Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View - On December 25, the A-share market continued to rise, with the Shanghai Composite Index recording 7 consecutive positive days. Commercial space concept stocks saw a wave of limit - up, and the robot theme exploded. The Shanghai Composite Index closed up 0.47% at 3959.62 points, the Shenzhen Component Index rose 0.33%, the ChiNext Index rose 0.3%, the North Securities 50 rose 0.86%, the Science and Technology Innovation 50 fell 0.23%, the Wind All - A rose 0.6%, the Wind A500 rose 0.25%, and the CSI A500 rose 0.25%. The A - share market had a full - day trading volume of 1.94 trillion yuan, compared with 1.9 trillion yuan the previous day [5] 3. Summary by Relevant Catalogs Market Review - **Index Performance**: The closing prices, daily percentage changes, trading volumes (in billions of yuan), and trading volumes (in billions) of the Shanghai 50, CSI 300, and CSI 1000 are as follows: - Shanghai 50: Closing price 28.27, up 0.25%, trading volume 3032.8414 billion yuan, trading volume 820.76 billion [3] - CSI 300: Closing price 4642.5357, up 0.18%, trading volume 139.43 billion yuan, trading volume 7579.3791 billion [3] - CSI 1000: Closing price 4344.19, up 0.97%, trading volume 228.74 billion yuan [3] - **CFFEX Stock Index Option Trading Situation**: - **Shanghai 50**: Call option trading volume 1.17 million contracts, put option trading volume 0.70 million contracts, trading volume PCR 0.60, call option open interest 1.95 million contracts, put option open interest 1.88 million contracts, open interest PCR 0.66, total open interest 4.90 million contracts, total trading volume 5.58 million contracts [3] - **CSI 300**: Call option trading volume 8.39 million contracts, put option trading volume 2.81 million contracts, trading volume PCR 0.50, call option open interest 9.62 million contracts, put option open interest 6.64 million contracts, open interest PCR 0.69, total open interest 16.26 million contracts [3] - **CSI 1000**: Call option trading volume 23.96 million contracts, put option trading volume 14.33 million contracts, trading volume PCR 0.67, call option open interest 12.95 million contracts, put option open interest 13.09 million contracts, open interest PCR 0.99, total open interest 26.04 million contracts, total trading volume 9.63 million contracts [3] Volatility Analysis - **Shanghai 50 Volatility**: Analyzed historical volatility and the volatility cone, including 10%, 30%, 60%, 90% quantiles, minimum, maximum, and current values, as well as the volatility smile curve and next - month at - the - money implied volatility [3][4] - **CSI 300 Volatility**: Similar to the Shanghai 50, analyzed historical volatility, volatility cone, and volatility smile curve and next - month at - the - money implied volatility [3][4] - **CSI 1000 Volatility**: Analyzed historical volatility, volatility cone, and volatility smile curve and next - month at - the - money implied volatility [3][4]

Group 1: Report Information - Report title: Stock Index Option Data Daily Report [2] - Report date: December 26, 2025 [3] - Data sources: Wind, Guomao Futures Research Institute [3] Group 2: Market Review Index Quotes - Shanghai Composite Index closed up 0.47% at 3959.62 points, Shenzhen Component Index up 0.33%, ChiNext Index up 0.3%, North Securities 50 up 0.86%, Science and Technology Innovation 50 down 0.23%, Wind All A up 0.6%, Wind A500 up 0.25%, and CSI A500 up 0.25%. A-share trading volume reached 1.94 trillion yuan, compared with 1.9 trillion yuan the previous day [5] Index Details | Index | Closing Price | Change (%) | Turnover (billion yuan) | Trading Volume (billion) | | --- | --- | --- | --- | --- | | SSE 50 | 28.27 | 0.25 | 3032.8414 | 820.76 | | CSI 300 | 4642.5357 | 0.18 | 139.43 | 7579.3791 | | CSI 1000 | 4344.19 | 0.97 | 228.74 | - | [3] Group 3: CFFEX Stock Index Option Trading Option Trading Volume | Index | Call Option Volume (10,000 contracts) | Put Option Volume (10,000 contracts) | Total Volume (10,000 contracts) | Volume PCR | | --- | --- | --- | --- | --- | | SSE 50 | 1.17 | 0.70 | 2.95 | 0.60 | | CSI 300 | 8.39 | 2.81 | 16.26 | 0.50 | | CSI 1000 | 23.96 | 14.33 | 26.04 | 0.67 | [3] Option Open Interest | Index | Call Option Open Interest (10,000 contracts) | Put Option Open Interest (10,000 contracts) | Total Open Interest (10,000 contracts) | Open Interest PCR | | --- | --- | --- | --- | --- | | SSE 50 | 1.88 | 1.95 | 4.90 | 0.66 | | CSI 300 | 6.64 | 9.62 | 16.26 | 0.69 | | CSI 1000 | 9.63 | 13.09 | 22.72 | 0.99 | [3] Group 4: Volatility Analysis SSE 50 Volatility - Historical volatility cone analysis includes 10%, 30%, 60%, 90% quantiles, minimum, maximum, and current values, with data from August 11, 2025, to December 11, 2025. Volatility smile curve shows next - month at - the - money implied volatility [3][4] CSI 300 Volatility - Historical volatility cone analysis includes 10%, 30%, 60%, 90% quantiles, minimum, maximum, and current values, with data from August 11, 2025, to December 11, 2025. Volatility smile curve shows next - month at - the - money implied volatility [3][4] CSI 1000 Volatility - Historical volatility cone analysis includes 10%, 30%, 60%, 90% quantiles, minimum, maximum, and current values, with data from August 11, 2025, to December 11, 2025. Volatility smile curve shows next - month at - the - money implied volatility [3][4]

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