Market Overview - The market has shown extreme volatility, with significant fluctuations leading to a rapid rise and fall in indices, recently surpassing the 4000-point mark again, with trading volume exceeding 200 billion [1][9] - This lack of continuity in market trends indicates a significant divergence between bullish and bearish sentiments, resulting in rapid capital movement across various sectors [3][12] Technical Analysis - Key resistance level identified at 4020, with support at 3950, indicating potential price action boundaries for the market [5][13] - The market's volatility has been negatively correlated, with a recent drop in volatility to 13.74, marking a 7.10% decrease and reaching a recent low [12] Investment Insights - The recent market rebound has led to substantial gains in indices such as the CSI 500 and ChiNext, with notable stocks like Cambrian Technology surpassing Kweichow Moutai in price [1][13] - The current market environment presents both opportunities and risks, particularly for inexperienced investors who may struggle to navigate the rapid changes [1][3]

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core View Stock index options' implied volatility is stable, and investors can consider selling strangles [2]. 3. Summary Based on Relevant Contents Market Data Statistics - **Underlying Market**: The closing prices of major indexes and ETFs mostly declined. For example, the Shanghai Composite 50 Index closed at 3050.42, down 19.11 points; the CSI 300 Index closed at 4691.97, down 24.05 points [3]. - **Option Market**: The trading volume of most options decreased, while the open interest increased. For instance, the trading volume of SSE 50 Index Options was 33,391, down 6,263; the open interest was 64,084, up 1,381 [3]. - **Option Volatility**: The ATM - IV of most options showed different degrees of change. For example, the ATM - IV of SSE 50 Index Options (near - month) was 15.14%, down 0.33% [6]. Option - Specific Analysis - **SSE 50 Index Options**: Multiple charts are provided, including the volatility chart, PCR chart, and volatility cone chart, to show the option's volatility, contract ratio, and volatility range over different periods [10][11]. - **CSI 300 Index Options**: Similar to SSE 50 Index Options, multiple charts are used to analyze its volatility, contract ratio, and other features [14][16]. - **CSI 1000 Index Options**: The report presents charts to analyze its volatility, PCR, and volatility term structure [19][20][21]. - **ETF Options**: Options such as SSE 50 ETF Options, Huatai - Berry 300 ETF Options, and others are analyzed through various charts, including volatility, PCR, and volatility cone charts [23][24][30].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoint of the Report The market is fluctuating weakly, implied volatility is rising. Consider timing to buy put options for protection [1]. 3. Summary by Relevant Catalogs 3.1 Option Market Trading Overview - The total daily average trading volume of all options is 13.5785 million lots, with a total open interest of 10.3924 million lots and a total turnover of 12.963624 billion yuan [1]. 3.2 Option Volatility - The ATM - IV, IV weekly change, 20HV, HV weekly change, Skew, Skew weekly change, VIX, and VIX change of various options are presented in Table 2. For example, the ATM - IV of SSE 50 Index Option is 17.54%, with an IV weekly change of 2.29% [3]. 3.3 Option Liquidity - There are multiple charts showing the changes in total trading volume, total open interest, total turnover, total trading market value, and total open - interest market value of financial options, as well as the trading volume and open - interest proportions of each option variety [4][6][7][8]. 3.4 Option Volatility Level - Last week, there was a divergence between at - the - money implied volatility and historical volatility for various options. The current at - the - money implied volatility and the correlation coefficient between the underlying asset and at - the - money implied volatility of each option are provided. For instance, for SSE 50 Index Option, the current at - the - money implied volatility is 17.54%, and the correlation coefficient is - 79.60% [9]. 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of options can reflect market bull - bear sentiment. There are multiple charts showing the PCR trends and daily环比 incremental percentages of various options [35][36]. 3.6 Market Support and Resistance Level Information - The key support and resistance levels of various option underlying assets are provided. For example, the key support level of SSE 50 Index is 3000, and the resistance level is 3000; the key support level of CSI 1000 Index is 7300, and the resistance level is 7500 [50].

Report Date - The report is dated October 16, 2025 [1] Core Viewpoint - As stock index options approach expiration, the trading volume ratio of put options has decreased [2] Market Data Statistics Underlying Market Statistics - The closing price of the SSE 50 Index was 3019.20, up 17.85, with a trading volume of 6.341 billion hands, an increase of 0.03 billion hands. The synthetic futures for the current month and next month were 3020.40 and 3021.33 respectively, with basis points of 1.20 and 2.14 [3] - The CSI 300 Index closed at 4618.42, up 12.13, with a trading volume of 24.824 billion hands, a decrease of 3.654 billion hands. The synthetic futures for the current month and next month were 4616.07 and 4604.13 respectively, with basis points of -2.36 and -14.29 [3] - The CSI 1000 Index closed at 7401.84, down 81.61, with a trading volume of 23.464 billion hands, a decrease of 1.021 billion hands. The synthetic futures for the current month and next month were 7400.73 and 7295.07 respectively, with basis points of -1.10 and -106.77 [3] Options Market Statistics - The trading volume of SSE 50 Index options was 72,709, an increase of 17,701, with an open interest of 78,533, an increase of 858. The VL - PCR was 58.30%, and the OI - PCR was 82.83%. The maximum call and put open interests in the near - month were at strike prices of 3050 and 2900 respectively [3] - The trading volume of CSI 300 Index options was 203,367, an increase of 14,560, with an open interest of 200,887, a decrease of 259. The VL - PCR was 73.39%, and the OI - PCR was 97.07%. The maximum call and put open interests in the near - month were at strike prices of 4700 and 4500 respectively [3] - The trading volume of CSI 1000 Index options was 362,400, a decrease of 58,777, with an open interest of 302,815, an increase of 5121. The VL - PCR was 98.62%, and the OI - PCR was 96.70%. The maximum call and put open interests in the near - month were at strike prices of 7500 and 7200 respectively [3] Options Volatility Statistics Near - Month - The ATM - IV of SSE 50 Index options was 14.96%, an increase of 0.35%. The Skew was -3.35%, a decrease of 1.45%. The VIX was 18.74, an increase of 0.152 [6] - The ATM - IV of CSI 300 Index options was 14.54%, a decrease of 0.69%. The Skew was -3.65%, a decrease of 0.48%. The VIX was 20.00, a decrease of 0.103 [6] - The ATM - IV of CSI 1000 Index options was 19.27%, a decrease of 0.05%. The Skew was -4.18%, an increase of 2.21%. The VIX was 24.67, an increase of 0.708 [6] Next - Month - The ATM - IV of SSE 50 Index options was 16.42%, an increase of 0.36%. The Skew was -1.69%, an increase of 0.88% [6] - The ATM - IV of CSI 300 Index options was 17.61%, a decrease of 0.10%. The Skew was -4.64%, a decrease of 0.18% [6] - The ATM - IV of CSI 1000 Index options was 23.02%, an increase of 0.86%. The Skew was -7.62%, a decrease of 1.40% [6] Option Types Analysis SSE 50 Index Options - Multiple charts are provided, including the full - contract PCR chart, the main - contract skew chart, the volatility cone chart, and the volatility term - structure chart [10][12] CSI 300 Index Options - Similar to SSE 50 Index options, multiple charts are presented, such as the main - contract volatility chart, the full - contract PCR chart, and the volatility cone chart [14][16] CSI 1000 Index Options - Relevant charts include the main - contract volatility chart, the full - contract PCR chart, and the volatility term - structure chart [19][23][25] SSE 50ETF Options - Charts cover the main - contract volatility, full - contract PCR, and volatility cone [27][28][29] Huatai - Baorui 300ETF Options - There are main - contract volatility, full - contract PCR, and volatility term - structure charts [31][33][36] Southern CSI 500ETF Options - The analysis includes main - contract volatility, full - contract PCR, and volatility cone charts [41][42][45] Huaxia Science and Technology Innovation 50ETF Options - Charts involve main - contract volatility, full - contract PCR, and volatility term - structure [49][51][53] E Fund Science and Technology Innovation 50ETF Options - Main - contract volatility, full - contract PCR, and volatility cone charts are provided [56][60][61] Harvest 300ETF Options - Relevant charts are main - contract volatility, full - contract PCR, and volatility term - structure [63][65] Harvest CSI 500ETF Options - The analysis includes main - contract volatility, full - contract PCR, and volatility cone charts [67][68][69] ChiNext ETF Options - Charts cover main - contract volatility, full - contract PCR, and volatility term - structure [71][72][73] Shenzhen 100ETF Options - There are main - contract volatility, full - contract PCR, and volatility cone charts [75][77][78]

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report No clear core view is presented in the given text. The report mainly provides detailed data on various financial products, including price, volatility, and related quantile information. 3. Summary by Product 3.1 50ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price fluctuated with a -0.35% decline on Oct 13, -0.03% on Oct 14, and a 1.23% increase on Oct 15. The current IV was 16.92%, 17.38%, and 16.01% respectively, and the next - month IV was 17.65%, 17.48%, and 16.36% [1]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are provided, with current IV 1 - year quantiles at 60.40%, 63.20%, 54.20% and 2 - year quantiles at 70.70%, 72.80%, 64.80% [1]. 3.2 Shanghai 300ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price had a -0.57% decline on Oct 13, -1.00% on Oct 14, and a 1.31% increase on Oct 15. The current IV was 18.05%, 19.49%, and 16.89% respectively, and the next - month IV was 18.39%, 19.07%, and 17.46% [4]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are given, such as 1 - year current IV quantiles at 53.00%, 64.80%, 53.50% [4]. 3.3 Shenzhen 300ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price dropped by -0.47% on Oct 13, -1.09% on Oct 14, and rose by 1.48% on Oct 15. The current IV was 19.05%, 19.67%, and 17.39% respectively, and the next - month IV was 18.74%, 19.37%, and 17.49% [8]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are provided, like 1 - year current IV quantiles at 66.50%, 70.60%, 57.90% [8]. 3.4 Shanghai CSI 500ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price decreased by -2.35% on Oct 13, -2.88% on Oct 14, and -1.02% on Oct 15. The current IV was 20.93%, 22.86%, and 20.55% respectively, and the next - month IV was 21.72%, 22.50%, and 20.87% [17]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are presented, for example, 1 - year current IV quantiles at 52.20%, 62.80%, 50.20% [17]. 3.5 Shenzhen CSI 500ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price fell by -0.50% on Oct 13, -2.25% on Oct 14, and rose by 1.27% on Oct 15. The current IV was 21.37%, 23.72%, and 20.26% respectively, and the next - month IV was 22.50%, 23.06%, and 21.36% [27]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are given, such as 1 - year current IV quantiles at 55.10%, 65.30% [27]. 3.6 ChiNext ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price dropped by -1.32% on Oct 13, -3.93% on Oct 14, and rose by 2.35% on Oct 15. The current IV was 38.89%, 40.15%, and 35.12% respectively, and the next - month IV was 36.71%, 38.08%, and 34.84% [33]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are provided, with 1 - year current IV quantiles at 85.70%, 87.70%, 74.60% [33]. 3.7 Shenzhen 100ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price decreased by -1.27% on Oct 13, -2.54% on Oct 14, and rose by 2.14% on Oct 15. The current IV was 25.76%, 27.59%, and 23.56% respectively, and the next - month IV was 26.30%, 26.40%, and 25.03% [43]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are presented, for example, 1 - year current IV quantiles at 74.60%, 83.20%, 64.00% [43]. 3.8 Science and Technology Innovation 50ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price rose by 1.18% on Oct 13, dropped by -4.20% on Oct 14, and rose by 1.35% on Oct 15. The current IV was 47.39%, 46.66%, and 40.73% respectively, and the next - month IV was 42.65%, 43.07%, and 40.10% [52]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are given, such as 1 - year current IV quantiles at 85.70%, 91.40%, 79.70% [52]. 3.9 STAR 50ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price rose by 1.00% on Oct 13, dropped by -4.10% on Oct 14, and rose by 1.10% on Oct 15. The current IV was 45.79%, 45.71%, and 41.44% respectively, and the next - month IV was 42.36%, 43.16%, and 40.76% [57]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are provided, with 1 - year current IV quantiles at 82.80%, 89.90%, 81.80% [57]. 3.10 300 Index - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price decreased by -0.50% on Oct 13, -1.20% on Oct 14, and rose by 1.48% on Oct 15. The current IV was 16.88%, 18.26%, and 15.19% respectively, and the next - month IV was 18.72%, 19.78%, and 17.40% [65]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are presented, for example, 1 - year current IV quantiles at 56.30%, 64.40%, 38.30% [65]. 3.11 1000 Index - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price dropped by -0.19% on Oct 13, -1.95% on Oct 14, and rose by 1.50% on Oct 15. The current IV was 21.41%, 22.86%, and 19.06% respectively, and the next - month IV was 22.57%, 22.55%, and 21.47% [69]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are given, such as 1 - year current IV quantiles at 34.60%, 49.70%, 22.00% [69]. 3.12 SSE 50 Index - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price decreased by -0.26% on Oct 13, -0.21% on Oct 14, and rose by 1.36% on Oct 15. The current IV was 15.76%, 17.52%, and 14.57% respectively, and the next - month IV was 53.26%, 53.17%, and 57.64% [73]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are provided, with 1 - year current IV quantiles at 46.50%, 58.70% [73].

1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - Stock index options are experiencing an upward trend with decreasing volatility, and the bearish sentiment is declining. A covered call strategy can be considered [2] 3. Summary by 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 indices all rose, while the trading volumes decreased. For example, the Shanghai Composite 50 Index closed at 3001.35, up 40.25, with a trading volume of 63.38 billion hands, a decrease of 22.81 billion hands [3] - **Option Market Statistics**: The trading volumes of most options decreased, while the positions of some options increased. For example, the trading volume of Shanghai Composite 50 Index options was 55,008, a decrease of 13,785, and the position was 77,675, an increase of 183 [3] 3.2 Option Volatility Statistics - **Near - Month Options**: The implied volatility (ATM - IV) of most options decreased. For example, the ATM - IV of Shanghai Composite 50 Index options was 14.62%, a decrease of 2.70% [6] - **Next - Month Options**: The ATM - IV of most options also decreased. For example, the ATM - IV of Shanghai Composite 50 Index options was 16.06%, a decrease of 1.87% [6] 3.3 Option Indicator Data Statistics - **PCR and Skew**: The report provides the PCR (volume and position) and skew data of various options, which can be used to analyze market sentiment and risk [3][6] 3.4 Option Charts - **Volatility Charts**: Include the volatility trends of the main contracts of various options, such as the Shanghai Composite 50 Index option, CSI 300 Index option, etc., which can help investors understand the volatility changes of options [10][12][14] - **PCR Charts**: Show the volume and position PCR trends of all contracts of various options, reflecting the market's bullish and bearish sentiment [10][17][20] - **Volatility Cone and Term Structure Charts**: Present the volatility cone and term structure of various options, helping investors analyze the volatility characteristics and term structure of options [10][16][24]

Report Summary 1. Core View - The stock index options are experiencing a downward wave increase, indicating a rise in bearish sentiment [1] 2. Market Data Summary 2.1 Underlying Market Statistics - The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index were 2961.10, 4539.06, and 7373.15 respectively, all showing declines. The trading volumes were 86.18 billion, 372.95 billion, and 304.41 billion hands respectively, with changes of 16.02 billion, 57.94 billion, and 16.01 billion hands [2] - For ETFs, the closing prices of Shanghai Composite 50 ETF, Huatai-PineBridge 300 ETF, and others also mostly declined, with varying trading volumes and changes [2] 2.2 Option Market Statistics - The trading volumes and open interests of various index options and ETF options showed different degrees of change. For example, the trading volume of Shanghai Composite 50 Index Option was 68,793, an increase of 4,243, and the open interest was 77,492, an increase of 248 [2] - The VL-PCR and OI-PCR of different options also varied, reflecting different market sentiment. For instance, the VL-PCR of Shanghai Composite 50 Index Option was 68.12%, and the OI-PCR was 72.11% [2] 2.3 Option Volatility Statistics - The ATM-IV, IV changes, same - term HV, and HV changes of different options were presented. For example, the near - month ATM - IV of Shanghai Composite 50 Index Option was 17.32%, with an IV change of 1.69%, and the same - term HV was 11.68%, with an HV change of - 8.47% [5] 3. Figures and Charts - There are multiple figures and charts for different index options and ETF options, including the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term structure chart, which visually display the market conditions of each option [9][14][18]

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]