Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - The report presents the daily data of stock index options, including the market performance of major stock indices, the trading volume and open interest of stock index options, and the volatility analysis of relevant indices [3][4][5] 3. Summary by Related Catalogs Market Review - **Index Performance**: The Shanghai Composite Index fell 1.97% to 3738.32 points, the Shenzhen Component Index fell 2.37%, the ChiNext Index fell 3.2%, the Northbound 50 Index rose 0.58%, the Science and Technology Innovation 50 Index fell 5.38%, the Wind All - A Index fell 1.88%, the Wind A500 Index fell 2.39%, and the CSI A500 Index fell 2.58%. A - share half - day trading volume was 1.62 trillion yuan [5] - **Specific Index Data**: The Shanghai Stock Exchange 50 Index closed at 2910.47, with a trading volume of 91.92 billion, a decline of 1.71%, and a turnover of 2080.35 billion yuan; the CSI 300 Index closed at 4365.2085, with a trading volume of 307.93 billion, a decline of 2.12%, and a turnover of 7731.25 billion yuan; the CSI 1000 Index closed at 7041.1544, with a trading volume of 297.62 billion, a decline of 2.30%, and a turnover of 4885.95 billion yuan [3] CFFEX Stock Index Options Trading Situation - **Option Volume and Open Interest**: For the Shanghai Stock Exchange 50 Index, the call option trading volume was 5.85 million, the put option trading volume was 3.57 million, the trading volume PCR was 0.61, the call option open interest was 6.39 million, the put option open interest was 3.63 million, and the open interest PCR was 0.57; for the CSI 300 Index, the call option trading volume was 22.82 million, the put option trading volume was 9.24 million, the trading volume PCR was 0.68, the call option open interest was 13.19 million, the put option open interest was 9.75 million, and the open interest PCR was 0.74; for the CSI 1000 Index, the call option trading volume was 22.66 million, the put option trading volume was 21.77 million, the trading volume PCR was 0.96, the call option open interest was 16.22 million, the put option open interest was 18.90 million, and the open interest PCR was 0.86 [3] Volatility Analysis - **Historical Volatility and Volatility Cone**: The report provides historical volatility and volatility cone data for the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index, including minimum, maximum, 10% quantile, 30% quantile, 60% quantile, 90% quantile, and current values [3][4] - **Volatility Smile Curve**: The report also shows the next - month at - the - money implied volatility and volatility smile curves for the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index [3][4]

Report Information - Report Title: Index Option Data Daily Report [4] - Date: June 23, 2025 [4] - Author: Li Zebao from the Financial Derivatives Center of Guomao Futures Research Institute [4] - Data Sources: Wind, Guomao Futures Research Institute [4] Market Review Index Performance - The Shanghai Composite Index fell 0.07% to 3359.9 points; the Shenzhen Component Index dropped 0.47% to 10005.03 points; the ChiNext Index declined 0.84% to 2009.89 points; the CSI 300 rose 0.09% to 3846.64 points; the STAR 50 decreased 0.53% to 957.87 points; the Beijing Stock Exchange 50 tumbled 1.34% to 1347.46 points [12] - The total turnover of the Shanghai and Shenzhen stock markets was 1.07 trillion yuan, with more falling stocks than rising ones and over 3600 stocks declining across the market [12] Index Option Trading | Index | Closing Price | Change (%) | Turnover (Billion Yuan) | Volume (Billion) | Option Volume (Million Contracts) | Call Option Volume (Million Contracts) | Put Option Volume (Million Contracts) | PCR (Volume) | Option Open Interest (Million Contracts) | Call Option Open Interest (Million Contracts) | Put Option Open Interest (Million Contracts) | PCR (Open Interest) | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2673.7191 | 0.31 | 631.62 | 36.32 | 2.85 | 1.58 | 1.27 | 0.80 | 3.97 | 2.34 | 1.64 | 0.70 | | CSI 300 | 3846.6443 | 0.09 | 2135.23 | 118.15 | 7.71 | 4.12 | 3.59 | 0.87 | 11.86 | 7.24 | 4.62 | 0.64 | | CSI 1000 | 5999.5914 | -0.80 | 2265.32 | 180.86 | 22.12 | 11.11 | 11.01 | 0.99 | 17.95 | 9.84 | 8.11 | 0.82 | [5] Volatility Analysis - The report provides historical volatility cones, current volatility values, and volatility smile curves for SSE 50, CSI 300, and CSI 1000, as well as next - month at - the - money implied volatility [9][10]

Group 1: Market Performance - The closing prices of the Shanghai 50, CSI 300, and CSI 1000 were 2679.9218, 3874.9708, and 6135.3858 respectively, with changes of -0.15%, 0.12%, and -0.10% [4]. - The trading volumes of the Shanghai 50, CSI 300, and CSI 1000 were 36.67 billion, 127.53 billion, and 204.11 billion respectively, and the trading turnovers were 621.34 billion yuan, 2305.54 billion yuan, and 2564.64 billion yuan respectively [4]. - The previous trading day, the Shanghai Composite Index rose 0.04% to 3388.81 points, the Shenzhen Component Index rose 0.24%, the ChiNext Index rose 0.23%, the Beijing Stock Exchange 50 fell 0.65%, the STAR 50 rose 0.53%, and the CSI A500 rose 0.07%. A - share trading volume was 1.22 trillion yuan, compared with 1.24 trillion yuan the previous day [8]. Group 2: CFFEX Stock Index Option Trading - For the Shanghai 50 index options, the trading volume was 3.02 million contracts, with 1.98 million call options and 1.05 million put options, and the PCR was 0.53. The open - interest was 7.45 million contracts, with 4.67 million call options and 2.78 million put options, and the PCR was 0.60 [4]. - For the CSI 300 index options, the trading volume was 7.68 million contracts, with 4.65 million call options and 3.03 million put options, and the PCR was 0.65. The open - interest was 19.68 million contracts, with 11.64 million call options and 8.04 million put options, and the PCR was 0.69 [4]. - For the CSI 1000 index options, the trading volume was 21.27 million contracts, with 10.62 million call options and 10.65 million put options, and the PCR was 1.00. The open - interest was 28.97 million contracts, with 14.86 million call options and 14.11 million put options, and the PCR was 0.95 [4]. Group 3: Volatility Analysis - The report includes historical volatility analysis and next - month at - the - money implied volatility smile curves for the Shanghai 50, CSI 300, and CSI 1000 [12].