1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - On October 13, 2025, the implied volatility of stock index options opened high and trended lower, with a rise in bearish sentiment. It is advisable to consider buying put options for protection [1] 3. Summary by Related Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index decreased by 7.65, 22.86, and 14.06 respectively. The trading volumes of the Shanghai Composite 50 ETF, Huatai-PineBridge 300 ETF, and Southern 500 ETF were 5.38 billion, 9.66 billion, and 3.87 billion hands respectively [2] - **Option Market Statistics**: The trading volume and open interest of most options increased. For example, the trading volume of Shanghai Composite 50 Index options increased by 7,823 to 64,550, and the open interest increased by 775 to 77,244 [2] 3.2 Option Volatility Statistics - **Near - Month Options**: The ATM - IV of most options increased. For instance, the ATM - IV of Shanghai Composite 50 Index options increased by 0.38% to 15.63%, and the ATM - IV of CSI 1000 Index options increased by 1.87% to 21.65% [5] - **Next - Month Options**: The ATM - IV of most options also increased. For example, the ATM - IV of Shanghai Composite 50 Index options increased by 0.53% to 17.69%, and the ATM - IV of CSI 300 Index options increased by 1.28% to 19.04% [5] 3.3 Option Indicator Data Statistics - **PCR and Skew**: The VL - PCR and OI - PCR of most options showed different degrees of change, and the skew also changed. For example, the VL - PCR of Shanghai Composite 50 Index options was 70.39%, and the skew of near - month options decreased by 2.84% to - 0.20% [2][5] 3.4 Option Charts - **Volatility Charts**: For various options such as Shanghai Composite 50 Index options, CSI 300 Index options, and Shanghai Composite 50ETF options, there are charts showing the volatility trends of the main contracts, including ATM - IV and 20HV [9][11][13] - **PCR and Skew Charts**: There are also charts showing the PCR and skew trends of the main contracts and all contracts of various options [9][14][17] - **Volatility Cone and Term Structure Charts**: There are charts presenting the volatility cone and term structure of various options [9][15][18]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report Stock index options are experiencing a downward increase in volatility, and the skewness of some varieties has shifted to negative skew [2]. 3. Summary According to Relevant Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and other indexes all declined. Their trading volumes also decreased, except for the Shanghai Composite 50 ETF, Huatai-PineBridge CSI 300 ETF, and other ETFs, which showed an increase [3]. - **Option Market Statistics**: The trading volumes of the Shanghai Composite 50 Index Option, Shanghai Composite 50 ETF Option, and other options decreased, while the trading volumes of the CSI 300 Index Option, Huatai-PineBridge CSI 300 ETF Option, and other options increased. The open interest of most options increased [3]. - **Option Volatility Statistics**: The ATM-IV of most options increased, and the HV also showed an upward trend. The skewness of some options shifted to negative skew [6]. 3.2 Option Index Data Statistics - **PCR (Put-Call Ratio)**: The VL-PCR and OI-PCR of most options are relatively high, indicating a strong bearish sentiment in the market [3]. - **Maximum Open Interest**: The maximum open interest of call options and put options in the near - month contracts of different options varies, which can reflect the market's expectations of the future price range of the underlying assets [3]. 3.3 Option Charts - **Volatility Cone and Volatility Term Structure**: Different option varieties have different volatility cone and volatility term structure charts, which can help analyze the historical and current volatility levels and term structure characteristics of options [10][14][20]. - **PCR Chart and Skewness Chart**: The PCR chart and skewness chart of different option varieties can reflect the market sentiment and the probability distribution of the underlying asset price changes [10][15][19].

Core Insights - JPMorgan & Chase Co is set to announce its third-quarter earnings report on October 14, with expected profits of $4.83 per share and revenue of $44.66 billion, reflecting increases of 10.5% and 4.7% year-over-year respectively [1] Stock Performance - The stock has generally performed well post-earnings, finishing higher after three of the last four quarterly reports, although it experienced a 0.7% decline in July despite beating earnings expectations [2] - Over the past two years, the stock has averaged a post-earnings move of 2.6%, with this earnings report expected to see a larger-than-usual swing of 5.2% priced in by options [2] Current Stock Status - As of the latest update, JPMorgan's stock is down 0.6% at $307.21, having pulled back from a record high of $318.01 on September 29, but is still up 28.2% year-to-date [3] - The stock is testing its 40-day moving average and an uptrend channel formed from lows around $202 [3] Options Market Activity - There is increased bearish sentiment in the options market ahead of the earnings report, with a 10-day put/call volume ratio of 0.86, ranking higher than 90% of readings from the past year [5] - Despite the bearish sentiment, bulls are still prevailing in absolute terms, and JPMorgan's Schaeffer's Volatility Scorecard (SVS) is at 74 out of 100, indicating that the stock has exceeded volatility expectations over the past year [5]

Report Date - The report is dated September 23, 2025 [1] Core View - Near - month implied volatility of stock index options declined, and ETF options are approaching maturity [2] Market Data Summary Underlying Market Statistics - The closing prices of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index were 2919.51, 4519.78, and 7408.07 respectively, with declines of 2.66, 2.83, and 81.41. Their trading volumes were 62.90 billion, 252.83 billion, and 313.26 billion hands, with increases of 15.92 billion, 56.37 billion, and 42.90 billion hands [3]. - Among ETFs, the closing prices of Shanghai Stock Exchange 50 ETF, Huatai - Ber瑞 300 ETF, and Southern 500 ETF were 3.054, 4.622, and 7.277 respectively. Their trading volumes were 11.09 billion, 10.55 billion, and 2.63 billion hands, with increases of 4.75 billion, 4.26 billion, and 0.27 billion hands [3]. Options Market Statistics - For stock index options, the trading volumes of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options were 42,909, 144,639, and 356,629 respectively, with increases of 11,816, 59,101, and 158,745. Their open interests were 65,341, 160,079, and 256,191 respectively, with increases of 3,328, 8,935, and 20,421 [3]. - For ETF options, the trading volumes of Shanghai Stock Exchange 50 ETF Options, Huatai - Ber瑞 300 ETF Options, and Southern 500 ETF Options were 1,454,290, 1,773,324, and 2,672,050 respectively, with increases of 343,922, 777,161, and 1,053,272. Their open interests were 1,832,560, 1,481,812, and 1,365,560 respectively, with changes of - 18,141, 12,508, and 26,037 [3]. Options Volatility Statistics - In the near - month period, the ATM - IV of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options were 20.02%, 20.21%, and 28.14% respectively, with declines of 0.46%, 0.70%, and 0.88% [6]. - For ETF options, the ATM - IV of Shanghai Stock Exchange 50 ETF Options, Huatai - Ber瑞 300 ETF Options, and Southern 500 ETF Options were 17.31%, 16.98%, and 17.05% respectively, with declines of 1.25%, 0.63%, and 3.42% [6]. Chart Analysis - The report provides various charts for different options, including full - contract PCR charts, main - contract skew trend charts, volatility cone charts, and volatility term structure charts for Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, CSI 1000 Index Options, and multiple ETF options [10][14][18]

Report Overview - The report focuses on the stock index options market on September 19, 2025, indicating that the market was volatile, ETF options were approaching expiration, and the term volatility spread widened [1]. Market Data Statistics Underlying Market Statistics - The Shanghai Composite 50 Index closed at 2909.74, down 3.08, with a trading volume of 5.724 billion shares, a decrease of 1.762 billion shares. The synthetic futures for the current month and next month were 2915.73 and 2924.47 respectively, with basis points of 5.99 and 14.72 [1]. - The CSI 300 Index closed at 4501.92, up 3.81, with a trading volume of 22.504 billion shares, a decrease of 8.482 billion shares. The synthetic futures for the current month and next month were 4491.27 and 4492.47 respectively, with basis points of -10.65 and -9.45 [1]. - The CSI 1000 Index closed at 7438.19, down 38.21, with a trading volume of 29.59 billion shares, a decrease of 10.27 billion shares. The synthetic futures for the current month and next month were 7354.67 and 7298.73 respectively, with basis points of -83.52 and -139.46 [1]. - Various ETFs also showed different closing prices, trading volumes, and changes, such as the Shanghai Composite 50 ETF closing at 3.045, down 0.003, with a trading volume of 656 million shares, a decrease of 649 million shares [1]. Options Market Statistics - For the Shanghai Composite 50 Index options, the trading volume was 62,129, a decrease of 56,460, and the open interest was 55,579, a decrease of 48,318. The VL - PCR was 67.73%, and the OI - PCR was 60.10%. The maximum call and put open interests in the near - month were at strike prices of 3000 and 2850 respectively [1]. - Similar data were provided for other index options and ETF options, including the CSI 300 Index options, CSI 1000 Index options, and various ETF options [1]. Options Volatility Statistics - In the near - month, for the Shanghai Composite 50 Index options, the ATM - IV was 21.01%, a decrease of 2.19%, the same - term HV was 13.63%, a decrease of 0.07%, the Skew was 11.81%, an increase of 1.10%, and the VIX was 19.38, a decrease of 2.509 [4]. - Similar volatility data were presented for other index options and ETF options, both in the near - month and next - month [4]. Index and ETF Option Charts - The report includes various charts for different index and ETF options, such as the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term - structure chart for the Shanghai Composite 50 Index options, CSI 300 Index options, CSI 1000 Index options, and multiple ETF options [8][12][15].

1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - The volatility trends of near - and far - month options are diverging. It is advisable to consider building a protective put position for the next month when prices are low [1] 3. Summary by Relevant Catalogs 3.1 Option Market Trading Overview - The daily average trading volume, open interest, and turnover of various financial options are presented. For example, the total daily average trading volume of all options is 1242.50 million lots, with a total open interest of 1169.28 million lots and a total turnover of 13.2349519 billion yuan [1] 3.2 Option Volatility Statistics - The implied volatility (IV), historical volatility (HV), skew, and VIX of various options on the last trading day of the week are provided. For instance, the ATM - IV of SSE 50 Index Options is 21.01% with a - 2.19% change [3] 3.3 Option Liquidity - Multiple charts show the changes in total trading volume, open interest, turnover, trading value, and the proportion of trading volume and open interest of each option variety [4][6][10] 3.4 Option Volatility Level - Comparing the at - the - money implied volatility (ATM - IV) and historical volatility (HV) of various options, there were signs of convergence last week. The current ATM - IVs of different options range from 18.21% to 46.36%. The relationship between the underlying asset and ATM - IV varies, with correlation coefficients ranging from - 44.74% to 95.63% [11][13][15] 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of various options is used to reflect market bull - bear sentiment, and the PCR trends and daily环比increment percentages of different options are presented through charts [39][40] 3.6 Market Support and Resistance Levels - The key support and resistance levels of various option underlying assets are given. For example, the key support level of the SSE 50 Index is 2850, and the resistance level is 3000 [53]

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Report's Core View There is no clear statement of the report's core view in the given text. 3. Summary by Related Catalogs 3.1 General Information - The report provides data on various ETFs and indices, including 50ETF, Shanghai 300ETF, Shenzhen 300ETF, Shanghai CSI 500ETF, Shenzhen CSI 500ETF, ChiNext ETF, Shenzhen 100ETF, Science and Technology Innovation 50ETF, Science and Technology Innovation Board 50ETF, 300 Index, 1000 Index, and Shanghai Composite 50 Index [1][3][7][14][21][25][35][43][50][57][63][69] 3.2 Price and Volatility Data - For each ETF and index, the report shows the price, price change, implied volatility (IV) for the current and next months over a 5 - day period from September 15 - 17, 2025 [1][3][7][14][21][25][35][43][50][57][63][69] - It also presents the IV quantiles for the current and next months over the past 1 and 2 years [1][3][7][14][21][25][35][43][50][57][63][69] 3.3 Volatility Structure and Trends - ATM IV term structures for different months (M1, M2, Q1, Q2, etc.) are provided, comparing the current day with the previous day [1][3][7][14][21][25][35][43][50][57][60][65][70] - Intraday trends of different - month at - the - money (ATM) IV are shown [1][3][7][14][21][25][35][43][50][60][65][70] 3.4 Skew Index and Smile Curve - The skew index for the main contract month is calculated as the ratio of the implied volatility of a call option with a delta of 0.75 to that of a call option with a delta of 0.25, and its values for the past five days are given [2][5][13][17][24][30][39][46][53][62][68][73] - The smile curves for the main contract months of each ETF and index option are presented [2][5][13][16][24][29][38][45][52][62][68][73] 3.5 Other Related Data - The relationship between price, open interest PCR, IV, and trading volume is shown through historical trend charts for each ETF and index [2][5][13][19][24][31][41][48][55][62][68][73] - Intraday synthetic - futures spreads and historical synthetic - futures spreads for some indices are provided [62][68][73]

Report Date - The report is dated September 17, 2025 [1] Investment Rating - Not provided in the report Core Viewpoint - Stock index options are experiencing an upward volatility trend, with implied volatility rising to a medium-high level. It is advisable to consider building long option positions on dips for protection [1] Key Data Summaries 1. Underlying Market Statistics - **Indices**: The closing prices of the Shanghai 50 Index, CSI 300 Index, and CSI 1000 Index were 2952.78, 4551.02, and 7554.81 respectively, with increases of 4.96, 27.69, and 71.18. Their trading volumes were 56.67 billion, 235.72 billion, and 301.71 billion shares respectively, showing decreases of 0.97 billion, 13.55 billion, and 7.30 billion shares [2] - **ETFs**: The closing prices of various ETFs such as SSE 50 ETF, Huatai-PineBridge CSI 300 ETF, and Southern CSI 500 ETF showed different degrees of increase, and their trading volumes also had corresponding changes [2] 2. Option Market Statistics - **Trading Volume and Open Interest**: The trading volumes and open interests of various stock index options and ETF options showed different degrees of increase or decrease. For example, the trading volume of SSE 50 Index Options increased by 11,756 to 57,826, and the open interest increased by 4,820 to 105,477 [2] - **PCR Indicators**: The VL-PCR and OI-PCR of different options also varied. For instance, the VL-PCR of SSE 50 Index Options was 48.38%, and the OI-PCR was 63.55% [2] 3. Option Volatility Statistics - **ATM-IV and HV**: The at-the-money implied volatility (ATM-IV) and historical volatility (HV) of different options showed different trends. For example, the ATM-IV of SSE 50 Index Options (near - month) was 21.94%, with an increase of 2.39%, and the HV was 7.38%, with an increase of 4.06% [5] - **Skew and VIX**: The skew and VIX of different options also had corresponding changes. For example, the skew of SSE 50 Index Options (near - month) was 14.02%, with an increase of 9.46%, and the VIX was 22.08, with an increase of 0.874 [5] Option - Specific Charts - For each type of option (SSE 50 Index Options, CSI 300 Index Options, etc.), there are charts showing full - contract PCR,主力 contract volatility,主力 contract skew, volatility cone, and volatility term structure [9][13][16]

Report Industry Investment Rating - Not provided in the content Core Viewpoint - In the stock index options market, there is a trend of volatility decline. When the index is at a high level, investors can consider constructing put options for protection [1] Summary by Related Catalogs Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and other underlying assets showed different changes. For example, the Shanghai Composite 50 Index closed at 2968.54, down 14.54 points; the CSI 300 Index closed at 4522.00, down 26.04 points; the CSI 1000 Index closed at 7422.88, up 23.00 points. The trading volumes of these underlying assets also had corresponding changes [1] - **Option Market Statistics**: The trading volumes and open interests of various option products changed. For example, the trading volume of Shanghai Composite 50 Index options was 57,617, down 5,024; the open interest was 93,475, up 266. The VL - PCR and OI - PCR of different options also showed different values [1] Option Volatility Statistics - **Near - month Options**: The ATM - IV of various options decreased to different extents. For example, the ATM - IV of Shanghai Composite 50 Index options was 15.99%, down 0.77%; the ATM - IV of CSI 300 Index options was 16.14%, down 1.05%. The HV and Skew of different options also had corresponding changes [4] - **Next - month Options**: Similar to the near - month options, the ATM - IV of next - month options also showed a downward trend in most cases. For example, the ATM - IV of Shanghai Composite 50 Index options was 19.56%, down 1.01%; the ATM - IV of CSI 300 Index options was 20.65%, down 0.24% [4] Option Index Data Statistics - For each type of option (such as Shanghai Composite 50 Index options, CSI 300 Index options, etc.), there are corresponding full - contract PCR charts, main - contract skewness trend charts, volatility cone charts, and volatility term structure charts, which visually display the relevant data changes of these options [8][12][17]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints No explicit core viewpoints are presented in the given content. The data mainly focuses on the price, volatility, and related indicators of various financial products such as ETFs and indices. 3. Summary by Product 50ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 3.059 to 3.122, with a maximum daily increase of 1.63%. The current month IV ranged from 15.16% - 16.24%, and the next month IV from 17.60% - 18.58% [1]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 48.90% - 67.40%, and the next month IV quantiles were 58.60% - 80.50% [1]. Shanghai 300ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 4.528 to 4.660, with a maximum daily increase of 2.69%. The current month IV ranged from 14.58% - 17.98%, and the next month IV from 18.37% - 20.32% [4]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 31.80% - 73.80%, and the next month IV quantiles were 59.90% - 84.70% [4]. Shenzhen 300ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 4.671 to 4.800, with a maximum daily increase of 2.56%. The current month IV ranged from 15.27% - 18.07%, and the next month IV from 18.76% - 20.31% [8]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 39.50% - 76.20%, and the next month IV quantiles were 60.50% - 84.00% [8]. Shanghai CSI 500ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 7.006 to 7.224, with a maximum daily increase of 3.11%. The current month IV ranged from 19.27% - 21.34%, and the next month IV from 22.92% - 24.33% [16]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 38.70% - 67.20%, and the next month IV quantiles were 59.90% - 81.60% [16]. Shenzhen CSI 500ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 2.800 to 2.891, with a maximum daily increase of 3.14%. The current month IV ranged from 19.63% - 21.80%, and the next month IV from 23.46% - 24.69% [22]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 42.00% - 70.30%, and the next month IV quantiles were 61.60% - 81.30% [22]. ChiNext ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 2.845 to 3.025, with a maximum daily increase of 5.22%. The current month IV on September 9 - 10 was 32.85% - 33.59%, and the next month IV was 35.81% - 35.99% [26]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 72.60% - 86.00%, and the next month IV quantiles were 82.20% - 91.10% [26]. Shenzhen 100ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 3.314 to 3.451, with a maximum daily increase of 3.82%. The current month IV ranged from 20.52% - 25.02%, and the next month IV from 24.00% - 26.67% [36]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 55.90% - 83.40%, and the next month IV quantiles were 66.20% - 88.30% [36]. Science and Technology Innovation 50ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 1.307 to 1.393, with a maximum daily increase of 5.45%. The current month IV ranged from 35.02% - 43.96%, and the next month IV from 39.70% - 45.48% [44]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 65.30% - 93.20%, and the next month IV quantiles were 77.60% - 90.30% [44]. Science and Technology Innovation Board 50ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 1.277 to 1.361, with a maximum daily increase of 5.50%. The current month IV ranged from 38.59% - 48.40%, and the next month IV from 40.15% - 47.41% [51]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 75.10% - 93.60%, and the next month IV quantiles were 73.40% - 91.30% [51]. 300 Index - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 4436.258 to 4548.035. The current month IV ranged from 13.77% - 16.79%, and the next month IV from 18.80% - 20.23% [59]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 29.30% - 67.00%, and the next month IV quantiles were 59.10% - 80.30% [59]. 1000 Index - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 7226.028 to 7399.885. The current month IV ranged from 20.56% - 22.39%, and the next month IV from 24.87% - 25.65% [61]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 31.00% - 50.50%, and the next month IV quantiles were 55.10% - 72.10% [61]. Shanghai Composite 50 Index - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 2928.632 to 2983.083. The current month IV ranged from 14.52% - 16.95%, and the next month IV from 65.29% - 71.83% [75]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 30.60% - 66.60%, and the next month IV quantiles were 97.10% - 99.70% [75].