Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoint No core viewpoint was presented in the provided content. 3. Summary by Directory Option Trading Volume - On September 22, 2025, the trading volume of Shanghai Stock Exchange 50 ETF options was 1546800 contracts; the trading volume of Shanghai Stock Exchange 300 ETF options (Shanghai market) was 1840300 contracts; the trading volume of Shanghai Stock Exchange 500 ETF options (Shanghai market) was 2478700 contracts; the trading volume of Shenzhen 100 ETF options was 161100 contracts; the trading volume of GEM ETF options was 2011400 contracts; the trading volume of Shanghai Stock Exchange 50 index options was 48000 contracts; the trading volume of Shanghai Stock Exchange 300 index options was 188700 contracts; the total trading volume of CSI 1000 options was 197900 contracts [1]. - The detailed trading volume data for call, put, and total options of different types are presented in Table 1, such as the total trading volume of Shanghai Stock Exchange 50 ETF options was 1110400 contracts, with 640700 call contracts and 469600 put contracts [20]. Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.86, with a month - on - month change of - 0.05; the position PCR was reported at 0.73, with a month - on - month change of - 0.03. Similar data for other types of options are also provided, like the turnover PCR of Shanghai Stock Exchange 300 ETF options (Shanghai market) was 0.67, with a month - on - month change of - 0.16; the position PCR was 1.11, with a month - on - month change of - 0.04 [2][34]. Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 18.53%, with a month - on - month change of - 0.18%. The VIX of Shanghai Stock Exchange 300 ETF options (Shanghai market) was 19.86%, with a month - on - month change of + 0.18%. Similar data for other types of options are presented, such as the VIX of Shenzhen 100 ETF options was 26.83%, with a month - on - month change of + 0.55% [3][49].

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].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View The report presents a daily overview of the stock index options market, including option trading volume, PCR (Put - Call Ratio), and VIX (Volatility Index) for various stock index options on September 18, 2025. 3. Summary by Directory Option Trading Volume - On September 18, 2025, the trading volumes of different stock index options were as follows: 110.08 million contracts for SSE 50 ETF options, 153.29 million for CSI 300 ETF options (Shanghai market), 216.85 million for CSI 500 ETF options (Shanghai market), 8.99 million for Shenzhen 100 ETF options, 317.68 million for GEM ETF options, 9.43 million for SSE 50 stock index options, 18.08 million for CSI 300 stock index options, and 70.83 million for CSI 1000 options [1]. - The detailed trading volume breakdown shows that for SSE 50 ETF options, the call volume was 144.37 million, the put volume was 113.19 million, and the total volume was 257.56 million. For CSI 300 ETF options (Shanghai market), the call volume was 125.62 million, the put volume was 138.57 million, and the total volume was 264.19 million, etc. [21]. Option PCR - The PCR data shows that the SSE 50 ETF option's turnover PCR was 0.87 with a +0.21 change compared to the previous period, and the position PCR was 0.73 with a - 0.06 change. For CSI 300 ETF options (Shanghai market), the turnover PCR was 0.70 with a +0.17 change, and the position PCR was 1.10 with a -0.07 change, etc. [2][29]. Option VIX - The VIX data indicates that the SSE 50 ETF option's VIX was 20.04% with a -0.31% change compared to the previous period. The CSI 300 ETF option (Shanghai market) VIX was 20.57% with a -1.46% change. For example, the GEM ETF option VIX was 39.89% with a -1.13% change [3][43].

Report Industry Investment Rating No relevant content provided. Core View No relevant content provided. Summary by Directory I. Option Trading Volume - On September 17, 2025, the trading volume of SSE 50 ETF options was 965,600 contracts; CSI 300 ETF options (Shanghai market) was 1,293,500 contracts; CSI 500 ETF options (Shanghai market) was 1,924,600 contracts; Shenzhen 100 ETF options was 88,000 contracts; ChiNext ETF options was 2,602,600 contracts; SSE 50 index options was 46,400 contracts; CSI 300 index options was 149,900 contracts; and CSI 1000 options was 436,600 contracts [1]. - The table shows the call, put, and total trading volumes of various index ETF options on the same day [19]. II. Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.66, with a month - on - month change of - 0.07; the open interest PCR was 0.79, with a month - on - month change of - 0.02. Similar data were provided for other options including CSI 300 ETF options, CSI 500 ETF options, etc [2]. - A table presented the turnover PCR, month - on - month change, open interest PCR, and month - on - month change of various index ETF options [27]. III. Option VIX - The VIX of SSE 50 ETF options was reported at 20.35%, with a month - on - month change of + 0.91%. Similar data were given for other options such as CSI 300 ETF options, CSI 500 ETF options, etc [3]. - A table listed the VIX and month - on - month change values of various index ETF options [39].

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]

1. Report Industry Investment Rating - Not provided in the content 2. Core View of the Report - The report presents a daily overview of the stock index options market including option trading volume, PCR, and VIX data for various types of stock index options on September 16, 2025 [1][2][3] 3. Summary According to Relevant Catalogs 3.1 Option Trading Volume - On September 16, 2025, the trading volumes of different options were as follows: Shanghai - Shenzhen 300ETF options (Shanghai market) had 111.43 million contracts; CSI 500ETF options (Shanghai market) had 136.31 million contracts; Shenzhen 100ETF options had 11.45 million contracts; ChiNext ETF options had 204.60 million contracts; Shanghai - Shenzhen 50ETF options had 87.34 million contracts; Shanghai - Shenzhen 50 stock index options had 3.75 million contracts; Shanghai - Shenzhen 300 stock index options had 13.37 million contracts; and CSI 1000 options had 37.50 million contracts [1] - A table also showed the call, put, and total trading volumes of various stock index ETF options on the same day [19] 3.2 Option PCR - The PCR data of different options on September 16, 2025, were presented. For example, the turnover PCR of Shanghai - Shenzhen 50ETF options was 0.73 with a + 0.14 change compared to the previous period, and the position PCR was 0.81 with a - 0.03 change [2] - Similar data were provided for other options such as Shanghai - Shenzhen 300ETF options, CSI 500ETF options, etc [2] 3.3 Option VIX - The VIX data of different options on September 16, 2025, were given. For instance, the VIX of Shanghai - Shenzhen 50ETF options was 19.45% with a + 0.07% change compared to the previous period [3] - Other options like Shanghai - Shenzhen 300ETF options, CSI 500ETF options also had their respective VIX values and changes presented [3]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The report presents the trading data of various index options on September 15, 2025, including trading volume, PCR, and VIX, to help investors understand the market conditions of index options [1][2][3] Summary by Directory Option Trading Volume - On September 15, 2025, the trading volume of Shanghai Stock Exchange 50 ETF options was 1.1156 million contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 1.3422 million contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 2.1128 million contracts; the trading volume of Shenzhen 100 ETF options was 0.1266 million contracts; the trading volume of ChiNext ETF options was 1.9948 million contracts; the trading volume of Shanghai Stock Exchange 50 index options was 0.0346 million contracts; the trading volume of CSI 300 index options was 0.1549 million contracts; the total trading volume of CSI 1000 options was 0.2504 million contracts [1] Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.60, with a month - on - month change of +0.14; the position PCR was reported at 0.84, with a month - on - month change of +0.00. Similar data for other options are also provided, showing different changes in turnover PCR and position PCR [2] Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 19.38%, with a month - on - month change of +0.56%. The VIX and its month - on - month changes of other options are also presented, such as the VIX of CSI 300 ETF options (Shanghai market) was 20.29%, with a month - on - month change of +0.70% [3]

股指期权日报 | 2025-09-15 股指期权日报 股指期权市场概况 2025年期货市场研究报告 第1页 请仔细阅读本报告最后一页的免责声明 期权成交量 2025-09-12，上证50ETF期权成交量为160.39万张；沪深300ETF期权（沪市）成交量为194.49万张； 中证500ETF期权（沪市）成交量为231.13万张；深证100ETF期权成交量为16.61万张； 创业板ETF期权成交量为216.49万张；上证50股指期权成交量为4.90万张； 沪深300股指期权成交量为21.88万张；中证1000期权总成交量为38.00万张。 期权PCR 上证50ETF期权成交额PCR报0.45，环比变动为-0.09；持仓量PCR报0.85，环比变动为-0.06； 沪深300ETF期权（沪市）成交额PCR报0.38，环比变动为-0.08；持仓量PCR报1.14，环比变动为-0.15； 中证500ETF期权（沪市）成交额PCR报0.45，环比变动为-0.08；持仓量PCR报1.26，环比变动为+0.02 ； 深圳100ETF期权成交额PCR报0.47 ，环比变动为+0.10；持仓量PCR报1.18；环比变动为-0. ...

Report Summary 1. Investment Rating - No investment rating information is provided in the report. 2. Core View - The report provides a daily overview of the stock index options market, including option trading volume, PCR (Put - Call Ratio), and VIX (Volatility Index) for various types of stock index options on September 11, 2025 [1][2][3]. 3. Section Summaries Option Trading Volume - On September 11, 2025, the trading volumes of different stock index options were as follows: Shanghai - Shenzhen 300 ETF options (Shanghai market) had 115.36 million contracts; CSI 500 ETF options (Shanghai market) had 169.68 million contracts; Shenzhen 100 ETF options had 11.73 million contracts; ChiNext ETF options had 328.33 million contracts; SSE 50 stock index options had 5.37 million contracts; Shanghai - Shenzhen 300 stock index options had 11.94 million contracts; and CSI 1000 options had 42.96 million contracts [1]. - The detailed breakdown of call, put, and total trading volumes for each option type is also presented. For example, for SSE 50 ETF options, call volume was 92.00 million, put volume was 68.39 million, and total volume was 160.39 million [21]. Option PCR - The report shows the put - call ratio (PCR) of turnover and open interest for different stock index options. For instance, the turnover PCR of SSE 50 ETF options was 0.54, with a - 0.15 change compared to the previous period, and the open - interest PCR was 0.91, with a + 0.05 change [2][35]. Option VIX - The VIX values and their changes for different stock index options are reported. For example, the VIX of SSE 50 ETF options was 19.68%, with a + 2.19% change compared to the previous period [3][50].

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoint No information provided. 3. Summary by Directory I. Option Trading Volume - On September 10, 2025, the trading volumes of various index options were as follows: 1.0867 million contracts for SSE 50 ETF options, 1.2034 million contracts for SSE CSI 300 ETF options, 1.6179 million contracts for SSE CSI 500 ETF options, 0.1152 million contracts for Shenzhen 100 ETF options, 2.2872 million contracts for ChiNext ETF options, 0.034 million contracts for SSE 50 index options, 0.1289 million contracts for CSI 300 index options, and 0.3011 million contracts for CSI 1000 index options [1]. - The detailed trading volumes including call and put options are presented in Table 1. For example, the call and put trading volumes of SSE 50 ETF options were 0.4827 million and 0.4762 million contracts respectively, with a total of 0.9589 million contracts [21]. II. Option PCR - The PCR values of various index options and their环比 changes are as follows: For SSE 50 ETF options, the turnover PCR was 0.68 (环比 change -0.11), and the open - interest PCR was 0.85 (环比 change +0.02); for SSE CSI 300 ETF options, the turnover PCR was 0.67 (环比 change -0.02), and the open - interest PCR was 1.12 (环比 change +0.03); etc. [2][36]. III. Option VIX - The VIX values of various index options and their环比 changes are as follows: The VIX of SSE 50 ETF options was 17.49% (环比 change -0.98%); the VIX of SSE CSI 300 ETF options was 18.06% (环比 change -0.79%); etc. [3][51].