Group 1: Volatility Index Explanation - The 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 obtained by weighting the IVs of the two - strike 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 IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means a higher IV relative to HV, and a smaller difference means a lower IV relative to HV [3] Group 2: Volatility Index Charts - There are multiple charts showing the IV, HV, and IV - HV differences of various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, etc., as well as commodities like cotton, rubber, methanol, PTA, crude oil, etc., over different time periods from 2019 to 2025 [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 current IV, and a low quantile means low current IV. Volatility spread refers to the difference between the IV index and historical volatility [20] - Quantile rankings are provided for different options such as PVC, PTA, 300 - stock index, 50ETF, cotton, iron ore, etc., with specific quantile values given [21]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - Corn futures prices dropped slightly, while the implied volatility of corn options rebounded significantly. The futures main contract C2509 closed at 2321 yuan/ton, with an option trading volume of 156,367 lots, an open interest of 440,600 lots, a trading volume PCR of 0.832, and the option weighted implied volatility at 11.43% [1][2]. - Soybean meal futures prices continued to rise, and the implied volatility of soybean meal options increased substantially. The futures main contract M2509 closed at 3095 yuan/ton, with an option trading volume of 384,182 lots, an open interest of 898,113 lots, a trading volume PCR of 0.479, and the option weighted implied volatility at 18.30% [1][2]. 3. Summary by Directory 3.1 Futures Market Data Statistics | Contract | Closing Price | Change | Change Rate (%) | Trading Volume | Volume Change | Open Interest | Interest Change | | --- | --- | --- | --- | --- | --- | --- | --- | | C2509 | 2321 | -1 | -0.04 | 696,340 | 192,243 | 923,031 | -52,830 | | M2509 | 3095 | 9 | 0.29 | 1,166,151 | -14,759 | 1,838,499 | -12,733 | [3] 3.2 Option Market Data Statistics | Option Underlying | Trading Volume | Volume Change | Trading Volume PCR | PCR Change | Open Interest | Interest Change | Open Interest PCR | PCR Change | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | Corn | 156,367 | 45,418 | 0.832 | 0.185 | 440,600 | 2,866 | 0.531 | -0.011 | | Soybean Meal | 384,182 | 52,110 | 0.479 | -0.106 | 898,113 | 22,626 | 0.615 | 0.011 | [8] 3.3 Option Volatility Situation | Variety | Option Weighted Implied Volatility (%) | Volatility Change (%) | Change Rate | 30 - Day Historical Volatility (%) | 30 - Day Volatility Quantile | | --- | --- | --- | --- | --- | --- | | Corn | 11.43 | 0.97 | 9.26% | 8.47 | 0.12 | | Soybean Meal | 18.30 | 2.02 | 12.38% | 11.46 | 0.03 | [17]

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]