Report Industry Investment Rating - Not provided in the report Core Viewpoint of the Report - During the callback and volatility decline, investors can consider buying put options for protection at low volatility levels [1] Summary by Directory 1. Option Market Trading Overview Review - The daily average trading data of various options, including call and put trading volume, total trading volume, call and put open interest, total open interest, and trading turnover, are presented. For example, the daily average call trading volume of Shanghai - Shenzhen 300 Index Options is 11.56 million lots, and the total trading turnover is 1.4862648 billion yuan [1] 2. Option Liquidity - Figures such as the changes in total trading volume, total open interest, total trading turnover, total trading market value, and total open - interest market value of financial options are provided, as well as the trading volume and open - interest proportions of each option variety [4][5][7][9] 3. Option Volatility Level - By comparing the at - the - money implied volatility (ATM - IV) and historical volatility (HV) of various options, it is found that last week, the ATM - IV and HV of options showed signs of convergence. For example, the current ATM - IV of Shanghai 50 Index Options is 17.60%. The correlation between the underlying asset and ATM - IV varies among different options. For instance, the correlation coefficient between the underlying asset of Shanghai 50 Index Options and ATM - IV last week was 52.46% [9][10] 4. Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of options can reflect the market's bull - bear sentiment to some extent. The report presents the PCR trends and daily -环比 incremental percentages of various options [38] 5. Market Support and Resistance Level Information - The trading volume and open interest at each strike price of options can help reveal the support and resistance levels of the underlying assets. For example, the key support level of the Shanghai 50 Index is 2850, and the resistance level is 3000 [53]

Report Summary Investment Rating The report does not provide an investment rating for the industry. Core View The core view of the report is that for stock index options, as the volatility decreases during the downward trend, long - position investors can consider selling call options for hedging [1]. Summary by Category 1. Market Data Statistics - **Underlying Market Statistics**: The closing prices of most indexes and ETFs decreased, with varying degrees of decline in trading volume. For example, the Shanghai - Shenzhen 300 Index closed at 4459.83, down 30.62 points, and its trading volume was 254.32 billion hands, a decrease of 49.61 billion hands [2]. - **Option Market Statistics**: There were different changes in option trading volume, open interest, VL - PCR, OI - PCR, and maximum positions for calls and puts. For instance, the trading volume of Shanghai - Shenzhen 300 index options was 181,996, a decrease of 8,859, and the open interest was 226,889, an increase of 3,849 [2]. - **Option Volatility Statistics**: ATM - IV of most options decreased, while the changes in HV were diverse. For example, the ATM - IV of Shanghai - Shenzhen 300 index options (near - month) was 18.23%, a decrease of 1.74% [5]. 2. Option Charts - **Shanghai 50 Index Options**: Include charts of full - contract PCR, main - contract skewness, volatility cone, and volatility term structure [9]. - **Shanghai - Shenzhen 300 Index Options**: Include similar charts as Shanghai 50 index options, such as full - contract PCR, main - contract skewness, etc. [13]. - **CSI 1000 Index Options**: Include relevant charts like main - contract volatility, full - contract PCR, etc. [16]. - **ETF Options**: For various ETF options such as Shanghai 50ETF, Huatai - Baorui 300ETF, etc., there are also corresponding charts of main - contract volatility, full - contract PCR, and other indicators [21].

Group 1 - The core viewpoint of the articles indicates that China's capital market is gradually stabilizing and moving towards a central upward trend, supported by measures such as ETF purchases by the Central Huijin and structural relending by the central bank [1][2] - The main indices, such as the CSI 300 and SSE 50, demonstrate strong resilience against declines, suggesting a market trend characterized by steady and gradual upward movement, with fewer instances of sharp fluctuations [1][2] - The analysis of historical and implied volatility of the CSI 300 index shows that both have mostly remained below 20% over the past two years, with significant volatility spikes occurring during major macroeconomic events [2][6] Group 2 - The current low volatility environment necessitates adjustments in options trading strategies, emphasizing the importance of factors like Delta, Gamma, Vega, and Theta in determining potential returns [6][7] - Various options strategies suitable for low volatility and high market levels include protective put strategies, straddles, and collar strategies, each designed to manage risk while allowing for potential upside [11][13][14] - The collar strategy, in particular, offers a cost-effective way to hedge positions while retaining some upside potential, making it a favorable choice in uncertain market conditions [14]

Report Summary 1. Investment Rating The report does not provide an industry investment rating. 2. Core View The report suggests that with the decline in the stock index option market and the decrease in volatility, investors can consider selling call options at high prices [1]. 3. Summary of Related Content 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai - Shenzhen 300 Index, Shanghai 50 Index, and most ETFs declined, while the closing price of the CSI 1000 Index increased slightly. The trading volumes of most underlying assets decreased, such as the Shanghai - Shenzhen 300 Index with a trading volume of 250.82 billion shares, a decrease of 50.66 billion shares [1]. - **Option Market Statistics**: The trading volumes of various options decreased significantly, while the open - interest of most options increased. For example, the trading volume of CSI 1000 index options was 264,630, a decrease of 94,783, and the open - interest was 256,493, an increase of 17,161. The VL - PCR and OI - PCR of most options showed different degrees of change [1]. 3.2 Option Volatility Statistics - **Near - Month Options**: The implied volatility (ATM - IV) of most options decreased, such as the Shanghai 50 index option with an ATM - IV of 17.77%, a decrease of 1.27%. The historical volatility (HV) also showed different trends, with some increasing and some decreasing [4]. - **Next - Month Options**: The ATM - IV of most next - month options also decreased, for example, the Shanghai 50 index option with an ATM - IV of 18.90%, a decrease of 1.52% [4]. 3.3 Option Index Data Statistics - **Each Option Type**: The report presents multiple charts for each option type, including the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term - structure chart, which can help investors analyze the market conditions of different options [8][12][15].

General Information - The report date is August 11, 2025 [1] - The core view is that for stock index options, with the upward movement and decreasing volatility, a covered call strategy can be considered [1] Market Data Statistics Underlying Market Statistics - The closing price of the Shanghai Stock Exchange 50 Index was 2789.90, up 0.72, with a trading volume of 43.48 billion hands, an increase of 4.56 billion hands. The current - month synthetic futures price was 2790.47, with a basis of 0.57, and the next - month synthetic futures price was 2793.13, with a basis of 3.24 [2] - The closing price of the CSI 300 Index was 4122.51, up 17.54, with a trading volume of 190.44 billion hands, an increase of 17.27 billion hands. The current - month synthetic futures price was 4119.40, with a basis of - 3.11, and the next - month synthetic futures price was 4109.87, with a basis of - 12.64 [2] - The closing price of the CSI 1000 Index was 6943.94, up 105.81, with a trading volume of 260.97 billion hands, an increase of 9.50 billion hands. The current - month synthetic futures price was 6926.33, with a basis of - 17.60, and the next - month synthetic futures price was 6860.13, with a basis of - 83.80 [2] Option Market Statistics - For the Shanghai Stock Exchange 50 Index Option, the trading volume was 44922, an increase of 15604, the open interest was 78144, an increase of 3462, VL - PCR was 59.91%, OI - PCR was 53.47%, the C - maximum open interest (near - month) was 2800, and the P - maximum open interest (near - month) was 2750 [2] - For the CSI 300 Index Option, the trading volume was 116426, an increase of 37090, the open interest was 211865, an increase of 2426, VL - PCR was 55.35%, OI - PCR was 75.11%, the C - maximum open interest (near - month) was 4150, and the P - maximum open interest (near - month) was 4100 [2] - For the CSI 1000 Index Option, the trading volume was 321756, an increase of 105966, the open interest was 294708, an increase of 1052, VL - PCR was 77.77%, OI - PCR was 115.94%, the C - maximum open interest (near - month) was 7000, and the P - maximum open interest (near - month) was 6500 [2] Option Volatility Statistics Near - Month - The ATM - IV of the Shanghai Stock Exchange 50 Index Option was 11.76%, with an IV change of 0.07%, the same - term HV was 3.67%, with an HV change of - 3.47%, Skew was 3.19%, with a Skew change of 4.83%, and VIX was 17.79, with a VIX change of 0.750 [5] - The ATM - IV of the CSI 300 Index Option was 11.12%, with an IV change of - 0.13%, the same - term HV was 4.46%, with an HV change of - 2.43%, Skew was 3.96%, with a Skew change of 15.32%, and VIX was 17.71, with a VIX change of 0.081 [5] - The ATM - IV of the CSI 1000 Index Option was 16.44%, with an IV change of - 0.36%, the same - term HV was 13.83%, with an HV change of 3.68%, Skew was 0.27%, with a Skew change of 6.94%, and VIX was 22.28, with a VIX change of 0.321 [5] Next - Month - The ATM - IV of the Shanghai Stock Exchange 50 Index Option was 14.13%, with an IV change of 0.11%, the same - term HV was 8.00%, with an HV change of - 0.01%, and Skew was 9.40%, with a Skew change of 5.12% [5] - The ATM - IV of the CSI 300 Index Option was 14.25%, with an IV change of - 0.14%, the same - term HV was 8.70%, with an HV change of 0.04%, and Skew was 7.35%, with a Skew change of 3.52% [5] - The ATM - IV of the CSI 1000 Index Option was 18.15%, with an IV change of 0.13%, the same - term HV was 10.81%, with an HV change of 0.66%, and Skew was 0.20%, with a Skew change of 1.21% [5] Option Types and Related Charts Shanghai Stock Exchange 50 Index Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [9] CSI 300 Index Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [13] CSI 1000 Index Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [17] Shanghai Stock Exchange 50ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [21] Huatai - Peregrine 300ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [28] Southern CSI 500ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [38] ChinaAMC STAR 50ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [43] E Fund STAR 50ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [53] Harvest 300ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [57] Harvest CSI 500ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [59] ChiNext ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [66] Shenzhen 100ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [68]

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - In the stock index option market on August 8, 2025, there was a downward trend in volatility, and the positive skew declined. It is recommended to consider selling call options [1] 3. Summary by Related Catalogs 3.1 Market Data Statistics - **Underlying Market Statistics**: The closing prices of major indices and ETFs generally declined. For example, the Shanghai Composite 50 Index closed at 2789.17, down 9.14 points; the CSI 300 Index closed at 4104.97, down 9.70 points. Trading volumes also decreased in most cases, such as the Shanghai Composite 50 Index with a trading volume of 38.92 billion hands, a decrease of 3.41 billion hands [2] - **Option Market Statistics**: Trading volumes of most option contracts decreased, while some open interest increased. For instance, the trading volume of Shanghai Composite 50 Index options was 29,318, a decrease of 3,056, and the open interest was 74,682, a decrease of 361 [2] - **Option Volatility Statistics**: The implied volatility (IV) of most options decreased, and the historical volatility (HV) showed different trends. For example, the ATM - IV of Shanghai Composite 50 Index options was 11.69%, a decrease of 0.06%, and the 20 - day HV was 6.72%, a decrease of 2.69% [5] 3.2 Option Analysis by Type - **Shanghai Composite 50 Index Options**: Analyzed through full - contract PCR, main - contract skew, volatility cone, and volatility term structure charts [8][9] - **CSI 300 Index Options**: Similar analysis methods were used as the Shanghai Composite 50 Index options, including full - contract PCR, main - contract skew, volatility cone, and volatility term structure [12][13] - **CSI 1000 Index Options**: Analyzed using full - contract PCR, main - contract skew, volatility cone, and volatility term structure [15][16] - **ETF Options**: Options such as Shanghai Composite 50 ETF, Huatai - Baorui 300 ETF, and others were analyzed in terms of full - contract PCR, main - contract skew, volatility cone, and volatility term structure [19][20][24]

Core Viewpoint - The stock market in Shanghai and Shenzhen experienced narrow fluctuations, with slight increases in major indices like the SSE 50, CSI 300, and CSI 1000, while the CSI 500 and ChiNext saw minor declines [1][3]. Index Performance - The CSI 1000 index rose by 0.01%, with daily trading volume and open interest for its options at 239,300 contracts and 291,800 contracts respectively, indicating a high PCR value of 80.73% for trading volume and 110.66% for open interest, both above the 99th percentile over the past year [1]. - The CSI 300 index increased by 0.03%, with daily trading volume of 95,000 contracts and open interest of 209,300 contracts, resulting in a PCR value of 51.01% for trading volume and 72.1% for open interest, reflecting a historically low proportion of put options, suggesting overall optimistic market sentiment [3]. - The SSE 50 index also saw a rise of 0.03%, with trading volume and open interest at 32,400 contracts and 75,000 contracts respectively, leading to PCR values of 41.34% and 56.79%, indicating a relatively low historical level [3]. Options Market Insights - The highest open interest for call and put options on the CSI 1000 is at strike prices of 6900 and 6600, serving as short-term resistance and support levels [1]. - For the CSI 300, the concentrated areas for call and put options are at strike prices of 4100 and 4150, indicating significant short-term divergence between bullish and bearish sentiments [3]. - The implied volatility for the August contracts is at 12.08% for the CSI 300, which, despite being low, shows a 3.2 percentage point premium over the 30-day historical volatility, suggesting limited upward momentum in short-term implied volatility [3]. Market Outlook - Overall, the indices are approaching significant resistance levels, with a potential for slight pullbacks, although the expected decline is limited. Investors holding long positions in index futures may consider utilizing out-of-the-money call options for covered call strategies to enhance returns [5].

Report Overview - The report date is August 7, 2025, and it focuses on stock index options, suggesting that in a volatile and rising volatility environment with a change in implied volatility correlation, long - position investors can consider a protective put strategy [1] Market Data Statistics Underlying Market Statistics - The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index are 2798.31, 4114.67, and 6862.15 respectively, with changes of 0.89, 1.18, and 0.84. Their trading volumes are 42.34 billion, 198.64 billion, and 261.39 billion hands respectively, with changes of 1.16 billion, 21.97 billion, and 3.26 billion hands [2] - For various ETFs, such as Shanghai Composite 50 ETF, Huatai - Berich 300 ETF, etc., their closing prices, price changes, trading volumes, and volume changes are also presented in detail [2] Option Market Statistics - The trading volumes and changes, open interests and changes, VL - PCR, OI - PCR, and the strike prices with the largest call and put open interests (near - month) are provided for different index options and ETF options, like Shanghai Composite 50 Index Option, CSI 300 Index Option, etc. For example, the trading volume of Shanghai Composite 50 Index Option is 32374, with a change of 3863 [2] Option Volatility Statistics - The ATM - IV, IV changes, same - term HV, HV changes, Skew, Skew changes, and VIX and its changes are reported for near - month and next - month options of different types. For instance, the near - month ATM - IV of Shanghai Composite 50 Index Option is 11.75%, with an IV change of 0.21% [5] Option Types Analysis Shanghai Composite 50 Index Option - Multiple charts show the full - contract PCR,主力 contract skewness trend, volatility cone, and volatility term structure, providing a comprehensive view of its market performance [8][9] CSI 300 Index Option - Similar to the Shanghai Composite 50 Index Option, there are charts for full - contract PCR,主力 contract skewness trend, volatility cone, and volatility term structure to analyze its characteristics [12][13] CSI 1000 Index Option - The report presents relevant charts for this option type, including主力 contract volatility, full - contract PCR,主力 contract skewness, volatility cone, and volatility term structure [15][16] Various ETF Options - For Shanghai Composite 50 ETF Option, Huatai - Berich 300 ETF Option, and other ETF options, their respective主力 contract volatility, full - contract PCR,主力 contract skewness, volatility cone, and volatility term structure are analyzed through charts [18][22]

Report Summary Core View The stock index options showed an upward movement with a decreasing volatility, and the implied volatility premium narrowed [1]. Market Data Summary Underlying Market Statistics - **Indices**: The Shanghai Composite 50 Index closed at 2790.73, up 21.34 points, with a trading volume of 41.26 billion hands, a decrease of 0.70 billion hands. The CSI 300 Index closed at 4103.45, up 32.75 points, with a trading volume of 178.85 billion hands, an increase of 16.58 billion hands. The CSI 1000 Index closed at 6787.48, up 47.79 points, with a trading volume of 223.72 billion hands, an increase of 10.23 billion hands [2]. - **ETFs**: The Shanghai Composite 50 ETF closed at 2.912, up 0.022, with a trading volume of 7.24 billion hands, an increase of 2.44 billion hands. The Huatai-PB CSI 300 ETF closed at 4.183, up 0.031, with a trading volume of 5.48 billion hands, an increase of 1.13 billion hands [2]. Option Market Statistics - **Trading Volume and Open Interest**: The trading volume of Shanghai Composite 50 Index Options was 30,577, an increase of 280, and the open interest was 72,824, a decrease of 1,212. The trading volume of CSI 300 Index Options was 78,143, an increase of 5,831, and the open interest was 205,892, an increase of 668 [2]. - **Volatility and PCR**: The ATM-IV of Shanghai Composite 50 Index Options was 11.59%, a decrease of 0.57%, and the VL-PCR was 48.61%, and the OI-PCR was 57.04%. The ATM-IV of CSI 300 Index Options was 11.16%, a decrease of 1.41%, and the VL-PCR was 52.69%, and the OI-PCR was 70.72% [2][5]. Individual Option Analysis The report provides detailed analysis and charts for various options, including Shanghai Composite 50 Index Options, CSI 300 Index Options, CSI 1000 Index Options, and multiple ETF options, covering aspects such as PCR, skew, volatility cone, and volatility term structure [8][12][15].

Core Insights - The article narrates the dramatic trading journey of Guan Fujun, who transitioned from a novice trader to a successful one, experiencing multiple failures and recoveries in the futures market [2][6][10] Group 1: Trading Journey - Guan Fujun began his trading career in 1999 with an initial capital of 40,000 yuan, making his first trade by shorting rubber, which led to his first margin call and a significant loss [2][5] - Despite facing four major bankruptcies, including a severe loss in 2003 when he shorted soybean meal, Guan continued to pursue trading, driven by a fascination with the market [5][6] - In 2004, after a period of research and learning, he successfully turned 5,000 yuan into 25 million yuan by adhering to a strategy based on weekly trends [6][9] Group 2: Trading Philosophy - Guan's trading philosophy is centered around three key principles: 1. Weekly theory, which helps filter out short-term noise and reflects medium-term trends [9] 2. Risk control, emphasizing the importance of stop-loss orders to protect overall capital [9] 3. Integration of knowledge and action, ensuring that long-term training leads to instinctive responses in trading [10] Group 3: Challenges and Setbacks - Guan faced significant setbacks, including a disastrous shift to short-term trading that resulted in substantial losses during the cotton market surge in 2010 and 2011 [7][8] - His gambling habits led to a depletion of his wealth, with his account dwindling to a few thousand yuan at one point [8] Group 4: Recovery and Success - After a period of reflection and recovery, Guan re-entered the market with 13.8 million yuan and achieved remarkable returns, including a 70-fold increase from 3.5 million yuan to 294 million yuan between August 2021 and February 2022 [8][9]