Group 1: Implied Volatility Index and Historical Volatility - Financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility: a larger difference indicates that the implied volatility is relatively higher than historical volatility, and a smaller difference indicates the opposite [3] Group 2: Implied Volatility and Historical Volatility Charts - There are multiple charts showing the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various options, including 300股指, 50ETF, 1000股指, 500ETF, etc. [4] Group 3: Implied Volatility and Volatility Spread Quantiles - Implied volatility quantiles represent the current implied volatility level of a variety in history. A high quantile means high current implied volatility, and a low quantile means low implied volatility [21] - The volatility spread is the difference between the implied volatility index and historical volatility [21] - The implied volatility quantile rankings for different varieties are presented, such as PTA with a quantile of 0.92, PVC with 0.85, etc. [22]

Group 1: Implied Volatility Index and Historical Volatility - The financial options implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and the commodity options implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility: a larger difference means the implied volatility is relatively higher than historical volatility, and a smaller difference means the implied volatility is relatively lower [3] Group 2: Implied Volatility and Historical Volatility Charts - There are multiple charts showing the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 300 stock index, 50ETF, 1000 stock index, 500ETF, etc., as well as commodity options like soybean meal, cotton, rubber, methanol, etc. [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means the implied volatility is low. Volatility spread is the implied volatility index minus historical volatility [21] - The implied volatility quantile rankings for different varieties are provided, such as PTA with 0.84, PVC with 0.75, etc. [23]

Market Review - The closing prices of SSE 50, CSI 300, and CSI 1000 were 2744.2604, 4034.491, and 6535.6713 respectively, with changes of 0.12%, 0.68%, and 1.14% [4]. - The trading volumes of SSE 50, CSI 300, and CSI 1000 were 36.15 billion, 161.25 billion, and 227.83 billion respectively, and the turnovers were 746.46 billion yuan, 3255.17 billion yuan, and 3259.84 billion yuan respectively [4]. - In the CFFEX stock index options trading, the option trading volumes of SSE 50, CSI 300, and CSI 1000 were 3.97 million contracts, 9.93 million contracts, and 27.30 million contracts respectively, and the option open - interests were 7.76 million contracts, 20.16 million contracts, and 28.66 million contracts respectively [4]. Volatility Analysis - Historical volatility and implied volatility curves are provided for SSE 50, CSI 300, and CSI 1000, including maximum, minimum, percentile values, and current values [8][9]. Overall Market Situation - The Shanghai Composite Index rose 0.37% to 3516.83 points, the Shenzhen Component Index rose 1.43%, the ChiNext Index rose 1.75%, the Beijing Stock Exchange 50 rose 0.86%, the STAR 50 rose 0.8%, the Wind All - A rose 0.94%, the Wind A500 rose 0.83%, and the CSI A500 rose 0.9% [9]. - A - share trading volume was 1.56 trillion yuan for the day, compared with 1.46 trillion yuan the previous day [9]

Market Review - The closing prices of the Shanghai 50, CSI 300, and CSI 1000 were 2740.9006, 4007.2019, and 6462.063 respectively, with changes of -0.23%, -0.30%, and 0.30%. Their trading volumes were 34.25 billion, 151.03 billion, and 220.23 billion, and trading turnovers were 681.42 billion yuan, 3006.57 billion yuan, and 3060.83 billion yuan [4]. - The option trading volumes of the Shanghai 50, CSI 300, and CSI 1000 were 4.24 million, 9.69 million, and 25.56 million contracts respectively. Their option open - interests were 7.53 million, 20.08 million, and 28.70 million contracts [4]. - The Shanghai Composite Index closed down 0.03% at 3503.78 points, the Shenzhen Component Index fell 0.22%, the ChiNext Index dropped 0.22%, the Beijing Stock Exchange 50 rose 0.27%, the STAR 50 rose 0.14%, the Wind All - A rose 0.06%, the Wind 8500 fell 0.27%, and the CSI A500 fell 0.22%. A - share trading volume was 1.46 trillion yuan, compared with 1.64 trillion yuan the previous day [10]. Volatility Analysis Shanghai 50 Volatility - The historical volatility of the Shanghai 50 is presented with values for different time - frames and percentile levels. The difference between HV5 and HV20 is also shown [8][9]. - The next - month at - the - money implied volatility and the volatility smile curve for the Shanghai 50 are analyzed [9]. CSI 300 Volatility - The historical volatility of the CSI 300 shows values for different time - frames and percentile levels, and the difference between HV5 and HV20 is provided [9]. - The next - month at - the - money implied volatility and the volatility smile curve for the CSI 300 are presented [9]. CSI 1000 Volatility - The historical volatility of the CSI 1000 is presented with values for different time - frames and percentile levels [10]. - The next - month at - the - money implied volatility and the volatility smile curve for the CSI 1000 are analyzed [10].

Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, while the commodity option implied volatility index is weighted by the implied volatility of the two - strike prices above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility indicates the relative level of implied volatility compared to historical volatility. A larger difference means higher implied volatility relative to historical volatility, and a smaller difference means lower implied volatility relative to historical volatility [3] Group 2: Volatility Charts - There are multiple charts showing the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, daily report options, and many commodity options such as soybean meal, corn, cotton, rubber, methanol, PTA, crude oil, iron ore, copper, PVC, rebar, urea, palm oil, aluminum, zinc, etc. [4][5][6] Group 3: Implied Volatility and Volatility Spread Quantiles - Implied volatility quantiles represent the current implied volatility level of a variety in history. A high quantile means high current implied volatility, and a low quantile means low implied volatility. Volatility spread is the difference between the implied volatility index and historical volatility [20] - Quantile rankings are provided for some options, such as PVC (0.63), PTA (0.65), 50ETF (0.54), etc. [21]

Group 1: Volatility Index Explanation - Financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, and the commodity option implied volatility index is weighted by the IV of the two - strike options around the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV; a larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [3] Group 2: Volatility Index Graphs - There are multiple graphs showing the IV, HV, and IV - HV differences of various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, soybean meal, corn, cotton, rubber, methanol, PTA, crude oil, iron ore, copper, PVC, rebar, urea, aluminum, zinc, etc. [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent the current level of a variety's IV in history; a high quantile means high IV, and a low quantile means low IV [20] - The document also shows the quantile rankings of implied volatility and historical volatility for some options such as PTA, PVC, 50ETF, 300 - stock index, etc. [20][21]

Group 1: Implied Volatility Index and Calculation Method - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day. The commodity option implied volatility index is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility: the larger the difference, the higher the implied volatility relative to historical volatility; the smaller the difference, the lower the implied volatility relative to historical volatility [3] Group 2: Implied Volatility and Historical Volatility Charts - There are multiple charts showing the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various financial and commodity options, including 300 stock index, 50ETF, 1000 stock index, 500ETF, PTA, crude oil, iron ore, etc. from different time periods [4][5][6] Group 3: Implied Volatility Quantile Ranking - The implied volatility quantile rankings of different options are provided, such as PTA (0.51, 0.81), Tianan (0.37), 50ETF (0.21, 0.10), PVC (0.23, 0.15), methanol (0.20), etc. [19] Group 4: Implied Volatility Quantile and Volatility Spread Quantile Ranking Chart - The implied volatility quantile represents the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means the implied volatility is low. The volatility spread is the difference between the implied volatility index and historical volatility [22]

Group 1: Implied Volatility Index and Its Calculation - The financial options implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The commodity options implied volatility index is obtained by weighting the IV of the two - strike prices above and below the at - the - money option of the main contract month, reflecting the IV change trend of the main contract [3] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher than HV, and a smaller difference means IV is relatively lower [3] Group 2: Implied Volatility and Historical Volatility Graphs - There are multiple graphs showing the IV, HV, and IV - HV differences of various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, silver, bean粕, corn, cotton, rubber, methanol, PTA, crude oil, iron ore, copper, PVC, rebar, urea, fuel oil, aluminum, zinc, and sugar from 2019 to 2025 [4][5][6] Group 3: Implied Volatility and Historical Volatility Quantiles - Implied volatility quantiles represent the current IV level of a variety in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. Volatility spread is the difference between the implied volatility index and historical volatility [20] - The implied volatility and historical volatility quantile rankings of various varieties are presented, such as copper (0.67), PTA (0.82), PVC (0.35), 50ETF (0.10), 300 - stock index (0.09), etc. [22]

Market Overview - On July 1, A-shares experienced a slight upward movement with a total transaction volume of 1.49 trillion yuan, where over 2,600 stocks rose, indicating a generally bullish market sentiment [1] - Leading sectors included pharmaceuticals, biological products, precious metals, and banking, while sectors such as diversified finance, software development, telecommunications, and batteries saw the largest declines [1] Options Market Activity - The options market saw a decrease in transaction volume but a steady increase in open interest, with total transactions amounting to 3.7281 million contracts, down 19.20% from the previous trading day, while total open interest rose by 8.42% to 7.3985 million contracts [1] - The Shanghai Stock Exchange 50 ETF options recorded a transaction volume decrease of 19.56% and an open interest increase of 8.23%, with 605,600 contracts traded, down from 752,900 contracts [1] Options Position Changes - For the July contracts, there was a total increase of 55,400 contracts in open interest, with call options increasing by 20,000 contracts and put options by 35,400 contracts, indicating a preference for both call and put options in slightly out-of-the-money positions [1] - The CSI 300 ETF options mirrored the trends of the Shanghai 50 ETF options, with transaction volumes decreasing by 29.05% for the Shenzhen Stock Exchange and 21.86% for the Shanghai Stock Exchange, while open interest increased by 11.19% and 10.67% respectively [2] Volatility Analysis - The implied volatility for the Shanghai 50 ETF at the end of July 1 was 11.62%, with historical volatility remaining low at 8.48% for the 30-day period [3] - The overall analysis suggests that the A-share market is in a consolidation phase following a volume increase, with both call and put options being added in slightly out-of-the-money positions, indicating a cautious outlook for short-term market movements [3]

Report Summary 1. Report Industry Investment Rating - Not provided 2. Core View - Not provided 3. Summary by Relevant Catalogs 3.1 Market Review - The Shanghai Composite Index closed down 24.22 points, a decline of 0.7%, at 3424.23 points, with a turnover of 6057.32 billion yuan; the Shenzhen Component Index closed up 35.07 points, an increase of 0.34%, at 10378.55 points, with a turnover of 9353.85 billion yuan; the ChiNext Index closed up 9.91 points, an increase of 0.47%, at 2124.34 points, with a turnover of 4645.62 billion yuan; the CSI 300 closed down 24.26 points, a decline of 0.61%, at 3921.76 points, with a turnover of 3434.68 billion yuan [4][8] - The closing prices, changes, turnovers, and trading volumes of SSE 50, CSI 300, and CSI 1000 are presented. The SSE 50 closed at 2707.5688, down 1.13%; the CSI 300 at 3921.7578, down 0.61%; the CSI 1000 at 6276.9373, up 0.47%. Their turnovers were 957.14 billion yuan, 3434.68 billion yuan, and 3304.55 billion yuan respectively, and trading volumes were 57.08 billion, 194.56 billion, and 248.56 billion respectively [4] 3.2 CFFEX Stock Index Option Trading Situation - For the SSE 50, put option trading volume was 1.32 million contracts, call option was 3.08 million contracts, daily trading volume was 4.39 million contracts, PCR was 0.43, option open interest was 5.78 million contracts, call option open interest was 3.55 million contracts, put option open interest was 2.22 million contracts, and open - interest PCR was 0.63 [4] - For the CSI 300, put option trading volume was 3.08 million contracts, call option was 6.65 million contracts, daily trading volume was 9.73 million contracts, PCR was 0.46, option open interest was 16.53 million contracts, call option open interest was 10.07 million contracts, put option open interest was 6.46 million contracts, and open - interest PCR was 0.64 [4] - For the CSI 1000, put option trading volume was 8.05 million contracts, call option was 12.64 million contracts, daily trading volume was 20.69 million contracts, PCR was 0.64, option open interest was 23.28 million contracts, call option open interest was 11.90 million contracts, put option open interest was 11.38 million contracts, and open - interest PCR was 0.96 [4] 3.3 Volatility Analysis - Historical volatility chains and next - month at - the - money implied volatility smile curves are presented for SSE 50, CSI 300, and CSI 1000 [10]