Group 1: Report Industry Investment Rating - Not provided in the text Group 2: Core View of the Report - The supply of new cotton is increasing significantly this year, but the expected increase may be less than previously thought. The demand side is in a relatively off - season after the peak season, and orders have been average recently. However, previous negative factors have been mostly reflected in the market. It is expected that Zhengzhou cotton will likely fluctuate within a limited range [6]. - The overall atmosphere in the cotton yarn industry is weakening, with the price of pure - cotton yarn remaining stable, and some large manufacturers offering price promotions. The overall startup rate has not changed much, but inventory has increased. If there is no significant improvement in new orders, the yarn price may decline further. Attention should be paid to the trend of Zhengzhou cotton and downstream terminal demand [10]. Group 3: Summary of Each Section 1. Market Information - **Futures Market**: For CF01, CF05, and CF09 contracts of cotton, the closing prices were 13765, 13725, and 13860 respectively, with price increases of 40, 40, and 70. The trading volumes were 200,316, 118,427, and 4,067 hands respectively, showing decreases of 66,349, 3,732, and 1,026 hands. The open - interest positions were 546,943, 370,519, and 13,609, with increases of 1,675, 22,949, and 1,112 respectively. For CY01, CY05, and CY09 contracts of cotton yarn, the closing prices were 20045, 20040, and 20095 respectively, with price changes of - 45, 60, and - 30. The trading volumes were 4,978, 60, and 2 hands respectively, showing decreases of 8,693, increases of 55, and decreases of 8. The open - interest positions were 6543, 46, and 7, with changes of - 1364, 6, and 0 respectively [2]. - **Spot Market**: The price of CCIndex3128B was 14936 yuan/ton, up 45; Cot A was 74.95 cents/pound; the arrival price of (FC Index):M was 73.91; the price of polyester staple fiber was 7450 yuan/ton, up 70; the price of viscose staple fiber was 12800 yuan/ton, down 50. For cotton yarn, CY IndexC32S was 20770 yuan/ton, up 30; FCY IndexC33S was 20988 yuan/ton, down 11; the price of Indian S - 6 was 55800; the price of pure polyester yarn T32S was 11050 yuan/ton, up 100; the price of viscose yarn R30S was 17300 yuan/ton, up 50 [2]. - **Spread**: In cotton inter - period spreads, the 1 - 5 spread was 40 (unchanged), the 5 - 9 spread was - 135 (down 30), and the 9 - 1 spread was 95 (up 30). In cotton yarn inter - period spreads, the 1 - 5 spread was 5 (down 105), the 5 - 9 spread was - 55 (up 90), and the 9 - 1 spread was 50 (up 15). In cross - variety spreads, CY01 - CF01 was 6280 (down 85), CY05 - CF05 was 6315 (up 20), and CY09 - CF09 was 6235 (down 100). The 1% tariff internal - external cotton spread was 1899 (up 14), the sliding - duty internal - external cotton spread was 933 (up 12), and the internal - external yarn spread was - 218 (up 41) [2]. 2. Market News and Views - **Cotton Market News**: As of the week of November 28, 2025, the cumulative inspection volume of U.S. upland cotton + Pima cotton was 1.7585 million tons, accounting for 57.3% of the estimated annual U.S. cotton production, 12% slower than the same period last year. The inspection volume of U.S. upland cotton was 1.7234 million tons, with an inspection progress of 57.63%, a 12% year - on - year decrease; the inspection volume of Pima cotton was 35,100 tons, with an inspection progress of 42.4%, a 34% year - on - year decrease. The weekly deliverable ratio was 85.7%, the quarterly deliverable ratio was 82%, 0.5 percentage points lower than the same period last year, and the quarterly deliverable ratio increased month - on - month. The U.S. cotton harvest is in the late stage, and the listing inspection peak season has seen a narrowing of the year - on - year lag in the listing progress, with the overall inspection of Pima cotton being much slower. The quarterly deliverable ratio continues to rise. In the week of October 16, the weekly signing volume of 2025/26 U.S. upland cotton was 39,800 tons, a 11% weekly increase and a 5% increase compared to the average of the previous four weeks; the weekly signing volume of 2026/27 U.S. upland cotton was 6,100 tons; the weekly shipment volume of 2025/26 U.S. upland cotton was 36,200 tons, a 15% weekly increase and a 1% increase compared to the average of the previous four weeks [4]. - **Trading Logic**: In November, with the large - scale listing of new cotton, there may be some selling - hedging pressure in the market. Although this year's cotton production is a bumper harvest, the expected increase may be less than previously thought. On the demand side, after the peak season, the market enters a relative off - season. Overall, the large - scale listing of new cotton on the supply side and a significant increase in production this year but a possible smaller - than - expected increase; on the demand side, recent orders have been average, but previous negative factors have been mostly reflected in the market. It is expected that Zhengzhou cotton will likely fluctuate within a limited range [6]. - **Trading Strategy**: For single - sided trading, it is expected that the future trend of U.S. cotton will likely be range - bound, and Zhengzhou cotton is expected to fluctuate. For arbitrage and options, the recommendation is to wait and see [8][9][10]. - **Cotton Yarn Industry News**: Zhengzhou cotton continues to fluctuate strongly. Although there is some resilience in recent demand, the overall atmosphere is weakening. The price of pure - cotton yarn remains stable, and some large manufacturers have carried out price promotions. The overall startup rate has not changed much, but inventory has increased. The rise in Zhengzhou cotton has gradually weakened the cash flow of spinning enterprises, and combined with year - end bank repayment, supplier settlement, and worker wage payment, enterprises are under great pressure. If there is no significant improvement in new orders, the yarn price may decline further. Attention should be paid to the trend of Zhengzhou cotton and downstream terminal demand. The rigid demand for all - cotton clothing grey fabric is weak, and both the volume and price are expected to decline further. The grey fabric market has low popularity and insufficient confidence, mainly due to the decline in demand leading to insufficient factory orders. The price center has shifted downwards, and actual orders can be negotiated. The situation of dyeing factories varies, with better - performing ones having orders that can last about half a month, and those with less business being able to deliver goods in 7 days [10]. 3. Options - **Option Data**: On November 24, 2025, for the CF601C13400.CZC option contract, the underlying contract price was 13585.00, the closing price was 183.00, with a price increase of 71.0%, an implied volatility (IV) of 6.7%, a Delta of 0.7924, a Gamma of 0.0012, a Vega of 8.9763, a Theta of - 2.5396, a theoretical leverage of 74.2350, and an actual leverage of 58.8238. For the CF601P13000.CZC option contract, the underlying contract price was 13585.00, the closing price was 7.00, with a price decrease of 75.9%, an IV of 11.4%, a Delta of - 0.0470, a Gamma of 0.0000, a Vega of 3.0820, a Theta of - 1.2967, a theoretical leverage of 1,940.7143, and an actual leverage of 91.2136. For the CF601P12400.CZC option contract, the underlying contract price was 13585.00, the closing price was 2.00, with a price decrease of 83.3%, an IV of 17.3%, a Delta of - 0.0106, a Gamma of 0.0001, a Vega of 0.8840, a Theta of - 0.5394, a theoretical leverage of 6,792.5000, and an actual leverage of 72.0005. The 10 - day historical volatility (HV) of cotton was 6.4492, slightly higher than the previous day. The implied volatilities of CF601 - C - 13400, CF601 - P - 13000, and CF601 - P - 12400 were 6.7%, 11.4%, and 17.8% respectively [12]. - **Option Strategy**: The PCR of the main contract of Zhengzhou cotton was 0.7339, and the volume PCR of the main contract was 0.6421. The trading volumes of both call and put options decreased today. The recommendation for options is to wait and see [13][14]. 4. Related Attachments - The text provides multiple figures, including the internal - external cotton price spread under 1% tariff, the basis of cotton in January, May, and September, the spread between CY05 - CF05 and CY01 - CF01, and the spreads of CF9 - 1 and CF5 - 9 [16][19][23][24].

Financial Engineering - The stock market experienced fluctuations with the Shanghai Composite Index dropping by 3.90% to close at 3834.89 during the week of November 17 to November 21, 2025, while the Shenzhen Component Index fell by 5.13% to 12538.07, with trading volume decreasing compared to the previous week [2]. - The 50ETF opened at 3.182 and closed at 3.101, reflecting a decline of 2.58% with a trading volume of 10.459 billion. The Huatai-PineBridge CSI 300 ETF opened at 4.730 and closed at 4.564, down 3.73% with a trading volume of 21.119 billion. The Southern CSI 500 ETF opened at 7.334 and closed at 6.922, a decrease of 5.67% with a trading volume of 12.803 billion [3]. Options Market - From November 17 to November 21, the average daily trading volume of 50ETF options increased compared to the previous week, with total open interest rising and the PCR ratio decreasing to 0.78, down 0.19 from the previous week. The Huatai-PineBridge CSI 300 ETF options also saw an increase in average daily trading volume and total open interest, with a PCR of 0.80, down 0.24. The Southern CSI 500 ETF options experienced similar trends with a PCR of 0.93, down 0.23 [4]. - Short-term volatility remained relatively stable with a slight upward trend, and the implied volatility increased significantly during the week, rising by approximately 5 percentage points. The implied volatility is currently above historical volatility levels, indicating a stable sentiment in the market [5]. Investment Recommendations - The market has shown a downward trend from high levels, with large-cap blue-chip stocks experiencing smaller declines while small-cap growth stocks fell by over 5%. The PCR ratio has decreased to historically low levels, and there is a growing expectation for a rebound from oversold conditions. The implied volatility curve indicates a significant increase in the slope of out-of-the-money contracts, suggesting greater expectations for future volatility [6].

1. Report Industry Investment Rating No information provided in the report. 2. Core Views of the Report - From November 3rd to 7th, 2025, the Shanghai Composite Index rose with fluctuations during the week, while the Shenzhen Component Index opened slightly lower and fluctuated. The performance of different ETFs varied, with 50ETF and Huatai-PineBridge CSI 300ETF showing certain increases, and Southern CSI 500ETF having a small increase. In the options market, the average daily trading volume and total open interest of various ETF options increased. Volatility decreased, with short - term volatility significantly dropping, and the implied volatility curve structure slightly shifting to the right. The market risk preference declined. Considering the current situation, the probability of implied volatility strengthening in the future is relatively high, and a volatility strategy of selling high is recommended [2][3][4]. 3. Summary by Directory 3.1. Spot and Futures Market Review 3.1.1. Underlying Asset Market - From November 3rd to 7th, the Shanghai Composite Index rose 1.08% compared to the previous week, closing at 3997.56 with lower trading volume. The Shenzhen Component Index opened slightly lower, fluctuated during the week, and closed at 13404.06 with lower trading volume. 50ETF opened at 3.153 and closed at 3.186, rising 0.82% with a turnover of 11.564 billion. Huatai - PineBridge CSI 300ETF opened at 4.752 and closed at 4.795, rising 0.82% with a turnover of 19.074 billion. Southern CSI 500ETF opened at 7.427 and closed at 7.440, rising 0.05% with a turnover of 7.169 billion [8]. 3.1.2. Index Futures Market - From November 3rd to 7th, all IH contracts of stock index futures closed up. Contract IH2511 rose 0.76%. All IF contracts closed up, with contract IF2511 rising 0.57%. All IC contracts closed down, with contract IC2511 falling 0.30% [9]. 3.2. Options Market Review 3.2.1. Trading and Open Interest - From November 3rd to 7th, the average daily trading volume and total open interest of 50ETF options increased. The average daily trading volume was 864,446 contracts, an increase of 31,600 contracts compared to the previous week. The total open interest was 1,530,207 contracts, an increase of 69,092 contracts from the previous weekend. The total open interest PCR was 0.97, up 0.07 from the previous weekend. For Huatai - PineBridge CSI 300ETF options, the average daily trading volume was 1,031,324 contracts, an increase of 43,523 contracts compared to the previous week. The total open interest was 1,376,297 contracts, an increase of 116,890 contracts from the previous weekend. The total open interest PCR was 1.12, up 0.09 from the previous weekend. For Southern CSI 500ETF options, the average daily trading volume was 1,513,130 contracts, an increase of 90,928 contracts compared to the previous week. The total open interest was 1,361,584 contracts, an increase of 40,101 contracts from the previous weekend. The total open interest PCR was 1.26, basically unchanged from the previous weekend [13][16][21]. 3.2.2. Volatility - **Historical Volatility**: As of November 7th, the 5 - day historical rolling volatility of 50ETF dropped to 9.69%, around the 25th percentile of the five - year historical level. The 5 - day, 10 - day, 20 - day, and 40 - day historical volatilities were 9.69%, 10.60%, 11.57%, and 11.90% respectively. The 5 - day historical rolling volatility of Huatai - PineBridge CSI 300ETF dropped to 12.63%, around the 50th percentile of the five - year historical level, with corresponding historical volatilities of 12.63%, 15.12%, 15.91%, and 16.82%. The 5 - day historical rolling volatility of Southern CSI 500ETF dropped to 18.52%, around the 50th percentile of the five - year historical level, with corresponding historical volatilities of 18.52%, 19.76%, 22.32%, and 22.34% [25][29][31]. - **Implied Volatility**: On November 7th, for each options variety's 2025 - 11 and 2025 - 12 contracts, the implied volatility of at - the - money contracts declined, while the implied volatility of out - of - the - money contracts remained at a relatively high level. The implied volatility curve structure slightly shifted to the right. For the 500ETF, which had a relatively large decline, the valuation of put contracts was relatively high, indicating a decline in market risk preference [34]. - **Comparison of Historical and Implied Volatility Trends**: Short - term volatility significantly declined. The volatility of 50ETF dropped below 10%, and the weekly volatility of 300ETF and 500ETF dropped from the 75th percentile to the 50th percentile of the historical level. Monthly volatility also declined further, and the implied volatility mainly decreased during the week. Currently, the implied volatility level is still lower than the historical volatility, and it is believed that the probability of implied volatility strengthening in the future is relatively high [41]. 3.3. Investment Recommendations - In terms of strategies, the weekly market first fell and then rose. Small - cap growth stocks declined more, while large - cap stocks were relatively stable and performed slightly better than small - cap stocks. The open interest PCR level showed different trends according to the rise and fall of the underlying assets, and the current level is around the historical median. Considering the implied volatility, the overall level has decreased. On the implied volatility curve, the volatility of at - the - money contracts decreased, but the implied volatility of out - of - the - money contracts remained high, indicating a decline in market risk preference. Given that the current implied volatility level is lower than the historical volatility, if the market fluctuates significantly, the volatility level may suddenly rise. Therefore, a volatility strategy of selling high is still recommended [4][44].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The weekly market declined to varying degrees, with all three option underlying assets dropping by over 1%. The changes in the position PCR ratios showed divergence, with the position PCR of 50ETF and 300ETF continuing to fall, while the put contract position ratio of 500ETF increased. Considering the changes in the implied volatility curve structure, with the curve of 500ETF shifting to the left, indicating some cautious sentiment, it is believed that the current market risk preference level has decreased, and a cautious attitude towards small-cap growth stocks is recommended. This is relatively favorable for large-cap blue-chip underlying assets such as 50ETF and 300ETF [5][43]. 3. Summary by Relevant Catalogs 3.1 Periodic and Spot Market Review 3.1.1 Underlying Asset Market - From July 28 to August 1, the Shanghai Composite Index fluctuated during the week, closing at 3559.95, with lower trading volume compared to the previous week. The Shenzhen Component Index fluctuated and declined during the week, with a decline of 1.58% compared to the previous week, closing at 10991.32, and lower trading volume compared to the previous week [2][8]. - 50ETF opened at 2.917 at the beginning of the week and closed at 2.876 at the end of the week, down 0.040 or 1.37% from the previous week, with a trading volume of 10.865 billion yuan. Huatai-PineBridge CSI 300ETF opened at 4.203 at the beginning of the week and closed at 4.133 at the end of the week, down 0.070 or 1.67% from the previous week, with a trading volume of 17.173 billion yuan. Southern CSI 500ETF opened at 6.365 at the beginning of the week and closed at 6.287 at the end of the week, down 0.078 or 1.23% from the previous week, with a trading volume of 6.109 billion yuan [3][8]. 3.1.2 Futures Index Market - From July 28 to August 1, all contracts of the stock index futures IH closed down. Among them, contract IH2508 declined by -1.42%. All contracts of the stock index futures IF closed down. Among them, contract IF2508 declined by -1.93%. All contracts of the stock index futures IC closed down. Among them, contract IC2508 declined by -1.43% [9]. 3.2 Option Market Review 3.2.1 Trading and Position Holding Situation - From July 28 to August 1, the average daily trading volume of 50ETF options decreased compared to the previous week, while the total position increased. The average daily trading volume of 50ETF options for the week was 1,249,242 contracts, a decrease of 123,739 contracts from the previous week's average daily trading volume. The total position was 1,443,444 contracts, an increase of 202,752 contracts from the end of the previous week. The total position PCR was 0.84, a decrease of 0.14 from the end of the previous week [13]. - The average daily trading volume of Huatai-PineBridge CSI 300ETF options decreased compared to the previous week, while the total position increased. The average daily trading volume of Huatai-PineBridge CSI 300ETF options for the week was 1,165,780 contracts, a decrease of 219,482 contracts from the previous week's average daily trading volume. The total position was 1,284,104 contracts, an increase of 107,929 contracts from the end of the previous week. The total position PCR was 0.89, a decrease of 0.14 from the end of the previous week [15]. - The average daily trading volume of Southern CSI 500ETF options decreased compared to the previous week, while the total position increased. The average daily trading volume of Southern CSI 500ETF options for the week was 1,352,948 contracts, a decrease of 102,102 contracts from the previous week's average daily trading volume. The total position was 1,249,009 contracts, an increase of 165,492 contracts from the end of the previous week. The total position PCR was 1.07, an increase of 0.06 from the end of the previous week [19]. 3.2.2 Volatility Situation - **Historical Volatility**: As of August 1, the 5-day historical rolling volatility of 50ETF rose to 13.05%, near the 50th percentile of the five-year historical level. Currently, the 5-day, 10-day, 20-day, and 40-day historical volatilities are 13.05%, 10.97%, 9.09%, and 9.07% respectively [22]. - The 5-day historical rolling volatility of Huatai-PineBridge CSI 300ETF rose to 14.26%, near the 50th percentile of the five-year historical level. Currently, the 5-day, 10-day, 20-day, and 40-day historical volatilities are 14.26%, 12.76%, 10.26%, and 9.74% respectively [25]. - The 5-day historical rolling volatility of Southern CSI 500ETF rose to 12.99%, near the 25th percentile of the five-year historical level. Currently, the 5-day, 10-day, 20-day, and 40-day historical volatilities are 12.99%, 13.83%, 11.63%, and 11.80% respectively [26]. - **Implied Volatility**: On August 1, the implied volatility near the at-the-money level decreased, and the overall implied volatility level declined. For 50ETF and 300ETF, the slopes on both sides of the curve increased, indicating an increased market expectation of future volatility. For 500ETF, the curve shifted to the left, showing some cautious sentiment [29]. - **Comparison of Historical Volatility and Implied Volatility Trends**: In terms of volatility, short-term volatility increased slightly, and monthly volatility followed suit. Implied volatility declined continuously during the week, and the volatility difference narrowed significantly. It is expected that historical volatility will continue to rise in the future, and the volatility difference will further narrow [36]. 3.3 Investment Recommendations - Given the market decline, the divergence in position PCR ratios, and the changes in the implied volatility curve structure, a cautious attitude towards small-cap growth stocks is recommended, and large-cap blue-chip underlying assets such as 50ETF and 300ETF are relatively favored [5][43].

Market Review - The closing prices of the Shanghai Composite 50, CSI 300, and CSI 1000 were 2692.1287, 3877.5557, and 6167.0149 respectively, with daily changes of 0.05%, 0.23%, and 0.72%. Their trading volumes were 30.78 billion, 122.88 billion, and 206.08 billion, and turnovers were 559.62 billion yuan, 2317.49 billion yuan, and 2732.39 billion yuan respectively [4]. - The trading volumes of Shanghai Composite 50, CSI 300, and CSI 1000 index options were 1.47 million, 4.87 million, and 16.35 million contracts. Their open interests were 6.63 million, 17.69 million, and 27.19 million contracts respectively [4]. - The previous trading day, the Shanghai Composite Index rose 0.23% to 3384.1 points, the Shenzhen Component Index rose 0.58%, the ChiNext Index rose 1.17%, the Beijing Stock Exchange 50 fell 0.29%, the STAR 50 rose 1.04%, and the CSI A500 rose 0.35%. A - shares traded 1.32 trillion yuan, compared with 1.18 trillion yuan the previous day [8]. Volatility Analysis - Analyzes the historical volatility chains and volatility smile curves of Shanghai Composite 50, CSI 300, and CSI 1000, including indicators such as maximum, minimum, 10% - 90% quantiles, and current values [6][8].

Market Performance Summary - The Shanghai Composite Index closed up 0.7% at 3363.45 points, the Shenzhen Component Index rose 1.24%, the ChiNext Index rose 1.37%, the Beijing Stock Exchange 50 rose 62.73%, the Science and Technology Innovation 50 rose 1.61%, and the CSI A500 rose 0.77% [8] - A-share trading volume was 1.21 trillion yuan, compared with 1.03 trillion yuan the previous day [8] Index Quotes Index Price and Change - The closing price of the SSE 50 was 2690.8926, up 0.29%, with a trading volume of 532.80 billion yuan and a turnover of 27.47 billion [4] - The closing price of the CSI 300 was 3858.6998, up 0.59%, with a trading volume of 2094.60 billion yuan and a turnover of 108.47 billion [4] - The closing price of the CSI 1000 was 6089.5778, up 1.76%, with a trading volume of 2325.76 billion yuan and a turnover of 189.38 billion [4] Index Option Trading - For the SSE 50 options, the trading volume was 2.22 million contracts, with 1.39 million call options and 0.83 million put options. The PCR was 0.60, and the open interest was 6.13 million contracts, with 3.73 million call options and 2.40 million put options, and the PCR was 0.64 [4] - For the CSI 300 options, the trading volume was 5.70 million contracts, with 3.55 million call options and 2.15 million put options. The PCR was 0.60, and the open interest was 16.55 million contracts, with 9.87 million call options and 6.68 million put options, and the PCR was 0.68 [4] - For the CSI 1000 options, the trading volume was 19.68 million contracts, with 10.06 million call options and 9.63 million put options. The PCR was 0.96, and the open interest was 25.14 million contracts, with 13.09 million call options and 12.06 million put options, and the PCR was 0.92 [4] Volatility Analysis SSE 50 Volatility - The historical volatility of the SSE 50 is presented in a historical volatility chain, showing minimum, maximum, 10%, 30%, 60%, 90% percentile values, and the current value [6][8] - The next - month at - the - money implied volatility and the volatility smile curve are also analyzed [8] CSI 300 Volatility - The historical volatility of the CSI 300 is presented in a historical volatility chain, showing minimum, maximum, 10%, 30%, 60%, 90% percentile values, and the current value [8] - The next - month at - the - money implied volatility and the volatility smile curve are also analyzed [8] CSI 1000 Volatility - The historical volatility of the CSI 1000 is presented in a historical volatility chain, showing minimum, maximum, 10%, 30%, 60%, 90% percentile values, and the current value [8] - The next - month at - the - money implied volatility and the volatility smile curve are also analyzed [8]