1. Report Industry Investment Rating - No information provided 2. Core View of the Report - On December 2nd, the A - share market fluctuated and declined, with most theme stocks correcting and the market showing a lack of highlights. The Shanghai Composite Index fell 0.55% at the mid - day session to 3892.55 points, the Shenzhen Component Index dropped 0.77%, the ChiNext Index declined 0.88%, the North Securities 50 fell 0.29%, the Science and Technology Innovation 50 decreased 1.18%, the Wind All - A dropped 0.72%, the Wind A500 declined 0.69%, the CSI A500 fell 0.71%, and the half - day trading volume of A - shares was 1.06 trillion yuan [4] 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Performance** - The closing price of the SSE 50 was 2978.4671, with a turnover of 791.66 billion yuan, a trading volume of 33.48 billion, and a decline of 0.51%. The closing price of the CSI 300 was 4554.3347, with a turnover of 3643.66 billion yuan, a trading volume of 148.49 billion, and a decline of 0.48%. The closing price of the CSI 1000 was 3202.19, with a decline of 1.00% [3] - **CFFEX Stock Index Options Trading Situation** - **SSE 50 Options**: The trading volume of call options was 6.72 million contracts, the trading volume of put options was 1.69 million contracts, the trading volume PCR was 0.25. The open interest of call options was 3.92 million contracts, the open interest of put options was 2.80 million contracts, and the open interest PCR was 0.72 [3] - **CSI 300 Options**: The trading volume of call options was 6.03 million contracts, the trading volume of put options was 17.49 million contracts, the trading volume PCR was 2.90. The open interest of call options was 7.61 million contracts, the open interest of put options was 10.13 million contracts, and the open interest PCR was 1.33 [3] - **CSI 1000 Options**: The trading volume of call options was 14.35 million contracts, the trading volume of put options was 6.74 million contracts, the trading volume PCR was 0.47. The open interest of call options was 15.87 million contracts, the open interest of put options was 15.08 million contracts, and the open interest PCR was 0.95 [3] 3.2 Volatility Analysis - **SSE 50 Volatility** - Historical volatility was analyzed using the historical volatility cone, with the current value presented. The volatility smile curve of the next - month at - the - money implied volatility was also provided [3][4] - **CSI 300 Volatility** - Similar to the SSE 50, historical volatility was analyzed with the historical volatility cone and the current value, and the volatility smile curve of the next - month at - the - money implied volatility was shown [3][4] - **CSI 1000 Volatility** - Historical volatility was analyzed through the historical volatility cone and the current value, and the volatility smile curve of the next - month at - the - money implied volatility was presented [3][4]

Report Summary Core View - The report provides a daily data analysis of stock index options, including market trends, trading volume, open interest, and volatility of major indices such as SSE 50, CSI 300, and CSI 1000 [3]. Index Performance - SSE 50 closed at 2969.6171, down 0.09% with a trading volume of 0.25 billion and a turnover of 850.31 billion yuan [3]. - CSI 300 closed at 4526.6616, up 0.25% with a trading volume of 1.06 billion and a turnover of 3418.32 billion yuan [3]. - CSI 1000 closed at 6616.3421, up 1.06% with a trading volume of 200.68 million and a turnover of 7334.2097 billion yuan [3]. Option Trading Volume and Open Interest - For SSE 50 options, the call option trading volume was 3.70 million, the put option trading volume was 1.87 million, the call option open interest was 6.24 million, and the put option open interest was 2.55 million [3]. - For CSI 300 options, the call option trading volume was 4.48 million, the put option trading volume was 2.89 million, the call option open interest was 17.16 million, and the put option open interest was 7.06 million [3]. - For CSI 1000 options, the call option trading volume was 17.35 million, the put option trading volume was 9.32 million, the call option open interest was 29.74 million, and the put option open interest was 8.04 million [3]. Volatility Analysis - The report presents historical volatility and volatility cone for SSE 50, CSI 300, and CSI 1000, as well as their volatility smile curves for the next - month at - the - money implied volatility [3][4]. Overall Market Conditions - The Shanghai Composite Index rose 0.34% to 3888.6, down 1.67% monthly; the Shenzhen Component Index rose 0.85%, down 2.95% monthly; the ChiNext Index rose 0.7%, down 4.23% monthly; the North - Star 50 Index rose 0.39%, down 12.32% monthly; the STAR 50 Index rose 1.25%, down 6.24% monthly; the Wind All - A Index rose 0.77%, down 2.22% monthly; the Wind A500 Index rose 0.44%, down 2.71% monthly; the CSI A500 Index rose 0.46%, down 2.56% monthly. A - share trading volume was 1.6 trillion yuan, compared to 1.72 trillion yuan the previous day [5].

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - On November 25th, the broader market oscillated and rebounded throughout the day with a mid - day pull - back, and the ChiNext Index rose over 3% intraday. Nearly 4300 stocks closed in the green, and nearly a hundred stocks hit the daily limit. CPO, fiberglass, and electrolyte concepts led the gains, while aquaculture, civil aviation, and CSSC sectors declined against the trend [5] 3. Summary by Related Catalogs 3.1 Market Review Index Performance - The closing price of the SSE 50 was 2968.2023, with a turnover of 42.41 billion yuan, a trading volume of 4490.4047 million, and a daily increase of 0.60%. The CSI 300 had a closing price of 4041.74, a turnover of 169.57 billion yuan, a trading volume of 7249.9471 million, and a daily increase of 0.95%. The CSI 1000 had a closing price of 6980.32, a turnover of 245.43 billion yuan, and a trading volume of 1.31 billion [3] CFFEX Stock Index Options Trading Situation - For SSE 50 options, the trading volume of call options was 2.37 million contracts, put options 1.53 million contracts, and the total trading volume 5.79 million contracts. The open interest of call options was 3.41 million contracts, put options 3.85 million contracts, and the total open interest 16.77 million contracts, with a trading volume PCR of 0.55 and an open interest PCR of 0.70. For CSI 300 options, the trading volume of call options was 6.13 million contracts, put options 0.63 million contracts, and the total trading volume 9.97 million contracts. The open interest of call options was 10.09 million contracts, put options 6.68 million contracts, and the total open interest 22.71 million contracts, with a trading volume PCR of 0.66 and an open interest PCR of 0.72. For CSI 1000 options, the trading volume of call options was 13.21 million contracts, put options 27.95 million contracts, and the total trading volume 9.49 million contracts. The open interest of call options was 13.31 million contracts, put options 14.65 million contracts, with a trading volume PCR of 0.91 [3] 3.2 Volatility Analysis - **SSE 50 Volatility**: Analyzed historical volatility and the volatility cone, and presented the volatility smile curve and next - month at - the - money implied volatility [3][4] - **CSI 300 Volatility**: Conducted historical volatility and volatility cone analysis, and showed the volatility smile curve and next - month at - the - money implied volatility [4] - **CSI 1000 Volatility**: Analyzed historical volatility and the volatility cone, and provided the volatility smile curve and next - month at - the - money implied volatility [4]

Report Summary 1. Report Industry Investment Rating - No information about the report industry investment rating is provided in the given content. 2. Report Core View - The report presents a daily data analysis of stock index options, including market trends, trading volume, open interest, and volatility analysis of different indices such as SSE 50, CSI 300, and CSI 1000 [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - On November 24, the A-share market fluctuated and rose. The military theme was active, while the lithium mining sector had a significant correction. The Shanghai Composite Index rose 0.05% to 3836.77 points, the Shenzhen Component Index rose 0.37%, the ChiNext Index rose 0.31%, the Northbound 50 Index rose 0.63%, the STAR 50 Index rose 0.84%, the Wind All A Index rose 0.62%, the Wind A500 Index fell 0.06%, and the CSI A500 Index rose 0.16%. The total A-share trading volume was 1.74 trillion yuan, compared with 1.98 trillion yuan the previous day. More than 4200 stocks rose [4]. 3.2 Index Trading Data | Index | Volume (billion) | Closing Price | Change (%) | Turnover (billion yuan) | | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 1102.71 | 2950.562 | -0.18 | 50.80 | | CSI 300 | - | 4258.07 | -0.12 | 4448.0478 | | CSI 1000 | 7156.4085 | 3689.93 | 1.26 | 240.66 | [3] 3.3 CFFEX Stock Index Options Trading Situation | Index | Call Option Volume (million contracts) | Put Option Volume (million contracts) | Volume PCR | Option Open Interest (million contracts) | Call Option Open Interest (million contracts) | Put Option Open Interest (million contracts) | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 2.59 | 1.61 | 0.61 | 5.66 | 3.35 | 2.31 | 0.69 | | CSI 300 | 9.61 | 5.91 | 0.63 | 17.12 | 10.32 | 6.80 | 0.66 | | CSI 1000 | 12.77 | 0.70 | - | 21.64 | 8.88 | 14.98 | 0.85 | [3] 3.4 Volatility Analysis - **SSE 50 Volatility Analysis**: It includes historical volatility and a historical volatility cone, as well as a volatility smile curve and the next - month at - the - money implied volatility [3][4]. - **CSI 300 Volatility Analysis**: Similar to the SSE 50, it has historical volatility, a historical volatility cone, a volatility smile curve, and the next - month at - the - money implied volatility [3][4]. - **CSI 1000 Volatility Analysis**: Also contains historical volatility, a historical volatility cone, a volatility smile curve, and the next - month at - the - money implied volatility [3][4].

Report Summary 1. Report Industry Investment Rating - No information provided in the given content 2. Core View of the Report - On November 18, the A - share market fluctuated downward with over 4100 stocks falling. The lithium - battery industry chain had a full - scale correction, and sectors like electrolyte and solid - state batteries led the decline. Industries such as steel, chemical, coal, and non - ferrous metals had relatively large declines. The board index fell 1.16%, the North Securities 50 fell 2.92%, the Science and Technology Innovation 50 rose 0.29%, the Wind All - A fell 0.93%, the Wind A500 fell 0.82%, and the CSI A500 fell 0.79%. The A - share trading volume for the whole day was 1.95 trillion yuan, compared with 1.93 trillion yuan the previous day [5] 3. Summary by Relevant Catalogs Market Index Quotes - **Index Closing Prices and Changes**: The closing price of the Shanghai Composite 50 was 1062.01, down 0.30%, with a trading volume of 43.59 billion yuan and a turnover of 177.71 billion; the Shanghai and Shenzhen 300 closed at 4568.1928, down 0.65%, with a trading volume of 277.48 billion yuan and a turnover of 7448.1007 billion, and another data point showed a 1.00% decline and a trading volume of 4180.65 billion; the CSI 1000 data was not fully presented in terms of closing price and change [3] CFFEX Stock Index Option Trading Situation - **Option Volume and Position**: For the Shanghai Composite 50, the call option volume was 2.92 million, the put option volume was 0.56 million, the total option volume was 7.82 million, the call option position was 3.18 million, the put option position was 0.69 million, the total position was 4.54 million, the volume PCR was 1.63, and the position PCR was 4.63. For the Shanghai and Shenzhen 300, the call option volume was 9.30 million, the put option volume was 6.63 million, the volume PCR was 0.71, the call option position was 23.59 million, the put option position was 13.26 million, the total position was 10.33 million, the position PCR was 0.78, and another position - related value was 15.93 million. For the CSI 1000, the call option volume was 32.35 million, the put option volume was 17.54 million, the total option volume was 33.59 million, the call option position was 14.81 million, the put option position was 0.84 million, the total position was 16.99 million, the volume PCR was 16.60, and the position PCR was 0.98 [3] Volatility Analysis - **Historical Volatility and Volatility Cone**: Historical volatility and volatility cone data were presented for the Shanghai Composite 50, Shanghai and Shenzhen 300, and CSI 1000, including different percentile values (such as 10%, 30%, 60%, 90% etc.) and the current value, as well as data for different time - periods (5 - day, 20 - day, 40 - day, 60 - day, 120 - day). Volatility smile curves and next - month at - the - money implied volatility were also provided for each index [3][4]

Report Information - Report Title: Index Option Data Daily Report [2] - Date: November 17, 2025 [3] - Author: Li Zeju from the Financial Derivatives Center of Guomao Futures Research Institute [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Market Review Index Performance - **Shanghai Composite Index**: On November 14, it rose and then fell, closing down 0.97% at 3990.49 points, hitting a 10 - year high intraday, down 0.18% for the week [5] - **Shenzhen Component Index**: Down 1.93% on November 14, down 1.4% for the week [5] - **ChiNext Index**: Down 2.82% on November 14, down 3.01% for the week [5] - **North - Star 50 Index**: Down 1.01% on November 14 [5] - **STAR 50 Index**: Down 2.72% on November 14 [5] - **Wind All - A Index**: Down 1.27% on November 14 [5] - **Wind A500 Index**: Down 1.6% on November 14 [5] - **CSI A500 Index**: Down 1.61% on November 14 [5] - **Total A - share trading volume**: 1.98 trillion yuan on November 14, compared with 2.07 trillion yuan the previous day [5] Index Details | Index | Volume (billion) | Closing Price | Change (%) | Turnover (billion yuan) | | --- | --- | --- | --- | --- | | SSE 50 | 48.80 | 3038.4255 | - 1.15 | 1203.76 | | CSI 300 | 192.09 | 4628.1398 | - 1.57 | 4447.20 | | CSI 1000 | 271.97 | 4062.93 | - 1.16 | 7502.7567 | [3] CFFEX Index Option Trading | Index | Call Option Volume (million) | Put Option Volume (million) | Volume PCR | Option Open Interest (million) | Call Option Open Interest (million) | Put Option Open Interest (million) | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3.34 | 2.00 | 0.67 | 7.19 | 3.10 | 0.76 | 1.34 | | CSI 300 | 6.85 | 0.64 | 11.50 | 9.85 | 0.86 | 11.20 | 4.36 | | CSI 1000 | 25.93 | 13.47 | 0.92 | 32.91 | 17.25 | 12.46 | 1.566 | [3] Volatility Analysis - **SSE 50**: Historical volatility and volatility smile curve are presented, with data on historical volatility cone including 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current value, as well as next - month at - the - money implied volatility [3][4] - **CSI 300**: Similar to SSE 50, historical volatility, volatility cone, and next - month at - the - money implied volatility are provided [3][4] - **CSI 1000**: Historical volatility, volatility cone, and next - month at - the - money implied volatility data are shown [3][4]

Report Overview - The report is an index option data daily report by Guomao Futures Research Institute on October 31, 2025, focusing on the performance of Shanghai - Shenzhen stock index options [2][3] Index Market Performance Index Closing Price and Change - The Shanghai Composite 50 index closed at 1847.30, down 0.54%, with a turnover of 3046.6108 billion yuan and a trading volume of 65.74 billion [3] - The CSI 300 index closed at 7199.56, down 0.80%, with a turnover of 4709.911 billion yuan and a trading volume of 273.29 billion [3] - The CSI 1000 index closed at 4785.07, down 1.11%, with a turnover of 7485.0848 billion yuan and a trading volume of 297.39 billion [3] Overall A - Share Market - On October 30, the A - share market declined with heavy trading volume, and technology stocks adjusted across the board. The Shanghai Composite Index fell 0.73% to 3986.9 points, the Shenzhen Component Index fell 1.16%, the ChiNext Index fell 1.84%, the CSI 300 fell 0.8%, the Beijing Stock Exchange 50 fell 1.3%, the STAR 50 fell 1.87%, the Wind All - A fell 1.05%, the Wind A500 fell 0.82%, and the CSI A500 fell 0.88%. The total trading volume of A - shares was 2.46 trillion yuan, compared with 2.29 trillion yuan the previous day [5] CFFEX Index Option Trading Option Trading Volume - For the Shanghai Composite 50 index options, the trading volume of call options was 2.73 million contracts, and that of put options was 2.94 million contracts, with a trading volume PCR of 0.36. The open interest of call options was 3.96 million contracts, and that of put options was 4.00 million contracts, with an open - interest PCR of 1.07 [3] - For the CSI 300 index options, the trading volume of call options was 5.47 million contracts, and that of put options was 14.67 million contracts, with a trading volume PCR of 0.59. The open interest of call options was 8.49 million contracts, and that of put options was 9.11 million contracts, with an open - interest PCR of 0.93 [3] - For the CSI 1000 index options, the trading volume of call options was 28.72 million contracts, and that of put options was 28.34 million contracts, with a trading volume PCR of 0.89. The open interest of call options was 13.36 million contracts, and that of put options was 13.91 million contracts, with an open - interest PCR of 1.07 [3] Index Volatility Analysis Volatility Data - The report presents historical volatility cones and volatility smile curves for the Shanghai Composite 50, CSI 300, and CSI 1000 indexes, including historical volatility data for 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day periods, as well as the current values and percentile values of historical volatility [3][4]

Report Summary 1. Market Performance Overview - On October 29, A-shares performed strongly. The Shanghai Composite Index reached 4000 points, hitting a new rebound high. The ChiNext Index soared nearly 3%, and the Beixin 50 skyrocketed over 8%, achieving its largest single - day gain in 9 months. The Shanghai Composite Index closed up 0.7% at 4016.33 points, the Shenzhen Component Index rose 1.95%, the ChiNext Index climbed 2.93%, the Beixin 50 jumped 8.41%, the Kechuang 50 increased 1.18%, the Wind All - A rose 1.16%, the Wind A500 advanced 1.55%, and the CSI A500 went up 1.34%. A - shares had a full - day trading volume of 2.29 trillion yuan, compared with 2.17 trillion yuan the previous day [5] 2. Index Quotes | Index | Closing Price | Change (%) | Trading Volume (Billion Yuan) | Trading Volume (Billion) | | --- | --- | --- | --- | --- | | SSE 50 | 3063.021 | 0.41 | 60.14 | - | | CSI 300 | 4747.8378 | 1.20 | 246.21 | 1.19 | | CSI 1000 | - | - | 4391.62 | - | [3] 3. CFFEX Stock Index Options Trading | Index | Call Option Volume (Million Contracts) | Put Option Volume (Million Contracts) | Volume PCR | Option Open Interest (Million Contracts) | Call Option Open Interest (Million Contracts) | Put Option Open Interest (Million Contracts) | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.46 | 1.75 | 0.71 | 6.60 | 2.70 | 3.91 | 0.69 | | CSI 300 | 10.83 | 4.46 | 0.70 | 16.96 | 8.05 | 8.90 | 0.90 | | CSI 1000 | 11.10 | 0.81 | - | 28.17 | 13.54 | 14.63 | 1.08 | [3] 4. Volatility Analysis - **SSE 50**: Historical volatility data and volatility smile curve for the next - month at - the - money implied volatility are presented, including historical volatility cone with values such as 10% and 90% quantiles [3][4] - **CSI 300**: Similar to SSE 50, historical volatility and volatility smile curve for the next - month at - the - money implied volatility are shown, along with historical volatility cone [3][4] - **CSI 1000**: Historical volatility analysis and volatility smile curve for the next - month at - the - money implied volatility are provided, including historical volatility cone [3][4]

Report Information - Report Title: Stock Index Options Data Daily Report [2] - Date: October 29, 2025 [3] - Author: Li Zeju, Financial Derivatives Center, Guomao Futures Research Institute [3] - Data Sources: Wind and Guomao Futures Research Institute [3] Market Review Index Performance - Shanghai Composite Index declined 0.22% to 3988.22 points, Shenzhen Component Index dropped 0.44%, ChiNext Index fell 0.15%, Northbound 50 Index decreased 1.2%, STAR 50 Index declined 0.84%, Wind All A Index dropped 0.34%, Wind A500 Index decreased 0.6%, and CSI A500 Index declined 0.54% [5][6] - A-share trading volume was 2.17 trillion yuan, compared to 2.36 trillion yuan the previous day [6] Index Volume and Price | Index | Volume (billion) | Closing Price | Change (%) | Turnover (billion yuan) | | --- | --- | --- | --- | --- | | SSE 50 | 54.63 | 3050.4162 | -0.62 | 1487.20 | | CSI 300 | 220.91 | 4691.973 | -0.51 | 5715.63 | | CSI 1000 | 251.80 | 7479.221 | -0.22 | 4310.16 | [3] CFFEX Stock Index Options Trading Option Volume and Open Interest | Index | Call Option Volume (million contracts) | Put Option Volume (million contracts) | Volume PCR | Call Option Open Interest (million contracts) | Put Option Open Interest (million contracts) | Open Interest PCR | Total Open Interest (million contracts) | | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.26 | 3.34 | 0.69 | 3.80 | 2.61 | 0.48 | 6.41 | | CSI 300 | 11.39 | 6.51 | 0.75 | 8.60 | 7.43 | 0.86 | 16.02 | | CSI 1000 | 21.93 | 11.76 | 0.87 | 13.81 | 10.18 | 1.02 | 27.83 | [3] Volatility Analysis Historical Volatility and Volatility Smile Curve - The report presents historical volatility cones and volatility smile curves for SSE 50, CSI 300, and CSI 1000, including historical volatility at different time intervals (5-day, 20-day, 40-day, 60-day, 120-day) and implied volatility of at-the-money options for the next month [3][4]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core View of the Report - The report presents a daily data analysis of stock index options, including market trends, trading volume, open interest, and volatility of major indices such as SSE 50, CSI 300, and CSI 1000 [3][4] 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Performance**: SSE 50 rose 0.78% to close at 1,852.95, with a trading volume of 70.41 billion and a turnover of 306.95293 billion yuan; CSI 300 rose 1.03%, with relevant trading volume and turnover data; CSI 1000 also had corresponding performance data [3] - **Overall Market**: The Shanghai Composite Index rose 1.18% to 3,996.94 points, the Shenzhen Component Index rose 1.51%, the ChiNext Index rose 1.98%, the North Star 50 fell 0.2%, the STAR 50 rose 1.5%, the Wind All A rose 1.19%, the Wind A500 rose 1.32%, and the CSI A500 rose 1.3%. A-share trading volume reached 2.36 trillion yuan, up from 1.99 trillion yuan the previous day [5] 3.2 CFFEX Stock Index Options Trading Situation - **Trading Volume and Open Interest**: For SSE 50 options, call option trading volume was 3.70 million contracts, put option trading volume was 3.97 million contracts, call option open interest was 2.61 million contracts, put option open interest was 2.57 million contracts, etc. Similar data were provided for CSI 300 and CSI 1000 options [3] - **PCR (Put - Call Ratio)**: PCR data for trading volume and open interest were presented for SSE 50, CSI 300, and CSI 1000 options [3] 3.3 Volatility Analysis - **Historical Volatility and Volatility Cone**: Historical volatility and volatility cone data were analyzed for SSE 50, CSI 300, and CSI 1000, including different percentile values and the current value [3][4] - **Volatility Smile Curve**: Volatility smile curves for the next - month at - the - money implied volatility were shown for SSE 50, CSI 300, and CSI 1000 [3][4]