金 融 衍 生 品 研 究 2025 年 11 月 24 日 股票股指期权：震荡降波，可考虑卖出虚值看 涨期权。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 【正文】 表 1：期权市场数据统计 | 标的市场统计 | 收盘价 | 涨跌 | 成交量(亿 | 成交变化 | 当月 | 当月基差 | 次月 | 次月基差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | 手) | (亿手) | 合成期货 | | 合成期货 | | | 上证50指数 | 2950.56 | -5.29 | 50.80 | -9.59 | 2946.20 | -4.36 | 2950.20 | -0.36 | | 沪深300指数 | 4448.05 | -5.56 | 185.83 | -37.02 | 4438.73 | -9.31 | 4427.93 | -20.11 | | 中证1000指数 | 7156.41 | 88.71 | 240.66 | -44.15 | 7098.67 | -57.74 ...

1. Report Industry Investment Rating - No relevant content provided. 2. Core View of the Report - The implied volatility of stock index options is decreasing, and stock index options are approaching expiration [2]. 3. Summary by Related Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai - Shenzhen 300 Index, CSI 1000 Index, Shanghai - Shenzhen related ETFs all decreased. For example, the Shanghai - Shenzhen 300 Index closed at 4564.95, down 23.34; the CSI 1000 Index closed at 7340.41, down 46.80. The trading volumes of most underlying assets changed, with some increasing and some decreasing [3]. - **Option Market Statistics**: The trading volumes and open interests of various options also changed. For instance, the trading volume of Shanghai - Shenzhen 300 Index options was 172,768, up 6704; the open interest was 233,386, down 1521. The VL - PCR and OI - PCR of different options varied, such as the VL - PCR of Shanghai - Shenzhen 300 Index options was 60.97%, and the OI - PCR was 78.20% [3]. 3.2 Option Volatility Statistics - **Near - month Options**: The ATM - IV, IV changes, and other volatility - related indicators of different options showed different trends. For example, the ATM - IV of Shanghai - Shenzhen 300 Index options was 15.02%, up 1.08%; the ATM - IV of Shanghai - Shenzhen 300 ETF options was 15.82%, down 0.13% [6]. - **Next - month Options**: Similar to near - month options, the ATM - IV and other indicators of next - month options also had different changes. For instance, the ATM - IV of Shanghai - Shenzhen 300 Index options was 16.40%, down 0.54% [6]. 3.3 Option Index Data Statistics - No specific analysis content is provided, only the table title is given [7]. 3.4 Different Option Types Analysis - **Shanghai 50 Index Options**: Multiple charts are provided, including the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term - structure chart, which can be used to analyze the market situation of Shanghai 50 Index options [10]. - **Shanghai - Shenzhen 300 Index Options**: Similar to Shanghai 50 Index options, multiple charts are used to analyze the market situation of Shanghai - Shenzhen 300 Index options, such as the full - contract PCR chart and the main - contract volatility chart [14][16]. - **CSI 1000 Index Options**: The report presents relevant charts for CSI 1000 Index options to help analyze its market characteristics [20][21]. - **Shanghai 50 ETF Options**: Various charts are provided to analyze the market of Shanghai 50 ETF options, including the main - contract volatility chart and the full - contract PCR chart [24][26]. - **Huatai - Baorui 300 ETF Options**: Multiple charts are used to analyze the market situation of Huatai - Baorui 300 ETF options [28][30]. - **Southern CSI 500 ETF Options**: The report uses charts to analyze the market of Southern CSI 500 ETF options [32][33]. - **Huaxia Science and Technology Innovation 50 ETF Options**: Relevant charts are provided for the analysis of Huaxia Science and Technology Innovation 50 ETF options [42][43]. - **E Fund Science and Technology Innovation 50 ETF Options**: Multiple charts are used to analyze the market situation of E Fund Science and Technology Innovation 50 ETF options [46][51]. - **Harvest 300 ETF Options**: The report presents charts to analyze the market of Harvest 300 ETF options [54][55]. - **Harvest CSI 500 ETF Options**: Various charts are used to analyze the market situation of Harvest CSI 500 ETF options [59][60]. - **Growth Enterprise Market ETF Options**: Multiple charts are provided to analyze the market of Growth Enterprise Market ETF options [64][66]. - **Shenzhen 100 ETF Options**: The report uses charts to analyze the market situation of Shenzhen 100 ETF options [68][70].

1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - The implied volatility of stock index options is declining, and stock index options are approaching maturity [2] 3. Summary by Related Catalogs 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 all declined. Trading volumes for most indexes and ETFs had significant changes. For example, the Shanghai Composite 50 Index had a trading volume of 54.04 billion shares, a change of 5.84 billion shares [3]. - **Option Market Statistics**: Trading volumes and open interests of various options also changed. For instance, the trading volume of Shanghai Composite 50 Index options was 55,319, with an increase of 7,001, and the open interest was 76,915, with an increase of 319 [3]. 3.2 Option Volatility Statistics - **Near - Month Options**: The implied volatility (ATM - IV) of most options changed. For example, the ATM - IV of Shanghai Composite 50 Index options was 13.95%, with an increase of 0.08%. The historical volatility (HV) of some options decreased, like the HV of Shanghai Composite 50 ETF options decreased by 3.15% to 7.96% [6]. - **Next - Month Options**: Similar to near - month options, the ATM - IV and HV of next - month options also had different changes. For example, the ATM - IV of Shanghai Composite 50 Index next - month options was 14.49%, with a decrease of 0.59% [6]. 3.3 Option Index Data Statistics - Not provided in the report 3.4 Option Charts - **Shanghai Composite 50 Index Options**: There are charts showing the PCR, skew, volatility cone, and volatility term structure of Shanghai Composite 50 Index options, which can help analyze the market sentiment and volatility characteristics of these options [10][12] - **CSI 300 Index Options**: Similar to Shanghai Composite 50 Index options, there are corresponding charts for CSI 300 Index options to analyze their market conditions [14][16] - **CSI 1000 Index Options**: The report provides charts for CSI 1000 Index options to assist in market analysis [18][21] - **ETF Options**: There are also various charts for different ETF options, such as Shanghai Composite 50 ETF options, Huatai - Peregrine 300 ETF options, etc., to analyze their market performance [24][26]

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - With the downward increase in volatility, it is advisable to consider buying put options for protection [2] 3. Summary of Key Information from the Report a. Market Data Statistics - **Underlying Market Statistics**: On November 18, 2025, the closing prices of the Shanghai - Shenzhen 300 Index, CSI 1000 Index, and most of the ETFs declined. For example, the Shanghai - Shenzhen 300 Index closed at 4568.19, down 29.86 points; the CSI 1000 Index closed at 7448.10, down 74.98 points. Trading volumes also showed changes, with some increasing and some decreasing [3]. - **Option Market Statistics**: Volumes and open interests of various options changed. For instance, the volume of CSI 1000 index options increased by 45561 to 323505, and the open interest increased by 5348 to 335884. The VL - PCR and OI - PCR values varied across different options [3]. - **Option Volatility Statistics**: The implied volatility (IV) of most options increased, while the historical volatility (HV) showed different trends. For example, the near - month ATM - IV of Shanghai - Shenzhen 300 index options increased by 2.47% to 16.32%, and the 20 - day HV decreased by 13.74% to 8.41% [6]. b. Option - Specific Figures - Multiple figures are presented for each type of option, including full - contract PCR, main - contract skewness, volatility cones, and volatility term structures, which help in analyzing the market trends and characteristics of different options [10][14][18]

Report Date - The report was dated November 18, 2025 [1] Core Viewpoint - With the downward increase in volatility, investors can consider buying put options for protection [2] Market Data Statistics Underlying Market Statistics - The closing prices of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index were 3003.02, 4568.19, and 7448.10 respectively, showing declines of -9.05, -29.86, and -74.98. Their trading volumes were 43.59 billion, 177.71 billion, and 277.48 billion shares, with changes of -4.65 billion, -11.24 billion, and 16.32 billion shares [3] - The closing prices of various ETFs such as the Shanghai Stock Exchange 50 ETF, Huatai-PineBridge CSI 300 ETF, and Southern CSI 500 ETF also showed different degrees of decline or increase, along with corresponding trading volume changes [3] Options Market Statistics - The trading volumes and positions of various stock index options and ETF options showed different trends. For example, the trading volume of Shanghai Stock Exchange 50 Index Options decreased by 4854 to 45443, while the trading volume of CSI 1000 Index Options increased by 45561 to 323505 [3] - The VL - PCR and OI - PCR of different options also varied. For instance, the VL - PCR of Shanghai Stock Exchange 50 Index Options was 55.82%, and the OI - PCR was 68.64% [3] Options Volatility Statistics - The ATM - IV of various options showed an upward trend in most cases. For example, the ATM - IV of Shanghai Stock Exchange 50 Index Options (near - month) increased by 1.13% to 14.70%, and the ATM - IV of CSI 1000 Index Options (near - month) increased by 2.39% to 19.07% [6] - The changes in HV and Skew of different options were also different. For example, the 20 - day HV of Shanghai Stock Exchange 50 Index Options decreased by 11.14%, and the Skew increased by 0.65% [6] Option Charts - The report includes various charts for different options, such as the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term structure chart of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, etc. These charts help analyze the market trends and characteristics of different options [10][14][18]

国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 7 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2025/11/13 3.221 0.75% 13.06% 14.76% 2025/11/14 3.183 -1.18% 13.10% 14.83% 2025/11/17 3.159 -0.75% 13.46% 14.73% 【50ETF】 近1年 当月IV分位数 25.30% 26.50% 29.70% 近2年 当月IV分位数 当月合约距离到期还剩 28.80% 29.40% 34.10% 近1年 次月IV分位数 35.40% 38.30% 34.50% 近2年 次月IV分位数 44.30% 46.30% 43.50% 2025年11月17日 金融期权波动率 0% 5% 10% 15% 20% ATM IV(M1) ATM IV(M2) ATM IV(Q1) ATM IV(Q2) ATM IV期限结构 今日 昨日 0% 20% 40% 60% 80% 2.00 2.50 3.00 3.50 2022/11/15 2023/4/13 2023/9/7 2024/2/5 ...

1. Report Industry Investment Ratings - No specific industry investment ratings are provided in the report. 2. Core Views - The stock market shows a shrinking volume and narrow - range oscillation, with the dividend style being prominent. It is recommended to transfer technology funds to the price - rising chain and continue the dumbbell configuration [1][6]. - The bond market sentiment is bullish. Although there is still short - term support, the downward space for yields may be limited, and the bond market is expected to oscillate strongly [2][7]. - For stock index options, it is advisable to continue holding covered positions for defense as the market style rotates and no capital main line has been formed yet [1][6]. 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - **View**: Shrinking volume and narrow - range oscillation, with the dividend style being prominent. The basis, spread, and position of IF, IH, IC, and IM have changed to varying degrees [6]. - **Logic**: The Shanghai Composite Index oscillated narrowly around 4,000 points on Wednesday, with a trading volume of 2 trillion yuan. The style structure was further adjusted, and the sustainability of hotspots was limited. After the release of the 25Q3 monetary policy report, long - term bond prices opened higher and rose, the bank sector soared in the morning, and the dividend index was strong. High - risk - appetite sectors retreated, and the external market's drag on the domestic market weakened [6]. - **Operation Suggestion**: Dividend ETF + IM long positions [6]. 3.1.2 Stock Index Options - **View**: Focus on covered defense [6]. - **Logic**: The equity market oscillated weakly yesterday, and the turnover of each option variety oscillated and recovered but remained at a relatively low level of liquidity since October. The option sentiment index showed a weak trend, especially for the CSI 1000 index options and technology - sector option varieties. Option trading sentiment changed with the style switch, and option volatility strengthened [6]. - **Operation Suggestion**: Covered positions [6]. 3.1.3 Bond Index Futures - **View**: Bond market sentiment is bullish. The trading volume, position, spread, and basis of T, TF, TS, and TL have changed to varying degrees. The central bank conducted 195.5 billion yuan of 7 - day reverse repurchases, with 92.8 billion yuan of reverse repurchases maturing on the same day [7]. - **Logic**: Bond index futures prices rose across the board yesterday. The domestic bond market was generally bullish, interest - rate bond yields mostly declined, and the inter - bank market liquidity improved. The central bank's third - quarter monetary policy report in 2025 continued the keynote of a "moderately loose monetary policy" [2][7]. - **Operation Suggestion**: Trend strategy: oscillate strongly. Hedging strategy: pay attention to long - position substitution at high basis levels. Basis strategy: pay attention to the positive spread strategy and basis widening. Curve strategy: appropriately pay attention to curve steepening [8]. 3.2 Economic Calendar - The report lists the economic indicators to be released in China from November 13 to 14, 2025, including new RMB loans, social financing scale, M2 money supply annual rate, total retail sales of consumer goods annual rate, and added value of industrial enterprises above designated size annual rate [9]. 3.3 Important Information and News Tracking - **Sino - US Relations**: Chinese Vice - Premier He Lifeng met with representatives of the National Committee on United States - China Relations, emphasizing the broad cooperation space in the economic and trade fields between the two countries and the need to implement the consensus of the two heads of state [10]. - **New Energy**: The National Energy Administration issued a guiding opinion on promoting the integrated and coordinated development of new energy, including optimizing the power structure and energy - storage configuration ratio of "desert, Gobi, and wasteland" new - energy bases and exploring the construction of new water - wind - solar integrated bases [10]. - **Automobile**: The Ministry of Public Security completed the solicitation draft of the national standard "Technical Conditions for Motor Vehicle Operation Safety", which includes speed - limit requirements and safety requirements for new - energy vehicles [11]. - **Power Battery**: The 2025 World Power Battery Conference held a signing ceremony in Yibin, Sichuan, with 180 projects signed, totaling 86.13 billion yuan. After full operation, the expected annual output value will exceed 90 billion yuan, and over 50 leading enterprises will settle in Yibin [11]. 3.4 Derivatives Market Monitoring - The report includes sub - sections on stock index futures data, stock index options data, and bond index futures data, but no specific data content is provided in the given text [12][16][28].

Group 1: Report Investment Rating - No information provided Group 2: Core Views - The stock market experiences sector rotation, with funds flowing from the technology sector to the chemical and consumer sectors, and the bond market shows a tendency of oscillating upward [2][3] - In the stock index futures market, it is recommended to transfer technology funds to the price - rising chain and continue the dumbbell - style allocation [3][7] - In the stock index options market, it is advisable to continue holding covered positions for additional income [3][8] - In the treasury bond futures market, the bond market is expected to oscillate upward [4][9] Group 3: Summary by Directory 1. Market Views Stock Index Futures - On Monday, the Shanghai Composite Index rebounded in a U - shape, with a rotation to low - lying sectors. High - beta sectors retreated, while value and defensive sectors rose. Due to the policy window period and recent volume contraction, it is recommended to transfer technology funds to the price - rising chain and continue the dumbbell - style allocation. The operation suggestion is to hold a long position in the Dividend ETF + IM. [3][7] - The basis points of IF, IH, IC, and IM for the current month are - 8.85, 0.94, - 41, and - 54.45 respectively, changing by - 3.06, 0.49, - 5.09, and - 5.98 points compared to the previous trading day. The inter - period spreads (current month - next month) are 14.2, 0.8, 67, and 87.8 points respectively, with a month - on - month change of 0.6, 0.2, 5.2, and 6.4 points. The positions of IF, IH, IC, and IM change by 10827, 5768, 8841, and - 1747 lots respectively. [7] Stock Index Options - The trading volume of each option variety rebounded slightly but remained at a low - liquidity level since October. The option sentiment index was weak, especially for technology - sector options. Option volatility varied, with the implied volatility of the Science and Technology Innovation 50 ETF option strengthening and that of the CSI 300 stock index option weakening. It is recommended to continue holding covered positions for additional income. [8] Treasury Bond Futures - Most treasury bond futures rose yesterday. The T, TF, TS, and TL main contracts changed by 0.01%, 0.02%, 0.00%, and 0.22% respectively. The central bank's large - scale net injection supported the bond market. In October, the CPI improved, and the core CPI increased significantly. The central bank restarted treasury bond trading, and the short - term factors driving bond yields down were lacking. The stock - bond seesaw effect may weaken, and the restart of treasury bond trading may boost bond market sentiment. The operation suggestions include a trend strategy of oscillating upward, a hedging strategy of paying attention to long - position substitution at high basis levels, a basis strategy of looking for positive spreads and basis widening, and a curve strategy of appropriately paying attention to curve steepening. [4][9] - The trading volumes of T, TF, TS, and TL for the current quarter are 58830, 49109, 24929, and 96097 lots respectively, with a one - day change of 3915, 4624, - 1360, and - 3686 lots. The positions are 231393, 138398, 67365, and 129150 lots respectively, with a one - day change of - 4216, - 4021, - 700, and 1495 lots. The inter - period spreads (current quarter - next quarter) are 0.225, 0.030, 0.052, and 0.250 yuan respectively, with a one - day change of - 0.025, - 0.010, 0, and 0.010 yuan. The cross - variety spreads and basis points also have corresponding changes. [8][9][10] 2. Economic Calendar - The economic data to be released this week includes China's October new RMB loans, social financing scale, M2 money supply annual rate, the US October CPI annual rate, China's October total retail sales of consumer goods annual rate, and China's October industrial added value above designated size annual rate. [12] 3. Important Information and News Tracking - The Asset Management Association of China is soliciting opinions on the "Guidelines for the Management of the Thematic Investment Style of Publicly Offered Securities Investment Funds" to standardize the style drift problem of thematic investment funds. [13] - The State Council General Office issued measures to promote private investment, including expanding access, removing obstacles, and strengthening support. [13] - Two departments issued a guidance on promoting new energy consumption and regulation, with goals set for 2030 and 2035. [13] - China successfully launched the 13th group of low - orbit satellite Internet satellites. [14] - The US Senate reached an agreement to end the federal government shutdown. [15] 4. Derivatives Market Monitoring - The report mentions data monitoring of stock index futures, stock index options, and treasury bond futures, but no specific data content is provided. [16][20][32]

Report Summary 1. Core View - The implied volatility of stock index options showed a positive correlation with the underlying asset price movement during intraday trading, indicating positive market sentiment [1]. 2. Market Data Statistics 2.1 Underlying Market Statistics | Underlying Asset | Closing Price | Change | Trading Volume (Billion Hands) | Volume Change (Billion Hands) | Current Month Synthetic Futures | Current Month Basis | Next Month Synthetic Futures | Next Month Basis | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 Index | 3053.86 | 15.51 | 49.08 | 1.41 | 3054.60 | 0.74 | 3054.27 | 0.41 | | CSI 300 Index | 4695.05 | 16.26 | 236.03 | 23.53 | 4688.60 | -6.45 | 4675.67 | -19.38 | | CSI 1000 Index | 7563.25 | 21.38 | 274.36 | 6.47 | 7511.93 | -51.32 | 7431.27 | -131.99 | | SSE 50 ETF | 3.201 | 0.015 | 4.41 | -0.04 | 3.204 | 0.003 | 3.206 | 0.005 | | Huatai-PineBridge CSI 300 ETF | 4.807 | 0.012 | 4.48 | -0.91 | 4.802 | -0.005 | 4.797 | -0.010 | | Southern CSI 500 ETF | 7.448 | 0.008 | 1.12 | 0.09 | 7.410 | -0.038 | 7.354 | -0.094 | | Huaxia Science and Technology Innovation 50 ETF | 1.478 | -0.009 | 22.92 | 2.19 | 1.479 | 0.001 | 1.470 | -0.008 | | E Fund Science and Technology Innovation 50 ETF | 1.432 | -0.010 | 5.61 | 0.85 | 1.431 | -0.001 | 1.421 | -0.011 | | Harvest CSI 300 ETF | 4.960 | 0.019 | 1.13 | -0.44 | 4.954 | -0.006 | 4.949 | -0.011 | | Harvest CSI 500 ETF | 2.973 | 0.005 | 0.68 | 0.07 | 2.960 | -0.013 | 2.938 | -0.035 | | ChiNext ETF | 3.158 | -0.027 | 11.75 | 2.04 | 3.156 | -0.002 | 3.141 | -0.017 | | Shenzhen 100 ETF | 3.575 | 0.008 | 0.60 | 0.21 | 3.568 | -0.007 | 3.564 | -0.011 | [1] 2.2 Option Market Statistics | Option | Trading Volume | Volume Change | Open Interest | Interest Change | VL-PCR | OI-PCR | C Max Open Interest (Near Month) | P Max Open Interest (Near Month) | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 Index Option | 33963 | 9494 | 73329 | 403 | 59.08% | 74.46% | 3100 | 3000 | | CSI 300 Index Option | 109112 | 14975 | 205781 | 5180 | 68.30% | 87.09% | 4700 | 4700 | | CSI 1000 Index Option | 233883 | 2526 | 315748 | 2834 | 83.44% | 109.73% | 7500 | 7000 | | SSE 50 ETF Option | 741629 | 148266 | 1475197 | 11712 | 97.23% | 95.15% | 3.3 | 3.1 | | Huatai-PineBridge CSI 300 ETF Option | 900632 | 121115 | 1401327 | 25030 | 110.04% | 110.73% | 4.9 | 4.7 | | Southern CSI 500 ETF Option | 1301688 | 67218 | 1392667 | 31083 | 104.69% | 124.26% | 7.75 | 7.25 | | Huaxia Science and Technology Innovation 50 ETF Option | 1138276 | 188968 | 2341453 | 59764 | 91.20% | 89.41% | 1.55 | 1.4 | | E Fund Science and Technology Innovation 50 ETF Option | 251466 | 71244 | 621625 | 17479 | 91.39% | 85.61% | 1.5 | 1.35 | | Harvest CSI 300 ETF Option | 165255 | 63434 | 292892 | 29476 | 150.06% | 83.99% | 5.25 | 4.8 | | Harvest CSI 500 ETF Option | 235895 | 54540 | 430123 | 50900 | 135.97% | 78.46% | 3.1 | 2.75 | | ChiNext ETF Option | 1798245 | 231110 | 1924643 | 183049 | 103.74% | 110.30% | 3.3 | 3 | | Shenzhen 100 ETF Option | 79853 | 16533 | 131984 | 16081 | 280.25% | 123.69% | 3.7 | 3.4 | [1] 2.3 Option Volatility Statistics | Option | Near Month ATM-IV | IV Change | Same-Term HV | HV Change | Skew | Skew Change | VIX | VIX Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 Index Option | 12.63% | -0.20% | 10.54% | -0.02% | -3.84% | -0.91% | 17.70 | 0.723 | | CSI 300 Index Option | 13.57% | -0.11% | 14.76% | -0.07% | -3.34% | 3.55% | 19.12 | 0.807 | | CSI 1000 Index Option | 17.76% | -0.32% | 13.81% | -0.07% | -8.99% | 4.30% | 23.49 | 0.782 | | SSE 50 ETF Option | 12.82% | 0.19% | 10.44% | -0.12% | 0.61% | 3.81% | 17.14 | 0.914 | | Huatai-PineBridge CSI 300 ETF Option | 14.50% | 0.13% | 14.66% | -0.03% | -2.40% | -1.23% | 18.53 | 0.868 | | Southern CSI 500 ETF Option | 18.73% | -0.21% | 19.21% | 0.00% | -1.71% | 3.20% | 23.23 | 0.663 | | Huaxia Science and Technology Innovation 50 ETF Option | 31.34% | -0.88% | 33.65% | 0.12% | 4.57% | 1.55% | 37.15 | 0.777 | | E Fund Science and Technology Innovation 50 ETF Option | 31.69% | -0.39% | 34.05% | 0.13% | 7.37% | 4.94% | 36.13 | 1.226 | | Harvest CSI 300 ETF Option | 14.61% | -0.19% | 14.87% | 0.03% | -3.61% | 3.82% | 19.26 | 1.047 | | Harvest CSI 500 ETF Option | 19.09% | -0.20% | 18.92% | 0.00% | -2.60% | 3.33% | 23.23 | 0.943 | | ChiNext ETF Option | 28.48% | -0.52% | 30.45% | 0.48% | 1.28% | 3.72% | 33.12 | 0.333 | | Shenzhen 100 ETF Option | 19.95% | -0.46% | 21.10% | 0.00% | 1.23% | 5.06% | 24.48 | 0.760 | [4] 3. Charts - The report includes various charts for different index and ETF options, such as volatility trend charts, PCR charts, skew trend charts, volatility cone charts, and volatility term structure charts for SSE 50 Index Option, CSI 300 Index Option, CSI 1000 Index Option, SSE 50 ETF Option, Huatai-PineBridge CSI 300 ETF Option, Southern CSI 500 ETF Option, Huaxia Science and Technology Innovation 50 ETF Option, E Fund Science and Technology Innovation 50 ETF Option, Harvest CSI 300 ETF Option, Harvest CSI 500 ETF Option, ChiNext ETF Option, and Shenzhen 100 ETF Option [8][12][20]

1. Report Industry Investment Rating No information provided in the report. 2. Core Views of the Report - From November 3rd to 7th, 2025, the Shanghai Composite Index rose with fluctuations during the week, while the Shenzhen Component Index opened slightly lower and fluctuated. The performance of different ETFs varied, with 50ETF and Huatai-PineBridge CSI 300ETF showing certain increases, and Southern CSI 500ETF having a small increase. In the options market, the average daily trading volume and total open interest of various ETF options increased. Volatility decreased, with short - term volatility significantly dropping, and the implied volatility curve structure slightly shifting to the right. The market risk preference declined. Considering the current situation, the probability of implied volatility strengthening in the future is relatively high, and a volatility strategy of selling high is recommended [2][3][4]. 3. Summary by Directory 3.1. Spot and Futures Market Review 3.1.1. Underlying Asset Market - From November 3rd to 7th, the Shanghai Composite Index rose 1.08% compared to the previous week, closing at 3997.56 with lower trading volume. The Shenzhen Component Index opened slightly lower, fluctuated during the week, and closed at 13404.06 with lower trading volume. 50ETF opened at 3.153 and closed at 3.186, rising 0.82% with a turnover of 11.564 billion. Huatai - PineBridge CSI 300ETF opened at 4.752 and closed at 4.795, rising 0.82% with a turnover of 19.074 billion. Southern CSI 500ETF opened at 7.427 and closed at 7.440, rising 0.05% with a turnover of 7.169 billion [8]. 3.1.2. Index Futures Market - From November 3rd to 7th, all IH contracts of stock index futures closed up. Contract IH2511 rose 0.76%. All IF contracts closed up, with contract IF2511 rising 0.57%. All IC contracts closed down, with contract IC2511 falling 0.30% [9]. 3.2. Options Market Review 3.2.1. Trading and Open Interest - From November 3rd to 7th, the average daily trading volume and total open interest of 50ETF options increased. The average daily trading volume was 864,446 contracts, an increase of 31,600 contracts compared to the previous week. The total open interest was 1,530,207 contracts, an increase of 69,092 contracts from the previous weekend. The total open interest PCR was 0.97, up 0.07 from the previous weekend. For Huatai - PineBridge CSI 300ETF options, the average daily trading volume was 1,031,324 contracts, an increase of 43,523 contracts compared to the previous week. The total open interest was 1,376,297 contracts, an increase of 116,890 contracts from the previous weekend. The total open interest PCR was 1.12, up 0.09 from the previous weekend. For Southern CSI 500ETF options, the average daily trading volume was 1,513,130 contracts, an increase of 90,928 contracts compared to the previous week. The total open interest was 1,361,584 contracts, an increase of 40,101 contracts from the previous weekend. The total open interest PCR was 1.26, basically unchanged from the previous weekend [13][16][21]. 3.2.2. Volatility - **Historical Volatility**: As of November 7th, the 5 - day historical rolling volatility of 50ETF dropped to 9.69%, around the 25th percentile of the five - year historical level. The 5 - day, 10 - day, 20 - day, and 40 - day historical volatilities were 9.69%, 10.60%, 11.57%, and 11.90% respectively. The 5 - day historical rolling volatility of Huatai - PineBridge CSI 300ETF dropped to 12.63%, around the 50th percentile of the five - year historical level, with corresponding historical volatilities of 12.63%, 15.12%, 15.91%, and 16.82%. The 5 - day historical rolling volatility of Southern CSI 500ETF dropped to 18.52%, around the 50th percentile of the five - year historical level, with corresponding historical volatilities of 18.52%, 19.76%, 22.32%, and 22.34% [25][29][31]. - **Implied Volatility**: On November 7th, for each options variety's 2025 - 11 and 2025 - 12 contracts, the implied volatility of at - the - money contracts declined, while the implied volatility of out - of - the - money contracts remained at a relatively high level. The implied volatility curve structure slightly shifted to the right. For the 500ETF, which had a relatively large decline, the valuation of put contracts was relatively high, indicating a decline in market risk preference [34]. - **Comparison of Historical and Implied Volatility Trends**: Short - term volatility significantly declined. The volatility of 50ETF dropped below 10%, and the weekly volatility of 300ETF and 500ETF dropped from the 75th percentile to the 50th percentile of the historical level. Monthly volatility also declined further, and the implied volatility mainly decreased during the week. Currently, the implied volatility level is still lower than the historical volatility, and it is believed that the probability of implied volatility strengthening in the future is relatively high [41]. 3.3. Investment Recommendations - In terms of strategies, the weekly market first fell and then rose. Small - cap growth stocks declined more, while large - cap stocks were relatively stable and performed slightly better than small - cap stocks. The open interest PCR level showed different trends according to the rise and fall of the underlying assets, and the current level is around the historical median. Considering the implied volatility, the overall level has decreased. On the implied volatility curve, the volatility of at - the - money contracts decreased, but the implied volatility of out - of - the - money contracts remained high, indicating a decline in market risk preference. Given that the current implied volatility level is lower than the historical volatility, if the market fluctuates significantly, the volatility level may suddenly rise. Therefore, a volatility strategy of selling high is still recommended [4][44].