Investment Rating - The report does not explicitly state an investment rating for the industry or specific companies Core Insights - The report provides detailed volatility data for various ETFs, indicating a fluctuating market environment with significant historical volatility levels observed across different time frames [10][20][28] - Implied volatility (IV) for the 50ETF, Hu300ETF, and other ETFs shows a trend of increasing IV, suggesting heightened market expectations for future volatility [11][23][54] - The skew index for the main months of options indicates a shift in market sentiment, with recent values showing an upward trend, reflecting changing investor expectations [9][18][38] Summary by Sections 50ETF - The current price is 2.723 with an implied volatility (IV) of 13.56% and historical volatility (HV) values showing a range from 5.43% to 12.91% over the past days [2][3][10] - The IV percentile for the past year is 39.10%, indicating a relatively high level of implied volatility compared to historical data [2][3] Hu300ETF - The current price is 4.005 with an IV of 14.39% and HV values ranging from 4.80% to 11.43% [11][12] - The IV percentile for the past year is 43.60%, suggesting increased market expectations for volatility [11][12] Deep300ETF - The current price is 4.106 with an IV of 14.21% and HV values from 4.40% to 11.99% [23][24] - The IV percentile for the past year is 37.10%, indicating a moderate level of implied volatility [23][24] Entrepreneur Board ETF - The current price is 2.125 with an IV of 23.06% and HV values ranging from 9.93% to 19.19% [54][55] - The IV percentile for the past year is 40.40%, reflecting significant market expectations for future volatility [54][55] Deep100ETF - The current price is 2.770 with an IV of 18.31% and HV values from 5.00% to 13.57% [60][61] - The IV percentile for the past year is 42.80%, indicating a relatively high level of implied volatility [60][61]

安粮期货期权数据报告 商品期权数据研报 2025 年 3 月 13 日 玉米期价小幅下跌，期权隐波小幅下降 豆粕期价小幅回升，期权隐波持续下降 内容摘要 玉米期价小幅下跌，期货主力合约 C2505 报 收于 2299 元/吨。玉米期权成交 87818 手，持仓 量为 437427 手，成交量 PCR 为 0.919，今日玉 米期权成交量最高的合约为 C2505 合约，其占总 成交量比例为 87%左右。期权加权隐含波动率为 11.51%,30 日历史波动率为 8.82%，期权隐波小 幅下降。 豆粕期价小幅回升，期货主力合约 M2505 报 收于 2877 元/吨。豆粕期权成交 330759 手，持 仓量为 1231312 手，成交量 PCR 为 0.765，目前 成交量集中在虚值期权。期权加权隐含波动率 为 20.76%，30 日历史波动率为 22.97%,期权隐 波持续下降。 安粮期货研究所 期权组 TEL:0551-62879960 张莎 期货从业资格号： F03088817 投资咨询证号： Z0019577 总部地址：合肥市包河区花园大道 986 号安粮中心 23-24 层 客服热线： 400—626—9 ...

Investment Rating - The report indicates a strong performance in iron ore prices, suggesting a positive investment outlook for the sector [1]. Core Insights - Iron ore spot prices closed at 835 CNY/ton, a 4% increase month-on-month, while the DCE iron ore index closed at 831 CNY/ton, up 3.5% [9]. - Daily average trading volume for iron ore options was 347,985 contracts, showing a month-on-month increase, while total open interest was 360,031 contracts, reflecting a decrease [10]. - The report highlights a slight decline in iron water production, but a significant recovery in profit per ton of steel [18]. Summary by Sections 1.1 Market Review - Iron ore spot prices increased by 4% month-on-month, with the DCE iron ore index rising by 3.5% [9]. 1.2 Options Market Review - Daily average trading volume for I2505 series options rose to 102,964 contracts, with total open interest increasing to 315,120 contracts [13]. - The implied volatility for the main contract series options remained stable at 28% [14]. - The short-term historical volatility for iron ore was recorded at 24%, which is below the average level [16]. 1.3 Options Strategy Recommendation - The report recommends a strategy of buying put spreads, as the iron ore price is expected to maintain a strong performance despite slight declines in production and inventory levels [18].

Investment Rating - The report suggests a bearish outlook on iron ore, recommending to buy put options due to the anticipated decline in steel production and weak iron ore prices [16]. Core Insights - Iron ore prices experienced fluctuations, with the spot price stabilizing at 805 CNY/ton and the DCE iron ore index decreasing by 2% to 789 CNY/ton [8]. - External shipments of iron ore have increased, while arrivals at ports have slightly decreased, leading to a reduction in port inventories and a noticeable accumulation of steel mill stocks [16]. - The implied volatility of iron ore options has decreased and is currently at a low level, indicating a potential opportunity for buying put options [16][12]. Summary by Sections 1.1 Market Review - Iron ore spot prices showed a mixed trend, closing at 805 CNY/ton, unchanged month-on-month, while the DCE iron ore index fell by 2% to 789 CNY/ton [8]. - The average daily trading volume for iron ore options was 218,017 contracts, reflecting a decrease, while total open interest rose to 421,384 contracts [9]. 1.2 Options Market Review - The I2505 series options saw an increase in average daily trading volume to 119,881 contracts, with total open interest rising to 321,710 contracts [11]. - The implied volatility for the main contract series options has decreased to 25%, indicating lower market expectations for future price movements [12]. 1.3 Options Strategy Recommendation - The report highlights a recovery in steel mill production and iron output, despite a low arrival rate at ports and a significant accumulation of steel mill inventories [16]. - The anticipated reduction in crude steel production is expected to exert downward pressure on iron ore prices, reinforcing the recommendation to buy put options [16].

Investment Rating - The report does not explicitly state an investment rating for the industry or specific ETFs analyzed. Core Insights - The report provides detailed volatility metrics for various ETFs, including the 50ETF, Hu300ETF, and others, indicating a range of implied volatility (IV) and historical volatility (HV) levels, which are critical for assessing market conditions and potential investment opportunities. Summary by Relevant Sections 50ETF Analysis - As of February 20, 2025, the 50ETF price was 2.708 with an implied volatility (IV) of 14.04% and a 20-day historical volatility (20HV) of 9.50% [2][3][8] - The one-year IV percentile was 42.00%, indicating a moderate level of volatility compared to historical data [2][3][8] Hu300ETF Analysis - On February 20, 2025, the Hu300ETF price was 4.021, with an IV of 14.52% and a 20HV of 10.07% [13][14] - The one-year IV percentile was 42.00%, suggesting a similar volatility profile to the 50ETF [13][14] Deep300ETF Analysis - The Deep300ETF was priced at 4.122 on February 20, 2025, with an IV of 14.97% and a 20HV of 10.49% [23][24] - The one-year IV percentile was 47.70%, indicating slightly higher volatility compared to the Hu300ETF [23][24] ChiNext ETF Analysis - The ChiNext ETF had a price of 2.184 on February 20, 2025, with an IV of 24.59% and a 20HV of 22.98% [55][56] - The one-year IV percentile was 50.60%, reflecting a higher volatility environment compared to the other ETFs analyzed [55][56] Skew Index and Smile Curve - The skew index for the main months of the 50ETF, Hu300ETF, and Deep300ETF showed variations, with the 50ETF at 100.42 on the latest date, indicating market sentiment towards volatility [10][19][26] - The smile curves for these ETFs suggest varying levels of demand for options at different strike prices, which can indicate market expectations for future volatility [12][18][25] Historical Volatility Metrics - Historical volatility metrics for the ETFs indicate a maximum of 88% for the 50ETF and 110% for the Hu300ETF, suggesting significant past price fluctuations [11][21][28] - The report highlights the importance of these metrics in understanding the risk and potential return profiles of the ETFs [11][21][28]