Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - The report presents the daily data of stock index options, including the performance of major indices, trading volume, open interest, and volatility analysis of Shanghai - Shenzhen 300, Shanghai Stock Exchange 50, and China Securities 1000 [3][4] 3. Summary by Directory 3.1 Market Review - **Index Performance**: The Shanghai Composite Index rose 1.32% to 3933.97 points, the Shenzhen Component Index rose 1.47%, the ChiNext Index rose 0.73%, the Beijing Stock Exchange 50 fell 0.18%, the Science and Technology Innovation 50 rose 2.93%, the Wind All - A rose 1.31%, the Wind A500 rose 1.56%, and the China Securities A500 rose 1.59%. A - shares traded 2.67 trillion yuan throughout the day, compared with 2.2 trillion yuan the previous day [4][5] - **Index Details**: The Shanghai Stock Exchange 50 closed at 2319.23 with a turnover of 3020.5964 billion yuan and a trading volume of 1.06 billion; the Shanghai - Shenzhen 300 closed at 8622.08 with a turnover of 4709.482 billion yuan and a trading volume of 347.68; the China Securities 1000 closed at 7648.0523 with a turnover of 5305.00 billion yuan and a trading volume of 303.49 [3] 3.2 CFFEX Stock Index Options Trading Situation - **Trading Volume and Open Interest**: For the Shanghai Stock Exchange 50, the call option trading volume was 6.84 million, the put option trading volume was 7.04 million, the call option open interest was 3.95 million, and the put option open interest was 3.09 million; for the Shanghai - Shenzhen 300, the call option trading volume was 11.83 million, the put option trading volume was 17.90 million, the call option open interest was 19.00 million, and the put option open interest was 8.94 million; for the China Securities 1000, the call option trading volume was 30.05 million, the put option trading volume was 15.64 million, the call option open interest was 27.69 million, and the put option open interest was 14.41 million [3] - **PCR (Put - Call Ratio)**: The trading volume PCR for the Shanghai Stock Exchange 50 was 0.78, the open interest PCR was 0.49; for the Shanghai - Shenzhen 300, the trading volume PCR was 1.00, the open interest PCR was 8.96; for the China Securities 1000, the trading volume PCR was 0.92, the open interest PCR was 1.06 [3] 3.3 Volatility Analysis - **Historical Volatility and Volatility Cone**: The report shows the historical volatility and volatility cone of the Shanghai Stock Exchange 50, Shanghai - Shenzhen 300, and China Securities 1000, including the minimum, 10% quantile, 30% quantile, maximum, 90% quantile, 60% quantile, and current values [3][4] - **Volatility Smile Curve**: The report presents the next - month at - the - money implied volatility smile curves of the Shanghai Stock Exchange 50, Shanghai - Shenzhen 300, and China Securities 1000 [3][4]

Market Performance - The Shanghai Composite Index dropped 0.01% to 3853.3 points, the Shenzhen Component Index rose 0.67%, the ChiNext Index rose 1.58%, the North Securities 50 Index fell 1.37%, the Science and Technology Innovation 50 Index rose 1.24%, and the Wind All - A Index rose 0.17% [5] - The Wind A500 rose 0.54% and the CSI A500 rose 0.71%. A - shares had a full - day trading volume of 2.39 trillion yuan, compared with 2.35 trillion yuan the previous day [7] Index Data Index Quotes | Index | Closing Price | Trading Volume (Billion) | Turnover (Billion Yuan) | Increase/Decrease (%) | | --- | --- | --- | --- | --- | | SSE 50 | 2952.7352 | 1586.67 | 54.32 | 0.45 | | CSI 300 | 4593.4875 | 0.60 | 6698.67 | - 0.37 | | CSI 1000 | 4647.45 | - | - | - | [3] CFFEX Stock Index Options Trading | Index | Call Option Volume (Million Contracts) | Put Option Volume (Million Contracts) | Option Volume (Million Contracts) | Call Option Open Interest (Million Contracts) | Put Option Open Interest (Million Contracts) | Open Interest (Million Contracts) | Volume PCR | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3.57 | 2.45 | 6.66 | 4.06 | 2.59 | 6.65 | 0.64 | 0.64 | | CSI 300 | 13.42 | 8.03 | 21.45 | 17.04 | 8.03 | 25.07 | 0.89 | 0.47 | | CSI 1000 | 22.91 | 12.69 | 35.6 | 13.28 | 10.22 | 23.5 | 0.81 | 0.77 | [3] Volatility Analysis - The report presents historical volatility and historical volatility cones, as well as volatility smile curves for SSE 50, CSI 300, and CSI 1000, including data such as minimum, maximum, 10% quantile, 30% quantile, 60% quantile, 90% quantile, and current values for different time - periods (5 - day, 20 - day, 40 - day, 60 - day, 120 - day) [3][4]

Group 1: Market Overview - The Shanghai Composite Index rose 0.83% to 3853.64 points, the Shenzhen Component Index rose 1.8%, the ChiNext Index rose 2.28%, the BeiZheng 50 rose 2.03%, the KeChuang 50 rose 3.49%, the Wind All A rose 1.4%, the Wind A500 rose 1.17%, and the CSI A500 rose 1.39%. A-share trading volume for the day was 2.35 trillion yuan, compared with 2.52 trillion yuan the previous day [5] Group 2: Index Quotes - The closing price of the Shanghai 50 was 1571.95, with a trading volume of 51.46 billion yuan, a turnover of 4566.0708 billion, and a daily increase of 0.68%. The closing price of the CSI 300 was 6291.61, with a trading volume of 220.48 billion yuan, a turnover of 7534.2223 billion, and a daily increase of 1.02%. The closing price of the CSI 1000 was 4943.98, with a daily increase of 1.70% [3] Group 3: CFFEX Stock Index Option Trading - For the Shanghai 50 index options, the trading volume of call options was 2.47 million contracts, and put options was 3.64 million contracts. The trading volume PCR was 1.19. The open interest of call options was 4.10 million contracts, and put options was 4.47 million contracts. The open interest PCR was 0.60. For the CSI 300 index options, the trading volume of call options was 6.51 million contracts, and put options was 7.60 million contracts. The trading volume PCR was 0.84. The open interest of call options was 9.06 million contracts, and put options was 10.98 million contracts. For the CSI 1000 index options, the trading volume of call options was 31.04 million contracts, and put options was 17.34 million contracts. The trading volume PCR was 0.79. The open interest of call options was 12.85 million contracts, and put options was 12.85 million contracts. The open interest PCR was 1.00 [3] Group 4: Volatility Analysis - Volatility analysis was conducted on the Shanghai 50, CSI 300, and CSI 1000, including historical volatility, historical volatility cones, and volatility smile curves [3][4]

Report Information - Report Title: Stock Index Options Data Daily Report [2] - Date: September 16, 2025 [3] - Research Institute: Guomao Futures Research Institute [3] - Analyst: Li Zeju from the Financial Derivatives Center [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Market Review Index Performance - The closing price of the Shanghai Stock Exchange 50 Index was 1456.98, with a decline of 0.20% and a trading volume of 296.26154 billion yuan [3]. - The closing price of the CSI 300 Index was 4533.0557, with an increase of 0.24% and a trading volume of 613.315 billion yuan [3]. - The closing price of the CSI 1000 Index was 7415.5711, with a decline of 0.10% and a trading volume of 475.105 billion yuan [3]. Overall Market Conditions - The Shanghai Composite Index fell 0.26% to 3860.5 points, the Shenzhen Component Index rose 0.63%, the ChiNext Index rose 1.51%, the Beijing Stock Exchange 50 Index rose 0.38%, the Science and Technology Innovation 50 Index rose 0.18%, the Wind All - A Index rose 0.09%, the Wind A500 rose 0.22%, and the CSI A500 rose 0.3% [5]. - The total A - share trading volume for the day was 2.3 trillion yuan, compared to 2.55 trillion yuan the previous day [5]. CFFEX Stock Index Options Trading Situation Option Trading Volume - For the Shanghai Stock Exchange 50 Index options, the trading volume of call options was 2.71 million contracts, and that of put options was 3.77 million contracts, with a trading volume PCR of 0.51 [3]. - For the CSI 300 Index options, the trading volume of call options was 8.63 million contracts, and that of put options was 0.55 million contracts, with a trading volume PCR of 0.83 [3]. - For the CSI 1000 Index options, the trading volume of call options was 25.04 million contracts, and that of put options was 13.62 million contracts, with a trading volume PCR of 0.84 [3]. Option Open Interest - For the Shanghai Stock Exchange 50 Index options, the open interest of call options was 9.71 million contracts, and that of put options was 4.08 million contracts, with an open interest PCR of 0.64 [3]. - For the CSI 300 Index options, the open interest of call options was 12.77 million contracts, and that of put options was 10.58 million contracts, with an open interest PCR of 0.83 [3]. - For the CSI 1000 Index options, the open interest of call options was 35.62 million contracts, and that of put options was 18.56 million contracts, with an open interest PCR of 1.09 [3]. Volatility Analysis Shanghai Stock Exchange 50 Index Volatility - Historical volatility and historical volatility cone are presented, along with the volatility smile curve and next - month at - the - money implied volatility [3][4]. CSI 300 Index Volatility - Historical volatility and historical volatility cone are shown, as well as the volatility smile curve and next - month at - the - money implied volatility [3][4]. CSI 1000 Index Volatility - Historical volatility and historical volatility cone are provided, together with the volatility smile curve and next - month at - the - money implied volatility [3][4].

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - The report presents the daily data of stock index options, including the market performance of major stock indices, the trading volume and open interest of stock index options, and the volatility analysis of relevant indices [3][4][5] 3. Summary by Related Catalogs Market Review - **Index Performance**: The Shanghai Composite Index fell 1.97% to 3738.32 points, the Shenzhen Component Index fell 2.37%, the ChiNext Index fell 3.2%, the Northbound 50 Index rose 0.58%, the Science and Technology Innovation 50 Index fell 5.38%, the Wind All - A Index fell 1.88%, the Wind A500 Index fell 2.39%, and the CSI A500 Index fell 2.58%. A - share half - day trading volume was 1.62 trillion yuan [5] - **Specific Index Data**: The Shanghai Stock Exchange 50 Index closed at 2910.47, with a trading volume of 91.92 billion, a decline of 1.71%, and a turnover of 2080.35 billion yuan; the CSI 300 Index closed at 4365.2085, with a trading volume of 307.93 billion, a decline of 2.12%, and a turnover of 7731.25 billion yuan; the CSI 1000 Index closed at 7041.1544, with a trading volume of 297.62 billion, a decline of 2.30%, and a turnover of 4885.95 billion yuan [3] CFFEX Stock Index Options Trading Situation - **Option Volume and Open Interest**: For the Shanghai Stock Exchange 50 Index, the call option trading volume was 5.85 million, the put option trading volume was 3.57 million, the trading volume PCR was 0.61, the call option open interest was 6.39 million, the put option open interest was 3.63 million, and the open interest PCR was 0.57; for the CSI 300 Index, the call option trading volume was 22.82 million, the put option trading volume was 9.24 million, the trading volume PCR was 0.68, the call option open interest was 13.19 million, the put option open interest was 9.75 million, and the open interest PCR was 0.74; for the CSI 1000 Index, the call option trading volume was 22.66 million, the put option trading volume was 21.77 million, the trading volume PCR was 0.96, the call option open interest was 16.22 million, the put option open interest was 18.90 million, and the open interest PCR was 0.86 [3] Volatility Analysis - **Historical Volatility and Volatility Cone**: The report provides historical volatility and volatility cone data for the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index, including minimum, maximum, 10% quantile, 30% quantile, 60% quantile, 90% quantile, and current values [3][4] - **Volatility Smile Curve**: The report also shows the next - month at - the - money implied volatility and volatility smile curves for the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index [3][4]

Report Information - Report Title: Index Option Data Daily Report [4] - Date: June 23, 2025 [4] - Author: Li Zebao from the Financial Derivatives Center of Guomao Futures Research Institute [4] - Data Sources: Wind, Guomao Futures Research Institute [4] Market Review Index Performance - The Shanghai Composite Index fell 0.07% to 3359.9 points; the Shenzhen Component Index dropped 0.47% to 10005.03 points; the ChiNext Index declined 0.84% to 2009.89 points; the CSI 300 rose 0.09% to 3846.64 points; the STAR 50 decreased 0.53% to 957.87 points; the Beijing Stock Exchange 50 tumbled 1.34% to 1347.46 points [12] - The total turnover of the Shanghai and Shenzhen stock markets was 1.07 trillion yuan, with more falling stocks than rising ones and over 3600 stocks declining across the market [12] Index Option Trading | Index | Closing Price | Change (%) | Turnover (Billion Yuan) | Volume (Billion) | Option Volume (Million Contracts) | Call Option Volume (Million Contracts) | Put Option Volume (Million Contracts) | PCR (Volume) | Option Open Interest (Million Contracts) | Call Option Open Interest (Million Contracts) | Put Option Open Interest (Million Contracts) | PCR (Open Interest) | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2673.7191 | 0.31 | 631.62 | 36.32 | 2.85 | 1.58 | 1.27 | 0.80 | 3.97 | 2.34 | 1.64 | 0.70 | | CSI 300 | 3846.6443 | 0.09 | 2135.23 | 118.15 | 7.71 | 4.12 | 3.59 | 0.87 | 11.86 | 7.24 | 4.62 | 0.64 | | CSI 1000 | 5999.5914 | -0.80 | 2265.32 | 180.86 | 22.12 | 11.11 | 11.01 | 0.99 | 17.95 | 9.84 | 8.11 | 0.82 | [5] Volatility Analysis - The report provides historical volatility cones, current volatility values, and volatility smile curves for SSE 50, CSI 300, and CSI 1000, as well as next - month at - the - money implied volatility [9][10]

Group 1: Market Performance - The closing prices of the Shanghai 50, CSI 300, and CSI 1000 were 2679.9218, 3874.9708, and 6135.3858 respectively, with changes of -0.15%, 0.12%, and -0.10% [4]. - The trading volumes of the Shanghai 50, CSI 300, and CSI 1000 were 36.67 billion, 127.53 billion, and 204.11 billion respectively, and the trading turnovers were 621.34 billion yuan, 2305.54 billion yuan, and 2564.64 billion yuan respectively [4]. - The previous trading day, the Shanghai Composite Index rose 0.04% to 3388.81 points, the Shenzhen Component Index rose 0.24%, the ChiNext Index rose 0.23%, the Beijing Stock Exchange 50 fell 0.65%, the STAR 50 rose 0.53%, and the CSI A500 rose 0.07%. A - share trading volume was 1.22 trillion yuan, compared with 1.24 trillion yuan the previous day [8]. Group 2: CFFEX Stock Index Option Trading - For the Shanghai 50 index options, the trading volume was 3.02 million contracts, with 1.98 million call options and 1.05 million put options, and the PCR was 0.53. The open - interest was 7.45 million contracts, with 4.67 million call options and 2.78 million put options, and the PCR was 0.60 [4]. - For the CSI 300 index options, the trading volume was 7.68 million contracts, with 4.65 million call options and 3.03 million put options, and the PCR was 0.65. The open - interest was 19.68 million contracts, with 11.64 million call options and 8.04 million put options, and the PCR was 0.69 [4]. - For the CSI 1000 index options, the trading volume was 21.27 million contracts, with 10.62 million call options and 10.65 million put options, and the PCR was 1.00. The open - interest was 28.97 million contracts, with 14.86 million call options and 14.11 million put options, and the PCR was 0.95 [4]. Group 3: Volatility Analysis - The report includes historical volatility analysis and next - month at - the - money implied volatility smile curves for the Shanghai 50, CSI 300, and CSI 1000 [12].