Group 1: Common Option Structures - The three common option structures—Snowball, Phoenix, and Fixed Coupon Notes (FCN)—are essentially barrier options, with specific characteristics regarding cash flow and risk exposure [2][3]. - The classic Snowball structure allows for cash flow only at maturity or upon knock-out, while the Phoenix structure enables monthly cash flow as long as the price is above the knock-in line [2]. - FCN provides fixed coupon payments regardless of price movements during the holding period, making it attractive for conservative investors due to a significantly lower probability of knock-in [2]. Group 2: Profit and Loss Scenarios - In scenarios without knock-in, all three structures yield similar returns, with higher coupon structures being more favorable [3]. - In cases where knock-in occurs but knock-out does not, Snowball and FCN can still yield returns, while Phoenix's cash flow is affected by the knock-in event [3]. - If knock-in occurs and the asset price is below the exercise price at maturity, losses may occur, with Snowball being the most adversely affected due to no cash flow during the holding period [3]. Group 3: Risk and Return Dynamics - The risk-return relationship indicates that Phoenix typically offers lower coupons than Snowball, while FCN generally has the lowest coupon rates [4]. Group 4: Market Timing Considerations - Proper market timing is essential, as no option structure guarantees profit in all market conditions [5]. Group 5: Delta and Volatility Analysis - All three structures maintain a positive Delta, indicating a bullish stance on the underlying asset, and are more suitable for moderate upward or sideways markets [7]. - The expected volatility is positively correlated with coupon rates, as higher volatility increases the likelihood of reaching knock-in conditions [8]. - The structures tend to be short volatility in most scenarios, making high volatility periods favorable for entry [10]. Group 6: Selection of Underlying Assets - The choice of underlying assets significantly impacts the performance of the structured products, with the China Securities 500 Index being identified as a suitable candidate due to its risk-return profile [14][16]. - The analysis of daily return distributions shows that the Hang Seng Tech Index has the lowest probability of extreme negative returns, making it a favorable option [14][15]. Group 7: Historical Backtesting and Timing Strategies - Historical backtesting indicates that FCN can effectively mitigate knock-in losses, making it a lower-risk option compared to Snowball [16]. - Rational timing strategies suggest that selecting more aggressive structures during low-risk periods and conservative structures during higher-risk periods can optimize returns [16]. Group 8: Structural Variations and Adjustments - The flexibility in setting barriers allows for various structural adjustments to balance risk and return, such as eliminating knock-in features or adjusting the knock-out thresholds [19].

Market Performance - The Shanghai Composite Index dropped 0.01% to 3853.3 points, the Shenzhen Component Index rose 0.67%, the ChiNext Index rose 1.58%, the North Securities 50 Index fell 1.37%, the Science and Technology Innovation 50 Index rose 1.24%, and the Wind All - A Index rose 0.17% [5] - The Wind A500 rose 0.54% and the CSI A500 rose 0.71%. A - shares had a full - day trading volume of 2.39 trillion yuan, compared with 2.35 trillion yuan the previous day [7] Index Data Index Quotes | Index | Closing Price | Trading Volume (Billion) | Turnover (Billion Yuan) | Increase/Decrease (%) | | --- | --- | --- | --- | --- | | SSE 50 | 2952.7352 | 1586.67 | 54.32 | 0.45 | | CSI 300 | 4593.4875 | 0.60 | 6698.67 | - 0.37 | | CSI 1000 | 4647.45 | - | - | - | [3] CFFEX Stock Index Options Trading | Index | Call Option Volume (Million Contracts) | Put Option Volume (Million Contracts) | Option Volume (Million Contracts) | Call Option Open Interest (Million Contracts) | Put Option Open Interest (Million Contracts) | Open Interest (Million Contracts) | Volume PCR | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3.57 | 2.45 | 6.66 | 4.06 | 2.59 | 6.65 | 0.64 | 0.64 | | CSI 300 | 13.42 | 8.03 | 21.45 | 17.04 | 8.03 | 25.07 | 0.89 | 0.47 | | CSI 1000 | 22.91 | 12.69 | 35.6 | 13.28 | 10.22 | 23.5 | 0.81 | 0.77 | [3] Volatility Analysis - The report presents historical volatility and historical volatility cones, as well as volatility smile curves for SSE 50, CSI 300, and CSI 1000, including data such as minimum, maximum, 10% quantile, 30% quantile, 60% quantile, 90% quantile, and current values for different time - periods (5 - day, 20 - day, 40 - day, 60 - day, 120 - day) [3][4]

Report Summary 1. Core Concepts - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options 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 indicates that the implied volatility is relatively higher than historical volatility, while a smaller difference means the opposite [3] - The implied volatility quantile represents the current level of the implied volatility of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low. The volatility spread is the implied volatility index minus the historical volatility [5] 2. Implied Volatility and Historical Volatility Data - The report presents the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) of various financial and commodity options, including 300股指, 50ETF, 1000股指, 500ETF, silver, Shanghai gold, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, crude oil, aluminum, PVC, rebar, zinc, urea, palm oil, etc. [4] 3. Implied Volatility Quantile and Volatility Spread Quantile Ranking - Implied volatility quantile ranking: 50ETF (0.65), 300股指 (0.78 for one and 0.52 for another), PTA (0.32 and 0.38), cotton (0.14 and 0.22), iron ore (0.07), PVC (0.20), etc. [6]

Report Industry Investment Rating - No relevant content provided Core Viewpoints - Corn futures prices dropped significantly, with the futures main contract C2511 closing at 2147 yuan/ton. Corn option trading volume was 113,537 lots, and the open interest was 356,845 lots. The option weighted implied volatility was 10.60%, and the 30 - day historical volatility was 14.83%. The option implied volatility decreased slightly [1][2]. - Soybean meal futures prices rose slightly, with the futures main contract M2601 closing at 3034 yuan/ton. Soybean meal option trading volume was 235,630 lots, and the open interest was 951,504 lots. The option weighted implied volatility was 14.13%, and the 30 - day historical volatility was 12.97%. The option implied volatility remained stable [1][2]. Summary by Related Catalogs 1. Futures Market Data Statistics - For the corn futures main contract C2511, the closing price was 2147 yuan/ton, with a drop of 21 yuan and a decline rate of 0.97%. The trading volume was 592,934 lots, an increase of 288,038 lots, and the open interest was 797,950 lots, a decrease of 13,885 lots [3]. - For the soybean meal futures main contract M2601, the closing price was 3034 yuan/ton, with a rise of 20 yuan and an increase rate of 0.66%. The trading volume was 1,046,478 lots, an increase of 150,872 lots, and the open interest was 1,945,986 lots, a decrease of 74,549 lots [3]. 2. Option Market Data Statistics - For corn options, the trading volume was 113,537 lots, an increase of 62,855 lots. The trading volume PCR was 0.996, an increase of 0.525. The open interest was 356,845 lots, an increase of 6,246 lots, and the open interest ratio was 0.501, a decrease of 0.010 [8]. - For soybean meal options, the trading volume was 235,630 lots, an increase of 5,161 lots. The trading volume PCR was 0.669, a decrease of 0.083. The open interest was 951,504 lots, a decrease of 6,566 lots, and the open interest ratio was 0.600, an increase of 0.005 [8]. 3. Option Volatility Situation - For corn options, the option weighted implied volatility was 10.60%, a decrease of 0.08 percentage points and a decrease rate of 0.75%. The 30 - day historical volatility was 14.83%, and the 30 - day volatility quantile was 0.96 [18]. - For soybean meal options, the option weighted implied volatility was 14.13%, a decrease of 0.11 percentage points and a decrease rate of 0.78%. The 30 - day historical volatility was 12.97%, and the 30 - day volatility quantile was 0.10 [18].

Group 1: Index Explanation - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options 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 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] - Implied volatility quantile represents the historical level of the current variety's implied volatility. A high quantile means the current implied volatility is high, and a low quantile means the current implied volatility is low [4] - Volatility spread is the difference between the implied volatility index and historical volatility [4] Group 2: Implied Volatility Quantile Ranking - For the 50ETF, the implied volatility quantile is 0.80, and the historical volatility quantile is 0.76 [5][7] - For the 300 Index, the implied volatility quantile is 0.78, and the historical volatility quantile is 0.71 [5] - For other varieties such as Tianjun, Yingge, etc., their implied and historical volatility quantiles are also provided in the report [5] Group 3: Volatility Spread Chart - The report presents the IV - HV differences of various financial and commodity options including 300 Index, 50ETF, 1000 Index, 500ETF, silver, soybean meal, etc. through charts, showing the relationship between implied volatility and historical volatility for each option [8]

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 obtained by weighting the IV of the two - strike options above and below the at - the - money option of the main contract, 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, and a smaller difference means IV is relatively lower [3] Group 2: Volatility Data Graphs - The graphs show the IV, HV, and IV - HV differences of various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, silver, gold, soybean meal, corn, sugar, cotton, methanol, rubber, iron ore, PTA, crude oil, aluminum, PVC, rebar, zinc, urea, palm oil, and rapeseed oil [4] Group 3: Implied Volatility and Volatility Spread 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. Volatility spread is the difference between the IV index and HV [5] - The implied volatility quantile rankings are as follows: 300 Index (0.83), 50ETF (0.74), PTA (0.19), etc., and the historical volatility quantile rankings are also presented [6]

Report Summary 1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints - Not provided in the content 3. Summary by Related Catalogs 3.1 Implied Volatility Index, Historical Volatility and Their Spread Charts - The 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 weighted by the implied volatilities of the two - strike prices 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 means the implied volatility is relatively higher than historical volatility, and a smaller difference means the opposite [3] 3.2 Implied Volatility Quantile and Volatility Spread Quantile Ranking Chart - The implied volatility quantile represents the current level of a variety's implied volatility in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [5] - The volatility spread is the difference between the implied volatility index and historical volatility [5] - Specific implied volatility quantile rankings include 0.75 for 50ETF, 0.74 for 300 Index, 0.67 for PTA, etc. [5][6][8]

Report Information - Report Title: Stock Index Options Data Daily Report [2] - Date: September 16, 2025 [3] - Research Institute: Guomao Futures Research Institute [3] - Analyst: Li Zeju from the Financial Derivatives Center [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Market Review Index Performance - The closing price of the Shanghai Stock Exchange 50 Index was 1456.98, with a decline of 0.20% and a trading volume of 296.26154 billion yuan [3]. - The closing price of the CSI 300 Index was 4533.0557, with an increase of 0.24% and a trading volume of 613.315 billion yuan [3]. - The closing price of the CSI 1000 Index was 7415.5711, with a decline of 0.10% and a trading volume of 475.105 billion yuan [3]. Overall Market Conditions - The Shanghai Composite Index fell 0.26% to 3860.5 points, the Shenzhen Component Index rose 0.63%, the ChiNext Index rose 1.51%, the Beijing Stock Exchange 50 Index rose 0.38%, the Science and Technology Innovation 50 Index rose 0.18%, the Wind All - A Index rose 0.09%, the Wind A500 rose 0.22%, and the CSI A500 rose 0.3% [5]. - The total A - share trading volume for the day was 2.3 trillion yuan, compared to 2.55 trillion yuan the previous day [5]. CFFEX Stock Index Options Trading Situation Option Trading Volume - For the Shanghai Stock Exchange 50 Index options, the trading volume of call options was 2.71 million contracts, and that of put options was 3.77 million contracts, with a trading volume PCR of 0.51 [3]. - For the CSI 300 Index options, the trading volume of call options was 8.63 million contracts, and that of put options was 0.55 million contracts, with a trading volume PCR of 0.83 [3]. - For the CSI 1000 Index options, the trading volume of call options was 25.04 million contracts, and that of put options was 13.62 million contracts, with a trading volume PCR of 0.84 [3]. Option Open Interest - For the Shanghai Stock Exchange 50 Index options, the open interest of call options was 9.71 million contracts, and that of put options was 4.08 million contracts, with an open interest PCR of 0.64 [3]. - For the CSI 300 Index options, the open interest of call options was 12.77 million contracts, and that of put options was 10.58 million contracts, with an open interest PCR of 0.83 [3]. - For the CSI 1000 Index options, the open interest of call options was 35.62 million contracts, and that of put options was 18.56 million contracts, with an open interest PCR of 1.09 [3]. Volatility Analysis Shanghai Stock Exchange 50 Index Volatility - Historical volatility and historical volatility cone are presented, along with the volatility smile curve and next - month at - the - money implied volatility [3][4]. CSI 300 Index Volatility - Historical volatility and historical volatility cone are shown, as well as the volatility smile curve and next - month at - the - money implied volatility [3][4]. CSI 1000 Index Volatility - Historical volatility and historical volatility cone are provided, together with the volatility smile curve and next - month at - the - money implied volatility [3][4].

Group 1: Volatility Index Explanation - Financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day, while the commodity option implied volatility index is weighted by the IV of the upper and lower two - strike options of the front - month at - the - money options, showing the IV change trend of the front - month contract [2] - The difference between the implied volatility 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 [2] Group 2: Volatility Data Chart - The chart shows the IV, HV, and IV - HV differences of various financial and commodity options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as silver, soybean meal, corn, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - Implied volatility quantile represents 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. Volatility spread is the difference between the implied volatility index and historical volatility [4] - The implied volatility quantile rankings of different varieties are presented, such as 300 Index with a quantile of 0.63, 50ETF with 0.73, PTA with 0.22, etc [5]

Group 1 - The article emphasizes the importance of understanding volatility in options trading, highlighting that a precise grasp of volatility is key to improving trading success rates [1][2] - It distinguishes between price fluctuations and volatility itself, explaining that price fluctuations are actual market movements, while volatility measures the intensity of these movements [1][2] - The concept of volatility has evolved from traditional commodity trading, where price changes were the main focus, to a critical variable in options pricing models [2][3] Group 2 - Historical volatility is defined as the standard deviation of price changes over a specific period, often annualized for practical use, and serves as a reference for predicting future volatility [3][5] - Implied volatility, in contrast, reflects market participants' expectations of future price fluctuations and is derived from observed market prices, acting as a gauge of market sentiment [4][5] - The relationship between historical and implied volatility is significant, as changes in one can influence the other, indicating potential future price movements [5]