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 1. Report Industry Investment Rating No information provided on the report industry investment rating. 2. Report's Core View The report provides a daily data analysis of stock index options, including the performance of major stock indices, trading volume and open interest of index options, and volatility analysis of different indices [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - **Stock Index Performance**: On November 12, the A - share market fluctuated throughout the day. The Shanghai Composite Index fell 0.07% to 4000.14 points, the Shenzhen Component Index fell 0.36%, the ChiNext Index fell 0.39%, the North - Securities 50 fell 0.43%, the STAR 50 fell 0.58%, the Wind All - A fell 0.38%, the Wind A500 fell 0.27%, and the CSI A500 fell 0.25%. The total trading volume of A - shares was 1.96 trillion yuan, compared with 2.01 trillion yuan the previous day [4]. - **Index Data**: The closing price of the SSE 50 was 1368.90, with a change of 57.52, a trading volume of 0.32 billion, and a turnover of 3044.3011 billion yuan; the closing price of the CSI 300 was 4645.9079, with a change of - 0.13, a trading volume of 7486.3766 billion, and a turnover of 209.46 billion yuan; the closing price of the CSI 1000 was 3904.82, with a change of 266.96 [3]. 3.2 CFFEX Stock Index Option Trading Situation - **Option Volume and Open Interest**: For the SSE 50, the trading volume of call options was 2.81 million, put options was 0.59 million, the total trading volume was 7.21 million, the open interest of call options was 3.11 million, put options was 0.76 million, and the total open interest was 4.46 million; for the CSI 300, the trading volume of call options was 12.11 million, put options was 0.69 million, the total trading volume was 21.45 million, the open interest of call options was 11.64 million, put options was 4.96 million, and the total open interest was 9.81 million; for the CSI 1000, the trading volume of call options was 0.89 million, put options was 32.55 million, the total trading volume was 31.56 million, the open interest of call options was 14.83 million, put options was 15.96 million, and the total open interest was 16.58 million [3]. - **PCR (Put - Call Ratio)**: The trading volume PCR of the SSE 50 was 1.65, the open interest PCR was 4.10; the trading volume PCR of the CSI 300 was 0.84, the open interest PCR was 16.73; the trading volume PCR of the CSI 1000 was 1.04 [3]. 3.3 Volatility Analysis - **SSE 50 Volatility**: Analyzed through historical volatility and the historical volatility cone, also presented the volatility smile curve and the implied volatility of at - the - money options for the next month [3][4]. - **CSI 300 Volatility**: Analyzed through historical volatility and the historical volatility cone, also presented the volatility smile curve and the implied volatility of at - the - money options for the next month [3][4]. - **CSI 1000 Volatility**: Analyzed through historical volatility and the historical volatility cone, also presented the volatility smile curve and the implied volatility of at - the - money options for the next month [3][4].

Report Summary 1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core View of the Report - On November 11, the A - share market showed weak consolidation with a slowdown in sector rotation. The Shanghai Composite Index fell 0.39% to 4002.76 points, the Shenzhen Component Index dropped 1.03%, the ChiNext Index declined 1.4%, the BeiStock 50 decreased 1.02%, the STAR 50 fell 1.42%, the Wind All - A dropped 0.51%, the Wind A500 declined 0.97%, and the CSI A500 decreased 0.84%. The full - day trading volume of A - shares was 2.01 trillion yuan, compared with 2.19 trillion yuan the previous day [5]. 3. Summary by Related Catalogs 3.1 Market Index Performance - **Index Closing Prices and Changes**: The closing price of the Shanghai Stock Exchange 50 was 3034.6329, down 0.63%, with a trading volume of 41.04 billion yuan and a trading volume of 4776.29 million. The CSI 300 closed at 4652.1655, down 0.91%, with a trading volume of 7540.791 billion yuan and a trading volume of 265.25 million. The CSI 1000 decreased by 0.30% with a trading volume of 4048.67 [3]. 3.2 CFFEX Stock Index Options Trading - **Option Trading Volume and Open Interest**: For the Shanghai Stock Exchange 50, the call option trading volume was 3.13 million, the put option trading volume was 0.73 million, the total trading volume was 3.49 million, the call option open interest was 2.11 million, the put option open interest was 0.66 million, and the total open interest was 7.42 million. For the CSI 300, the call option trading volume was 12.06 million, the put option trading volume was 7.43 million, the total trading volume was 21.23 million, the call option open interest was 4.63 million, and the put option open interest was 11.48 million. For the CSI 1000, the call option trading volume was 22.95 million, the put option trading volume was 12.34 million, the total trading volume was 32.04 million, the call option open interest was 15.31 million, and the put option open interest was 16.73 million [3]. 3.3 Volatility Analysis - **Historical Volatility and Volatility Smile Curves**: Historical volatility cones and volatility smile curves are provided for the Shanghai Stock Exchange 50, CSI 300, and CSI 1000. For example, the Shanghai Stock Exchange 50 historical volatility cone shows values such as the 10% - quantile, 30% - quantile, minimum, maximum, 90% - quantile, and the current value, and the next - month at - the - money implied volatility curve is also presented [3][4].

Report Summary 1. Report Industry Investment Rating - There is no information about the report industry investment rating in the provided content. 2. Core Viewpoints - On November 3rd, the A - share market recovered after hitting a low, with all three major indexes closing in the green. The ChiNext Index dropped 2% during the session. The Shanghai Composite Index rose 0.55% to 3976.52 points, the Shenzhen Component Index rose 0.19%, and the ChiNext Index rose 0.29%. The North Securities 50 Index fell 0.98%, the Sci - Tech Innovation 50 Index fell 1.04%, the Wind All - A Index rose 0.39%, the Wind 4500 Index rose 0.19%, and the CSI A500 Index rose 0.19%. The total trading volume of A - shares for the day was 2.13 trillion yuan, compared with 2.35 trillion yuan the previous day [5]. 3. Summary by Relevant Catalogs 3.1 Market Index Quotes - The Shanghai Stock Exchange 50 Index closed at 3016.3507, up 0.16%, with a trading volume of 1346.37 billion yuan and a trading volume of 54.90 billion [3]. - The CSI 300 Index closed at 4653.4028, up 0.27%, with a trading volume of 5576.03 billion yuan and a trading volume of 239.87 billion [3]. - The CSI 1000 Index closed at 7538.1178, up 0.42%, with a trading volume of 4324.23 billion yuan and a trading volume of 278.24 billion [3]. 3.2 CFFEX Stock Index Option Trading Situation | Index | Call Option Volume (10,000 contracts) | Put Option Volume (10,000 contracts) | Volume PCR | Call Option Open Interest (10,000 contracts) | Put Option Open Interest (10,000 contracts) | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | Shanghai Stock Exchange 50 | 3.57 | 2.22 | 0.61 | 2.98 | 1.97 | 0.66 | | CSI 300 | 7.15 | 5.25 | 0.73 | 11.03 | 8.64 | 0.78 | | CSI 1000 | 24.31 | 12.92 | 0.88 | 14.44 | 15.01 | 1.04 | [3] 3.3 Volatility Analysis - The report presents historical volatility cones and volatility smile curves for the Shanghai Stock Exchange 50, CSI 300, and CSI 1000 indexes, including historical volatility data for different periods such as 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day, as well as the current value and percentile values [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]

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The report presents the daily data of stock index options, including the performance of major indices such as the Shanghai Composite Index, Shenzhen Component Index, and ChiNext Index, as well as the trading volume, closing price, and turnover of index options [3][5] 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Performance**: The Shanghai Composite Index rose 0.71% to 3950.31 points, with a weekly increase of 2.88%. The Shenzhen Component Index rose 2.02% with a weekly increase of 4.73%. The ChiNext Index rose 3.57% with a weekly increase of 8.05%. The CSI 300 rose 1.18% with a weekly increase of 3.24%. The Beijing Stock Exchange 50 rose 1.15% with a weekly increase of 2.74%. The STAR 50 rose 4.35% with a weekly increase of 7.27%. The Wind All A rose 1.27% with a weekly increase of 3.47%. The Wind A500 rose 1.31% with a weekly increase of 3.46%. The CSI A500 rose 1.38% with a weekly increase of 3.59% [5] - **Trading Volume**: A - shares had a full - day trading volume of 1.99 trillion yuan, compared with 1.66 trillion yuan the previous day [5] 3.2 CFFEX Stock Index Option Trading Situation - **Shanghai 50 Index Options**: The trading volume of call options was 3.67 million contracts, and put options was 3.73 million contracts. The open interest of call options was 2.51 million contracts, and put options was 6.25 million contracts. The trading volume PCR was 1.16, and the open interest PCR was 0.46 [3] - **CSI 300 Index Options**: The trading volume of call options was 10.20 million contracts, and put options was 6.52 million contracts. The open interest of call options was 8.83 million contracts, and put options was 7.06 million contracts. The trading volume PCR was 0.56, and the open interest PCR was 0.80 [3] - **CSI 1000 Index Options**: The trading volume of call options was 22.14 million contracts, and put options was 12.73 million contracts. The open interest of call options was 26.83 million contracts, and put options was 13.75 million contracts. The trading volume PCR was 0.74, and the open interest PCR was 0.95 [3] 3.3 Volatility Analysis - **Shanghai 50 Volatility**: Historical volatility and volatility smile curves are presented, including historical volatility cone data such as 10% and 30% quantile values, minimum, maximum, and current values [3][4] - **CSI 300 Volatility**: Similar to the Shanghai 50, historical volatility and volatility smile curves are shown, along with historical volatility cone data [3][4] - **CSI 1000 Volatility**: Historical volatility and volatility smile curves are provided, along with historical volatility cone data [3][4]

Report Summary 1. Market Performance - The Shanghai Composite Index rose 0.63% to 3863.89 points, the Shenzhen Component Index rose 0.98%, the ChiNext Index rose 1.98%, the Beijing Stock Exchange 50 Index fell 0.25%, the STAR 50 Index rose 0.35%, the Wind All - A Index rose 0.79%, the Wind A500 Index rose 0.61%, and the CSI A500 Index rose 0.63% [4]. - A - share trading volume was 1.75 trillion yuan, the lowest since August 8th, compared with 1.95 trillion yuan the previous day [4]. 2. Index Quotes | Index | Closing Price | Change (%) | Turnover (billion yuan) | Volume (billion) | | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 1283.62 | 53.18 | 2974.8648 | 0.24 | | CSI 300 | N/A | 0.53 | 5057.99 | 0.75 | | CSI 1000 | 3284.45 | 218.58 | - | - | [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 | 2.72 | 1.77 | 0.54 | 5.41 | 3.20 | 2.21 | 0.69 | | CSI 300 | 3.06 | 7.98 | 0.62 | 8.22 | 5.88 | 4.92 | 0.72 | | CSI 1000 | 21.04 | 11.60 | 0.81 | 23.71 | 9.44 | 12.59 | 0.88 | [3] 4. Volatility Analysis - The report provides historical volatility and volatility cone analysis for SSE 50, CSI 300, and CSI 1000, as well as their next - month at - the - money implied volatility smile curves [3][4].

Group 1 - The core cost of buying one hand of stock index options is the premium, which is calculated using the formula: one hand premium = option price × contract multiplier [3] - The main stock index options in China include CSI 300, SSE 50, and CSI 1000, with a contract multiplier of 100 RMB per point [3] - Examples of premiums for different options are provided: CSI 300 at 40 points results in a premium of 4000 RMB, SSE 50 at 50 points results in 5000 RMB, and CSI 1000 at 89.2 points results in 8920 RMB [3] Group 2 - The trading cost of stock index options consists of exchange fees and broker commissions, with a dual charging mechanism for opening and closing positions [5] - The China Financial Futures Exchange (CFFEX) has a unified fee rate for major products: 15 RMB per hand for single transactions and 2 RMB per hand for exercise fees for CSI 300 options [6] - For a typical transaction involving one hand of CSI 300 options, the total cost would be 30 RMB for opening and closing positions, plus an additional 2 RMB if exercised [6] Group 3 - Broker commissions typically range from 1 to 5 RMB per hand for ordinary investors, added on top of the exchange fees [7] - Sellers of options are required to pay a margin, which is calculated based on the option contract's value and the exchange's margin ratio [8][9] - Additional costs may include exercise fees, which can vary by option type and exchange regulations [11] Group 4 - Investors must meet certain conditions to open an options account, including maintaining an average asset of over 500,000 RMB for the first 20 trading days and having at least six months of trading experience [14][16] - Options provide the holder the right to buy or sell an underlying asset at an agreed price within a specified time, with the buyer's maximum loss limited to the premium paid [15]

Report Summary 1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core View - The report presents the daily data of stock index options, including the closing prices, price changes, trading volumes, and trading turnovers of major indices such as SSE 50, CSI 300, and CSI 1000. It also shows the trading volume and open interest of call and put options for these indices, as well as the PCR (Put-Call Ratio) values and historical volatility analysis [3]. 3. Summary by Relevant Catalogs 3.1 Market Overview - The Shanghai Composite Index fell 0.18% to 3821.83 points, the Shenzhen Component Index fell 0.29%, the ChiNext Index rose 0.21%, the Northbound 50 Index fell 2.63%, the STAR 50 Index fell 0.1%, the Wind All A Index fell 0.63%, the Wind A500 Index fell 0.25%, and the CSI A500 Index fell 0.21%. The total trading volume of A-shares throughout the day was 2.52 trillion yuan, compared with 2.14 trillion yuan the previous day [5]. 3.2 Index Performance | Index | Closing Price | Price Change (%) | Trading Turnover (billion yuan) | Trading Volume (billion) | | --- | --- | --- | --- | --- | | SSE 50 | 1689.87 | -0.09 | 2919.5148 | 62.90 | | CSI 300 | 4519.7781 | -0.06 | 6805.14 | 252.83 | | CSI 1000 | 7408.0691 | -1.09 | 5039.60 | 313.26 | [3] 3.3 CFFEX Stock Index Options Trading Situation | 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 | 2.79 | 1.50 | 0.54 | 6.53 | 2.42 | 0.59 | 4.29 | | CSI 300 | 8.04 | 6.43 | 0.80 | 16.01 | 0.77 | 14.46 | 9.05 | | CSI 1000 | 13.72 | 35.66 | 17.86 | 25.62 | 17.81 | 1.00 | 11.89 | [3] 3.4 Volatility Analysis - The report provides historical volatility cones and volatility smile curves for SSE 50, CSI 300, and CSI 1000 indices, including the 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day historical volatilities, as well as the current values and percentile values [3][4].

Report Investment Rating The report does not explicitly mention the overall industry investment rating. However, for different financial derivatives, the outlooks are as follows: - **Stock Index Futures**: Oscillating with a slight upward bias [7] - **Stock Index Options**: Oscillating [8] - **Treasury Bond Futures**: Oscillating [8] Core Viewpoints - **Stock Index Futures**: The technology sector has a short - term advantage. Short - term adjustments are mainly due to capital reallocation, while the medium - term upward trend remains unchanged. Attention should be paid to the possibility of configuring IM long positions, as technology stocks have a comparative advantage [1][7] - **Stock Index Options**: Trading is driven by intraday reversals. It is recommended to use covered strategies and closely monitor volatility changes. When volatility rises abnormally, the selling side of options can temporarily exit the market [2][8] - **Treasury Bond Futures**: The impact of the stock - bond seesaw effect is weakening. In the short term, the central bank's attitude towards the capital market is supportive for the short - end, while the long - end yield of bonds is still affected by risk appetite and policy expectations. Short - term attention can be paid to long - end arbitrage opportunities and the opportunity for the yield curve to steepen [3][9] Summary by Relevant Catalogs 1. Market Views Stock Index Futures - **Market Performance**: The market first rose and then declined. The STAR Market once soared, and the technology sector continued to attract capital. However, the loss - making effect in the afternoon increased, and value stocks led the decline [1][7] - **Key Phenomena**: After the Fed's interest - rate meeting, commodities were generally weak, and the slightly hawkish stance boosted the US dollar, putting pressure on commodities and value stocks. Brokerages and stock - trading software were sluggish, and funds avoided areas with concentrated chips. The proportion of stocks outperforming the Wind All - A Index decreased, indicating that funds were flowing into relatively crowded areas, causing downward pressure on weak stocks [1][7] - **Operation Suggestion**: Hold IM [7] Stock Index Options - **Trading Volume**: The trading volume in the options market was 21.04 billion yuan, a 62.60% increase from the previous trading day, driven by intraday reversals [2][7] - **Market Characteristics**: The positive delta exposure of sellers decreased, and there were signs of a slight rebound in the skewness index and a significant increase in the ratio PCR. The implied volatility of some products decreased significantly at the end of the session, presumably due to the impact of intraday put - buying profit - taking [2][8] - **Operation Suggestion**: Use covered strategies [8] Treasury Bond Futures - **Market Performance**: Treasury bond futures closed down across the board, and the yields of major inter - bank interest - rate bonds generally rose, with a larger increase at the long - end [3][8] - **Capital Situation**: The central bank's net injection of 195 billion yuan did not ease the tight capital situation in the inter - bank market. The DR001 weighted average interest rate rose above 1.5%, which was negative for the short - end of the bond market. The decline in the equity market had limited impact on boosting the bond market sentiment, and the long - end yield rose more [3][9] - **Operation Suggestion**: Adopt a cautiously oscillating trend strategy. For hedging strategies, pay attention to short - hedging at low basis levels. For basis strategies, focus on long - end arbitrage opportunities. For curve strategies, pay attention to the opportunity for the yield curve to steepen [9] 2. Economic Calendar - The report provides the economic data of different regions from September 15 to September 19, 2025, including China's social consumer goods retail sales, industrial added value, the eurozone's economic sentiment index, the US retail sales, import price index, federal funds rate, and Japan's CPI [10] 3. Important Information and News Tracking - The Fed cut interest rates by 25bp in September, and the dot - plot median shows that there is still room for a 50bp interest - rate cut within the year. The Bank of England maintained its policy interest rate unchanged in September and slowed down the pace of quantitative tightening, warning of the risk of a wage - price spiral [11] 4. Derivatives Market Monitoring - The report includes data monitoring of stock index futures, stock index options, and treasury bond futures, but specific data details are not fully presented in the given text [12][16][28]