Report Industry Investment Rating - Not provided Core Viewpoints - Last week, the implied volatility of each option showed a significant upward and then downward trend. The declines on Monday and Thursday both led to an obvious upward trend in volatility. The at-the-money implied volatility of MO reached a very high level of 39%. Currently, the average at-the-money implied volatilities of April IO, HO, and MO options are around 16.85%, 17%, and 25.22% respectively, with premiums of -0.33 percentage points, 0.2 percentage points, and -2.97 percentage points compared to the 30-day historical volatility. The 30-day historical volatility of the underlying is still above the 60-day historical volatility, and technically, the volatility is still in an upward cycle. Due to the uncertainty in the Middle East situation, the downside space of implied volatility may still be relatively limited under the low premium [3]. - In terms of the relationship between implied volatility and the underlying index, the decline of the underlying index is more likely to drive the synchronous increase of implied volatility, while the rise of the index brings about the decline of volatility. Coupled with the decline of the position PCR value to a relatively low level in the past year, it indicates that the trend of put option sellers increasing positions is still restrained, and the market is still relatively cautious in the short term [3]. - In terms of position distribution, the contract with the highest call option position of MO has moved down to the 8000-point level, with the current position reaching more than 9000 lots. From the perspective of selling options, it is expected that the CSI 1000 Index will still face relatively large pressure above in the short term. The contract with the highest put option position is at the strike price of 7000 points, and there is a trend of increasing positions, indicating that the CSI 1000 Index will also face strong support below this area in the short term [3]. - In general, the market may digest panic through bottom - range oscillations. The significant upward and then downward movement of implied volatility last week indicates that the short - term emotional bottom may have basically emerged. It is recommended that investors can consider selling out - of - the - money MO call options with a strike price above 8000 points at high prices to collect certain option premiums. On the other hand, if the market experiences a panic decline again, it is advisable to consider selling MO put options with a strike price below 7000 points at an appropriate time for strategic long - position allocation [3]. Summary by Directory 01 Index Option Data Tracking - **Main Indicator Overview**: Not provided - **Trading Volume and Position Situation**: Not provided - **PCR Value and Underlying Index Trend**: Not provided - **Position Distribution Situation**: The contract with the highest call option position of MO has moved down to the 8000 - point level, with the current position reaching more than 9000 lots. The contract with the highest put option position is at the strike price of 7000 points, and there is a trend of increasing positions [3]. - **One - Year Volatility Cone**: Not provided - **Implied Volatility and Historical Volatility**: Last week, the implied volatility of each option showed a significant upward and then downward trend. The at - the - money implied volatility of MO reached 39%. Currently, the average at - the - money implied volatilities of April IO, HO, and MO options are around 16.85%, 17%, and 25.22% respectively, with premiums of - 0.33 percentage points, 0.2 percentage points, and - 2.97 percentage points compared to the 30 - day historical volatility. The 30 - day historical volatility of the underlying is still above the 60 - day historical volatility [3]. - **Volatility Surface Structure**: Not provided - **Skewness and Underlying Index Trend**: Not provided

1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - Last week, the implied volatility of each option showed a pattern of rising first, then falling and oscillating back. Affected by factors such as overseas liquidity from Monday to Wednesday, the implied volatility locally soared, but the A - shares in China were quite resilient. As market sentiment recovered on Thursday and Friday, the implied volatility hit a new low in this round. Currently, the average at - the - money implied volatility of November IO, HO, and MO options is around 13.95%, 14%, and 18.3% respectively, with premiums of about - 2.89, - 2, and - 0.3 percentage points compared to the 30 - day historical volatility. The premiums are generally at a relatively low level in history, and it is expected that the room for further decline in implied volatility is relatively limited. Under the characteristic of volatility clustering, it will continue to show a low - level oscillation pattern [4]. - The continuous decline in implied volatility indicates that the options market is more likely to price in an oscillating upward trend. The probability of short - term upward acceleration of each index remains low [4]. - The position PCR value has significantly increased, and call option sellers showed an obvious trend of reducing positions in the last two trading days of last week, indicating that the capital view is more inclined to believe that the downside space of the index is limited [4]. - The dense holding area of MO put options is below the strike price of 7400 points, and that of IO put options still has extremely high positions at the strike price of 4700 points. However, combined with the technical form, it is more inclined to use the low point of last week as the defensive area for put option sellers in November [4]. - In general, as the remaining time of the November contract enters the last two weeks, the time value decays faster. On the one hand, sellers of out - of - the - money put options in November can still consider continuing to hold, and new investors are advised to pay attention to the layout opportunities of MO put option sellers below the strike price of 7300 points; on the other hand, investors with long positions in stock index futures are still advised to use out - of - the - money call option sellers to increase income on rallies [4]. 3. Summary by Directory 3.1 Index Option Data Tracking - **Main Indicator Overview**: No specific content provided - **Trading Volume and Open Interest**: The report does not elaborate on specific data and trends, but only lists the data sources as WIND and the Research Institute of Guolian Futures [10][14] - **PCR Value and Underlying Index Trend**: The report does not elaborate on specific data and trends, but only lists the data sources as WIND and the Research Institute of Guolian Futures [20] - **Open Interest Distribution**: The report shows the open - interest distribution chart of HO2511, but does not provide detailed analysis [22][23] - **One - Year Volatility Cone**: The report does not elaborate on specific data and trends, but only lists the data sources as WIND and the Research Institute of Guolian Futures [29][32] - **Implied Volatility and Historical Volatility**: The report does not elaborate on specific data and trends, but only lists the data sources as WIND and the Research Institute of Guolian Futures [35][39][42] - **Volatility Surface Structure**: The report does not elaborate on specific data and trends, but only lists the data sources as WIND and the Research Institute of Guolian Futures [55] - **Skewness and Underlying Index Trend**: The report does not elaborate on specific data and trends, but only lists the data sources as WIND and the Research Institute of Guolian Futures [61]

Core Viewpoint - The A-share market is expected to maintain a bullish trend in Q4 2025, but faces increased macroeconomic uncertainties, particularly regarding US-China trade policies, leading to heightened market volatility. Investors are encouraged to utilize options to create a balanced portfolio to navigate this turbulence and enhance returns [1]. Group 1: Market Trends - In Q3 2025, the market favored trading growth-oriented index options, with the CSI 1000 index options holding a market share of 33.29%, a slight decrease of 2.9 percentage points from the previous quarter. The Southern CSI 500 ETF options followed with an 18.05% share, down 4 percentage points, while the ChiNext ETF options rose to 12.85%, an increase of 4.2 percentage points [2]. - The PCR (Put-Call Ratio) values for major financial options showed an upward trend, with the CSI 300 index options rising from 65% to around 100%, and the CSI 1000 index options increasing from 95% to approximately 120%, before retreating to a range of 90%-100% [2]. Group 2: Volatility Analysis - Implied volatility for options exhibited a clear pattern of rising and then declining in Q3 2025. The average implied volatility for CSI 300 and CSI 1000 options peaked at 24.11% and around 29% respectively in late August, before decreasing to approximately 15% and 22% [3]. - The implied volatility reached historical highs, with CSI 300 and CSI 1000 options touching the 90% and 87% percentiles over the past three years, indicating a more rational investor sentiment compared to previous market surges [3]. Group 3: Future Outlook - Looking ahead to Q4, the market remains in a bullish phase, with the CSI 300 index's bond-equity ratio at a two-standard-deviation extreme below the past three-year average. Implied volatility is at historical lows, but there is potential for an upward spike due to US-China trade uncertainties [5]. - Investors are advised to consider selling out-of-the-money put options after market sentiment stabilizes, as this strategy offers a higher margin of safety compared to direct long positions in index futures. Additionally, a shift from unilateral upward movement to a range-bound market is anticipated, suggesting that investors holding long positions in index futures should consider selling out-of-the-money call options to generate additional income [5].