is dated July 30, 2025 [1] Core Viewpoint - Stock index options: Implied volatility has declined, and there is still a significant implied volatility premium. A covered call strategy can be considered [2] Market Data Summary Underlying Market Statistics - **Indices**: The Shanghai Composite 50 Index closed at 2819.35, up 10.76; the CSI 300 Index closed at 4151.24, down 0.79; the CSI 1000 Index closed at 6718.48, down 55.40 [3] - **ETFs**: The Shanghai Composite 50 ETF closed at 2.943, up 0.009; the Huatai-PineBridge CSI 300 ETF closed at 4.232, down 0.003; etc [3] Option Market Statistics - **Volume and Open Interest**: For example, the trading volume of Shanghai Composite 50 index options was 56,146, an increase of 29,906; the open interest was 68,176, a decrease of 2,286 [3] - **PCR**: The VL-PCR and OI-PCR of different options vary, such as the VL-PCR of Shanghai Composite 50 index options was 51.35%, and the OI-PCR was 58.89% [3] Option Volatility Statistics - **ATM-IV and HV**: The ATM-IV of Shanghai Composite 50 index options (near - month) was 14.82%, down 1.32%; the same - term HV was 6.37%, up 0.05% [6] - **Skew and VIX**: The Skew of Shanghai Composite 50 index options was 9.62%, down 3.24%; the VIX was 18.64, down 0.976 [6]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Shanghai Composite Index and large-cap blue-chip stocks are consolidating and fluctuating at high levels, while small and medium-cap stocks and ChiNext stocks are showing an upward trend [2]. - The implied volatility of financial options is fluctuating at a relatively high average level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,457.75, up 13.32 points or 0.39%, with a trading volume of 553.6 billion yuan, a decrease of 13.6 billion yuan [3]. - The Shenzhen Component Index closed at 10,476.29, up 11.17 points or 0.11%, with a trading volume of 912.5 billion yuan, a decrease of 7.3 billion yuan [3]. - The SSE 50 Index closed at 2,717.71, up 5.73 points or 0.21%, with a trading volume of 66.1 billion yuan, a decrease of 10.3 billion yuan [3]. - The CSI 300 Index closed at 3,942.76, up 6.68 points or 0.17%, with a trading volume of 236.1 billion yuan, a decrease of 52.8 billion yuan [3]. - The CSI 500 Index closed at 5,934.67, up 19.28 points or 0.33%, with a trading volume of 213.6 billion yuan, a decrease of 12.9 billion yuan [3]. - The CSI 1000 Index closed at 6,373.77, up 17.59 points or 0.28%, with a trading volume of 334.3 billion yuan, a decrease of 1.9 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 2.810, up 0.003 or 0.11%, with a trading volume of 4.3882 million lots, an increase of 4.3092 million lots, and a turnover of 1.232 billion yuan, a decrease of 978 million yuan [4]. - The SSE 300 ETF closed at 3.988, up 0.006 or 0.15%, with a trading volume of 6.4069 million lots, an increase of 6.2987 million lots, and a turnover of 2.551 billion yuan, a decrease of 1.749 billion yuan [4]. - The SSE 500 ETF closed at 5.982, up 0.019 or 0.32%, with a trading volume of 1.3824 million lots, an increase of 1.3579 million lots, and a turnover of 824 million yuan, a decrease of 631 million yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.048, down 0.008 or 0.76%, with a trading volume of 21.6808 million lots, an increase of 21.4046 million lots, and a turnover of 2.272 billion yuan, a decrease of 634 million yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.021, down 0.008 or 0.78%, with a trading volume of 4.1744 million lots, an increase of 4.1036 million lots, and a turnover of 426 million yuan, a decrease of 300 million yuan [4]. - The Shenzhen 300 ETF closed at 4.116, up 0.006 or 0.15%, with a trading volume of 1.2236 million lots, an increase of 1.2034 million lots, and a turnover of 503 million yuan, a decrease of 326 million yuan [4]. - The Shenzhen 500 ETF closed at 2.390, up 0.006 or 0.25%, with a trading volume of 1.1027 million lots, an increase of 1.0897 million lots, and a turnover of 263 million yuan, a decrease of 45 million yuan [4]. - The Shenzhen 100 ETF closed at 2.731, down 0.003 or 0.11%, with a trading volume of 262,000 lots, an increase of 258,100 lots, and a turnover of 71 million yuan, a decrease of 35 million yuan [4]. - The ChiNext ETF closed at 2.126, down 0.007 or 0.33%, with a trading volume of 6.758 million lots, an increase of 6.6517 million lots, and a turnover of 1.434 billion yuan, a decrease of 822 million yuan [4]. 3.3 Option Factor - Volume and Position PCR - The volume PCR and position PCR of various options are provided, which are used to describe the strength of the option underlying market and the turning point of the underlying market [5][6]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points of various options are analyzed from the exercise prices of the maximum open interest of call and put options [7][8]. 3.5 Option Factor - Implied Volatility - The implied volatility of various options is presented, including the at-the-money implied volatility and the weighted implied volatility [9][10]. 3.6 Strategy and Recommendations - The financial option sector is divided into large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks. Different strategies are recommended for each sector [11]. - For the financial stock sector (SSE 50 ETF and SSE 50), it is recommended to construct a bull spread combination strategy for directional trading, a neutral selling strategy for volatility trading, and a covered call strategy for spot trading [12]. - For the large-cap blue-chip stock sector (SSE 300 ETF, Shenzhen 300 ETF, and CSI 300), it is recommended to construct a selling call and put option combination strategy for volatility trading and a covered call strategy for spot trading [12]. - For the medium-cap stock sector (Shenzhen 100 ETF), it is recommended to construct a selling call and put option combination strategy for volatility trading and a covered call strategy for spot trading [13]. - For the small and medium-cap stock sector (SSE 500 ETF, Shenzhen 500 ETF, and CSI 1000), it is recommended to construct a selling call and put option combination strategy for volatility trading and a covered call strategy for spot trading [13][14]. - For the ChiNext sector (ChiNext ETF, Huaxia Science and Technology Innovation 50 ETF, and E Fund Science and Technology Innovation 50 ETF), it is recommended to construct a selling call and put option combination strategy for volatility trading and a covered call strategy for spot trading [14].

1. Report's Industry Investment Rating - No information provided in the report. 2. Core Viewpoints of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks all closed higher, with the ChiNext having the largest increase of 2.3% [2]. - The implied volatility of financial options fluctuates at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [2]. 3. Summary by Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,420.57, up 38.98 points or 1.15%, with a trading volume of 544.9 billion yuan and an increase of 102.1 billion yuan [3]. - The Shenzhen Component Index closed at 10,217.63, up 169.24 points or 1.68%, with a trading volume of 869.7 billion yuan and an increase of 189.9 billion yuan [3]. - The SSE 50 Index closed at 2,715.92, up 31.15 points or 1.16%, with a trading volume of 89.1 billion yuan and an increase of 17 billion yuan [3]. - The CSI 300 Index closed at 3,904.03, up 46.13 points or 1.20%, with a trading volume of 294.2 billion yuan and an increase of 61.7 billion yuan [3]. - The CSI 500 Index closed at 5,765.84, up 91.67 points or 1.62%, with a trading volume of 191.9 billion yuan and an increase of 45.9 billion yuan [3]. - The CSI 1000 Index closed at 6,194.67, up 116.44 points or 1.92%, with a trading volume of 303.7 billion yuan and an increase of 63.7 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 2.792, up 0.030 or 1.09%, with a trading volume of 9.5885 million shares and an increase of 9.513 million shares, and a trading value of 2.676 billion yuan and an increase of 600 million yuan [4]. - The SSE 300 ETF closed at 3.936, up 0.045 or 1.16%, with a trading volume of 12.2455 million shares and an increase of 12.1706 million shares, and a trading value of 4.815 billion yuan and an increase of 1.907 billion yuan [4]. - The SSE 500 ETF closed at 5.804, up 0.092 or 1.61%, with a trading volume of 3.8429 million shares and an increase of 3.8237 million shares, and a trading value of 2.225 billion yuan and an increase of 1.132 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.029, up 0.017 or 1.68%, with a trading volume of 33.0888 million shares and an increase of 32.8645 million shares, and a trading value of 3.393 billion yuan and an increase of 1.126 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.003, up 0.017 or 1.72%, with a trading volume of 7.5166 million shares and an increase of 7.4729 million shares, and a trading value of 751 million yuan and an increase of 321 million yuan [4]. - The Shenzhen 300 ETF closed at 4.059, up 0.041 or 1.02%, with a trading volume of 3.3225 million shares and an increase of 3.3131 million shares, and a trading value of 1.348 billion yuan and an increase of 971 million yuan [4]. - The Shenzhen 500 ETF closed at 2.320, up 0.034 or 1.49%, with a trading volume of 591,700 shares and an increase of 585,900 shares, and a trading value of 137 million yuan and an increase of 5 million yuan [4]. - The Shenzhen 100 ETF closed at 2.680, up 0.036 or 1.36%, with a trading volume of 438,200 shares and an increase of 436,000 shares, and a trading value of 117 million yuan and an increase of 59 million yuan [4]. - The ChiNext ETF closed at 2.044, up 0.046 or 2.30%, with a trading volume of 12.3884 million shares and an increase of 12.3277 million shares, and a trading value of 2.518 billion yuan and an increase of 1.311 billion yuan [4]. 3.3 Option Factor - Volume and Open Interest PCR - For the SSE 50 ETF option, the trading volume was 1.6182 million contracts, an increase of 268,800 contracts; the open interest was 1.4507 million contracts, a decrease of 145,800 contracts; the trading volume PCR was 0.83, a decrease of 0.33; the open interest PCR was 1.09, an increase of 0.08 [5]. - For the SSE 300 ETF option, the trading volume was 1.3402 million contracts, an increase of 330,400 contracts; the open interest was 1.2484 million contracts, a decrease of 129,100 contracts; the trading volume PCR was 0.78, a decrease of 0.26; the open interest PCR was 0.90, an increase of 0.02 [5]. - For the SSE 500 ETF option, the trading volume was 1.7774 million contracts, an increase of 247,200 contracts; the open interest was 1.2693 million contracts, a decrease of 165,600 contracts; the trading volume PCR was 0.83, a decrease of 0.30; the open interest PCR was 1.13, an increase of 0.04 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 793,300 contracts, an increase of 221,800 contracts; the open interest was 1.6652 million contracts, a decrease of 104,200 contracts; the trading volume PCR was 0.55, a decrease of 0.32; the open interest PCR was 0.67, a decrease of 0.01 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 204,300 contracts, an increase of 89,300 contracts; the open interest was 517,600 contracts, a decrease of 22,500 contracts; the trading volume PCR was 0.61, a decrease of 0.14; the open interest PCR was 0.70, no change [5]. - For the Shenzhen 300 ETF option, the trading volume was 137,900 contracts, an increase of 12,800 contracts; the open interest was 251,900 contracts, a decrease of 2,800 contracts; the trading volume PCR was 0.82, a decrease of 0.30; the open interest PCR was 1.05, a decrease of 0.02 [5]. - For the Shenzhen 500 ETF option, the trading volume was 163,800 contracts, an increase of 22,800 contracts; the open interest was 323,100 contracts, a decrease of 8,900 contracts; the trading volume PCR was 0.94, a decrease of 0.16; the open interest PCR was 1.00, a decrease of 0.01 [5]. - For the Shenzhen 100 ETF option, the trading volume was 65,600 contracts, an increase of 2,700 contracts; the open interest was 115,900 contracts, a decrease of 6,600 contracts; the trading volume PCR was 1.02, a decrease of 0.16; the open interest PCR was 1.01, an increase of 0.05 [5]. - For the ChiNext ETF option, the trading volume was 1.6269 million contracts, an increase of 520,900 contracts; the open interest was 1.4497 million contracts, an increase of 13,000 contracts; the trading volume PCR was 0.73, a decrease of 0.20; the open interest PCR was 0.87, an increase of 0.06 [5]. - For the SSE 50 index option, the trading volume was 45,800 contracts, an increase of 19,900 contracts; the open interest was 48,200 contracts, an increase of 4,500 contracts; the trading volume PCR was 0.50, a decrease of 0.15; the open interest PCR was 0.66, a decrease of 0.05 [5]. - For the CSI 300 index option, the trading volume was 89,000 contracts, an increase of 31,600 contracts; the open interest was 134,700 contracts, an increase of 6,700 contracts; the trading volume PCR was 0.51, a decrease of 0.28; the open interest PCR was 0.65, an increase of 0.01 [5]. - For the CSI 1000 index option, the trading volume was 202,000 contracts, an increase of 60,200 contracts; the open interest was 204,900 contracts, an increase of 15,000 contracts; the trading volume PCR was 0.77, a decrease of 0.19; the open interest PCR was 0.92, an increase of 0.05 [5]. 3.4 Option Factor - Pressure and Support Points - For the SSE 50 ETF option, the underlying closing price was 2.792, the at-the-money strike price was 2.80, the pressure point was 2.75, the support point was 2.75, the maximum open interest for calls was 59,310 contracts, and the maximum open interest for puts was 76,308 contracts [7]. - For the SSE 300 ETF option, the underlying closing price was 3.936, the at-the-money strike price was 3.90, the pressure point was 3.90, the support point was 3.90, the maximum open interest for calls was 43,474 contracts, and the maximum open interest for puts was 45,172 contracts [7]. - For the SSE 500 ETF option, the underlying closing price was 5.804, the at-the-money strike price was 5.75, the pressure point was 6.00, the support point was 5.75, the maximum open interest for calls was 64,711 contracts, and the maximum open interest for puts was 65,312 contracts [7]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.029, the at-the-money strike price was 1.05, the pressure point was 1.05, the support point was 1.00, the maximum open interest for calls was 64,485 contracts, and the maximum open interest for puts was 60,194 contracts [7]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 1.003, the at-the-money strike price was 1.00, the pressure point was 1.05, the support point was 1.00, the maximum open interest for calls was 17,966 contracts, and the maximum open interest for puts was 12,670 contracts [7]. - For the Shenzhen 300 ETF option, the underlying closing price was 4.059, the at-the-money strike price was 4.10, the pressure point was 4.10, the support point was 4.00, the maximum open interest for calls was 8,218 contracts, and the maximum open interest for puts was 7,063 contracts [7]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.320, the at-the-money strike price was 2.30, the pressure point was 2.30, the support point was 2.25, the maximum open interest for calls was 6,719 contracts, and the maximum open interest for puts was 9,208 contracts [7]. - For the Shenzhen 100 ETF option, the underlying closing price was 2.680, the at-the-money strike price was 2.70, the pressure point was 2.70, the support point was 2.45, the maximum open interest for calls was 3,135 contracts, and the maximum open interest for puts was 5,593 contracts [7]. - For the ChiNext ETF option, the underlying closing price was 2.044, the at-the-money strike price was 2.05, the pressure point was 2.05, the support point was 2.00, the maximum open interest for calls was 45,814 contracts, and the maximum open interest for puts was 60,845 contracts [7]. - For the SSE 50 index option, the underlying closing price was 2,715.92, the at-the-money strike price was 2,700, the pressure point was 2,700, the support point was 2,650, the maximum open interest for calls was 4,320 contracts, and the maximum open interest for puts was 1,711 contracts [7]. - For the CSI 300 index option, the underlying closing price was 3,904.03, the at-the-money strike price was 3,900, the pressure point was 3,900, the support point was 3,850, the maximum open interest for calls was 6,156 contracts, and the maximum open interest for puts was 4,793 contracts [7]. - For the CSI 1000 index option, the underlying closing price was 6,194.67, the at-the-money strike price was 6,200, the pressure point was 6,200, the support point was 6,000, the maximum open interest for calls was 7,454 contracts, and the maximum open interest for puts was 7,050 contracts [7]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF option, the at-the-money implied volatility was 11.94%, the weighted implied volatility was 12.94%, an increase of 0.34%, the annual average was 8.95%, the call implied volatility was 13.04%, the put implied volatility was 12.82%, the 20-day historical volatility was 12.55%, and the difference between implied and historical volatility was 0.40% [9]. - For the SSE 300 ETF option, the at-the-money implied volatility was 11.96%, the weighted implied volatility was 13.20%, an increase of 0.66%, the annual average was 9.35%, the call implied volatility was 13.32%, the put implied volatility was 13.03%, the 20-day historical volatility was 13.00%, and the difference between implied and historical volatility was 0.20% [9]. - For the SSE 500 ETF option, the at-the-money implied volatility was 13.64%, the weighted implied volatility was 16.48%, an increase of 1.26%, the annual average was 11.82%, the call implied volatility was 16.54%, the put implied volatility was 16.41%, the

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - The energy and chemical industry is divided into multiple sectors including energy, alcohols, polyolefins, rubber, polyesters, alkalis, etc [3]. - For each selected option variety, based on fundamental and market analysis, combined with option factor research, corresponding directional and volatility strategies as well as spot hedging strategies are proposed [8][9][10] 3. Summary According to Related Catalogs 3.1 Futures Market Overview - The latest prices, price changes, trading volumes, and open interest changes of various energy and chemical futures contracts are presented, such as the SC2508 crude oil contract with a latest price of 568, a decline of 4, and a trading volume of 455,500 lots [4]. 3.2 Option Factors 3.2.1 Volume and Open Interest PCR - The volume and open interest PCR of various option varieties are provided, which are used to describe the strength of the option underlying market and the turning point of the market trend respectively. For example, the open interest PCR of crude oil options is 1.90, indicating relatively strong long - term bullish sentiment [5]. 3.2.2 Pressure and Support Levels - The pressure and support levels of various option underlying assets are given. For instance, the pressure level of crude oil is 610 and the support level is 450 [6]. 3.2.3 Implied Volatility - The implied volatility data of various option varieties are presented, including at - the - money implied volatility, weighted implied volatility, etc. For example, the at - the - money implied volatility of crude oil options is 51.77% [7]. 3.3 Strategy and Recommendations 3.3.1 Energy - related Options - **Crude Oil**: Fundamentally, OPEC+ is increasing production, and the US supply is also rebounding. The market trend is short - term bullish. Option strategies include constructing a bullish call spread, a short call + put option combination, and a long collar strategy for spot hedging [8]. - **Liquefied Petroleum Gas (LPG)**: Affected by the Middle East geopolitical conflict, the supply may decrease. The market shows a short - term bullish trend. Strategies are similar to those of crude oil [10]. 3.3.2 Alcohol - related Options - **Methanol**: With decreasing port and enterprise inventories, the market is short - term bullish. Strategies include constructing a bullish call spread, a short call + put option combination, and a long collar strategy for spot hedging [10]. - **Ethylene Glycol**: Port inventory is decreasing, and the market shows a short - term bullish trend. Strategies include constructing a bullish call spread, a short volatility strategy, and a long collar strategy for spot hedging [11]. 3.3.3 Polyolefin - related Options - **Polypropylene**: In the seasonal off - peak season, downstream demand is weak, but the market shows signs of a rebound. Strategies include constructing a bullish call spread and a long collar strategy for spot hedging [11]. 3.3.4 Rubber - related Options - **Rubber**: Inventory is slightly increasing, and the market is in a weak consolidation state. A short neutral call + put option combination strategy is recommended [12]. 3.3.5 Polyester - related Options - **PTA**: The industry inventory is decreasing, and the market is in a high - level consolidation and rebound state. A short neutral call + put option combination strategy is recommended [13]. 3.3.6 Alkali - related Options - **Caustic Soda**: Inventory is decreasing, but the future supply - demand pattern is weakening. Strategies include constructing a bearish put spread, a short bearish strangle option combination, and a long spot + short out - of - the - money call option strategy for spot hedging [14]. - **Soda Ash**: The market is in a weak downward trend. Strategies include constructing a bearish put spread, a short bearish call + put option combination, and a long collar strategy for spot hedging [14]. 3.3.7 Urea - related Options - The enterprise inventory is decreasing, and the market shows a short - term bullish trend after a decline. A short neutral call + put option combination strategy and a long spot + long at - the - money put + short out - of - the - money call option strategy for spot hedging are recommended [15].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a consolidating and oscillating market [2]. - The implied volatility of financial options fluctuated at a historically low level [2]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and short or long futures [2]. 3. Summary by Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,376.20, up 14.23 points or 0.42%, with a trading volume of 446.8 billion yuan and a volume change of -21.4 billion yuan [3]. - The Shenzhen Component Index closed at 10,144.58, up 87.41 points or 0.87%, with a trading volume of 706.2 billion yuan and a volume change of 33.1 billion yuan [3]. - The SSE 50 Index closed at 2,690.82, up 3.53 points or 0.13%, with a trading volume of 51.1 billion yuan and a volume change of -8 billion yuan [3]. - The CSI 300 Index closed at 3,868.74, up 16.73 points or 0.43%, with a trading volume of 211.7 billion yuan and a volume change of -15 billion yuan [3]. - The CSI 500 Index closed at 5,739.01, up 44.17 points or 0.78%, with a trading volume of 150.3 billion yuan and a volume change of -9.7 billion yuan [3]. - The CSI 1000 Index closed at 6,123.17, up 53.14 points or 0.88%, with a trading volume of 232 billion yuan and a volume change of -2.3 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 2.755, up 0.007 or 0.25%, with a trading volume of 3.1802 million lots and a volume change of 3.1301 million lots, and a trading value of 877 million yuan and a value change of -501 million yuan [4]. - The SSE 300 ETF closed at 3.974, up 0.017 or 0.43%, with a trading volume of 4.6454 million lots and a volume change of 4.5858 million lots, and a trading value of 1.846 billion yuan and a value change of -515 million yuan [4]. - The SSE 500 ETF closed at 5.749, up 0.046 or 0.81%, with a trading volume of 1.0953 million lots and a volume change of 1.0815 million lots, and a trading value of 629 million yuan and a value change of -155 million yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.040, up 0.006 or 0.58%, with a trading volume of 12.6952 million lots and a volume change of 12.5437 million lots, and a trading value of 1.319 billion yuan and a value change of -250 million yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.014, up 0.006 or 0.60%, with a trading volume of 2.8356 million lots and a volume change of 2.8007 million lots, and a trading value of 287 million yuan and a value change of -65 million yuan [4]. - The Shenzhen 300 ETF closed at 4.007, up 0.018 or 0.45%, with a trading volume of 1.2831 million lots and a volume change of 1.2760 million lots, and a trading value of 514 million yuan and a value change of 234 million yuan [4]. - The Shenzhen 500 ETF closed at 2.295, up 0.017 or 0.75%, with a trading volume of 394,700 lots and a volume change of 388,400 lots, and a trading value of 91 million yuan and a value change of -53 million yuan [4]. - The Shenzhen 100 ETF closed at 2.663, up 0.019 or 0.72%, with a trading volume of 246,900 lots and a volume change of 245,700 lots, and a trading value of 66 million yuan and a value change of 34 million yuan [4]. - The ChiNext ETF closed at 2.000, up 0.023 or 1.16%, with a trading volume of 7.3891 million lots and a volume change of 7.3315 million lots, and a trading value of 1.476 billion yuan and a value change of 336 million yuan [4]. 3.3 Option Factor - Volume and Position PCR - For the SSE 50 ETF option, the trading volume was 634,500 lots with a volume change of -239,200 lots, the open interest was 1.2719 million lots with a position change of -51,700 lots, the volume PCR was 0.95 with a change of -0.18, and the position PCR was 0.97 with a change of -0.04 [5]. - For the SSE 300 ETF option, the trading volume was 554,600 lots with a volume change of -86,300 lots, the open interest was 1.0916 million lots with a position change of -31,900 lots, the volume PCR was 0.93 with a change of -0.10, and the position PCR was 0.85 with a change of -0.00 [5]. - For the SSE 500 ETF option, the trading volume was 954,000 lots with a volume change of 2,000 lots, the open interest was 1.1561 million lots with a position change of -32,500 lots, the volume PCR was 0.95 with a change of -0.02, and the position PCR was 1.18 with a change of 0.13 [5]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 310,000 lots with a volume change of -65,000 lots, the open interest was 1.3329 million lots with a position change of -4,300 lots, the volume PCR was 0.74 with a change of -0.06, and the position PCR was 0.69 with a change of 0.01 [5]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 98,000 lots with a volume change of -13,100 lots, the open interest was 427,100 lots with a position change of -5,400 lots, the volume PCR was 0.89 with a change of 0.02, and the position PCR was 0.71 with a change of 0.01 [5]. - For the Shenzhen 300 ETF option, the trading volume was 78,200 lots with a volume change of -5,800 lots, the open interest was 208,000 lots with a position change of 5,100 lots, the volume PCR was 0.90 with a change of -0.24, and the position PCR was 0.91 with a change of 0.00 [5]. - For the Shenzhen 500 ETF option, the trading volume was 83,500 lots with a volume change of -21,200 lots, the open interest was 294,200 lots with a position change of 8,100 lots, the volume PCR was 1.03 with a change of -0.07, and the position PCR was 0.96 with a change of 0.04 [5]. - For the Shenzhen 100 ETF option, the trading volume was 39,300 lots with a volume change of -4,400 lots, the open interest was 100,700 lots with a position change of 6,100 lots, the volume PCR was 0.67 with a change of -0.56, and the position PCR was 0.87 with a change of -0.03 [5]. - For the ChiNext ETF option, the trading volume was 694,200 lots with a volume change of 0 lots, the open interest was 1.2186 million lots with a position change of 41,000 lots, the volume PCR was 1.03 with a change of -0.02, and the position PCR was 0.83 with a change of 0.03 [5]. - For the SSE 50 index option, the trading volume was 14,300 lots with a volume change of -6,800 lots, the open interest was 64,800 lots with a position change of 1,100 lots, the volume PCR was 0.67 with a change of 0.03, and the position PCR was 0.62 with a change of 0.00 [5]. - For the CSI 300 index option, the trading volume was 44,100 lots with a volume change of -6,400 lots, the open interest was 174,700 lots with a position change of 2,700 lots, the volume PCR was 0.55 with a change of -0.19, and the position PCR was 0.67 with a change of 0.00 [5]. - For the CSI 1000 index option, the trading volume was 123,100 lots with a volume change of -300 lots, the open interest was 265,800 lots with a position change of 4,900 lots, the volume PCR was 0.94 with a change of -0.02, and the position PCR was 0.97 with a change of 0.03 [5]. 3.4 Option Factor - Pressure and Support Points - For the SSE 50 ETF option, the underlying closing price was 2.755, the at-the-money strike price was 2.75, the pressure point was 2.80 with an offset of 0.00, the support point was 2.70 with an offset of 0.00, the maximum call open interest was 100,697, and the maximum put open interest was 79,544 [7]. - For the SSE 300 ETF option, the underlying closing price was 3.974, the at-the-money strike price was 4.00, the pressure point was 4.00 with an offset of 0.00, the support point was 4.00 with an offset of 0.00, the maximum call open interest was 109,666, and the maximum put open interest was 85,902 [7]. - For the SSE 500 ETF option, the underlying closing price was 5.749, the at-the-money strike price was 5.75, the pressure point was 6.00 with an offset of 0.25, the support point was 5.50 with an offset of 0.00, the maximum call open interest was 86,976, and the maximum put open interest was 116,578 [7]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.040, the at-the-money strike price was 1.05, the pressure point was 1.05 with an offset of 0.00, the support point was 1.00 with an offset of 0.00, the maximum call open interest was 140,729, and the maximum put open interest was 86,735 [7]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 1.014, the at-the-money strike price was 1.00, the pressure point was 1.05 with an offset of 0.00, the support point was 0.95 with an offset of 0.00, the maximum call open interest was 54,095, and the maximum put open interest was 26,273 [7]. - For the Shenzhen 300 ETF option, the underlying closing price was 4.007, the at-the-money strike price was 4.00, the pressure point was 4.00 with an offset of 0.00, the support point was 4.00 with an offset of 0.00, the maximum call open interest was 13,103, and the maximum put open interest was 11,243 [7]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.295, the at-the-money strike price was 2.30, the pressure point was 2.30 with an offset of -0.05, the support point was 2.25 with an offset of 0.10, the maximum call open interest was 13,512, and the maximum put open interest was 16,059 [7]. - For the Shenzhen 100 ETF option, the underlying closing price was 2.663, the at-the-money strike price was 2.65, the pressure point was 2.65 with an offset of 0.00, the support point was 2.65 with an offset of 0.00, the maximum call open interest was 9,202, and the maximum put open interest was 7,104 [7]. - For the ChiNext ETF option, the underlying closing price was 2.000, the at-the-money strike price was 2.00, the pressure point was 2.00 with an offset of 0.00, the support point was 1.95 with an offset of 0.00, the maximum call open interest was 85,664, and the maximum put open interest was 82,956 [7]. - For the SSE 50 index option, the underlying closing price was 2,690.82, the at-the-money strike price was 2,700, the pressure point was 2,800 with an offset of 0, the support point was 2,600 with an offset of 0, the maximum call open interest was 5,313, and the maximum put open interest was 2,150 [7]. - For the CSI 300 index option, the underlying closing price was 3,868.74, the at-the-money strike price was 3,850, the pressure point was 4,000 with an offset of 0, the support point was 3,800 with an offset of -100, the maximum call open interest was 9,828, and the maximum put open interest was 6,430 [7]. - For the CSI 1000 index option, the underlying closing price was 6,123.17, the at-the-money strike price was 6,100, the pressure point was 6,200 with an offset of 0, the support point was 5,800 with an offset of 0, the maximum call open interest was 9,761, and the maximum put open interest was 12,421 [7]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF option, the at-the-money implied volatility was 12.37%, the weighted implied volatility was 12.94% with a change of -0.09%, the annual average was 9.54%, the call implied volatility was 12.95%, the put implied volatility was 12.92%, the 20-day historical volatility was 12.79%, and the implied - historical volatility difference was 0.14% [9]. - For the SSE 300 ETF option, the at-the-money implied volatility was 12.47%, the weighted implied volatility was 13.47% with a change of 0.03%, the annual average was 9.95%, the call implied volatility was 13.1

1. Report Industry Investment Rating - Not provided in the given content 2. Core Views of the Report - In the stock index futures market, tariff fluctuations have resurfaced, and the trading of micro - cap stocks is becoming more crowded. The market lacks a clear main line, and it is recommended to maintain an empty position and wait and see [1][6]. - In the stock index options market, the sentiment direction is unclear. The current covered - call strategy can still be the main position, but attention should be paid to tail risks [2][6]. - In the treasury bond futures market, the bond market sentiment is weak. In the short term, the bond market lacks a clear direction, and the long - end is expected to oscillate with caution [2][7][8]. 3. Summaries According to the Directory 3.1 Market Views 3.1.1 Stock Index Futures - **Current Situation**: On Tuesday, the Shanghai Composite Index opened lower and closed higher with the trading volume remaining flat. During the Dragon Boat Festival, tariff issues resurfaced. Trump announced on May 30 that the import steel tariff would be raised from 25% to 50% starting from June 4, causing the A - share market to open lower after the holiday. The adjustment of index components led to the inflow of incremental funds into rural commercial banks, and the bank sector led the rise. The micro - cap stock index reached a new high, and the trading congestion continued to increase [1][6]. - **Operation Suggestion**: Maintain an empty position and wait and see [6]. 3.1.2 Stock Index Options - **Current Situation**: The underlying market generally rose yesterday, with only the Shanghai - Shenzhen 300 ETF and Shanghai Stock Exchange 50 ETF slightly falling. The option market turnover decreased by 11.62% compared with the last trading day before the holiday. Indicators of each variety are neutral, and the trading and position - holding structures have small daily changes. The skewness of each variety remains at a high level, and the pricing of out - of - the - money puts is relatively high. Volatility has generally declined and is at the lowest level since the September 2024 market [2][6]. - **Operation Suggestion**: Continue to hold the covered - call strategy [6]. 3.1.3 Treasury Bond Futures - **Current Situation**: Yesterday, the central bank's reverse repurchase resulted in a net withdrawal of 37.55 billion yuan. Although the funds at the beginning of the month were generally loose and the fund interest rate declined, the T main contract oscillated weakly. The May Caixin Manufacturing PMI was 48.3, lower than the expected 50.7 and the previous value of 50.4, but its impact on the market was limited. The possible phone call between the Chinese and US presidents this week has attracted market attention, and the trading volume of treasury bond futures has declined. The stock - bond seesaw effect is also obvious [2][7][8]. - **Operation Suggestion**: For trend strategies, maintain the view of oscillation; for hedging strategies, pay attention to short - selling hedging at low basis levels; for basis strategies, appropriately pay attention to basis widening; for curve strategies, the odds of steepening the curve in the medium term are higher [8]. 3.2 Economic Calendar - Provides economic data such as the unemployment rate, CPI, and GDP of the Eurozone, as well as employment data in the US for the current week, including previous values, predicted values, and some announced values [9]. 3.3 Important Information and News Tracking - The Ministry of Industry and Information Technology and other departments are organizing the 2025 new - energy vehicle campaign in rural areas, aiming to promote new - energy vehicles in rural areas and integrate with related pilot projects [10]. - During the Dragon Boat Festival from May 31 to June 2, the cross - regional population mobility was 653.7 million person - times, with a daily average of 217.9 million person - times, a year - on - year increase of 2.5% [10]. 3.4 Derivatives Market Monitoring - The content only mentions the headings of stock index futures data, stock index options data, and treasury bond futures data, but specific data is not provided [11][15][27]

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core View Stock index options are experiencing upward price movements and decreasing volatility, and a covered call strategy can be considered [1]. 3. Summary of Each Section 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index were 2,690.89, 3,858.70, and 6,089.58 respectively, with increases of 7.83, 22.46, and 105.12. The trading volumes were 27.47 billion, 108.47 billion, and 189.38 billion shares respectively, with increases of 2.30 billion, 19.44 billion, and 30.27 billion shares [2]. - **Option Market Statistics**: The trading volumes of the Shanghai Composite 50 Index option, CSI 300 Index option, and CSI 1000 Index option were 22,188, 56,966, and 196,848 respectively, with increases of 11,072, 18,064, and 86,458. The open interests were 61,281, 165,536, and 251,432 respectively, with increases of 2,243, 1,733, and 3,916 [2]. 3.2 Option Indicator Data Statistics - **Option Volatility Statistics (Near - term)**: The ATM - IV of the Shanghai Composite 50 Index option was 13.35%, with a change of 0.02%; the CSI 300 Index option was 13.23%, with a change of - 0.18%; the CSI 1000 Index option was 19.25%, with a change of - 1.89% [5]. - **Option Volatility Statistics (Next - term)**: The ATM - IV of the Shanghai Composite 50 Index option was 13.96%, with a change of 0.23%; the CSI 300 Index option was 13.86%, with a change of - 0.62%; the CSI 1000 Index option was 20.19%, with a change of - 1.39% [5]. 3.3 Option Charts - **Stock Index Options**: There are various charts for Shanghai Composite 50 Index options, CSI 300 Index options, and CSI 1000 Index options, including PCR charts, skew charts, volatility cone charts, and volatility term structure charts [9][13][21]. - **ETF Options**: There are also corresponding charts for multiple ETF options such as Shanghai Composite 50ETF options, Huatai - Berich 300ETF options, etc., including PCR charts, skew charts, volatility cone charts, and volatility term structure charts [24][29][34].

Market Overview - A-shares opened high but closed low on May 13, with total trading volume at 1.33 trillion yuan, unchanged from the previous trading day [1] - Over 3200 stocks declined, while sectors such as port shipping, photovoltaic, banking, and pharmaceuticals saw gains [1] - The Shanghai Stock Exchange 50 Index and CSI 300 Index rose, while other indices fell [1] Options Market Activity - Total options trading volume in the Shanghai and Shenzhen markets was 5.19 million contracts, down from 5.39 million contracts the previous day [1] - Total open interest increased to 8.91 million contracts, up from 8.16 million contracts [1] - The trading volume of the SSE 50 ETF options decreased by 31.53%, while open interest increased by 10.42% [1] - The SSE 50 ETF options traded 674,400 contracts, down from 985,000 contracts the previous day, with open interest at 1.47 million contracts, up from 1.33 million contracts [1] Options Position Changes - For the May contracts, a total of 75,100 contracts were added, with call options increasing by 32,900 contracts and put options by 42,200 contracts [1] - The increase in both call and put options occurred in the shallow out-of-the-money positions, with a broader increase in call options, indicating a potential continuation of market volatility [1] CSI 300 Options Performance - The trading volume for CSI 300 options also showed a decline, with the Shenzhen Stock Exchange's CSI 300 ETF options down by 32.85% and the Shanghai Stock Exchange's down by 23.96% [2] - Open interest for CSI 300 ETF options increased, with the Shenzhen Stock Exchange up by 11.92% and the Shanghai Stock Exchange up by 9.84% [2] - The total increase in open interest for the Shanghai Stock Exchange's CSI 300 ETF options was 53,400 contracts, with call options increasing by 28,200 contracts and put options by 25,200 contracts [2] Volatility Analysis - Implied volatility remained stable, with the SSE 50 ETF at 12.69% as of May 13 [3] - Historical volatility for the SSE 50 ETF was 19.02%, while the CSI 300 Index was at 22.06% [3] - Overall, the A-share market showed a low volatility environment, with both call and put options increasing in shallow out-of-the-money positions, suggesting a short-term market consolidation [3]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - For non - ferrous metals in a consolidation and oscillation state, construct a short - volatility strategy; for the black series with large fluctuations, construct a seller's option combination strategy; for precious metals in a high - level oscillation in the bullish trend direction, construct a bull spread combination strategy, a short - volatility strategy, and a spot hedging strategy [2]. 3. Summary by Related Catalogs 3.1. Futures Market Overview - Copper (CU2506): The latest price is 78,140, up 560 or 0.72%, with a trading volume of 11.67 million lots (down 1.61 million lots) and an open interest of 17.97 million lots (up 0.06 million lots) [3]. - Aluminum (AL2506): The latest price is 19,570, up 90 or 0.46%, with a trading volume of 26.76 million lots (up 0.08 million lots) and an open interest of 19.27 million lots (down 0.21 million lots) [3]. - Other metals such as zinc, lead, nickel, etc., also have their respective price, trading volume, and open - interest changes [3]. 3.2. Option Factor - Volume and Open Interest PCR - PCR indicators are used to describe the strength of the option underlying market and the turning point of the underlying market. For example, the copper option has a trading volume PCR of 2.20 (up 1.19) and an open - interest PCR of 1.23 (up 0.09) [4]. 3.3. Option Factor - Pressure and Support Levels - From the perspective of the maximum open - interest of call and put options, the pressure and support levels of each metal option are obtained. For example, the pressure level of copper (CU2506) is 80,000 and the support level is 70,000 [5]. 3.4. Option Factor - Implied Volatility - The implied volatility of each metal option is calculated. For example, the at - the - money implied volatility of copper is 15.91%, and the weighted implied volatility is 21.95% (up 0.95%) [6]. 3.5. Strategy and Recommendations - **Non - ferrous Metals** - **Copper Options**: Construct a short - volatility seller's option combination strategy and a spot long - hedging strategy [7]. - **Aluminum/Alumina Options**: Construct a short - neutral call + put option combination strategy and a spot collar strategy [9]. - **Other Non - ferrous Metals**: Each has corresponding directional, volatility, and spot - related strategies [9][10][11]. - **Precious Metals** - **Gold/Silver Options**: Construct a short - neutral volatility option seller's combination strategy and a spot - hedging strategy [12]. - **Black Series** - **Steel, Iron Ore, etc.**: Each has corresponding directional, volatility, and spot - related strategies. For example, construct a bearish put spread combination strategy for steel [13][14][15].