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 Summary 1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Core View - On November 10, the A-share market showed a divergence between large and small indices, with rapid rotation of market hotspots. The Shanghai Composite Index climbed steadily, while the ChiNext Index fell nearly 1%. The large - consumption sector led the gain, while the robot and electric power grid sectors adjusted. [5] 3. Summary by Relevant Content Market Review - **Index Performance**: The Shanghai Composite Index closed up 0.53% at 4018.6 points, the Shenzhen Component Index fell 0.18%, the ChiNext Index fell 0.92%, the North - Star 50 Index fell 0.67%, the Science and Technology Innovation 50 Index fell 0.57%, the Wind All - A Index rose 0.38%, the Wind A500 Index rose 0.34%, and the CSI A500 Index rose 0.24%. The total A - share trading volume for the day was 2.19 trillion yuan, compared with 2.02 trillion yuan the previous day. [5] - **Index Data Details**: The closing price of the SSE 50 was 3053.857, with a turnover of 1399.07 billion yuan, a daily increase of 0.51%, a trading volume of 49.08 billion shares, and a turnover of 0.35 billion. The closing price of the CSI 300 was 4695.0507, with a turnover of 236.03 billion yuan, a daily increase of 0.28%, a trading volume of 7563.2535 billion shares, and a turnover of 4337.98 billion. The closing price of the CSI 1000 was 274.36. [3] CFFEX Stock Index Options Trading Situation - **Option Volume and Open Interest**: For the SSE 50, the call option volume was 3.13 million contracts, the put option volume was 3.40 million contracts, the total option volume was 2.14 million contracts, the volume PCR was 0.59, the call option open interest was 7.33 million contracts, the put option open interest was 0.74 million contracts, the total open interest was 1.26 million contracts, and the open - interest PCR was 4.20. For the CSI 300, the call option volume was 4.43 million contracts, the put option volume was 0.68 million contracts, the total option volume was 20.58 million contracts, the volume PCR was 0.87, the call option open interest was 10.91 million contracts, the put option open interest was 6.48 million contracts, and the open - interest PCR was 9.58. For the CSI 1000, the call option volume was 23.39 million contracts, the put option volume was 12.75 million contracts, the total option volume was 0.83 million contracts, the volume PCR was 31.57, the call option open interest was 10.64 million contracts, the put option open interest was 15.06 million contracts, and the open - interest PCR was 16.52. [3] Volatility Analysis - **Historical Volatility and Volatility Smile Curve**: Historical volatility and volatility smile curves are presented for the SSE 50, CSI 300, and CSI 1000, including historical volatility cones, different percentile values (such as 10%, 30%, 60%, 90%), and next - month at - the - money implied volatility. [3][4]

Report Summary 1. Report Industry Investment Rating - No information provided. 2. Core Viewpoints - On November 6, the A - share market rose unilaterally with increased trading volume. The Shanghai Composite Index rose nearly 1% and returned to the 4000 - point mark. The computing power hardware industry chain exploded, and the electric power grid theme continued to ferment [3]. 3. Summary by Related Content Market Quotes Review - **Index Performance**: The Shanghai Composite Index closed up 0.97% at 4007.76 points, the Shenzhen Component Index rose 1.73%, the ChiNext Index rose 1.84%, the CSI 300 rose 1.43%, the Beijing Stock Exchange 50 fell 0.38%, the STAR 50 rose 3.34%, the Wind All - A rose 1.19%, the Wind A500 rose 1.51%, and the CSI A500 rose 1.54%. The A - share market had a full - day trading volume of 2.08 trillion yuan, compared with 1.89 trillion yuan the previous day [3]. - **Specific Index Data**: The closing price of the SSE 50 was 3044.7416, with a trading volume of 50.63 billion and a turnover of 1439.34 billion yuan, up 1.22%. The CSI 300 closed at 4693.4032, with a trading volume of 224.24 billion and a turnover of 5536.42 billion yuan, up 1.43%. The CSI 1000 closed at 7551.8299, with a trading volume of 4051.69 billion and a turnover of 263.61 billion yuan, up 1.17% [3]. CFFEX Stock Index Option Trading Situation - **Option Volume and Position**: For the SSE 50, the call option trading volume was 4.07 million, the put option trading volume was 3.11 million, the call option position was 7.29 million, the put option position was 4.19 million, the trading volume PCR was 0.74, and the position PCR was 0.66. For the CSI 300, the call option trading volume was 13.74 million, the put option trading volume was 8.62 million, the call option position was 20.00 million, the put option position was 10.75 million, the trading volume PCR was 0.59, and the position PCR was 0.86. For the CSI 1000, the call option trading volume was 26.01 million, the put option trading volume was 13.93 million, the call option position was 31.01 million, the put option position was 14.85 million, the trading volume PCR was 0.87, and the position PCR was 1.09 [3]. Volatility Analysis - **Historical Volatility and Volatility Cone**: The report presents the historical volatility and volatility cone of the SSE 50, CSI 300, and CSI 1000, including the 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values, as well as historical volatility data for different periods (5 - day, 20 - day, 40 - day, 60 - day, 120 - day) [3]. - **Volatility Smile Curve and Next - Month At - the - Money Implied Volatility**: The report shows the volatility smile curves and next - month at - the - money implied volatility of the SSE 50, CSI 300, and CSI 1000 [3].

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]

Group 1: Report Information - Report Title: Stock Index Option Data Daily Report [2] - Date: October 24, 2025 [3] - Author: Li Zeju from the Financial Derivatives Center of Guomao Futures Research Institute [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Group 2: Market Review Index Performance - The closing price of SSE 50 was 1212.08, with a daily increase of 60.21, a turnover of 302.69044 billion yuan, and a trading volume of 0.56 billion [3]. - The closing price of CSI 300 was not available, with a daily increase of 0.30, a turnover of 420.8 billion yuan, and a trading volume of 200.46 billion [3]. - The closing price of CSI 1000 was not provided, with a daily decrease of 0.06 [3]. Overall Market - The Shanghai Composite Index rose 0.22% to 3922.41 points, the Shenzhen Component Index rose 0.22%, the ChiNext Index rose 0.09%, the Beijing Stock Exchange 50 Index fell 1.07%, the STAR 50 Index fell 0.3%, the Wind All - A Index rose 0.14%, the Wind A500 Index rose 0.37%, and the CSI A500 Index rose 0.29% [4]. - A - share trading volume was 1.66 trillion yuan for the day, compared with 1.69 trillion yuan the previous day [4]. Group 3: CFFEX Stock Index Option Trading Option Volume - For SSE 50, the trading volume of call options was 2.27 million contracts, and that of put options was 3.60 million contracts, with a trading volume PCR of 1.32 [3]. - For CSI 300, the trading volume of call options was 6.35 million contracts, and that of put options was 6.54 million contracts, with a trading volume PCR of 0.74 [3]. - For CSI 1000, the trading volume of call options was 24.00 million contracts, and that of put options was 12.98 million contracts, with a trading volume PCR of 0.85 [3]. Option Open Interest - For SSE 50, the open interest of call options was 3.59 million contracts, and that of put options was 2.41 million contracts, with an open - interest PCR of 0.67, and the total open interest was 6.00 million contracts [3]. - For CSI 300, the open interest of call options was 10.41 million contracts, and that of put options was 4.06 million contracts, with an open - interest PCR of 0.39, and the total open interest was 15.42 million contracts [3]. - For CSI 1000, the open interest of call options was 25.99 million contracts, and that of put options was 12.26 million contracts, with an open - interest PCR of 0.47 [3]. Group 4: Volatility Analysis SSE 50 Volatility - Historical volatility was analyzed using a historical volatility cone, showing different percentile values and current values for different time - periods (HV5, HV20, HV60, etc.) [3][4]. - The volatility smile curve for the next - month at - the - money implied volatility was presented [3][4]. CSI 300 Volatility - Similar to SSE 50, historical volatility was analyzed using a historical volatility cone, and the volatility smile curve for the next - month at - the - money implied volatility was shown [4]. CSI 1000 Volatility - Historical volatility was analyzed with a historical volatility cone, and the volatility smile curve for the next - month at - the - money implied volatility was provided [4].

Report Summary 1. Report Industry Investment Rating - No information on the industry investment rating is provided in the report. 2. Core View - The report presents 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. It also shows the market trends of A - shares on the day, with a decrease in trading volume [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - **Stock Index Performance**: The closing price of the Shanghai - Shenzhen 300 index is N/A, with a decline of 0.33%, and a trading volume of 440.935 billion yuan and 18.533 billion shares; the Shanghai Composite Index fell 0.07% to 3913.76 points, the Shenzhen Component Index fell 0.62%, the ChiNext Index fell 0.79%, the North - bound 50 rose 0.87%, the Science and Technology Innovation 50 fell 0.06%, the Wind All - A fell 0.38%, the Wind A500 fell 0.52%, and the CSI A500 fell 0.39%. A - share trading volume was 1.69 trillion yuan, hitting a new phased low [3][4]. - **Stock Index Option Trading Volume and Open Interest**: For the SSE 50 index options, the trading volume of call options is 2.26 million contracts, put options is 5.76 million contracts, the open interest of call options is 3.42 million contracts, and put options is 2.34 million contracts. For the CSI 300 index options, the trading volume of call options is 4.46 million contracts, put options is 2.94 million contracts, the open interest of call options is 6.38 million contracts, and put options is 7.13 million contracts. For the CSI 1000 index options, the trading volume of call options is 8.82 million contracts, put options is 0.81 million contracts, the open interest of call options is 12.86 million contracts, and put options is 12.06 million contracts [3]. 3.2 Volatility Analysis - **SSE 50 Volatility**: The report shows the historical volatility cone and volatility smile curve of the SSE 50 index, including the current value and different percentile values of historical volatility [3][4]. - **CSI 300 Volatility**: Similar to the SSE 50, the historical volatility cone and volatility smile curve of the CSI 300 index are presented [4]. - **CSI 1000 Volatility**: The historical volatility cone and volatility smile curve of the CSI 1000 index are also provided [4].

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 performance of major 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 - **Index Performance**: The Shanghai Composite Index rose 1.36% to 3916.33 points, the Shenzhen Component Index rose 2.06%, the ChiNext Index rose 3.02%, the Northbound 50 Index rose 2.04%, the STAR 50 Index rose 2.81%, the Wind All - A Index rose 1.62%, the Wind A500 Index rose 1.66%, and the CSI A500 Index rose 1.65%. A - share trading volume reached 1.89 trillion yuan, compared with 1.75 trillion yuan the previous day [4]. - **Specific Index Data**: The closing price of the SSE 50 was 3007.2634, with a 1.09% increase and a trading volume of 55.30 billion yuan and a turnover of 1.4727 billion. The CSI 300 had a 1.53% increase and a trading volume of 237.25 billion yuan, and the CSI 1000 closed at 7344.0468, up 1.45% with a trading volume of 348.159 billion yuan [3]. 3.2 CFFEX Stock Index Options Trading Situation - **Trading Volume and Open Interest**: For the SSE 50, the call option trading volume was 2.27 million contracts, the put option trading volume was 2.54 million contracts, the call option open interest was 3.28 million contracts, and the put option open interest was 3.65 million contracts. For the CSI 300, the call option trading volume was 0.64 million contracts, the put option trading volume was 14.26 million contracts, the call option open interest was 6.20 million contracts, and the put option open interest was 9.40 million contracts. For the CSI 1000, the call option trading volume was 20.38 million contracts, the put option trading volume was 11.42 million contracts, the call option open interest was 8.97 million contracts, and the put option open interest was 12.36 million contracts [3]. - **PCR**: The SSE 50's trading volume PCR was 0.87, and the open - interest PCR was 0.69. The CSI 300's trading volume PCR was 0.77, and the open - interest PCR was 0.806. The CSI 1000's trading volume PCR was 0.79, and the open - interest PCR was 0.94 [3]. 3.3 Volatility Analysis - **Historical Volatility and Volatility Cone**: The report shows the historical volatility and volatility cone for the SSE 50, CSI 300, and CSI 1000, including different percentile values and the current value at different time points [3][4]. - **Volatility Smile Curve**: It also presents the volatility smile curves for the next - month at - the - money implied volatility of the SSE 50, CSI 300, and CSI 1000 [3][4].

Report Summary 1. Report Industry Investment Rating - No information provided on the industry investment rating in the given content. 2. Core View of the Report - The report presents a daily data analysis of stock index options, including the performance of major stock indexes, trading volume, turnover, and volatility analysis of上证50, 沪深300, and 中证1000 [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - **Stock Index Performance**: The Shanghai Composite Index rose 1.22% to 3912.21 points, the Shenzhen Component Index rose 1.73%, the ChiNext Index rose 2.36%, the Beixin 50 rose 1.62%, the Kechuang 50 rose 1.4%, the Wind All - A rose 1.49%, the Wind A500 rose 1.54%, and the CSI A500 rose 1.51%. A - shares traded 2.09 trillion yuan throughout the day, compared with 2.6 trillion yuan the previous day [5]. - **Index Trading Details**: For 上证50, the trading volume was 1571.06 billion, the closing price was 3001.3489, the increase was 1.36%, and the turnover was 4606.2879 billion yuan; for 沪深300, the trading volume was 284.77 billion, the increase was 1.48%, and the closing price was 4037.98; for 中证1000, the trading volume was 7483.449 billion, the increase was 1.50%, and the turnover was 244.85 billion yuan [3]. 3.2 CFFEX Stock Index Option Trading Situation - **Option Volume and Open Interest**: For 上证50, the call option trading volume was 7.77 million, the put option trading volume was 5.50 million, the call option open interest was 3.39 million, and the put option open interest was 1.98 million; for 沪深300, the call option trading volume was 11.08 million, the put option trading volume was 20.11 million, the call option open interest was 10.61 million, and the put option open interest was 9.51 million; for 中证1000, the call option trading volume was 0.94 million, the put option trading volume was 42.12 million, the call option open interest was 14.73 million, and the put option open interest was 15.04 million [3]. - **PCR (Put - Call Ratio)**: The trading volume PCR for 上证50 was 0.70, for 沪深300 was 0.90, and for 中证1000 was 0.98; the open interest PCR for 上证50 was 0.56, for 沪深300 was 0.90, and for 中证1000 was 0.98 [3]. 3.3 Volatility Analysis - **Historical Volatility and Volatility Cone**: The report shows the historical volatility and volatility cones of 上证50, 沪深300, and 中证1000, including the 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values, as well as the volatility for different periods (5 - day, 20 - day, 40 - day, 60 - day, 120 - day) [3][4]. - **Volatility Smile Curve**: The report also presents the next - month at - the - money implied volatility smile curves for 上证50, 沪深300, and 中证1000 [3][4].

Report Industry Investment Rating - No relevant content provided Core Viewpoints - The report presents the daily data of stock index options, including the performance of major indices, trading volume and open interest of index options, and volatility analysis of different indices [3][4] Summary by Directory Market Review - **Index Performance**: The Shanghai Composite Index fell 0.19% to 3889.5 points, the Shenzhen Component Index fell 0.93%, the ChiNext Index fell 1.11%, the Northbound 50 Index fell 1.29%, the Science and Technology Innovation 50 Index rose 1.4%, the Wind All - A Index fell 0.35%, the Wind A500 Index fell 0.5%, and the CSI A500 Index fell 0.49%. A - share trading volume was 2.37 trillion yuan, down from 2.53 trillion yuan the previous day [4] - **Index Details**: The closing price of the SSE 50 was 2967.206, down 0.26%, with a turnover of 70.16 billion yuan and a trading volume of 1.85783 billion; the CSI 300 closed at 7140.02, down 0.50%, with a turnover of 315.01 billion yuan and a trading volume of 45.939785 billion; the CSI 1000 closed at 7519.7636, down 0.19%, with a turnover of 470.991 billion yuan and a trading volume of 28.84 billion [3] CFFEX Stock Index Options Trading - **Trading Volume and Open Interest**: For the SSE 50, the trading volume of call options was 3.79 million, put options 7.72 million, with a trading volume PCR of 0.72; the open interest of call options was 6.46 million, put options 2.67 million, with an open interest PCR of 0.41. For the CSI 300, the trading volume of call options was 22.43 million, put options 19.79 million, with a trading volume PCR of 0.88; the open interest of call options was 10.54 million, put options 9.25 million, with an open interest PCR of 0.88. For the CSI 1000, the trading volume of call options was 23.21 million, put options 29.23 million, with a trading volume PCR of 1.26; the open interest of call options was 14.72 million, put options 14.51 million, with an open interest PCR of 0.99 [3] Volatility Analysis - **SSE 50**: Historical volatility and volatility smile curves are presented, with the current historical volatility value shown in the historical volatility cone [3][4] - **CSI 300**: Similar to the SSE 50, historical volatility and volatility smile curves are provided [3][4] - **CSI 1000**: Historical volatility and volatility smile curves are also presented [3][4]

Group 1: Report Information - Report title: Stock Index Option Data Daily Report [2] - Date: October 13, 2025 [3] - Author: Li Zeju from the Financial Derivatives Center of Guomao Futures Research Institute [3] - Data sources: Wind, Guomao Futures Research Institute [3] Group 2: Market Performance Index Performance - The Shanghai Composite Index dropped 0.94% to 3,897.03 points, the Shenzhen Component Index fell 2.7%, the ChiNext Index declined 4.55% (the second - highest decline this year), the Northbound 50 dropped 1.24%, the Science and Technology Innovation 50 fell 5.61%, the Wind All - A dropped 1.64%, the Wind A500 fell 2.08%, and the CSI A500 fell 2.29% [4] - A - share trading volume was 2.53 trillion yuan, compared with 2.67 trillion yuan the previous day [4] Specific Index Data | Index | Closing Price | Change (%) | Trading Volume (billion yuan) | Turnover (billion) | | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 2,974.8535 | - 1.51 | 67.28 | 4,616.8341 | | CSI 300 | - | - 1.97 | 7927.43 | 319.02 | | CSI 1000 | - | - 1.49 | 4857.04 | 290.43 | [3] Group 3: CFFEX Stock Index Option Trading Option Volume | Index | Call Option Volume (million) | Put Option Volume (million) | Total Volume (million) | Call Option Open Interest (million) | Put Option Open Interest (million) | Total Open Interest (million) | Volume PCR | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 3.67 | 5.67 | 9.34 | 2.00 | 7.65 | 9.65 | 1.54 | 3.825 | | CSI 300 | 11.29 | 8.11 | 19.40 | 10.20 | 9.05 | 19.25 | 0.72 | 0.89 | | CSI 1000 | 15.71 | 15.22 | 30.94 | 14.65 | 14.43 | 29.08 | 0.97 | 0.98 | [3] Group 4: Volatility Analysis Historical Volatility - The report provides historical volatility and historical volatility cones for SSE 50, CSI 300, and CSI 1000, including 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day historical volatilities, as well as 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values [3][4] Volatility Smile Curve - The report shows the next - month at - the - money implied volatility smile curves for SSE 50, CSI 300, and CSI 1000 [3][4]