Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core Viewpoint The stock index options showed an upward volatility increase, with a significant rise in skewness. It is advisable to consider the bullish call spread strategy [1]. 3. Summary of Different Parts Market Data Statistics - **Underlying Market**: Included the closing price, change, trading volume, and change in trading volume of various indexes and ETFs such as the Shanghai Composite 50 Index, CSI 300 Index, and Shenzhen Component 100 ETF. Also presented the synthetic futures and basis of the current and next months [1]. - **Option Market**: Provided the trading volume, change, open interest, change, VL - PCR, OI - PCR, and the maximum positions of call and put options (near - month) for different stock index options and ETF options, like the Shanghai Composite 50 Index option and Huatai - Ba瑞 300ETF option [1]. Option Volatility Statistics - **Near - month**: Showed the ATM - IV, IV change, same - term HV, HV change, Skew, Skew change, VIX, and VIX change for various options, including the Shanghai Composite 50 Index option and CSI 1000 Index option [4]. - **Next - month**: Displayed the ATM - IV, IV change, same - term HV, HV change, Skew, and Skew change for different options [4]. Option Charts - **Shanghai Composite 50 Index Option**: Included the full - contract PCR chart, main - contract skewness chart, volatility cone chart, and volatility term - structure chart [8]. - **CSI 300 Index Option**: Had the main - contract volatility chart, full - contract PCR chart, main - contract skewness chart, volatility cone chart, and volatility term - structure chart [12][13]. - **CSI 1000 Index Option**: Contained the main - contract volatility chart, full - contract PCR chart, main - contract skewness chart, volatility cone chart, and volatility term - structure chart [15][17]. - **ETF Options**: Each type of ETF option (such as Shanghai Composite 50ETF option, Huatai - Ba瑞 300ETF option) had corresponding main - contract volatility charts, full - contract PCR charts, main - contract skewness charts, volatility cone charts, and volatility term - structure charts [19][23][34].

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View In 2025, on June 4th, the implied volatility of stock index options increased in a positive correlation during intraday trading. A bull call spread strategy can be considered [1]. 3. Summary by Related Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai - Shenzhen 300 Index, CSI 1000 Index, and other indices rose. For example, the Shanghai - Shenzhen 300 Index closed at 3868.74, up 16.73 points; the CSI 1000 Index closed at 6123.17, up 53.14 points. Trading volumes of most indices decreased, such as the Shanghai - Shenzhen 300 Index with a trading volume of 116.80 billion shares, a decrease of 14.60 billion shares [2]. - **Option Market Statistics**: Trading volumes of most options decreased, while open interest increased. For instance, the trading volume of Shanghai - Shenzhen 300 index options was 44122, a decrease of 6399, and the open interest was 174658, an increase of 2711. The VL - PCR and OI - PCR of different options varied [2]. 3.2 Option Indicator Data Statistics - **Option Volatility Statistics (Near - Month)**: The ATM - IV of different options showed different changes. For example, the ATM - IV of CSI 1000 index options was 18.40%, up 0.32%. The HV of most options also changed, with the HV of CSI 1000 index options at 14.70%, up 0.51% [5]. - **Option Volatility Statistics (Next - Month)**: The ATM - IV and HV of different options also had corresponding changes. For example, the ATM - IV of Shanghai - Shenzhen 300 index options was 12.90%, down 0.30%, and the HV was 8.09%, up 0.06% [5]. 3.3 Option Charts - **Shanghai 50 Index Options**: Include full - contract PCR charts, main - contract skewness trend charts, volatility cone charts, and volatility term structure charts [9]. - **Shanghai - Shenzhen 300 Index Options**: Include full - contract PCR charts, main - contract skewness trend charts, volatility cone charts, and volatility term structure charts [13]. - **CSI 1000 Index Options**: Include full - contract PCR charts, main - contract skewness trend charts, volatility cone charts, and volatility term structure charts [17]. - **ETF Options (Shanghai 50ETF, Huatai - Baorui 300ETF, etc.)**: Each type of ETF option has corresponding full - contract PCR charts, main - contract skewness trend charts, volatility cone charts, and volatility term structure charts [24][28].