Report Date - The report is dated July 30, 2025 [1] Core Viewpoint - Stock index options: Implied volatility has declined, and there is still a significant implied volatility premium. A covered call strategy can be considered [2] Market Data Summary Underlying Market Statistics - **Indices**: The Shanghai Composite 50 Index closed at 2819.35, up 10.76; the CSI 300 Index closed at 4151.24, down 0.79; the CSI 1000 Index closed at 6718.48, down 55.40 [3] - **ETFs**: The Shanghai Composite 50 ETF closed at 2.943, up 0.009; the Huatai-PineBridge CSI 300 ETF closed at 4.232, down 0.003; etc [3] Option Market Statistics - **Volume and Open Interest**: For example, the trading volume of Shanghai Composite 50 index options was 56,146, an increase of 29,906; the open interest was 68,176, a decrease of 2,286 [3] - **PCR**: The VL-PCR and OI-PCR of different options vary, such as the VL-PCR of Shanghai Composite 50 index options was 51.35%, and the OI-PCR was 58.89% [3] Option Volatility Statistics - **ATM-IV and HV**: The ATM-IV of Shanghai Composite 50 index options (near - month) was 14.82%, down 1.32%; the same - term HV was 6.37%, up 0.05% [6] - **Skew and VIX**: The Skew of Shanghai Composite 50 index options was 9.62%, down 3.24%; the VIX was 18.64, down 0.976 [6]

Report Summary 1. Market Conditions - On July 29, 2025, in the stock index option market, the intraday implied volatility showed a positive correlation with the underlying assets and increased, and the implied volatility premium expanded [1]. 2. Market Data 2.1 Underlying Market Statistics - **Indices**: The closing prices of the Shanghai - Shenzhen 300 Index, the CSI 1000 Index, and the Shanghai Composite 50 Index were 4152.02, 6773.88, and 2808.59 respectively, with increases of 16.20, 43.91, and 5.82. Their trading volumes were 230.81 billion, 259.26 billion, and 47.05 billion shares, with changes of 8.05 billion, 6.52 billion, and - 2.69 billion shares [1]. - **ETFs**: The closing prices of the Huatai - Bairui 300 ETF, the Southern 500 ETF, and the ChinaAMC Science - Innovation 50 ETF were 4.235, 6.431, and 1.125 respectively, with increases of 0.021, 0.040, and 0.015. Their trading volumes were 8.06 billion, 2.13 billion, and 37.52 billion shares, with changes of 2.03 billion, 0.11 billion, and - 0.73 billion shares [1]. 2.2 Option Market Statistics - **Trading Volume and Open Interest**: The trading volumes of the Shanghai - Shenzhen 300 Index Option, the CSI 1000 Index Option, and the Shanghai Composite 50 Index Option were 71146, 181506, and 26240 respectively, with changes of - 5069, 476, and - 5095. Their open interests were 191714, 253286, and 70462 respectively, with changes of 3662, 7762, and 1265 [1]. - **PCR Indicators**: The VL - PCR of the Shanghai - Shenzhen 300 Index Option, the CSI 1000 Index Option, and the Shanghai Composite 50 Index Option were 58.24%, 81.44%, and 44.26% respectively, and the OI - PCR were 72.66%, 96.82%, and 55.62% respectively [1]. 2.3 Option Volatility Statistics - **ATM - IV and HV**: For the Shanghai - Shenzhen 300 Index Option, the near - month ATM - IV was 15.72% with a change of - 0.07%, and the same - term HV was 6.49% with a change of - 0.04%. For the CSI 1000 Index Option, the near - month ATM - IV was 19.03% with a change of - 0.36%, and the same - term HV was 8.53% with a change of 0.04% [4]. - **Skew and VIX**: The skew of the Shanghai - Shenzhen 300 Index Option was 9.81% with a change of - 2.44%, and the VIX was 19.76 with a change of 0.059. The skew of the CSI 1000 Index Option was 1.81% with a change of - 1.18%, and the VIX was 23.21 with a change of - 0.002 [4]. 3. Option - Specific Charts - For each type of option (such as the Shanghai Composite 50 Index Option, the Shanghai - Shenzhen 300 Index Option, etc.), there are charts showing the full - contract PCR, the main - contract volatility, the main - contract skew, the volatility cone, and the volatility term structure [8][12][15].

Report Date - The report is dated July 24, 2025 [1] Investment Rating - No investment rating for the industry is provided in the report Core Viewpoint - Due to the high positive skew percentile of stock index options, a bullish call spread strategy can be considered [2] Data Summary Underlying Market Statistics - The closing prices of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index are 2812.44, 4149.04, and 6701.12 respectively, with increases of 11.24, 29.27, and 93.90 [3] - The trading volumes of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index are 60.28 billion, 319.63 billion, and 285.42 billion hands respectively, with changes of -7.65 billion, 19.13 billion, and -8.69 billion hands [3] Option Market Statistics - The trading volumes of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 36,748, 87,017, and 196,037 respectively, with changes of -18,679, -46,300, and -29,170 [3] - The open interests of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 62,312, 173,462, and 232,248 respectively, with changes of 2,593, 6,427, and 6,805 [3] Option Volatility Statistics - The ATM - IV of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 16.65%, 16.55%, and 20.21% respectively, with changes of 0.21%, -0.11%, and 0.91% [6] - The Skew of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 16.39%, 14.22%, and 7.27% respectively, with changes of 0.57%, 5.34%, and 1.49% [6]

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core View The report focuses on the stock index and ETF options market on July 22, 2025, presenting data on market trends, including price changes, trading volume, open interest, and volatility, and warns about the expiration risk of ETF options [1]. 3. Summary by Category Market Data - **Underlying Market Statistics**: The closing prices of major indices and ETFs rose, with varying trading volume changes. For example, the Shanghai Composite 50 Index closed at 2792.18, up 19.94, and its trading volume was 68.31 billion hands, an increase of 18.36 billion hands [1]. - **Options Market Statistics**: Trading volume and open interest of most options increased. The PCR values (Volume - PCR and Open Interest - PCR) varied among different options, reflecting different market sentiment. For instance, the Volume - PCR of CSI 1000 Index Options was 72.54% [1]. - **Options Volatility Statistics**: Implied volatility (IV) and historical volatility (HV) of options showed different trends. For example, the near - month ATM - IV of Shanghai Composite 50 Index Options was 14.56%, with a 0.22% increase [4]. Index and ETF Options Analysis - **Shanghai Composite 50 Index Options**: Analyzed through full - contract PCR,主力 contract skew, volatility cone, and volatility term structure charts, showing market sentiment and volatility characteristics [7][8]. - **CSI 300 Index Options**: Similar analysis methods were used, with data presented in corresponding charts to reflect market conditions [11][12]. - **CSI 1000 Index Options**: The report analyzed its market performance from multiple perspectives, including trading volume, open interest, and volatility [14][15]. - **ETF Options**: Options such as Shanghai Composite 50ETF, Huatai - Berry 300ETF, and others were analyzed using PCR, skew, volatility cone, and term structure charts to understand their market trends [19][20].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoint As of July 17, 2025, the positive skew of stock index options has increased, indicating a rise in bullish sentiment, and the index options are approaching expiration [1]. 3. Summary by Relevant Catalog 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index were 2744.26, 4034.49, and 6535.67 respectively, with increases of 3.36, 27.29, and 73.61. The trading volumes were 36.15 billion, 161.25 billion, and 227.83 billion hands respectively, with changes of 1.91 billion, 10.22 billion, and 7.60 billion hands [2]. - **Option Market Statistics**: The trading volume and open interest of various options showed different changes. For example, the trading volume of Shanghai Stock Exchange 50 Index Options was 39,744, a decrease of 2,611, and the open interest was 77,564, an increase of 2,283 [2]. 3.2 Option Volatility Statistics - **Near - month Volatility**: The ATM - IV of Shanghai Stock Exchange 50 Index Options was 13.16%, with a change of 0.10%. The ATM - IV of CSI 300 Index Options was 11.69%, with a change of 0.81% [5]. - **Next - month Volatility**: The ATM - IV of Shanghai Stock Exchange 50 Index Options was 14.31%, with a change of 0.43%. The ATM - IV of CSI 300 Index Options was 14.05%, with a change of - 0.13% [5]. 3.3 Option Index Data Statistics No specific text description provided, but there are multiple charts for different option types, including PCR charts, skewness charts, volatility cone charts, and volatility term structure charts, which visually show the characteristics and trends of each option [9][13][22].

Group 1 - The phenomenon of call options not increasing in price despite the underlying asset's price rising can be attributed to several key factors [3][4][6] - Changes in the underlying asset's price directly affect the price of call options, and if the asset's price does not rise or falls, the call option price may not increase [3][6] - Volatility is a critical factor; a decrease in volatility can lead to a situation where the price of call options does not rise even if the underlying asset's price increases [3][6][7] Group 2 - Time decay is a significant reason for the lack of increase in call option prices; as the expiration date approaches, the time value of options diminishes, potentially offsetting any gains from the underlying asset's price increase [6][7] - Market demand for options can also influence their prices; a decrease in demand for call options can result in stagnant or declining prices despite favorable movements in the underlying asset [3][4] - Macroeconomic conditions and policy changes can impact the pricing of call options, as tighter monetary or fiscal policies may lower overall market risk appetite, affecting option prices [3][4]

Market Overview - The macro environment has improved since June 2025, leading to a significant rebound in major stock indices and most commodity futures prices, despite some disturbances from the Israel conflict [1] - Financial, chemical, and non-ferrous metal sectors saw a notable increase in options trading volume in June, indicating an expansion of the options market [1][2] Financial Market Conditions - In June, the manufacturing Purchasing Managers' Index (PMI) was at 49.7%, up 0.2 percentage points from the previous month, indicating marginal recovery despite remaining in contraction territory [2] - The production index rose to 51.0%, suggesting an acceleration in manufacturing activity, while the new orders index increased to 50.2%, indicating improved domestic demand [2] Trading Activity - The average daily trading volume for the Shanghai Stock Exchange 50 ETF was 648.77 million, with a month-on-month increase of 1.45% [3] - The total trading volume for the A-share market reached 44,715.60 million, with a significant month-on-month increase of 11.38% [3] Options Market Activity - The options market saw increased activity, with the trading volume for the Shanghai Stock Exchange 50 ETF options at 75.29 million, reflecting a 16% month-on-month increase [6] - The overall options trading volume for June was 463.70 million, with a 12% increase compared to the previous month [6] Commodity Market Conditions - The agricultural commodity market experienced fluctuations, with soybean meal prices rising initially due to lower quality ratings for U.S. soybeans, but later stabilizing as Brazilian soybeans arrived in large quantities [11] - The average daily trading volume for soybean meal futures was 1.18 million, showing a 26% increase month-on-month [12] Chemical Market Conditions - Crude oil prices initially rose but later fell due to easing tensions in the Middle East, with the market focusing on OPEC+ production policies [20] - The average daily trading volume for crude oil futures was 0.23 million, with a significant month-on-month increase of 2.3% [21]

Core Viewpoint - The global geopolitical risks have significantly increased, yet the stock market remains relatively calm, creating a dilemma for options traders who are caught between selling volatility and the potential for sudden conflict escalation [1][6][12] Group 1: Market Dynamics - Since Israel's airstrikes on Iran, oil prices have surged by 11%, with oil market volatility reaching its highest level since the 2022 Russia-Ukraine conflict [1][3][7] - The implied volatility (IV) has dropped significantly from its spring highs, while the actual volatility (RV) remains low, leading to a situation where IV appears expensive despite its decline [2][10] - The S&P 500 index has only decreased by 1.3%, while the implied volatility gap has widened to its highest level in about a year [3][7] Group 2: Options Trading Strategies - Options traders are currently in a precarious position, balancing between the fear of sudden geopolitical events causing IV to spike and the risk of time decay (theta) eroding the value of bought volatility [2][6][8] - Selling volatility typically involves strategies like selling straddles or strangles, with profits dependent on actual volatility being lower than implied volatility [2][10] - The current market environment has led to a chaotic global options market, where implied volatility has decreased significantly, but premiums remain high, complicating profitable trading strategies [10][12] Group 3: Investor Sentiment and Strategy Shifts - Investor sentiment has shifted from a "Buy America" strategy to a more mixed stance, reflecting fatigue with headline news and uncertainty regarding geopolitical developments [7][11] - Some traders are adopting "stock replacement" strategies, using options to hedge against market risks while maintaining their positions [12][13] - The Cboe VVIX index, which measures the volatility of the VIX, has risen to a high level, indicating increased market willingness to purchase options for hedging against significant volatility [12]

Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The commodity option implied volatility index is obtained by weighting the IV of the two - level options 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 implied volatility 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 Charts - There are multiple charts showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50 - ETF, 1000 - stock index, 500 - ETF, soybean meal, corn, sugar, cotton, rubber, PTA, crude oil, methanol, iron ore, PVC, urea, rebar, fuel oil, aluminum, and zinc from different time periods [4][5][6][7][8][9][10][11][13][14][15][21] 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 the current IV is high, and a low quantile means the current IV is low [17] - The document provides the implied volatility and historical volatility quantile rankings for various products such as PTA, PVC, methanol, etc. For example, PTA has an implied volatility quantile of 0.75, and 300 - stock index has an implied volatility quantile of 0.00 [19]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week (May 26 - May 30, 2025), the trading volume of the commodity options market declined, with an average daily trading volume of 5.47 million lots and an average daily open interest of 8.48 million lots, showing a -7% and +2.32% change respectively compared to the previous period. Investors are advised to focus on potential market opportunities in actively traded varieties [1][8]. - This week, most underlying futures of commodity options decreased, with 41 varieties rising weekly. High - rising varieties include rapeseed meal (+3.17%) and apples (+1.49%); high - falling varieties include polysilicon (-9.79%), rubber (-7.77%), and alumina (-6.53%) [2][15]. - This week, the implied volatility of some commodities rebounded, with 34 varieties showing a month - on - month increase in implied volatility. High - volatility varieties such as polysilicon, industrial silicon, and rubber carry unilateral risks, and investors are advised to focus on short - volatility opportunities; low - volatility varieties like vegetable oils, sugar, and iron ore have lower option purchase prices, and industrial customers can consider deploying insurance strategies [2][15]. - Currently, the volume PCR of rubber, synthetic rubber, and rebar is at a historical high, indicating strong short - term bearish sentiment in the market; the volume PCR of alumina is at a historical low, showing concentrated short - term bullish sentiment. The open interest PCR of ethylene glycol, cotton, urea, rebar, and PTA is at a historical high, suggesting a high level of accumulated bearish sentiment; while the open interest PCR of gold, glass, and soda ash is at a historical low, indicating accumulated bullish sentiment [2][15]. 3. Summary by Relevant Catalogs 3.1 Commodity Option Market Activity - The average daily trading volume of the commodity options market this week was 5.47 million lots, and the average daily open interest was 8.48 million lots, with a -7% and +2.32% change respectively compared to the previous period [1][8]. - Actively traded varieties this week included PTA (530,000 lots), glass (460,000 lots), and soda ash (430,000 lots). Six varieties had a trading volume increase of over 100%, with significant increases in paraxylene (+3439%), industrial silicon (+198%), and bottle chips (+150%); significant decreases were seen in polystyrene (-84%) and ethylene glycol (-61%) [1][8]. - Varieties with high average daily open interest this week were soybean meal (880,000 lots), soda ash (620,000 lots), and glass (570,000 lots). Rapid growth in open interest was observed in paraxylene (+117%), industrial silicon (+89%), and manganese silicon (+45%) [1][8]. 3.2 Main Data Review of Commodity Options 3.2.1 Underlying Price Movements - Most underlying futures of commodity options decreased this week, with 41 varieties rising weekly. High - rising varieties were rapeseed meal (+3.17%) and apples (+1.49%); high - falling varieties were polysilicon (-9.79%), rubber (-7.77%), and alumina (-6.53%) [2][15]. 3.2.2 Market Volatility - The implied volatility of some commodities rebounded this week, with 34 varieties having a month - on - month increase in implied volatility and 27 varieties having their current implied volatility below the historical 50% quantile. High - volatility varieties included polysilicon, industrial silicon, and rubber; low - volatility varieties included vegetable oils, sugar, and iron ore [2][15]. 3.2.3 Option Market Sentiment - The volume PCR of rubber, synthetic rubber, and rebar is at a historical high, indicating strong short - term bearish sentiment; the volume PCR of alumina is at a historical low, showing concentrated short - term bullish sentiment. The open interest PCR of ethylene glycol, cotton, urea, rebar, and PTA is at a historical high, suggesting high - level accumulated bearish sentiment; while the open interest PCR of gold, glass, and soda ash is at a historical low, indicating accumulated bullish sentiment [2][15]. 3.3 Key Data Overview of Main Varieties This chapter presents key data of main varieties, including trading volume, volatility, and option market sentiment indicators. More detailed data can be found on the Orient Futures Finoview official website (https://www.finoview.com.cn/) [19].