Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - All stock indices fluctuated upwards today. The half - day trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1.8499 trillion yuan, an increase of 113.6 billion yuan compared to the previous day [3]. - In July, the month - on - month decline of PPI narrowed, and the supply - demand relationship in some industries improved, with prices showing positive changes. Policy support and positive expectations from anti - involution policies, along with the suspension of overseas uncertainty risks, jointly promoted the recovery of the stock market's risk appetite [3]. - Considering that some stocks have already achieved significant gains, there is a need for technical consolidation in the later market. In the short term, there is a possibility of consolidation and accumulation for stock indices, but in the long - term, the upward trend of stock indices remains unchanged. Currently, the stock market's risk appetite is rising, and it is expected that stock indices will fluctuate strongly in the short term [3]. - The current implied volatility of options is within the normal range. Considering the long - term upward trend of stock indices, investors can continue to hold bull spreads or ratio spreads for a mild bullish view [3]. 3. Summary by Related Catalogs 3.1 Option Indicators - On August 11, 2025, 50ETF rose 0.07% to close at 2.912; 300ETF (Shanghai Stock Exchange) rose 0.45% to close at 4.202; 300ETF (Shenzhen Stock Exchange) rose 0.56% to close at 4.339; the CSI 300 Index rose 0.43% to close at 4122.51; the CSI 1000 Index rose 1.55% to close at 6943.94; 500ETF (Shanghai Stock Exchange) rose 1.05% to close at 6.464; 500ETF (Shenzhen Stock Exchange) rose 1.06% to close at 2.583; the GEM ETF rose 1.95% to close at 2.357; the Shenzhen 100ETF rose 1.42% to close at 2.934; the SSE 50 Index rose 0.03% to close at 2789.90; the STAR 50ETF rose 0.64% to close at 1.10; and the E Fund STAR 50ETF rose 0.65% to close at 1.08 [5]. - The trading volume PCR and position PCR of various options changed compared to the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 88.43 (previous day: 92.32), and the position PCR was 94.14 (previous day: 95.22) [6]. - The implied volatility of at - the - money options and the 30 - day historical volatility of the underlying assets of various options are provided. For example, the implied volatility of at - the - money options of SSE 50ETF options in August 2025 was 11.66%, and the 30 - day historical volatility of the underlying asset was 8.08% [7]. 3.2 Related Charts - The report includes multiple charts related to different types of options, such as the trend, volatility, trading volume PCR, position PCR, implied volatility curve, and term - structure of at - the - money implied volatility of SSE 50ETF options, SSE 300ETF options, etc. For example, there are charts showing the trend of SSE 50ETF and the volatility of SSE 50ETF options [9][10].

1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - Today, all stock indices fluctuated and consolidated. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1619.9 billion yuan, a decrease of 342 billion yuan from the previous day. Due to the significant gains of some stocks since late June, some profit - taking funds have a need to lock in profits, so the stock indices have a short - term need for technical consolidation. The recent decline in the trading volume of the stock market indicates a decline in investors' risk appetite. Since incremental policy benefits may need to wait until the Fourth Plenary Session of the 20th CPC Central Committee in October, the driving force of policy benefits has weakened marginally in the short term. In general, the stock indices are expected to fluctuate within a range in the short term. Currently, the implied volatility of options has rebounded. Considering the long - term upward trend of the stock indices, investors can continue to hold bull spreads or ratio spreads for a mild bullish view [3] 3. Summary by Relevant Catalogs 3.1 Option Indicators - On August 1, 2025, the 50ETF fell 0.79% to 2.876; the 300ETF (Shanghai Stock Exchange) fell 0.53% to 4.133; the 300ETF (Shenzhen Stock Exchange) fell 0.49% to 4.263; the CSI 300 Index fell 0.51% to 4054.93; the CSI 1000 Index rose 0.14% to 6670.47; the 500ETF (Shanghai Stock Exchange) fell 0.16% to 6.287; the 500ETF (Shenzhen Stock Exchange) fell 0.28% to 2.510; the GEM ETF rose 0.09% to 2.303; the Shenzhen 100ETF fell 0.24% to 2.877; the SSE 50 Index fell 0.79% to 2754.13; the STAR 50ETF fell 0.91% to 1.09; the E Fund STAR 50ETF fell 0.93% to 1.06 [5] - The trading volume PCR and position PCR of various options changed compared with the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 109.66 (previous day: 92.57), and the position PCR was 86.82 (previous day: 87.58) [6] - The implied volatility of at - the - money options in August 2025 and the 30 - trading - day historical volatility of the underlying assets of various options are provided. For instance, the implied volatility of at - the - money SSE 50ETF options in August 2025 was 14.49%, and the 30 - trading - day historical volatility of the underlying asset was 9.33% [7] 3.2 Relevant Charts - **SSE 50ETF Options**: Include charts of the SSE 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [9][11][13] - **SSE 300ETF Options**: Include charts of the SSE 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [19][21] - **SZSE 300ETF Options**: Include charts of the SZSE 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [22][24] - **CSI 300 Index Options**: Include charts of the CSI 300 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [35][37] - **CSI 1000 Index Options**: Include charts of the CSI 1000 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [48][51] - **SSE 500ETF Options**: Include charts of the SSE 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [62][64] - **SZSE 500ETF Options**: Include charts of the SZSE 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [75][78] - **GEM ETF Options**: Include charts of the GEM ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [89][91] - **Shenzhen 100ETF Options**: Include charts of the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [102][104] - **SSE 50 Index Options**: Include charts of the SSE 50 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [115][118] - **STAR 50ETF Options**: Include charts of the STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [129][131] - **E Fund STAR 50ETF Options**: Include charts of the E Fund STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of each term [133][136]

1. Report Industry Investment Rating - Not provided in the content 2. Core Views of the Report - On July 31, 2025, all stock indices fluctuated and declined. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 196.18 billion yuan, an increase of 9.09 billion yuan from the previous day [3]. - The manufacturing PMI in July was 49.3, a decrease of 0.4 percentage points from the previous month, indicating a decline in manufacturing prosperity and the continued existence of insufficient effective domestic demand [3]. - Considering that the Politburo meeting in July mainly emphasized the implementation of existing policies, incremental policies may need to wait for the Fourth Plenary Session of the 20th CPC Central Committee in October. In the short term, the driving force of policy -利好 expectations will gradually weaken [3]. - Since late June, some stocks have achieved significant gains, and some profit - taking funds have a need to take profits. Therefore, the stock indices have a short - term need for technical consolidation [3]. - Given that the trading volume of the stock market is still at a high level, the downward space of the stock indices is expected to be limited. It is expected that the stock indices will mainly fluctuate within a range in the short term [3]. - Currently, the implied volatility of options has rebounded. Considering that the stock indices are upward in the medium and long term, investors can continue to hold bull spreads or ratio spreads for a mild long - position view [3]. 3. Summaries According to Relevant Catalogs 3.1 Option Indicators - On July 31, 2025, 50ETF fell 1.50% to 2.899; 300ETF (Shanghai Stock Exchange) fell 1.82% to 4.155; 300ETF (Shenzhen Stock Exchange) fell 1.88% to 4.284; the CSI 300 Index fell 1.82% to 4075.59; the CSI 1000 Index fell 0.85% to 6661.19; 500ETF (Shanghai Stock Exchange) fell 1.44% to 6.297; 500ETF (Shenzhen Stock Exchange) fell 1.41% to 2.517; the ChiNext ETF fell 1.88% to 2.301; the Shenzhen 100ETF fell 2.00% to 2.884; the SSE 50 Index fell 1.54% to 2775.99; the STAR 50ETF fell 0.99% to 1.10; and E Fund STAR 50ETF fell 1.01% to 1.07 [5]. - The trading volume PCR and position PCR of various options changed compared with the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 92.57 (the previous trading day was 85.10), and the position PCR was 89.67 (the previous trading day was 100.85) [6]. - The implied volatility of the at - the - money options in August 2025 and the 30 - trading - day historical volatility of the underlying assets of various options are provided. For example, the implied volatility of the at - the - money options of SSE 50ETF options in August 2025 was 14.87%, and the 30 - trading - day historical volatility of the underlying asset was 8.07% [7]. 3.2 Relevant Charts - **SSE 50ETF Options**: Include charts of SSE 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [9][11][13]. - **SSE 300ETF Options**: Include charts of SSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [18][19]. - **SZSE 300ETF Options**: Include charts of SZSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [21][22]. - **CSI 300 Index Options**: Include charts of CSI 300 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [33][34]. - **CSI 1000 Index Options**: Include charts of CSI 1000 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [46][47]. - **SSE 500ETF Options**: Include charts of SSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [57][58]. - **SZSE 500ETF Options**: Include charts of SZSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [70][71]. - **ChiNext ETF Options**: Include charts of ChiNext ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [82][83]. - **Shenzhen 100ETF Options**: Include charts of Shenzhen 100ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [95][96]. - **SSE 50 Index Options**: Include charts of SSE 50 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [108][109]. - **STAR 50ETF Options**: Include charts of STAR 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [122][123]. - **E Fund STAR 50ETF Options**: Include charts of E Fund STAR 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [125][126].

Report Summary 1. Investment Rating There is no information about the industry investment rating in the report. 2. Core Viewpoints - On July 30, 2025, the stock indexes fluctuated narrowly. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 187.1 billion yuan, an increase of 4.17 billion yuan from the previous day [3]. - A Politburo meeting was held today, emphasizing the implementation of existing policies, including a more proactive fiscal policy and a moderately loose monetary policy, with a focus on boosting consumption and supporting technological innovation. The meeting also pointed out the need to enhance the attractiveness and inclusiveness of the domestic capital market and consolidate the stable and positive momentum of the capital market, indicating that policies to stabilize stock market expectations will continue [3]. - The incremental positive effects of the Politburo meeting are limited. Since late June, some stocks have achieved significant gains, and some profit - taking funds have a need to take profits. Therefore, the driving force for the short - term upward movement of the stock index will weaken. New incremental positive policy effects are expected to await the policy guidance of the Fourth Plenary Session of the 20th CPC Central Committee in October [3]. - Currently, the trading volume of the stock market is at a relatively high percentile level, and market risk appetite has recovered. It is expected that the stock index will mainly fluctuate strongly in the short term [3]. - The implied volatility of options has rebounded. Considering that the stock index continues its upward trend, investors can continue to hold bull spreads or ratio spreads to take a mild long - position [3]. 3. Summary by Sections 3.1 Option Indicators - **ETF and Index Performance**: On July 30, 2025, the 50ETF rose 0.31% to 2.943; the 300ETF (SSE) fell 0.07% to 4.232; the 300ETF (SZSE) fell 0.02% to 4.366; the CSI 300 Index fell 0.02% to 4151.24; the CSI 1000 Index fell 0.82% to 6718.48; the 500ETF (SSE) fell 0.65% to 6.389; the 500ETF (SZSE) fell 0.62% to 2.553; the ChiNext ETF fell 1.59% to 2.345; the Shenzhen 100ETF fell 0.84% to 2.943; the SSE 50 Index rose 0.38% to 2819.35; the STAR 50ETF fell 1.16% to 1.11; the E Fund STAR 50ETF fell 1.09% to 1.09 [5]. - **Volume and Position PCR**: The volume PCR and position PCR of various options changed compared to the previous trading day. For example, the volume PCR of SSE 50ETF options was 85.10 (previous day: 92.74), and the position PCR was 104.29 (previous day: 100.17) [6]. - **Implied Volatility and Historical Volatility**: The implied volatility and 30 - trading - day historical volatility of various options in August 2025 are provided. For instance, the implied volatility of SSE 50ETF options' at - the - money options in August 2025 was 15.75%, and the 30 - trading - day historical volatility of the underlying was 8.12% [7]. 3.2 Related Charts The report provides a series of charts for different types of options, including the trend of the underlying, volatility, volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility of options such as SSE 50ETF options, SSE 300ETF options, SZSE 300ETF options, etc. These charts show the historical data from 2023 to 2025, helping investors analyze the performance and trends of different options [9][20][23].

1. Report Industry Investment Rating - No information provided in the content 2. Core Viewpoints of the Report - Today, all stock indices fluctuated and rose. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1829.3 billion yuan, an increase of 63.2 billion yuan from the previous day. The current market sentiment remains positive and optimistic, with the stock market trading volume at a relatively high percentile level, and investors' risk appetite continues to recover. However, from a technical perspective, since late June, some stocks have achieved significant gains, and some profit - taking funds may need to take profits, so the stock indices may need a period of consolidation. In general, the stock indices will fluctuate with a slight upward trend in the short term, and attention should be paid to the policy guidance of the Political Bureau meeting. Currently, the implied volatility of options has rebounded. Considering that the stock indices continue to trend upward, investors can continue to hold bull spreads or ratio spreads for a moderate bullish view [4] 3. Summary According to Related Catalogs 3.1 Option Indicators - On July 29, 2025, the 50ETF rose 0.17% to close at 2.934; the 300ETF (Shanghai Stock Exchange) rose 0.50% to close at 4.235; the 300ETF (Shenzhen Stock Exchange) rose 0.39% to close at 4.367; the CSI 300 Index rose 0.39% to close at 4152.02; the CSI 1000 Index rose 0.65% to close at 6773.88; the 500ETF (Shanghai Stock Exchange) rose 0.63% to close at 6.431; the 500ETF (Shenzhen Stock Exchange) rose 0.63% to close at 2.569; the ChiNext ETF rose 1.75% to close at 2.383; the Shenzhen 100ETF rose 0.78% to close at 2.968; the SSE 50 Index rose 0.21% to close at 2808.59; the STAR 50ETF rose 1.35% to close at 1.13; the E Fund STAR 50ETF rose 1.29% to close at 1.10 [6] - The trading volume PCR and position PCR of various options changed compared to the previous trading day. For example, the trading volume PCR of the 50ETF option was 92.74 (previous day: 97.75), and the position PCR was 103.12 (previous day: 97.48) [7] - The implied volatility of the at - the - money options in August 2025 and the 30 - trading - day historical volatility of the underlying assets were reported. For instance, the implied volatility of the at - the - money options of the 50ETF option in August 2025 was 15.93%, and the 30 - trading - day historical volatility of the underlying asset was 8.15% [8] 3.2 Related Charts - Multiple charts were presented, including the trends, volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different terms of various options such as the 50ETF option, 300ETF option (Shanghai and Shenzhen Stock Exchanges), CSI 300 Index option, CSI 1000 Index option, 500ETF option (Shanghai and Shenzhen Stock Exchanges), ChiNext ETF option, Shenzhen 100ETF option, SSE 50 Index option, STAR 50ETF option, and E Fund STAR 50ETF option [10][20][23]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - All stock indices rose slightly throughout the day. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1.8984 trillion yuan, a decrease of 30.3 billion yuan from the previous day. The recent rebound of stock indices is mainly driven by policy利好 expectations. If the policy support decreases, the upward momentum of stock indices may slow down. Currently, the trading volume is at a relatively high level, indicating that investors have a positive and optimistic risk preference. The anti - involution policy expectations and the super hydropower project have driven up the valuations of related industries, and the overall market sentiment is optimistic, with an upward trend in stock indices. In the short term, stock indices will fluctuate strongly. - The implied volatility of options has rebounded. Considering the upward trend of stock indices, investors can continue to hold bull spreads or ratio spreads for a mild long - term view [3]. 3. Summary by Related Catalogs 3.1 Option Indicators - **ETF and Index Performance**: On July 23, 2025, the 50ETF rose 0.24% to 2.921; the 300ETF (Shanghai Stock Exchange) fell 0.05% to 4.199; the 300ETF (Shenzhen Stock Exchange) rose 0.12% to 4.331; the CSI 300 Index rose 0.02% to 4119.77; the CSI 1000 Index fell 0.45% to 6607.22; the 500ETF (Shanghai Stock Exchange) fell 0.35% to 6.270; the 500ETF (Shenzhen Stock Exchange) fell 0.32% to 2.507; the GEM ETF fell 0.09% to 2.287; the Shenzhen 100ETF fell 0.17% to 2.921; the SSE 50 Index rose 0.32% to 2801.20; the Science and Technology Innovation 50ETF rose 0.47% to 1.07; the E Fund Science and Technology Innovation 50ETF rose 0.38% to 1.05 [5]. - **Volume PCR and Open Interest PCR**: The volume PCR and open interest PCR of various options showed different changes compared with the previous trading day. For example, the volume PCR of the 50ETF option was 58.98 (previous day: 67.28), and the open interest PCR was 131.48 (previous day: 120.32) [6]. - **Implied Volatility and Historical Volatility**: The implied volatility and 30 - day historical volatility of 2025 August at - the - money options of various options were provided. For instance, the implied volatility of the 50ETF option was 13.82%, and the 30 - day historical volatility was 8.22% [7]. 3.2 Related Charts - **SSE 50ETF Option**: Included charts such as the SSE 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and various - term at - the - money implied volatility [9]. - **SSE 300ETF Option**: Included charts of the SSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and various - term at - the - money implied volatility [20]. - **SZSE 300ETF Option**: Included charts of the SZSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and various - term at - the - money implied volatility [23]. - **CSI 300 Index Option**: Included charts of the CSI 300 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and various - term at - the - money implied volatility [37]. - **CSI 1000 Index Option**: Included charts of the CSI 1000 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and various - term at - the - money implied volatility [50]. - **SSE 500ETF Option**: Included charts of the SSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and various - term at - the - money implied volatility [63]. - **SZSE 500ETF Option**: Included charts of the SZSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and various - term at - the - money implied volatility [75]. - **GEM ETF Option**: Included charts of the GEM ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and various - term at - the - money implied volatility [87]. - **Shenzhen 100ETF Option**: Included charts of the Shenzhen 100ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and various - term at - the - money implied volatility [100]. - **SSE 50 Index Option**: Included charts of the SSE 50 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and various - term at - the - money implied volatility [113]. - **Science and Technology Innovation 50ETF Option**: Included charts of the Science and Technology Innovation 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and various - term at - the - money implied volatility [127]. - **E Fund Science and Technology Innovation 50ETF Option**: Included charts of the E Fund Science and Technology Innovation 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and various - term at - the - money implied volatility [130].

1. Report Industry Investment Rating - No relevant content found 2. Core Viewpoints of the Report - On July 22, 2025, all stock indices fluctuated slightly upward. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets reached 1928.6 billion yuan, an increase of 201.5 billion yuan from the previous day. The current trading volume in the stock market is at a relatively high level, indicating that investors' risk appetite is relatively positive. The recent rebound of the stock indices is mainly driven by policy - positive expectations. Anti - involution policies are helpful to boost the profit margins of related industries such as photovoltaic, new energy vehicles, and resource - based cyclical stocks. The official start of the Yaxia Super Hydropower Project has boosted the risk appetite of investors in infrastructure stocks. However, since late June, some stocks have achieved significant increases, and there may be a rotation in the capital market in the future, which may slow down the upward momentum of the stock indices. It is necessary to pay attention to the policy statements of the Politburo meeting. In general, the stock indices will fluctuate strongly in the short term. Currently, the implied volatility of options has rebounded. Considering that the stock indices are more likely to rise in the medium and long term, investors can continue to hold bull spreads or ratio spreads for a mild bullish view [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On July 22, 2025, 50ETF rose 0.83% to close at 2.914; 300ETF (Shanghai Stock Exchange) rose 1.06% to close at 4.201; 300ETF (Shenzhen Stock Exchange) rose 0.84% to close at 4.326; the CSI 300 Index rose 0.82% to close at 4118.96; the CSI 1000 Index rose 0.38% to close at 6637.10; 500ETF (Shanghai Stock Exchange) rose 1.06% to close at 6.292; 500ETF (Shenzhen Stock Exchange) rose 1.13% to close at 2.515; the GEM ETF rose 0.62% to close at 2.289; the Shenzhen 100ETF rose 0.97% to close at 2.926; the SSE 50 Index rose 0.72% to close at 2792.18; the STAR 50ETF rose 0.75% to close at 1.07; and the E Fund STAR 50ETF rose 0.87% to close at 1.04 [5]. - The PCR values of trading volume and open interest of various options changed compared with the previous trading day. For example, the trading volume PCR of 50ETF options was 67.28 (61.48 the previous day), and the open - interest PCR was 120.32 (111.70 the previous day) [6]. - The implied volatility of at - the - money options in August 2025 and the 30 - trading - day historical volatility of the underlying assets of various options are provided. For example, the implied volatility of at - the - money 50ETF options in August 2025 was 13.86%, and the 30 - trading - day historical volatility of the underlying asset was 8.25% [7]. 3.2 Relevant Charts - **50ETF Options**: Include charts of 50ETF trends, option volatility, trading volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatility of various tenors [9][11][13][17]. - **Shanghai Stock Exchange 300ETF Options**: Include charts of 300ETF trends, option volatility, trading volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatility of various tenors [20]. - **Shenzhen Stock Exchange 300ETF Options**: Include charts of 300ETF trends, option volatility, trading volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatility of various tenors [23]. - **CSI 300 Index Options**: Include charts of CSI 300 index trends, option volatility, trading volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatility of various tenors [37]. - **CSI 1000 Index Options**: Include charts of CSI 1000 index trends, option volatility, trading volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatility of various tenors [49]. - **Shanghai Stock Exchange 500ETF Options**: Include charts of 500ETF trends, option volatility, trading volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatility of various tenors [64]. - **Shenzhen Stock Exchange 500ETF Options**: Include charts of 500ETF trends, option volatility, trading volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatility of various tenors [77]. - **GEM ETF Options**: Include charts of GEM ETF trends, option volatility, trading volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatility of various tenors [92]. - **Shenzhen 100ETF Options**: Include charts of Shenzhen 100ETF trends, option volatility, trading volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatility of various tenors [101]. - **SSE 50 Index Options**: Include charts of SSE 50 index trends, option volatility, trading volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatility of various tenors [114]. - **STAR 50ETF Options**: Include charts of STAR 50ETF trends, option volatility, trading volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatility of various tenors [129]. - **E Fund STAR 50ETF Options**: Include charts of E Fund STAR 50ETF trends, option volatility, trading volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatility of various tenors [132].

Core Insights - The article discusses the strategy of buying in-the-money call options to capitalize on market mispricing in a deeply discounted futures market [1][5] - It highlights the characteristics of in-the-money options and their pricing dynamics, particularly in a market where option prices are below their intrinsic values [1][5] Pricing Characteristics - Discount refers to the state where futures prices are lower than spot prices, specifically in options, it indicates that option prices are below their intrinsic values [1] - For example, if the current index level is 6000 and the strike price of an in-the-money call option is 5500, the intrinsic value is 500 points, while the market price is only 484.8 points, indicating a pricing discrepancy of 15.2 points [1] Profit Pathway - As the option's expiration date approaches, the option price converges towards its intrinsic value, allowing investors to gain from the difference between intrinsic value and purchase cost if the discount is not fully corrected [2] - In-the-money call options have limited loss characteristics, where investors only lose the premium paid if the underlying asset declines significantly, unlike futures which can incur unlimited losses [2] - The Delta of deeply in-the-money call options is close to 1, meaning their price movements closely follow the underlying asset, providing dual profit opportunities from both price appreciation and discount correction [2] Risk and Trading Considerations - Time decay (Theta risk) can still affect in-the-money options, necessitating strict control over holding periods [3] - Liquidity risk may arise with certain deep in-the-money options due to low trading volumes, leading to wider bid-ask spreads or difficulties in closing positions [3] - Market sentiment can quickly shift, requiring timely profit-taking or adjustments in holding strategies based on market conditions [3] Case Study Analysis - A specific example involves buying a 5500 strike in-the-money call option with a market price of 484.8 points, where the intrinsic value is 544.2 points, indicating a discount of 59.4 points [4] - If the index remains at 6000 at expiration, the option value converges to 500 points, yielding a profit of 15.2 points; if the index rises to 6200, the profit increases to 200 points [4] - A hedging strategy can involve selling higher strike call options to reduce premium costs and lock in some profits [4] Conclusion - The strategy of buying in-the-money call options to "eat the discount" leverages market pricing discrepancies and convergence characteristics, offering controlled risk and significant leverage [5]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - Today, all stock indices fluctuated within a narrow range. Although the uncertainty of overseas tariffs has increased, its marginal impact is gradually weakening. Domestic macro - economic indicators have weakened marginally, leading to an increased expectation of policy - side benefits in the market. With the rising expectation of policy benefits, the market sentiment is positive and optimistic, and the short - term downside risk of stock indices is small. However, overseas uncertainties and weak domestic demand suppress the upward momentum of stock indices from the aspects of risk preference and profit expectation respectively, making it easy for the upward movement of stock indices to encounter resistance. The policy guidance of the Lujiazui Forum on June 18 and its game with market expectations can be regarded as a turning point in the market. In general, the upward and downward spaces of current stock indices are both limited, and it is expected that stock indices will maintain a range - bound oscillation in the short term. [4] - Currently, the implied volatility of options is at a relatively low historical quantile level. Considering the strong support of stock indices, bull spread or ratio spread long positions can be arranged. [4] 3. Summary by Related Catalogs 3.1 Option Indicators - On June 6, 2025, 50ETF rose 0.07% to close at 2.756; 300ETF (SSE) rose 0.05% to close at 3.986; 300ETF (SZSE) rose 0.07% to close at 4.021; the CSI 300 Index fell 0.09% to close at 3873.98; the CSI 1000 Index fell 0.23% to close at 6152.84; 500ETF (SSE) rose 0.02% to close at 5.785; 500ETF (SZSE) fell 0.04% to close at 2.309; the ChiNext ETF fell 0.30% to close at 2.017; the Shenzhen 100ETF fell 0.11% to close at 2.673; the SSE 50 Index fell 0.12% to close at 2688.85; the STAR 50ETF fell 0.38% to close at 1.05; the E Fund STAR 50ETF fell 0.39% to close at 1.02. [6] - The trading volume PCR and position PCR of various options on June 6, 2025, and their comparison with the previous trading day are provided in detail, such as the trading volume PCR of SSE 50ETF options being 84.80 (previous trading day: 83.04), and the position PCR being 94.15 (previous trading day: 94.86). [7] - The implied volatility of at - the - money options in June 2025 and the 30 - trading - day historical volatility of the underlying assets for various options are presented, for example, the implied volatility of at - the - money SSE 50ETF options in June 2025 is 12.32%, and the 30 - trading - day historical volatility of the underlying asset is 8.37%. [8] 3.2 Related Charts - **SSE 50ETF Options**: Include charts of SSE 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [10][11][12] - **SSE 300ETF Options**: Comprise charts of SSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [20][21] - **SZSE 300ETF Options**: Contain charts of SZSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [23][24] - **CSI 300 Index Options**: Include charts of CSI 300 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [36][37] - **CSI 1000 Index Options**: Comprise charts of CSI 1000 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [49][50] - **SSE 500ETF Options**: Contain charts of SSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [62][63] - **SZSE 500ETF Options**: Include charts of SZSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [74][75] - **ChiNext ETF Options**: Comprise charts of ChiNext ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [86][87] - **Shenzhen 100ETF Options**: Contain charts of Shenzhen 100ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [99][100] - **SSE 50 Index Options**: Include charts of SSE 50 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [112][113] - **STAR 50ETF Options**: Comprise charts of STAR 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [124][125] - **E Fund STAR 50ETF Options**: Contain charts of E Fund STAR 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of various tenors. [129][130]

Group 1: Report Industry Investment Rating - None provided in the content Group 2: Core Viewpoints of the Report - Today, all stock indexes rose rapidly in the early morning, but their subsequent trends diverged. CSI 1000 and CSI 500 remained stable at high levels, while SSE 50 and SSE 300 fell from their highs and gave back some gains. The total turnover of the stock market was 121.34 billion yuan, an increase of 17.95 billion yuan from the previous day, indicating a recovery in market sentiment [3]. - The US International Trade Court blocked the tariff policy announced by US President Trump on April 2, and ruled that Trump overstepped his authority. The legal challenges faced by the US government's tariff policy eased tariff concerns and boosted the risk appetite of the stock market. However, the tariff issue still faces significant uncertainties in the later stage, and the final ruling may require the intervention of the US Supreme Court. Therefore, the impact of this news on market sentiment is short - term [3]. - Currently, the upside and downside spaces of stock indexes are relatively limited. The policy support and the need to stabilize stock market expectations have a strong supporting effect, while external uncertainties and weak domestic demand suppress the upward momentum of stock indexes from the aspects of risk appetite and profit expectations respectively. It is expected that stock indexes will maintain a range - bound oscillation in the short term [3]. - The implied volatility of options is currently within the normal range, and the implied volatility of options has rebounded recently. Considering the long - term upward trend of stock indexes, bull spreads or ratio spreads long portfolios can be arranged [3]. Group 3: Summary by Related Catalogs 1. Option Indicators - On May 29, 2025, 50ETF rose 0.25% to close at 2.754; 300ETF (SSE) rose 0.61% to close at 3.966; 300ETF (SZSE) rose 0.58% to close at 3.999; SSE 300 Index rose 0.59% to close at 3858.70; CSI 1000 Index rose 1.76% to close at 6089.58; 500ETF (SSE) rose 1.42% to close at 5.727; 500ETF (SZSE) rose 1.46% to close at 2.289; ChiNext ETF rose 1.53% to close at 1.989; Shenzhen 100ETF rose 0.95% to close at 2.667; SSE 50 Index rose 0.29% to close at 2690.89; STAR 50ETF rose 1.66% to close at 1.04; E Fund STAR 50ETF rose 1.60% to close at 1.01 [5]. - The trading volume PCR and position PCR of various options on May 29, 2025 and the previous trading day are provided, showing the changes in trading volume and position ratios of different options [6]. - The implied volatility of at - the - money options in June 2025 and the 30 - day historical volatility of the underlying assets for various options are presented, reflecting the volatility characteristics of different options [7][8] 2. Related Charts - Multiple charts are provided for different types of options, including the trends, volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different terms of SSE 50ETF options, SSE 300ETF options, SZSE 300ETF options, SSE 300 Index options, CSI 1000 Index options, SSE 500ETF options, SZSE 500ETF options, ChiNext ETF options, Shenzhen 100ETF options, SSE 50 Index options, STAR 50ETF options, and E Fund STAR 50ETF options [9][20][23]