Report Summary 1. Investment Rating The report does not provide an industry investment rating. 2. Core View The report suggests that with the decline in the stock index option market and the decrease in volatility, investors can consider selling call options at high prices [1]. 3. Summary of Related Content 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai - Shenzhen 300 Index, Shanghai 50 Index, and most ETFs declined, while the closing price of the CSI 1000 Index increased slightly. The trading volumes of most underlying assets decreased, such as the Shanghai - Shenzhen 300 Index with a trading volume of 250.82 billion shares, a decrease of 50.66 billion shares [1]. - **Option Market Statistics**: The trading volumes of various options decreased significantly, while the open - interest of most options increased. For example, the trading volume of CSI 1000 index options was 264,630, a decrease of 94,783, and the open - interest was 256,493, an increase of 17,161. The VL - PCR and OI - PCR of most options showed different degrees of change [1]. 3.2 Option Volatility Statistics - **Near - Month Options**: The implied volatility (ATM - IV) of most options decreased, such as the Shanghai 50 index option with an ATM - IV of 17.77%, a decrease of 1.27%. The historical volatility (HV) also showed different trends, with some increasing and some decreasing [4]. - **Next - Month Options**: The ATM - IV of most next - month options also decreased, for example, the Shanghai 50 index option with an ATM - IV of 18.90%, a decrease of 1.52% [4]. 3.3 Option Index Data Statistics - **Each Option Type**: The report presents multiple charts for each option type, including the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term - structure chart, which can help investors analyze the market conditions of different options [8][12][15].

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - In the stock index option market on August 8, 2025, there was a downward trend in volatility, and the positive skew declined. It is recommended to consider selling call options [1] 3. Summary by Related Catalogs 3.1 Market Data Statistics - **Underlying Market Statistics**: The closing prices of major indices and ETFs generally declined. For example, the Shanghai Composite 50 Index closed at 2789.17, down 9.14 points; the CSI 300 Index closed at 4104.97, down 9.70 points. Trading volumes also decreased in most cases, such as the Shanghai Composite 50 Index with a trading volume of 38.92 billion hands, a decrease of 3.41 billion hands [2] - **Option Market Statistics**: Trading volumes of most option contracts decreased, while some open interest increased. For instance, the trading volume of Shanghai Composite 50 Index options was 29,318, a decrease of 3,056, and the open interest was 74,682, a decrease of 361 [2] - **Option Volatility Statistics**: The implied volatility (IV) of most options decreased, and the historical volatility (HV) showed different trends. For example, the ATM - IV of Shanghai Composite 50 Index options was 11.69%, a decrease of 0.06%, and the 20 - day HV was 6.72%, a decrease of 2.69% [5] 3.2 Option Analysis by Type - **Shanghai Composite 50 Index Options**: Analyzed through full - contract PCR, main - contract skew, volatility cone, and volatility term structure charts [8][9] - **CSI 300 Index Options**: Similar analysis methods were used as the Shanghai Composite 50 Index options, including full - contract PCR, main - contract skew, volatility cone, and volatility term structure [12][13] - **CSI 1000 Index Options**: Analyzed using full - contract PCR, main - contract skew, volatility cone, and volatility term structure [15][16] - **ETF Options**: Options such as Shanghai Composite 50 ETF, Huatai - Baorui 300 ETF, and others were analyzed in terms of full - contract PCR, main - contract skew, volatility cone, and volatility term structure [19][20][24]

Report Summary Core View The stock index options showed an upward movement with a decreasing volatility, and the implied volatility premium narrowed [1]. Market Data Summary Underlying Market Statistics - **Indices**: The Shanghai Composite 50 Index closed at 2790.73, up 21.34 points, with a trading volume of 41.26 billion hands, a decrease of 0.70 billion hands. The CSI 300 Index closed at 4103.45, up 32.75 points, with a trading volume of 178.85 billion hands, an increase of 16.58 billion hands. The CSI 1000 Index closed at 6787.48, up 47.79 points, with a trading volume of 223.72 billion hands, an increase of 10.23 billion hands [2]. - **ETFs**: The Shanghai Composite 50 ETF closed at 2.912, up 0.022, with a trading volume of 7.24 billion hands, an increase of 2.44 billion hands. The Huatai-PB CSI 300 ETF closed at 4.183, up 0.031, with a trading volume of 5.48 billion hands, an increase of 1.13 billion hands [2]. Option Market Statistics - **Trading Volume and Open Interest**: The trading volume of Shanghai Composite 50 Index Options was 30,577, an increase of 280, and the open interest was 72,824, a decrease of 1,212. The trading volume of CSI 300 Index Options was 78,143, an increase of 5,831, and the open interest was 205,892, an increase of 668 [2]. - **Volatility and PCR**: The ATM-IV of Shanghai Composite 50 Index Options was 11.59%, a decrease of 0.57%, and the VL-PCR was 48.61%, and the OI-PCR was 57.04%. The ATM-IV of CSI 300 Index Options was 11.16%, a decrease of 1.41%, and the VL-PCR was 52.69%, and the OI-PCR was 70.72% [2][5]. Individual Option Analysis The report provides detailed analysis and charts for various options, including Shanghai Composite 50 Index Options, CSI 300 Index Options, CSI 1000 Index Options, and multiple ETF options, covering aspects such as PCR, skew, volatility cone, and volatility term structure [8][12][15].

Report Date - The report is dated July 24, 2025 [1] Investment Rating - No investment rating for the industry is provided in the report Core Viewpoint - Due to the high positive skew percentile of stock index options, a bullish call spread strategy can be considered [2] Data Summary Underlying Market Statistics - The closing prices of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index are 2812.44, 4149.04, and 6701.12 respectively, with increases of 11.24, 29.27, and 93.90 [3] - The trading volumes of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index are 60.28 billion, 319.63 billion, and 285.42 billion hands respectively, with changes of -7.65 billion, 19.13 billion, and -8.69 billion hands [3] Option Market Statistics - The trading volumes of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 36,748, 87,017, and 196,037 respectively, with changes of -18,679, -46,300, and -29,170 [3] - The open interests of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 62,312, 173,462, and 232,248 respectively, with changes of 2,593, 6,427, and 6,805 [3] Option Volatility Statistics - The ATM - IV of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 16.65%, 16.55%, and 20.21% respectively, with changes of 0.21%, -0.11%, and 0.91% [6] - The Skew of Shanghai Stock Exchange 50 Index Options, CSI 300 Index Options, and CSI 1000 Index Options are 16.39%, 14.22%, and 7.27% respectively, with changes of 0.57%, 5.34%, and 1.49% [6]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoint As of July 17, 2025, the positive skew of stock index options has increased, indicating a rise in bullish sentiment, and the index options are approaching expiration [1]. 3. Summary by Relevant Catalog 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index were 2744.26, 4034.49, and 6535.67 respectively, with increases of 3.36, 27.29, and 73.61. The trading volumes were 36.15 billion, 161.25 billion, and 227.83 billion hands respectively, with changes of 1.91 billion, 10.22 billion, and 7.60 billion hands [2]. - **Option Market Statistics**: The trading volume and open interest of various options showed different changes. For example, the trading volume of Shanghai Stock Exchange 50 Index Options was 39,744, a decrease of 2,611, and the open interest was 77,564, an increase of 2,283 [2]. 3.2 Option Volatility Statistics - **Near - month Volatility**: The ATM - IV of Shanghai Stock Exchange 50 Index Options was 13.16%, with a change of 0.10%. The ATM - IV of CSI 300 Index Options was 11.69%, with a change of 0.81% [5]. - **Next - month Volatility**: The ATM - IV of Shanghai Stock Exchange 50 Index Options was 14.31%, with a change of 0.43%. The ATM - IV of CSI 300 Index Options was 14.05%, with a change of - 0.13% [5]. 3.3 Option Index Data Statistics No specific text description provided, but there are multiple charts for different option types, including PCR charts, skewness charts, volatility cone charts, and volatility term structure charts, which visually show the characteristics and trends of each option [9][13][22].

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Not provided in the given content Summary by Related Catalogs Option Market Data Statistics - **Underlying Market Statistics**: The closing prices, price changes, trading volumes, and other data of various indexes and ETFs are presented, including the Shanghai Composite 50 Index, CSI 300 Index, and others. For example, the Shanghai Composite 50 Index closed at 2728.43, up 11.80, with a trading volume of 31.43 billion lots [1]. - **Option Market Statistics**: The trading volumes, changes, open interests, and other data of various index options and ETF options are provided. For instance, the trading volume of Shanghai Composite 50 Index options was 20,579, a decrease of 3,760, and the open interest was 54,113, an increase of 1,521 [1]. Option Indicator Data Statistics - **Option Volatility Statistics (Near - Month)**: Data such as ATM - IV, IV changes, same - term HV, HV changes, Skew, Skew changes, and VIX are given for different options. For example, the ATM - IV of Shanghai Composite 50 Index options was 13.21%, with an IV change of 0.31% [4]. - **Option Volatility Statistics (Next - Month)**: Similar data for the next - month options are presented, including ATM - IV, IV changes, same - term HV, HV changes, Skew, and Skew changes [4]. Option Charts - **Index Option Charts**: For each index option (e.g., Shanghai Composite 50 Index options, CSI 300 Index options, and CSI 1000 Index options), there are charts showing the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [6][10][15]. - **ETF Option Charts**: For each ETF option (e.g., Shanghai Composite 50 ETF options, Huatai - Baorui 300 ETF options), there are charts presenting the main - contract volatility trend, the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [22][24][26].