Report Date - The report is dated July 24, 2025 [1] Investment Rating - No investment rating for the industry is provided in the report Core Viewpoint - Due to the high positive skew percentile of stock index options, a bullish call spread strategy can be considered [2] Data Summary Underlying Market Statistics - The closing prices of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index are 2812.44, 4149.04, and 6701.12 respectively, with increases of 11.24, 29.27, and 93.90 [3] - The trading volumes of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index are 60.28 billion, 319.63 billion, and 285.42 billion hands respectively, with changes of -7.65 billion, 19.13 billion, and -8.69 billion hands [3] Option Market Statistics - The trading volumes of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 36,748, 87,017, and 196,037 respectively, with changes of -18,679, -46,300, and -29,170 [3] - The open interests of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 62,312, 173,462, and 232,248 respectively, with changes of 2,593, 6,427, and 6,805 [3] Option Volatility Statistics - The ATM - IV of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 16.65%, 16.55%, and 20.21% respectively, with changes of 0.21%, -0.11%, and 0.91% [6] - The Skew of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 16.39%, 14.22%, and 7.27% respectively, with changes of 0.57%, 5.34%, and 1.49% [6]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoint As of July 17, 2025, the positive skew of stock index options has increased, indicating a rise in bullish sentiment, and the index options are approaching expiration [1]. 3. Summary by Relevant Catalog 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index were 2744.26, 4034.49, and 6535.67 respectively, with increases of 3.36, 27.29, and 73.61. The trading volumes were 36.15 billion, 161.25 billion, and 227.83 billion hands respectively, with changes of 1.91 billion, 10.22 billion, and 7.60 billion hands [2]. - **Option Market Statistics**: The trading volume and open interest of various options showed different changes. For example, the trading volume of Shanghai Stock Exchange 50 Index Options was 39,744, a decrease of 2,611, and the open interest was 77,564, an increase of 2,283 [2]. 3.2 Option Volatility Statistics - **Near - month Volatility**: The ATM - IV of Shanghai Stock Exchange 50 Index Options was 13.16%, with a change of 0.10%. The ATM - IV of CSI 300 Index Options was 11.69%, with a change of 0.81% [5]. - **Next - month Volatility**: The ATM - IV of Shanghai Stock Exchange 50 Index Options was 14.31%, with a change of 0.43%. The ATM - IV of CSI 300 Index Options was 14.05%, with a change of - 0.13% [5]. 3.3 Option Index Data Statistics No specific text description provided, but there are multiple charts for different option types, including PCR charts, skewness charts, volatility cone charts, and volatility term structure charts, which visually show the characteristics and trends of each option [9][13][22].

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Not provided in the given content Summary by Related Catalogs Option Market Data Statistics - **Underlying Market Statistics**: The closing prices, price changes, trading volumes, and other data of various indexes and ETFs are presented, including the Shanghai Composite 50 Index, CSI 300 Index, and others. For example, the Shanghai Composite 50 Index closed at 2728.43, up 11.80, with a trading volume of 31.43 billion lots [1]. - **Option Market Statistics**: The trading volumes, changes, open interests, and other data of various index options and ETF options are provided. For instance, the trading volume of Shanghai Composite 50 Index options was 20,579, a decrease of 3,760, and the open interest was 54,113, an increase of 1,521 [1]. Option Indicator Data Statistics - **Option Volatility Statistics (Near - Month)**: Data such as ATM - IV, IV changes, same - term HV, HV changes, Skew, Skew changes, and VIX are given for different options. For example, the ATM - IV of Shanghai Composite 50 Index options was 13.21%, with an IV change of 0.31% [4]. - **Option Volatility Statistics (Next - Month)**: Similar data for the next - month options are presented, including ATM - IV, IV changes, same - term HV, HV changes, Skew, and Skew changes [4]. Option Charts - **Index Option Charts**: For each index option (e.g., Shanghai Composite 50 Index options, CSI 300 Index options, and CSI 1000 Index options), there are charts showing the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [6][10][15]. - **ETF Option Charts**: For each ETF option (e.g., Shanghai Composite 50 ETF options, Huatai - Baorui 300 ETF options), there are charts presenting the main - contract volatility trend, the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [22][24][26].

Group 1 - Bitcoin has fallen over 20% from its historical high two months ago, with analysts warning that the downtrend may not be over [1] - As of Monday, Bitcoin was trading around $86,200, down approximately 22% from the peak of $109,225 on January 20 [1] - Concerns over tariffs have led to a drop in Bitcoin, which fell below $80,000 on March 11, marking a new low since November of the previous year [1] Group 2 - The slowing of the Federal Reserve's balance sheet reduction has allowed Bitcoin to rebound over 5% from below $83,000, briefly surpassing $87,000 [1] - Analysts from QCP Capital noted a shift in trader sentiment towards bullishness, as the demand for call options has increased compared to put options [1] - However, macroeconomic uncertainties remain, and the options skew may revert to bearish [1] Group 3 - Concerns regarding the unpredictability of Trump's tariff policies continue to suppress both the stock market and cryptocurrencies, indicating that these assets may not have hit bottom yet [2] - The CME FedWatch Tool shows a 89.1% probability of at least two rate cuts by the Federal Reserve this year [2] - Technical analysis suggests Bitcoin may need to drop to $70,000 before a bullish trend can resume [2] Group 4 - The Bull Score Index from CryptoQuant has fallen to 20, the lowest since January 2023, indicating potential continued bear market conditions [2] - Historical data suggests that Bitcoin typically requires the Bull Score Index to exceed 60 for sustained price increases [2]

Investment Rating - The report provides a positive outlook on the stock index options market, indicating a stable implied volatility and an overall positive bias structure [1]. Core Insights - The report highlights that the options market is experiencing fluctuations, with the implied volatility remaining steady. This suggests a potential for investment opportunities in the current market environment [1]. Summary by Sections Options Market Data Statistics - The report includes detailed statistics on various indices, such as the Shanghai Composite Index, CSI 300 Index, and others, showing closing prices, changes, and trading volumes. For instance, the CSI 300 Index closed at 4007.72 with a change of +10.94, while the trading volume was 140.21 million contracts, reflecting a decrease of 21.99 million contracts [2]. - The report also provides insights into the options market statistics, including trading volumes and open interest for different ETFs, such as the Huatai-PineBridge 300 ETF and the Southern 500 ETF, indicating significant trading activity [2]. Options Volatility Statistics - The report presents volatility statistics for various options, such as the ATM implied volatility for the CSI 1000 index options at 20.95%, with a slight decrease of 0.25% [4]. - It also details the skew and historical volatility changes, providing a comprehensive view of market sentiment and potential price movements [4]. Specific Index Options Analysis - The report analyzes specific index options, including the Shanghai 50 Index options, which show an ATM implied volatility of 15.95% and a historical volatility of 25.48% [4][7]. - The CSI 300 Index options are highlighted with an ATM implied volatility of 15.17%, indicating a stable market environment [11]. ETF Options Analysis - The report discusses various ETF options, such as the Huatai-PineBridge 300 ETF options, which have an ATM implied volatility of 15.73% and a trading volume of 884,964 contracts [22]. - The Southern 500 ETF options show a significant increase in trading volume, indicating heightened market interest [28]. Overall Market Sentiment - The report concludes with an analysis of market sentiment, suggesting that the current market conditions may present favorable investment opportunities, particularly in the options segment [1].

Investment Rating - The report indicates a bearish sentiment in the options market, reflecting increased fear of market declines [1]. Core Insights - The report highlights a significant rise in market volatility, particularly in the context of stock index options, suggesting that investors are increasingly hedging against potential downturns [1][4]. - The trading volume in various index options has shown notable changes, with the Shanghai 50 index options experiencing a volume of 30,868 contracts, reflecting a change of 3,600 contracts [1]. - The implied volatility (IV) for the Shanghai 50 index options is reported at 13.73%, indicating a slight increase of 0.25% [4]. Summary by Sections Section 1: Shanghai 50 Index Options - The closing price is reported at 2,664.62, with a decrease of 4.40 points [1]. - The trading volume for the current month is 30,868 contracts, with a change of 3,600 contracts [1]. - The implied volatility stands at 13.73%, with a slight increase of 0.25% [4]. Section 2: CSI 300 Index Options - The closing price is 3,911.58, down by 15.65 points [1]. - The trading volume is 96,700 contracts, reflecting an increase of 2,025 contracts [1]. - The implied volatility is at 13.88%, with a minor decrease of 0.06% [4]. Section 3: CSI 1000 Index Options - The closing price is 6,466.85, down by 100.12 points [1]. - The trading volume is 311,677 contracts, with an increase of 20,423 contracts [1]. - The implied volatility is reported at 22.59%, up by 0.45% [4]. Section 4: Shanghai 50 ETF Options - The closing price is 2.723, with a decrease of 0.007 [1]. - The trading volume is 1,028,688 contracts, reflecting an increase of 172,463 contracts [1]. - The implied volatility stands at 13.75%, with a slight increase of 0.22% [4]. Section 5: Huatai-PineBridge 300 ETF Options - The closing price is 4.005, down by 0.020 [1]. - The trading volume is 915,285 contracts, with an increase of 67,091 contracts [1]. - The implied volatility is at 14.43%, up by 0.34% [4]. Section 6: Southern 500 ETF Options - The closing price is 5.989, down by 0.051 [1]. - The trading volume is 1,535,057 contracts, reflecting an increase of 296,626 contracts [1]. - The implied volatility is reported at 19.69%, with an increase of 0.58% [4]. Section 7: Huaxia Sci-Tech 50 ETF Options - The closing price is 1.126, down by 0.024 [1]. - The trading volume is 1,215,436 contracts, with an increase of 303,177 contracts [1]. - The implied volatility stands at 29.48%, down by 0.67% [4]. Section 8: E Fund Sci-Tech 50 ETF Options - The closing price is 1.095, down by 0.024 [1]. - The trading volume is 439,646 contracts, reflecting a decrease of 105,058 contracts [1]. - The implied volatility is at 30.93%, down by 0.71% [4]. Section 9: Jiashi 300 ETF Options - The closing price is 4.106, down by 0.019 [1]. - The trading volume is 127,179 contracts, with an increase of 23,759 contracts [1]. - The implied volatility is reported at 14.29%, with a slight increase of 0.15% [4]. Section 10: Jiashi 500 ETF Options - The closing price is 2.392, down by 0.019 [1]. - The trading volume is 193,001 contracts, reflecting an increase of 31,450 contracts [1]. - The implied volatility stands at 19.86%, with an increase of 0.40% [4]. Section 11: ChiNext ETF Options - The closing price is 2.125, down by 0.024 [1]. - The trading volume is 1,185,807 contracts, with an increase of 320,864 contracts [1]. - The implied volatility is reported at 23.19%, down by 0.52% [4]. Section 12: Shenzhen 100 ETF Options - The closing price is 2.770, down by 0.022 [1]. - The trading volume is 42,447 contracts, reflecting an increase of 7,329 contracts [1]. - The implied volatility stands at 18.10%, with an increase of 0.47% [4].

Investment Rating - The report does not explicitly state an investment rating for the industry or specific companies [1]. Core Insights - The report indicates a slight increase in implied volatility, with market sentiment turning bearish as evidenced by the decline in the underlying indices [1]. - The trading volume for options has shown significant changes, with notable increases in the trading volume of the CSI 1000 index options, which reached 291,254 contracts, an increase of 42,809 contracts [1]. - The report highlights that the implied volatility for the CSI 1000 index options is at 22.14%, reflecting a decrease of 0.15% [4]. Summary by Sections Market Statistics - The Shanghai Composite Index closed at 2,669.01, down by 13.21 points, with a trading volume of 43.45 billion contracts, an increase of 1.26 billion contracts [1]. - The CSI 300 Index closed at 3,927.23, down by 14.18 points, with a trading volume of 156.73 billion contracts, an increase of 11.98 billion contracts [1]. Options Market Statistics - The trading volume for the Shanghai 50 index options was 27,268 contracts, an increase of 3,066 contracts, with an open interest of 75,500 contracts, up by 1,532 contracts [1]. - The trading volume for the CSI 300 index options was 94,675 contracts, an increase of 9,018 contracts, with an open interest of 219,064 contracts, up by 4,506 contracts [1]. Volatility Statistics - The ATM implied volatility for the Shanghai 50 index options is at 13.48%, down by 0.17% [4]. - The ATM implied volatility for the CSI 300 index options is at 13.94%, up by 0.16% [4]. - The ATM implied volatility for the CSI 1000 index options is at 22.14%, down by 0.15% [4].

Investment Rating - The report does not explicitly state an investment rating for the industry or specific companies [1]. Core Insights - The options market is showing cautious performance, with implied volatility decreasing despite a rise in the market [1][2]. - The trading volume in various indices has seen fluctuations, indicating varying levels of investor activity and sentiment [2][5]. Summary by Sections Options Market Statistics - The Shanghai Composite Index closed at 2682.22, with a rise of 13.42 points and a trading volume of 42.19 billion hands, down by 8.64 billion hands [2]. - The CSI 300 Index closed at 3941.42, up by 12.61 points, with a trading volume of 144.75 billion hands, down by 8.01 billion hands [2]. - The trading volume for the CSI 1000 Index was 252.46 billion hands, down by 4.07 billion hands, with a closing value of 6551.73, up by 30.76 points [2]. Options Volatility Statistics - The ATM implied volatility for the Shanghai 50 Index options is at 13.65%, with a slight increase of 0.68% [5]. - The ATM implied volatility for the CSI 300 Index options is at 13.78%, with an increase of 0.59% [5]. - The ATM implied volatility for the CSI 1000 Index options is at 22.29%, with an increase of 0.46% [5]. Trading Volume and Open Interest - The trading volume for the Shanghai 50 stock index options is 24202, down by 854, with an open interest of 73968, up by 389 [2]. - The trading volume for the CSI 300 stock index options is 85657, up by 1781, with an open interest of 214558, up by 1754 [2]. - The trading volume for the CSI 1000 stock index options is 248445, up by 58599, with an open interest of 258640, up by 4351 [2].