1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The trading activity in the financial options market has increased, and the bullish sentiment has risen. It is advisable to consider the bull call spread strategy [1] 3. Summary by Relevant Sections 3.1 Option Market Trading Overview - The total daily average call volume across all options is 600.78 million lots, the put volume is 426.02 million lots, and the total volume is 1026.80 million lots. The total daily average call open interest is 482.27 million lots, the put open interest is 487.63 million lots, and the total open interest is 969.91 million lots. The total daily average call turnover is 6.4715821 billion yuan, the put turnover is 2.7525962 billion yuan, and the total turnover is 9.2241783 billion yuan [1] 3.2 Option Volatility Statistics - On the last trading day of the week, for different options such as the SSE 50 Index Option, the ATM - IV, IV change, same - term HV, HV change, Skew, Skew change, VIX, and VIX change are presented. For example, the SSE 50 Index Option has an ATM - IV of 17.62% with a 2.39% change, a same - term HV of 8.32% with a - 0.01% change, etc. [3] 3.3 Option Liquidity - Figures show the changes in total trading volume, total open interest, total turnover, total trading market value, and total open interest market value of financial options, as well as the trading volume and open interest proportions of each option variety [1][4][5][7][9] 3.4 Option Volatility Level - Comparing the at - the - money implied volatility (ATM - IV) and historical volatility (HV) of various options, last week, the ATM - IV and HV of most options showed signs of convergence (except for the GEM ETF Option which showed signs of divergence). The current ATM - IV values for different options range from 15.06% to 30.13%. There is a positive correlation between the underlying asset and the ATM - IV, with correlation coefficients ranging from 80.22% to 98.09% [10][12][14][17][19][21][25][27][29][31][34][36][37] 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of options can reflect the market's bull - bear sentiment to some extent. Figures show the PCR trends and daily环比 incremental percentages of different options [38][39][40][41][42][43][44][45][48] 3.6 Market Support and Resistance Levels - The key support and resistance levels for different option underlying assets are provided. For example, the SSE 50 Index has a key support level of 2800 and a resistance level of 3200; the CSI 1000 Index has a key support level of 6000 and a resistance level of 7000, etc. [48]

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 Date - The report is dated June 25, 2025 [1] Investment Recommendation - The report suggests that stock index options are experiencing an upward volatility trend, with increasing bullish sentiment, and recommends considering a bull call spread strategy [2] Core Viewpoints - The market shows an upward trend in stock index options, with increasing trading volume and changes in various indicators such as volatility and PCR [2][3] Market Data Summary Underlying Market Statistics - The closing prices of major indices like the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index have increased, along with corresponding changes in trading volume and basis [3] Option Market Statistics - Trading volumes and open interests of various options have changed, and indicators such as VL - PCR and OI - PCR show different levels of bullish or bearish sentiment [3] Option Volatility Statistics - ATM - IV, IV changes, HV, and Skew of different options have fluctuated, indicating changes in market expectations and risks [6] Option - Specific Analysis Shanghai Composite 50 Index Options - Analyzed through charts of PCR, skew, volatility cone, and volatility term structure, showing changes in market sentiment and volatility characteristics [9][10] CSI 300 Index Options - Similar to the Shanghai Composite 50 Index Options, with its own unique data and trends in PCR, skew, and volatility [13][14] CSI 1000 Index Options - Exhibits distinct features in trading volume, open interest, and volatility compared to other index options [16][17] ETF Options - Options on various ETFs such as Shanghai Composite 50 ETF, Huatai - Berry 300 ETF, and Southern 500 ETF are analyzed in terms of PCR, skew, and volatility [20][21][24]