Quantitative Models and Construction Methods Model 1: Dividend Forecast and Basis Adjustment Model - **Model Name**: Dividend Forecast and Basis Adjustment Model - **Model Construction Idea**: The model predicts the dividend points of the underlying index of stock index futures during the contract period and adjusts the basis accordingly. - **Model Construction Process**: - Predict the dividend points of the underlying index for the next year. For example, the predicted dividend points for the CSI 500, CSI 300, SSE 50, and CSI 1000 indices are 84.93, 90.40, 75.15, and 63.87, respectively[9][10][11][12][13][14][15][16][17][18]. - Calculate the basis as the difference between the futures contract closing price and the underlying index closing price. - Adjust the basis by adding the expected dividends during the contract period to the actual basis. - Annualize the adjusted basis using the formula: $$ \text{Annualized Basis} = \frac{\text{Actual Basis} + \text{Expected Dividend Points}}{\text{Index Price}} \times \frac{360}{\text{Remaining Days of the Contract}} $$ - Example: The annualized basis for the IC current season contract adjusted for dividends is -8.64%[19][20][21][22][23][24][25][26][27][28][29][30][31][32][33][34][35][36][37][38][39][40][41][42]. - **Model Evaluation**: The model effectively adjusts the basis to account for dividends, providing a more accurate measure of the futures contract's value relative to the underlying index. Model 2: Continuous Hedging Strategy - **Model Name**: Continuous Hedging Strategy - **Model Construction Idea**: The strategy aims to hedge the basis risk by continuously holding futures contracts and adjusting positions based on the contract's expiration. - **Model Construction Process**: - **Backtest Parameters and Settings**: - Backtest period: July 22, 2022, to December 12, 2025[43][44][45]. - Spot end: Hold the total return index of the corresponding underlying index. - Futures end: Use 70% of the funds for the spot end and the same nominal principal amount for the futures end, occupying the remaining 30% of the funds. - Rebalance rule: Continuously hold the current month/season contract until the contract has less than 2 days to expiration, then close the position at the closing price and short the next season/current month contract at the closing price. - **Performance**: - Annualized return: -3.41% (current month), -2.42% (season), -1.94% (minimum basis strategy)[46][47][48][49][50][51][52][53][54][55][56][57][58][59][60]. - Volatility: 3.80% (current month), 4.70% (season), 4.51% (minimum basis strategy). - Maximum drawdown: -11.20% (current month), -8.34% (season), -8.70% (minimum basis strategy). - Net value: 0.8893 (current month), 0.9205 (season), 0.9360 (minimum basis strategy). - **Model Evaluation**: The continuous hedging strategy provides a systematic approach to managing basis risk, though it may result in negative returns under certain market conditions. Model Backtest Results - **Dividend Forecast and Basis Adjustment Model**: - CSI 500: Annualized basis -8.64%[20] - CSI 300: Annualized basis -3.44%[27] - SSE 50: Annualized basis -0.70%[32] - CSI 1000: Annualized basis -12.38%[38] - **Continuous Hedging Strategy**: - CSI 500: Annualized return -3.41% (current month), -2.42% (season), -1.94% (minimum basis strategy)[46] - CSI 300: Annualized return 0.36% (current month), 0.70% (season), 1.08% (minimum basis strategy)[52] - SSE 50: Annualized return 1.08% (current month), 2.02% (season), 1.68% (minimum basis strategy)[56] - CSI 1000: Annualized return -6.43% (current month), -4.70% (season), -4.38% (minimum basis strategy)[58] Quantitative Factors and Construction Methods Factor 1: Cinda-VIX - **Factor Name**: Cinda-VIX - **Factor Construction Idea**: Reflects the market's expectation of future volatility of the underlying asset based on option prices. - **Factor Construction Process**: - Calculate the implied volatility of options with different maturities. - Aggregate the implied volatilities to form the VIX index for different indices. - Example: As of December 12, 2025, the 30-day VIX for SSE 50, CSI 300, CSI 500, and CSI 1000 are 15.93, 17.03, 22.82, and 20.49, respectively[61][62][63][64][65][66][67][68][69][70][71][72]. - **Factor Evaluation**: The Cinda-VIX index provides valuable insights into market sentiment and expected volatility, aiding in risk management and trading decisions. Factor 2: Cinda-SKEW - **Factor Name**: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, indicating market expectations of tail risk. - **Factor Construction Process**: - Calculate the implied volatility for options with different strike prices. - Measure the skewness of the implied volatilities to form the SKEW index. - Example: As of December 12, 2025, the SKEW for SSE 50, CSI 300, CSI 500, and CSI 1000 are 101.80, 108.04, 104.65, and 108.10, respectively[68][69][70][71][72][73]. - **Factor Evaluation**: The Cinda-SKEW index captures market concerns about tail risks, providing a useful tool for assessing potential market stress and investor sentiment. Factor Backtest Results - **Cinda-VIX**: - SSE 50: 15.93[61] - CSI 300: 17.03[61] - CSI 500: 22.82[61] - CSI 1000: 20.49[61] - **Cinda-SKEW**: - SSE 50: 101.80[68] - CSI 300: 108.04[68] - CSI 500: 104.65[68] - CSI 1000: 108.10[68]

1. Report Industry Investment Rating - No relevant content provided. 2. Core Viewpoints of the Report - The trading volume of the commodity options market increased slightly this week, with an average daily trading volume of 7.92 million lots and an average daily open interest of 11.41 million lots, showing a week-on-week change of +2.59% and +8.99% respectively. Investors are advised to focus on potential market opportunities in actively traded varieties [1][9]. - The underlying futures of commodity options showed mixed performance this week, with the energy - chemical sector mostly declining and the metal sector mostly rising. Most commodity options' implied volatility increased weekly. For varieties with high implied volatility, investors should be wary of unilateral risks and consider short - selling volatility opportunities; for those with low implied volatility, buying options has a higher cost - performance ratio [2][19]. - The PCR of trading volume and open interest of different varieties reflects the market's short - term and long - term expectations of rising or falling prices. For example, the PCR of trading volume of lithium carbonate, apple, and live pigs is at a historical high, while that of aluminum, zinc, and gold is at a one - year low [3][20]. 3. Summary by Relevant Catalogs 3.1 Commodity Options Market Activity - The average daily trading volume of the commodity options market was 7.92 million lots, and the average daily open interest was 11.41 million lots, with week - on - week changes of +2.59% and +8.99% respectively [1][9]. - Actively traded varieties this week included silver (760,000 lots), lithium carbonate (750,000 lots), and glass (640,000 lots) [1][9]. - Three varieties had a trading volume increase of over 100%, namely Shanghai aluminum (+164%), aluminum alloy (+138%), and pulp (+123%) [1][9]. - The varieties with a significant decline in trading volume were p - xylene (-96%), apple (-93%), and red dates (-92%) [1][9]. - The varieties with high average daily open interest were glass (1.25 million lots), soda ash (1.01 million lots), and soybean meal (840,000 lots) [1][9]. - The varieties with a rapid week - on - week increase in average daily open interest were silver (+76%), tin (+71%), and synthetic rubber (+50%) [1][9]. 3.2 This Week's Main Data Review of Commodity Options 3.2.1 Underlying Price Changes - The energy - chemical sector mostly declined, and the metal sector mostly rose. The varieties with high weekly increases included silver (+7.54%), copper (+6.12%), and pulp (+4.61%); the varieties with high weekly decreases included alumina (-5.62%), glass (-5.60%), and caustic soda (-5.58%) [2][19]. 3.2.2 Market Volatility - Most commodity options' implied volatility increased weekly. 212 varieties' current implied volatility was above the 50th percentile of the one - year historical data. The implied volatility of Shanghai copper and Shanghai aluminum increased by 8.03 and 5.48 percentage points respectively this week [2][19]. - The varieties with implied volatility at a one - year historical high included corn, copper, aluminum, tin, silver, and pulp; those with implied volatility at a one - year historical low included urea, glass, rapeseed meal, natural rubber, PTA, iron ore, and soda ash [2][19]. 3.2.3 Options Market Sentiment - The PCR of trading volume of lithium carbonate, apple, and live pigs was at a historical high, indicating a short - term concentrated bet on a decline; the PCR of trading volume of aluminum, zinc, gold, styrene, and LPG was at a one - year low, indicating a concentrated bet on an increase [3][20]. - The PCR of open interest of p - xylene, lithium carbonate, iron ore, pulp, and silver was at a historical high, indicating a high - level accumulation of the sentiment of betting on a decline; the PCR of open interest of gold, aluminum, ethylene glycol, caustic soda, and methanol was at a one - year low, indicating an accumulation of the sentiment of betting on an increase [3][20]. 3.3 Key Data Overview of Main Varieties - This chapter presents key data of main varieties, including trading volume, volatility, and options market sentiment indicators. More detailed data of other varieties can be accessed on the Dongzheng Fanwei official website [24].

Group 1: Report Industry Investment Rating - No relevant content found Group 2: Core Views of the Report - The trading volume of the commodity options market rebounded slightly this week, with an average daily trading volume of 8.54 million lots and an average daily open interest of 10.19 million lots, showing a month - on - month change of +10.09% and - 0.74% respectively. Investors are advised to focus on potential market opportunities in actively traded varieties [1][9] - Most of the underlying futures of commodity options declined this week, with 48 varieties closing lower. The varieties with relatively high weekly gains were lithium carbonate (+4.19%) and iron ore (+1.68%); those with relatively high weekly losses were silver (-5.62%), pulp (-4.60%), and fuel oil (-4.58%) [2][16] - This week, the implied volatility of 29 commodity options increased weekly, and 17 varieties had their current implied volatility above the 50% quantile of the past year. For varieties with implied volatility at a historical high, beware of unilateral risks and consider short - selling volatility opportunities; for those at a historical low, buying options has a relatively high cost - performance [2][16] - The PCR of trading volume of pulp, LPG, soybean meal, live pigs, and manganese silicon is at a historical high, indicating a short - term concentrated bet on a decline; the PCR of trading volume of styrene, industrial silicon, and pure benzene is at a one - year low, indicating a concentrated bet on an increase. The PCR of open interest of p - xylene, lithium carbonate, apples, and iron ore is at a historical high, showing a high - level accumulation of bearish sentiment; while that of glass, plastic, palm oil, methanol, aluminum, and urea is at a one - year low, indicating an accumulation of bullish sentiment [3][17] Group 3: Summary by Directory 1. Commodity Options Market Activity - The average daily trading volume of actively traded varieties this week included silver (1.09 million lots), lithium carbonate (0.81 million lots), and glass (0.59 million lots). Four varieties had a trading volume increase of over 100%, including synthetic rubber (+138%), p - xylene (+121%), lithium carbonate (+120%), and industrial silicon (109%). The varieties with a significant decline in trading volume were crude oil (-57%), caustic soda (-52%), and PTA (-42%) [1][9] - The varieties with a relatively high average daily open interest this week were glass (0.96 million lots), soybean meal (0.82 million lots), and soda ash (0.81 million lots). The varieties with a relatively rapid month - on - month increase in average daily open interest were industrial silicon (+49%), p - xylene (+42%), and lithium carbonate (+40%) [1][9] 2. This Week's Main Data Review of Commodity Options 2.1 Underlying Futures Price Movements - Most underlying futures of commodity options declined this week, with 48 varieties closing lower. The varieties with relatively high weekly gains were lithium carbonate (+4.19%) and iron ore (+1.68%); those with relatively high weekly losses were silver (-5.62%), pulp (-4.60%), and fuel oil (-4.58%) [2][16] 2.2 Market Volatility - The implied volatility of 29 commodity options increased weekly, and 17 varieties had their current implied volatility above the 50% quantile of the past year. The implied volatility of lithium carbonate increased by 16.18 percentage points this week. Varieties with implied volatility at a historical high included apples, lithium carbonate, gold, silver, ethylene glycol, and methanol; those at a historical low included urea, rapeseed meal, soybean meal, cotton, manganese silicon, pulp, and rubber [2][16] 2.3 Options Market Sentiment - The PCR of trading volume of pulp, LPG, soybean meal, live pigs, and manganese silicon is at a historical high, indicating a short - term concentrated bet on a decline; the PCR of trading volume of styrene, industrial silicon, and pure benzene is at a one - year low, indicating a concentrated bet on an increase. The PCR of open interest of p - xylene, lithium carbonate, apples, and iron ore is at a historical high, showing a high - level accumulation of bearish sentiment; while that of glass, plastic, palm oil, methanol, aluminum, and urea is at a one - year low, indicating an accumulation of bullish sentiment [3][17] 3. Key Data Overview of Main Varieties - This chapter presents key data of main varieties, including trading volume, volatility, and options market sentiment indicators. More detailed data of other varieties can be found on the Dongzheng Fanwei official website (https://www.finoview.com.cn/) [21] 3.1 Energy - Relevant charts show data such as the total trading volume, volatility, open - interest PCR, and trading - volume PCR of crude oil [23][25] 3.2 Chemicals - **PTA**: Charts display data on total trading volume, volatility, open - interest PCR, and trading - volume PCR [30][37] - **Caustic Soda**: Similar data is presented through corresponding charts [39][40] - **Glass**: Key data is shown in relevant charts [46][47] - **Soda Ash**: Data is presented via charts [52][53] 3.3 Precious Metals - Charts show data on silver, including total trading volume, volatility, open - interest PCR, and trading - volume PCR [58][59] 3.4 Ferrous Metals - **Iron Ore**: Data such as total trading volume, volatility, open - interest PCR, and trading - volume PCR are presented in charts [66][69] - **Manganese Silicon**: Similar data is shown through corresponding charts [74][75] 3.5 Non - Ferrous Metals - **Copper**: Charts display data on total trading volume, volatility, open - interest PCR, and trading - volume PCR [82][88] - **Aluminum**: Key data is presented via relevant charts [91][94] 3.6 Agricultural Products - **Soybean Meal**: Data such as total trading volume, volatility, open - interest PCR, and trading - volume PCR are shown in charts [100][103] - **Palm Oil**: Similar data is presented through corresponding charts [106][107] - **Cotton**: Key data is shown in relevant charts [114][115]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The trading volume of the commodity options market rebounded slightly this week, with an average daily trading volume of 7.22 million lots and an average daily open interest of 10.01 million lots, showing a week - on - week change of +13.63% and +17.96% respectively. Investors are advised to focus on potential market opportunities in actively traded varieties [1][7]. - The underlying futures of commodity options showed mixed performance in terms of price changes. There are opportunities in varieties with high trading activity, and attention should be paid to the risks and opportunities indicated by factors such as price fluctuations, implied volatility, and option market sentiment [1][2][15]. 3. Summary According to the Table of Contents 3.1 Commodity Options Market Activity - This week, the average daily actively - traded varieties included glass (650,000 lots), lithium carbonate (610,000 lots), and polysilicon (520,000 lots). Five varieties had a trading volume increase of over 100%, with asphalt (+161%), ethylene glycol (+158%), and urea (+156%) showing significant growth. The varieties with a significant decline in trading volume were p - xylene (-83%), log (-58%), and alumina (-47%) [1][7]. - The varieties with a relatively high average daily open interest were glass (1.05 million lots), soda ash (870,000 lots), and glass (840,000 lots). The varieties with a relatively rapid week - on - week increase in average daily open interest were synthetic rubber (+83%), styrene (+66%), and LPG (+51%) [1][7]. 3.2 This Week's Commodity Options Main Data Review - **Underlying Price Changes**: The underlying futures of commodity options showed mixed price changes. The varieties with high weekly increases included rapeseed meal (+6.32%), pulp (+3.49%), and urea (+2.58%); the varieties with high weekly decreases included asphalt (-6.04%), polysilicon (-5.66%), and red dates (-5.47%) [2][15]. - **Market Volatility**: Most commodity option implied volatilities in various sectors decreased this week. Seventeen varieties had their current implied volatility above the 50th percentile of the past year. Varieties with implied volatility at a high level in the past year included live pigs, methanol, and asphalt; those at a low level included sugar, tin, cotton, and manganese silicon [2][15]. - **Option Market Sentiment**: The trading volume PCR of varieties such as apples, eggs, lithium carbonate, LPG, and cotton was at a historical high, indicating strong short - term bearish sentiment. The trading volume PCR of aluminum, ethylene glycol, and corn was at a historical low, showing concentrated short - term bullish sentiment. The open interest PCR of ferrosilicon, soybean meal, silver, and lithium carbonate was at a historical high, while that of aluminum, corn, methanol, palm oil, and plastic was at a historical low [2][15]. 3.3 Main Varieties Key Data Overview - The chapter presents key data of main varieties, including trading volume, volatility, and option market sentiment indicators. More detailed data can be accessed on the Dongzheng Fanwei official website (https://www.finoview.com.cn/) [20]. - Specific sub - sections cover energy (crude oil, LPG, etc.), chemicals (PTA, caustic soda, glass, soda ash), precious metals (silver), ferrous metals (iron ore, manganese silicon), non - ferrous metals (copper, aluminum), and agricultural products (soybean meal, palm oil, cotton), with corresponding data on trading volume, volatility, open interest PCR, and trading volume PCR provided [21][28][59][66][82][97].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The trading volume of the commodity options market remained at a low level this week, with daily average trading volume and open interest showing a decline. Investors are advised to focus on potential market opportunities in actively traded varieties [1][7]. - This week, the underlying futures of commodity options showed mixed performance, with the chemical sector mostly declining and the non - ferrous sector mostly rising. There were 33 varieties with weekly losses. Attention should be paid to the trading opportunities and risks in different sectors [2][16]. - Most commodity options' implied volatility declined this week. For varieties with high implied volatility, investors should be wary of unilateral risks and consider short - selling volatility; for those with low implied volatility, buying options has a higher cost - performance ratio [2][16]. - The PCR indicators of different varieties reflect different market sentiments. For varieties with high PCR, there is a strong bearish sentiment, while for those with low PCR, there is a concentrated bullish sentiment [2][16]. 3. Summary According to Relevant Catalogs 3.1 Commodity Options Market Activity - This week (from September 8th to September 12th, 2025), the daily average trading volume of the commodity options market was 6.53 million lots, and the daily average open interest was 9.21 million lots, with a week - on - week change of - 5.20% and - 1.17% respectively [1][7]. - Actively traded varieties in terms of daily average trading volume this week included glass (940,000 lots), soda ash (540,000 lots), and silver (430,000 lots). Varieties with significant trading volume growth were lead (+143%), apple (+140%), and crude oil (+111%); those with significant trading volume decline were lithium carbonate (-71%), polysilicon (-70%), and industrial silicon (-59%) [1][7]. - Varieties with high daily average open interest this week were soybean meal (880,000 lots), glass (790,000 lots), and soda ash (770,000 lots). Varieties with rapid week - on - week growth in daily average open interest were apple (+46%), lead (+36%), and alumina (+36%) [1][7]. 3.2 Commodity Options Main Data Review 3.2.1 Underlying Price Movements - This week, the underlying futures of commodity options showed mixed performance, with the chemical sector mostly declining and the non - ferrous sector mostly rising. There were 33 varieties with weekly losses. Varieties with high weekly gains included gold (+2.35%), silver (+2.31%), and aluminum (+2.05%); those with high weekly losses included polysilicon (-5.51%), synthetic rubber (-5.20%), and lithium carbonate (-4.17%) [2][16]. 3.2.2 Market Volatility - Most commodity options' implied volatility declined this week, and 35 varieties' current implied volatility was below the 50th percentile of the past year's history. Varieties with implied volatility at a high level in the past year included polysilicon, industrial silicon, lithium carbonate, and eggs; those at a low level included lead, zinc, p - xylene, urea, and oilseeds [2][16]. 3.2.3 Options Market Sentiment - The trading volume PCR of varieties such as bottle chips and plastics was at a historical high, indicating a strong short - term bearish sentiment. The trading volume PCR of non - ferrous metals, live pigs, and glass was at a historical low, indicating a concentrated short - term bullish sentiment. The open interest PCR of polysilicon and lead was at a historical high, while that of rebar, non - ferrous metals, live pigs, and styrene was at a historical low [2][16]. 3.3 Key Data Overview of Main Varieties This chapter mainly presents key data of main varieties, including trading volume, volatility, and options market sentiment indicators. More detailed data can be found on the Dongzheng Fanwei official website (https://www.finoview.com.cn/) [20].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The trading volume of the commodity options market remained at a low level this week, but there were significant increases in the trading volume and open interest of some varieties. Investors are advised to focus on potential market opportunities in actively traded varieties [1][8]. - The underlying futures of commodity options showed mixed trends this week, with the chemical sector mostly declining. Most commodity options' implied volatility increased, and different varieties showed different market sentiments [2][15]. 3. Summary by Directory 3.1 Commodity Options Market Activity - This week (2025.9.1 - 2025.9.5), the average daily trading volume of the commodity options market was 6.89 million lots, and the average daily open interest was 9.32 million lots, with环比 increases of 15.91% and 13.41% respectively [1][8]. - Actively traded varieties included polysilicon (600,000 lots), lithium carbonate (580,000 lots), and glass (560,000 lots). The trading volume of gold, polysilicon, and lithium carbonate increased by over 100%, while that of apple and p - xylene decreased significantly [1][8]. - Varieties with high average daily open interest were glass (910,000 lots), soda ash (880,000 lots), and soybean meal (780,000 lots). The open interest of tin, lead, and copper increased rapidly [1][8]. 3.2 Commodity Options Main Data Review - **Underlying Price Movements**: The underlying futures of commodity options showed mixed trends, with 28 varieties closing higher for the week. Polysilicon (+14.49%), industrial silicon (+5.13%), and silver (+4.51%) had high weekly increases, while jujube (-4.43%), lithium carbonate (-3.78%), and ethylene glycol (-2.49%) had high weekly decreases [2][15]. - **Market Volatility**: Most commodity options' implied volatility increased this week. 30 varieties' current implied volatility was below the 50% quantile of the past - year history. Polysilicon, industrial silicon, lithium carbonate, and eggs had high implied volatility, while some varieties in the oilseeds and non - ferrous metals sectors had low implied volatility [2][15]. - **Options Market Sentiment**: The trading volume PCR of some varieties such as bottle chips, LPG, and lithium carbonate was at a historical high, indicating strong short - term bearish sentiment. The trading volume PCR of rubber, tin, nickel, etc. was at a historical low, showing concentrated short - term bullish sentiment. The open interest PCR of polysilicon, lead, and lithium carbonate was at a historical high, while that of ethylene glycol, urea, etc. was at a historical low [2][15]. 3.3 Main Varieties Key Data Overview This chapter mainly presents key data of main varieties, including trading volume, volatility, and options market sentiment indicators. More detailed data can be found on the Dongzheng Fanwei official website (https://www.finoview.com.cn/) [19]. - **Energy**: Data on trading volume, volatility, open interest PCR, and trading volume PCR of crude oil are presented [20]. - **Chemical**: Key data of PTA, caustic soda, glass, and soda ash are shown, including trading volume, volatility, open interest PCR, and trading volume PCR [27][36][43][49]. - **Precious Metals**: Data on silver's trading volume, volatility, open interest PCR, and trading volume PCR are provided [55]. - **Ferrous Metals**: Key data of iron ore and manganese silicon, including trading volume, volatility, open interest PCR, and trading volume PCR, are presented [63][71]. - **Non - Ferrous Metals**: Data on copper and alumina, including trading volume, volatility, open interest PCR, and trading volume PCR, are shown [78][92]. - **Agricultural Products**: Key data of soybean meal, palm oil, and cotton, including trading volume, volatility, open interest PCR, and trading volume PCR, are presented [93][100][108].

Report Summary 1) Report Industry Investment Rating No information provided in the given content. 2) Core Viewpoints - The rotation wind vane consists of option market sentiment and traditional capital - related parts, and their resonance forms large/small - cap strength signals. Daily long - short operations on large and small caps can be carried out according to the signals, or use IM as the underlying position and adjust style exposure when the signal indicates that small caps are weak to achieve index enhancement. The September 2025 latest rotation wind vane signal shows option sentiment 1 and capital aspect - 1, suggesting to wait and see [1]. 3) Summary by Related Content Performance of Sub - strategies from 2025/4/1 - 2025/9/4 - For the 300/1000 long - short strategy, the interval return is 8.56%, the annualized return is 20.72%, the Calmar ratio is 5.39%, and the maximum drawdown is 3.84 [2]. - For the 1000 index enhancement strategy, the interval return is 13.21%, the annualized return is 32.93%, the Calmar ratio is 6.58%, and the maximum drawdown is 5.00 [2]. - For the CSI 1000, the interval return is 13.08%, the annualized return is 32.57%, the Calmar ratio is 12.44%, and the maximum drawdown is 2.62 [2].

Report Industry Investment Rating No relevant information provided. Core View of the Report The report analyzes the activity, price changes, market volatility, and sentiment of the commodity options market in the 34th week of 2025 (August 18 - August 22). It suggests investors focus on trading opportunities in actively traded varieties and provides insights on potential risks and opportunities based on price movements and volatility [1][2]. Summary by Directory 1. Commodity Options Market Activity - Market activity declined compared to last week, with average daily trading volume at 6.46 million lots and average daily open interest at 7.32 million lots, down 26.6% and 28.23% respectively [1][6]. - Actively traded varieties included soda ash (590,000 lots), glass (510,000 lots), and palm oil (400,000 lots) [1][6]. - Three varieties saw trading volume growth of over 100%, with p-xylene (+1327%), synthetic rubber (+125%), and staple fiber (+122%) showing significant increases [1][6]. - Varieties with significant trading volume declines were rapeseed meal (-85%), rapeseed oil (-85%), and soybean oil (-72%) [1][6]. - Varieties with high average daily open interest were rebar (630,000 lots), soda ash (620,000 lots), and soybean meal (600,000 lots) [1][6]. - Varieties with rapid open interest growth were p-xylene (+188%), synthetic rubber (+77%), and polysilicon (+50%) [1][6]. 2. This Week's Commodity Options Main Data Review - **Underlying Price Changes**: Most commodity option underlying futures declined, with 37 varieties closing lower for the week. High weekly gainers included caustic soda (+4.26%), p-xylene (+4.16%), and staple fiber (+3.34%); high weekly losers were lithium carbonate (-9.14%), soda ash (-4.95%), and ferrosilicon (-9.14%) [2][15]. - **Market Volatility**: The implied volatility of some commodity options declined weekly, with 39 varieties having current implied volatility below the 50th percentile of the past year. Varieties at historical highs included polysilicon, eggs, and industrial silicon; those at historical lows included the agricultural products sector and non-ferrous metals [2][15]. - **Options Market Sentiment**: Varieties such as lithium carbonate and soybean meal had high volume PCRs, indicating strong short-term bearish sentiment. Varieties like ethylene glycol, styrene, aluminum, and PTA had low volume PCRs, showing concentrated short-term bullish sentiment. Lithium carbonate, polysilicon, caustic soda, and soda ash had high open interest PCRs, suggesting high bearish sentiment; while styrene, ethylene glycol, nickel, and plastic had low open interest PCRs, indicating bullish sentiment accumulation [2][15]. 3. Key Data Overview of Major Varieties This chapter presents key data on major varieties, including trading volume, volatility, and options market sentiment indicators. More detailed data can be accessed on the Dongzheng Fanwei official website (https://www.finoview.com.cn/) [19]. - **Energy**: Data on crude oil, including trading volume, volatility, open interest PCR, and volume PCR, are presented through various charts [20][22][23]. - **Chemicals**: - **PTA**: Data on trading volume, volatility, open interest PCR, and volume PCR are presented through charts [26][27][29]. - **Caustic Soda**: Similar data are presented for caustic soda [35][36][38]. - **Glass**: Data on glass are presented in a similar manner [42][43][44]. - **Soda Ash**: Data on soda ash are presented through charts [48][49][52]. - **Precious Metals**: Data on silver, including trading volume, volatility, open interest PCR, and volume PCR, are presented through charts [54][55][56]. - **Ferrous Metals**: - **Iron Ore**: Data on iron ore are presented through charts [62][63][66]. - **Silicomanganese**: Similar data are presented for silicomanganese [70][71][72]. - **Non-Ferrous Metals**: - **Copper**: Data on copper are presented through charts [77][78][84]. - **Alumina**: Data on alumina are presented in a similar manner [93][88][90]. - **Agricultural Products**: - **Soybean Meal**: Data on soybean meal are presented through charts [94][96][98]. - **Palm Oil**: Similar data are presented for palm oil [102][110][103]. - **Cotton**: Data on cotton are presented through charts [111][112][113].

Report Title - "Commodity Options Weekly Report: Week 33 of 2025" [1] 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The activity level of the commodity options market in the week from August 11 - 15, 2025, was basically flat compared to the previous week. Investors are advised to focus on potential market opportunities in actively - traded varieties [2][9] - The underlying futures of commodity options showed mixed performance this week, with the energy - chemical and non - ferrous sectors mainly rising. Attention should be paid to risks and opportunities based on factors such as price fluctuations, implied volatility, and market sentiment [3][17][18] 3. Summary by Relevant Catalogs 3.1 Commodity Options Market Activity - The average daily trading volume was 8.81 million lots, with a week - on - week increase of 4.19%, and the average daily open interest was 10.2 million lots, with a week - on - week decrease of 18.19% [2][5][9] - Actively - traded varieties in terms of average daily trading volume included glass (1.07 million lots), soda ash (1.06 million lots), and soybean meal (0.6 million lots) [2][5][9] - Five varieties had trading volume growth of over 100%, with significant growth in synthetic rubber (+362%), Shanghai tin (+265%), and apples (+108%). Meanwhile, polycrystalline silicon (-77%), industrial silicon (-66%), and urea (-53%) had obvious trading volume declines [2][9] - Varieties with high average daily open interest were soybean meal (1.07 million lots), glass (0.96 million lots), and soda ash (0.87 million lots). Synthetic rubber (+58%), Shanghai tin (+37%), and p - xylene (+37%) had rapid week - on - week growth in average daily open interest [2][9] 3.2 This Week's Commodity Options Main Data Review 3.2.1 Underlying Price Fluctuations - There were 28 varieties with weekly gains, including lithium carbonate (+12.92%), palm oil (+5.11%), and soda ash (+4.73%); 23 varieties had weekly losses, including methanol (-2.55%), eggs (-2.30%), and logs (-1.87%) [3][17] 3.2.2 Market Volatility - The implied volatility of some commodity options varieties rebounded this week, with 23 varieties having current implied volatility above the 50th percentile of the past year. High - implied - volatility varieties included corn starch, eggs, logs, etc., and short - volatility opportunities were recommended. Low - implied - volatility varieties included non - ferrous metals, precious metals, plastics, etc., where buying options had a higher cost - performance ratio [3][17] 3.2.3 Options Market Sentiment - Varieties such as p - xylene, bottle chips, and soybean meal had a high volume PCR, indicating strong short - term bearish sentiment. Glass, rubber, soda ash, and rapeseed oil had a low volume PCR, showing concentrated short - term bullish sentiment [3][18] - P - xylene, lithium carbonate, and soda ash had a high open - interest PCR, indicating a high level of accumulated bearish sentiment. Nickel, logs, sugar, and rubber had a low open - interest PCR, indicating accumulated bullish sentiment [3][18] 3.3 Key Data Overview of Main Varieties - This chapter presents key data of main varieties, including trading volume, volatility, and options market sentiment indicators. More detailed data can be accessed on the Dongzheng Finoview official website (https://www.finoview.com.cn/) [22]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The activity level in the commodity options market declined this week, with average daily trading volume at 8.45 million lots and average daily open interest at 12.46 million lots, showing a -18.47% and +8.45% change respectively compared to the previous period. Traders are advised to focus on potential market opportunities in actively traded varieties [1][8]. - The underlying futures of commodity options showed mixed performance this week, with the energy - chemical sector mostly falling and the non - ferrous sector mostly rising. There were 31 varieties with weekly gains and 20 with weekly losses. Some varieties' implied volatility continued to correct, and different trading strategies are recommended based on the implied volatility levels of different varieties. Also, the PCR values of different varieties indicate different market sentiment [2][18][19]. 3. Summary by Relevant Catalogs 3.1 Commodity Options Market Activity - The average daily trading volume of the commodity options market this week was 8.45 million lots, a -18.47% change from the previous period, and the average daily open interest was 12.46 million lots, a +8.45% change. The actively traded varieties in terms of daily average trading volume included glass (1.17 million lots), soda ash (1.08 million lots), and polysilicon (0.66 million lots). There were 3 varieties with a trading volume increase of over 50%, namely eggs (+67%), rapeseed meal (+55%), and LPG (+51%), while the trading volume of p - xylene (-99%) and red dates (-87%) decreased significantly. The varieties with high average daily open interest were glass (1.69 million lots), soda ash (1.43 million lots), and soybean meal (1.07 million lots). The varieties with a rapid increase in daily average open interest were eggs (+38%), synthetic rubber (+38%), and Shanghai tin (+37%) [1][8]. 3.2 This Week's Key Data Review of Commodity Options 3.2.1 Underlying Price Movements - The underlying futures of commodity options showed mixed performance. The energy - chemical sector mostly fell, and the non - ferrous sector mostly rose. There were 31 varieties with weekly gains, with lithium carbonate (+11.15%), red dates (+5.68%), and apples (+4.11%) having relatively high weekly gains. There were 20 varieties with weekly losses, with crude oil (-7.22%), LPG (-4.82%), and caustic soda (-3.66%) having relatively high weekly losses [2][18]. 3.2.2 Market Volatility - The implied volatility of some commodity options continued to correct this week. 33 varieties had their current implied volatility below the 50th percentile of the past year's historical data. Varieties with implied volatility at historical highs in the past year included ferrosilicon, lithium carbonate, industrial silicon, and rapeseed meal, and traders are advised to be cautious of one - sided risks and consider short - volatility opportunities. Varieties with implied volatility at historical lows in the past year included methanol, ethylene glycol, urea, and non - ferrous metals, where buying options had a relatively high cost - performance ratio [2][18]. 3.2.3 Options Market Sentiment - The trading volume PCR of varieties such as p - xylene was at a historical high, indicating strong short - term bearish sentiment in the market, and attention should be paid to the risk of underlying price corrections. The trading volume PCR of gold, oils and fats, zinc, aluminum, nickel, and rubber was at a historical low, indicating concentrated short - term bullish sentiment. The open interest PCR of p - xylene and lithium carbonate was at a historical high, suggesting that bearish sentiment in the market had accumulated to a relatively high level. The open interest PCR of nickel, gold, zinc, methanol, urea, and LPG was at a historical low, indicating accumulated bullish sentiment in the market [2][19]. 3.3 Key Data Overview of Major Varieties - This chapter mainly presents key data of major varieties, including trading volume, volatility, and options market sentiment indicators. More detailed data of other varieties can be accessed on the Dongzheng Fanwei official website (https://www.finoview.com.cn/) [23].