Group 1: Market Review - The closing prices of the Shanghai 50, CSI 300, and CSI 1000 indices were 2826.1249, 4450.0493, and 7619.8503 respectively, with daily declines of 0.25%, 0.93%, and 1.91% [4]. - The trading volumes of the Shanghai 50, CSI 300, and CSI 1000 indices were 57.10 billion, 224.54 billion, and 255.26 billion respectively, and the trading turnovers were 1212.35 billion yuan, 4845.58 billion yuan, and 4046.52 billion yuan respectively [4]. Group 2: CFFEX Stock Index Options Trading - The option trading volumes of the Shanghai 50, CSI 300, and CSI 1000 were 2.97 million, 9.10 million, and 28.18 million contracts respectively [4]. - The trading volumes of call options for the Shanghai 50, CSI 300, and CSI 1000 were 1.79 million, 4.98 million, and 16.17 million contracts respectively, and the trading volumes of put options were 1.18 million, 4.13 million, and 12.01 million contracts respectively [4]. - The option open interests of the Shanghai 50, CSI 300, and CSI 1000 were 8.33 million, 19.59 million, and 33.06 million contracts respectively [4]. - The open interests of call options for the Shanghai 50, CSI 300, and CSI 1000 were 5.12 million, 11.82 million, and 18.53 million contracts respectively, and the open interests of put options were 3.21 million, 7.78 million, and 14.53 million contracts respectively [4]. - The PCR values of trading volume for the Shanghai 50, CSI 300, and CSI 1000 were 0.66, 0.83, and 0.74 respectively, and the PCR values of open interest were 0.63, 0.66, and 0.78 respectively [4]. Group 3: Volatility Analysis - The report presents the historical volatility cones and volatility smile curves of the Shanghai 50, CSI 300, and CSI 1000, including the current values, maximum values, minimum values, and percentile values of different periods [7].

Group 1: Volatility 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 month, reflecting the implied volatility change trend of the main contract [1] - 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 the implied volatility is relatively higher, and a smaller difference means it is relatively lower [1] Group 2: Implied Volatility Quantile Explanation - 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 [3] - Volatility spread is the implied volatility index minus historical volatility [3]

Group 1: Volatility 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 month, reflecting the implied volatility change trend of the main contract [2] - 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 [2] Group 2: Volatility Data Visualization - The document presents 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股指, 50ETF, 1000股指, 500ETF, corn, cotton, methanol, rubber, iron ore, PTA, crude oil, PVC, rebar, urea, rapeseed, and palm oil [3] Group 3: Implied Volatility Quantile and Volatility Spread - The implied volatility quantile represents the current level of the implied volatility of a variety in history. A high quantile indicates that the current implied volatility is relatively high, and a low quantile means it is relatively low [4] - The volatility spread is related to the implied volatility index and historical volatility [4]

Group 1: Volatility 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 [1] - 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 [1] Group 2: Volatility Graphs - There are multiple graphs 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, corn, cotton, methanol, rubber, iron ore, PTA, crude oil, aluminum, PVC, rebar, urea, rapeseed, and palm oil [2] Group 3: Implied Volatility Quantile - Implied volatility quantiles represent 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 [3] - Volatility spread is defined as the implied volatility index minus historical volatility [3]

1. Report Industry Investment Rating The report does not provide an overall investment rating for the options market. However, it offers rating criteria for different types of bonds: - **Interest - rate bonds**: Based on the net price change of interest - rate bonds within 3 months after the report date. Ratings include "Overweight" (interest risk decreases, net price has upward potential), "Neutral" (interest risk is stable, net price has minor fluctuations), and "Underweight" (interest risk increases, net price has downward potential) [93]. - **Credit bonds**: Based on the net price change of credit bonds within 3 months after the report date. Ratings include "Overweight" (credit risk decreases, net price has upward potential), "Neutral" (credit risk is stable, net price has minor fluctuations), and "Underweight" (credit risk increases, net price has downward potential) [94]. - **Convertible bonds**: Based on the price change of convertible bonds relative to the CSI Convertible Bond Index within 3 months after the report date. Ratings include "Overweight" (convertible bonds outperform the CSI Convertible Bond Index), "Neutral" (convertible bonds perform in line with the CSI Convertible Bond Index), and "Underweight" (convertible bonds underperform the CSI Convertible Bond Index) [95]. 2. Core View of the Report In a volatile market environment, options, with the natural advantage of separating rights and obligations, can provide opportunities to seek excess returns while controlling risks. Attention should be paid to the effect of expanding the investment boundary brought by options and related investment portfolios [1]. 3. Summary by Relevant Catalogs 3.1 Option Overview - **Option Definition and Key Elements**: An option contract is a standardized or non - standardized contract that allows the buyer the right to buy or sell an agreed underlying asset (including futures contracts) at a specific price in the future. Key elements include the underlying asset, right type, exercise price, and expiration date. Options are "right" certificates rather than "ownership" certificates, and the transaction is the transfer of rights and obligations, not the transfer of real - asset ownership [1][19]. - **Classification of Domestic Options**: Chinese options can be divided into on - exchange options and over - the - counter (OTC) options. OTC options are mostly non - standardized and are usually customized between institutional investors, and individual investors generally cannot participate. On - exchange options can be further divided into two categories: ETF options based on securities accounts with ETFs as underlying assets, mainly listed on the Shanghai and Shenzhen Stock Exchanges; and options based on futures accounts, including stock index options listed on the China Financial Futures Exchange and commodity options listed on various commodity exchanges [1][24]. - **Advantages and Disadvantages of Option Investment**: Advantages include the separation of rights and obligations, which can improve capital use efficiency; the separation of risk and return, which can prevent extreme price - fluctuation risks; and the ability to combine with basic products to enrich investment strategies. Disadvantages include the potential for the time value of options to be wasted, the influence of volatility on option value, and the requirement for both correct direction and timing in option investment [2][3] 3.2 Option Pricing and Greek Values - **BS Formula for Option Pricing**: The Black - Scholes (BS) model is the theoretical basis for pricing European options globally. In reality, since the volatility of the underlying asset in the future cannot be observed, the concept of implied volatility is introduced, which is a core factor affecting option prices [32][33]. - **Delta**: Measures the change in option price caused by a 1 - unit change in the price of the underlying asset. It reflects the linear sensitivity of the option price to the price of the underlying asset. It is mainly used to linearly reflect the impact of small - scale price changes of the underlying asset on the option price and can be used to construct investment portfolios to hedge risks [34][36]. - **Gamma**: The second - order partial derivative of the option price with respect to the price of the underlying asset. It measures the change in Delta caused by a 1 - unit change in the price of the underlying asset. It is mainly used to prevent extreme price - fluctuation risks [38][39]. - **Theta**: Measures the change in option price caused by a 1 - unit reduction in the remaining time. The time value of an option is constantly decreasing, so Theta is always negative. It represents the cost for the buyer and the income for the seller [41][42]. - **Vega**: Measures the relationship between a 1 - unit change in the volatility of the underlying asset and the change in option price. Vega is always positive, indicating a positive correlation between option price and volatility. Implied volatility can be used as a warning indicator of potential risks [43][50]. - **Rho**: Measures the change in option price caused by a 1 - unit change in the risk - free interest rate. In the ideal conditions defined by the BS formula, the Rho of a call option is positive, and that of a put option is negative. However, for commodity options, the situation may be different [55]. 3.3 Option Trading Strategy Analysis - **Single - Option Trading Strategy**: Buying a call/put option indicates a bullish/bearish view, while selling a call/put option indicates a non - bullish/non - bearish view. Buying options can control risks while building positions. Options may have a higher leverage ratio than futures, showing both safety and risk. For investment, options close to at - the - money should be selected; for speculation, relatively out - of - the - money options are preferred. Option investment is more suitable for short - term trading [7][68]. - **Multi - Option Portfolio Strategy**: By using two or more options to construct an investment portfolio, investors can qualitatively express bullish/bearish views and quantitatively describe the degree of bullishness/bearishness. For example, a bull call spread can express a moderately bullish view, and a bear put spread can express a moderately bearish view. For assets in a long - term sideways state, investors can construct volatility portfolios through double - opening (double - buying or double - selling) strategies. The timing of opening positions is the key to the profitability of double - opening strategies [74][86]. - **Option and Spot Portfolio Strategy**: Options can be combined with spot assets to control risk exposure and achieve conditional risk hedging. Buying spot and put options can form a protective put portfolio, and buying spot and selling call options can form a covered call portfolio. The choice of hedging ratio is crucial [87][90].

Group 1: Volatility Index Explanation - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day, while the implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - step up and down of the at - the - money options of the main contract month, reflecting the implied volatility change trend of the main contract [1] - 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 means the opposite [1] Group 2: Volatility Data Visualization - The document presents 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股指, 50ETF, 1000股指, 500ETF, corn, cotton, Chinese Yen, rubber, iron ore, PTA, crude oil, aluminum, PVC, rebar, urea, rapeseed, and palm oil [2] Group 3: Implied Volatility Quantile - Implied volatility quantiles represent the current level of a variety's implied volatility in history. A high quantile indicates high implied volatility, and a low quantile indicates low implied volatility [3] - The document also shows the ranking of implied volatility quantiles [3]

Group 1: Volatility 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 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] Group 2: Volatility Data Graphs - There are graphs showing the trends of implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for various financial and commodity options, including 300股指, 1000股指, 500ETF, etc [4] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - Implied volatility quantiles represent 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] - Volatility spread is calculated as the implied volatility index divided by historical volatility [5] - There are rankings of implied volatility quantiles and historical volatility quantiles [6]

Group 1: Volatility 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: a larger difference indicates that the implied volatility is relatively higher than historical volatility, while a smaller difference means the opposite [3] Group 2: Volatility Data Graphs - There are graphs showing the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various financial and commodity options, including 300股指, 1000股指, 50ETF, 500ETF, corn, cotton, methanol, rubber, iron ore, PTA, crude oil, aluminum, PVC, rebar, urea, and palm oil [4] Group 3: Implied Volatility Quantile and Volatility Spread Quantile - Implied volatility quantile represents the current level of a variety's implied volatility in history. A high quantile means high implied volatility, and a low quantile means low implied volatility [5] - Volatility spread is the difference between the implied volatility index and historical volatility [5]

Group 1: Core Concepts - The implied volatility index of financial options reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the IV 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 IV is relatively higher than HV, and a smaller difference means IV is relatively lower than HV [3] - The 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 related to the IV index and HV [5] Group 2: Data Visualization - There are graphs showing the IV, HV, and IV - HV differences of various options, including 300 - stock index, 1000 - stock index, 500ETF, soybean, corn, cotton, rubber, iron ore, PTA, crude oil, PVC, rebar, urea, rapeseed, and palm oil options [4] - There is a graph presenting the implied volatility quantile ranking and historical volatility quantile ranking of some options such as PTA and 50ETF [6][7]

Group 1: Report Information - The report is the Volatility Data Daily Report from the Options Headquarters of Yong'an Futures, updated on March 9, 2026 [1][2] Group 2: Implied Volatility Index and Historical Volatility - 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 weighted by 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 means the implied volatility is relatively higher than historical volatility, and a smaller difference means the implied volatility is relatively lower [3] Group 3: Implied Volatility Quantile and Volatility Spread - The 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 it is low [5] - The volatility spread is related to the implied volatility index and historical volatility [5]