1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - The report presents the trading data of various index options on March 31, 2026, including option trading volume, PCR, and VIX, to reflect the market conditions of index options [1][2][3] 3. Summary by Directory Option Trading Volume - On March 31, 2026, the trading volume of Shanghai Stock Exchange 50 ETF options was 807,400 contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 885,900 contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 1,545,900 contracts; the trading volume of Shenzhen 100 ETF options was 47,400 contracts; the trading volume of ChiNext ETF options was 1,510,200 contracts; the trading volume of Shanghai Stock Exchange 50 index options was 29,700 contracts; the trading volume of CSI 300 index options was 84,000 contracts; the total trading volume of CSI 1000 options was 281,800 contracts [1] Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 1.07, with a month - on - month change of - 0.13; the position PCR was reported at 0.74, with a month - on - month change of + 0.01. Similar data are provided for other types of options [2] Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 17.80%, with a month - on - month change of - 0.36%. Similar data are provided for other types of options [3]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - No relevant content provided 3. Summary by Directory Option Trading Volume - On March 30, 2026, the trading volume of SSE 50 ETF options was 706,900 contracts; CSI 300 ETF options (Shanghai) was 818,200 contracts; CSI 500 ETF options (Shanghai) was 1,445,700 contracts; Shenzhen 100 ETF options was 47,400 contracts; ChiNext ETF options was 1,229,500 contracts; SSE 50 index options was 27,900 contracts; CSI 300 index options was 77,000 contracts; and CSI 1000 options was 310,200 contracts [1] - The table shows the call, put, and total trading volumes of various index ETF options on the same day [21] Option PCR - The turnover PCR of SSE 50 ETF options was reported at 1.19, with a month - on - month change of +0.00; the position PCR was 0.73, with a change of +0.00. Similar data for other options are also provided, including CSI 300 ETF options (Shanghai), CSI 500 ETF options (Shanghai), etc. [2][35] Option VIX - The VIX of SSE 50 ETF options was reported at 18.17%, with a month - on - month change of +0.71%. Similar VIX data and changes for other options such as CSI 300 ETF options (Shanghai), CSI 500 ETF options (Shanghai) are also presented [3][48]

Report Industry Investment Rating - Not provided Core Viewpoints - Last week, the implied volatility of each option showed a significant upward and then downward trend. The declines on Monday and Thursday both led to an obvious upward trend in volatility. The at-the-money implied volatility of MO reached a very high level of 39%. Currently, the average at-the-money implied volatilities of April IO, HO, and MO options are around 16.85%, 17%, and 25.22% respectively, with premiums of -0.33 percentage points, 0.2 percentage points, and -2.97 percentage points compared to the 30-day historical volatility. The 30-day historical volatility of the underlying is still above the 60-day historical volatility, and technically, the volatility is still in an upward cycle. Due to the uncertainty in the Middle East situation, the downside space of implied volatility may still be relatively limited under the low premium [3]. - In terms of the relationship between implied volatility and the underlying index, the decline of the underlying index is more likely to drive the synchronous increase of implied volatility, while the rise of the index brings about the decline of volatility. Coupled with the decline of the position PCR value to a relatively low level in the past year, it indicates that the trend of put option sellers increasing positions is still restrained, and the market is still relatively cautious in the short term [3]. - In terms of position distribution, the contract with the highest call option position of MO has moved down to the 8000-point level, with the current position reaching more than 9000 lots. From the perspective of selling options, it is expected that the CSI 1000 Index will still face relatively large pressure above in the short term. The contract with the highest put option position is at the strike price of 7000 points, and there is a trend of increasing positions, indicating that the CSI 1000 Index will also face strong support below this area in the short term [3]. - In general, the market may digest panic through bottom - range oscillations. The significant upward and then downward movement of implied volatility last week indicates that the short - term emotional bottom may have basically emerged. It is recommended that investors can consider selling out - of - the - money MO call options with a strike price above 8000 points at high prices to collect certain option premiums. On the other hand, if the market experiences a panic decline again, it is advisable to consider selling MO put options with a strike price below 7000 points at an appropriate time for strategic long - position allocation [3]. Summary by Directory 01 Index Option Data Tracking - **Main Indicator Overview**: Not provided - **Trading Volume and Position Situation**: Not provided - **PCR Value and Underlying Index Trend**: Not provided - **Position Distribution Situation**: The contract with the highest call option position of MO has moved down to the 8000 - point level, with the current position reaching more than 9000 lots. The contract with the highest put option position is at the strike price of 7000 points, and there is a trend of increasing positions [3]. - **One - Year Volatility Cone**: Not provided - **Implied Volatility and Historical Volatility**: Last week, the implied volatility of each option showed a significant upward and then downward trend. The at - the - money implied volatility of MO reached 39%. Currently, the average at - the - money implied volatilities of April IO, HO, and MO options are around 16.85%, 17%, and 25.22% respectively, with premiums of - 0.33 percentage points, 0.2 percentage points, and - 2.97 percentage points compared to the 30 - day historical volatility. The 30 - day historical volatility of the underlying is still above the 60 - day historical volatility [3]. - **Volatility Surface Structure**: Not provided - **Skewness and Underlying Index Trend**: Not provided

1. Report Industry Investment Rating - No relevant information provided 2. Core View of the Report - The report presents the trading data of stock index options on March 23, 2026, including option trading volume, PCR, and VIX [1][2][3] 3. Summary by Directory Option Trading Volume - On March 23, 2026, the trading volume of Shanghai Stock Exchange 50 ETF options was 1.149 million contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 1.5266 million contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 2.4075 million contracts; the trading volume of Shenzhen 100 ETF options was 0.1389 million contracts; the trading volume of ChiNext ETF options was 2.7478 million contracts; the trading volume of Shanghai Stock Exchange 50 stock index options was 0.0656 million contracts; the trading volume of CSI 300 stock index options was 0.1605 million contracts; the total trading volume of CSI 1000 options was 0.4154 million contracts [1] - The table also shows the call, put, and total trading volumes of various options [21] Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 2.20, with a month - on - month change of +0.70; the position PCR was reported at 0.62, with a month - on - month change of - 0.05. Similar data for other options are also provided, such as the turnover PCR of CSI 300 ETF options (Shanghai market) was 2.18, with a month - on - month change of +1.11; the position PCR was 0.67, with a month - on - month change of - 0.09 [2][34] Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 23.14%, with a month - on - month change of +5.11%. Similar data for other options are also provided, such as the VIX of CSI 300 ETF options (Shanghai market) was 24.37%, with a month - on - month change of +4.95% [3][54]

Report Title - The report is titled "Weekly Observation of Stock Index Options: Market Risk Aversion is Strong, Suggesting a Defensive Approach" [1] Core View - Last week, the implied volatility of each option continued to rise significantly. The average implied volatility of the at-the-money options for April IO, HO, and MO is around 18%, 18.2%, and 27.01% respectively, with premiums of about 3.18, 3, and 1.56 percentage points compared to the 30-day historical volatility. The implied volatility premiums of IO and HO options are slightly high. The 30-day historical volatility of the underlying has gradually risen above the 60-day historical volatility, and technically, the volatility is in an upward cycle. Due to the high uncertainty in the Middle East situation and the relatively restrained pricing of the tail risk brought by high oil prices in the equity market, it is expected that the short-term implied volatility may still rise [4] - The decline of the underlying index drives the implied volatility to rise synchronously, indicating that the short-term option market's risk aversion willingness is still strong. The decline of the IO option position PCR value is more restrained than that of the MO option. Compared with the small and medium-cap index, option sellers are more optimistic about the large-cap index. It is expected that the downside space of the CSI 300 index in the short term is generally limited [4] - In terms of position distribution, the contract with the highest call option position of MO has moved down to the 8300-point level. During the market decline on Friday, the call contract with a strike price of 8000 added more than 2000 lots. From the perspective of selling options, it is expected that the upside of the CSI 1000 index will still face relatively large pressure in the short term [4] - In terms of strategies, due to the relatively strong short-term market risk aversion sentiment, investors are advised to mainly sell out-of-the-money call options of MO at high prices. Investors with long positions in stock index futures can consider using collar strategies to prevent short-term market uncertainty risks [4] Directory Summary 01 Stock Index Option Data Tracking - **成交持仓情况**: The report presents data on trading volume and open interest, but specific data details are not described in the text [8][11] - **PCR值与标的指数走势**: The relationship between the PCR value and the underlying index trend is presented, but specific analysis is not provided [15] - **持仓量分布情况**: The position distribution of HO2604, IO2604, and MO2604 is shown through charts, including the distribution of call and put option positions [21][23] - **近一年波动率锥**: The volatility cone data for the past year is presented, but specific analysis is not provided [26][29] - **隐含波动率和历史波动率**: The relationship between implied volatility and historical volatility is presented, but specific analysis is not provided [32][35] - **波动率曲面结构**: The volatility surface structure is mentioned, but specific content is not provided [50] - **偏度与标的指数走势**: The relationship between skewness and the underlying index trend is presented, but specific analysis is not provided [55][58]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The report presents the trading data of various index options on March 11, 2026, including trading volume, PCR, and VIX, to reflect the market conditions of index options [1][2][3] Summary by Directory Option Trading Volume - On March 11, 2026, the trading volume of Shanghai Stock Exchange 50 ETF options was 552,300 contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 927,400 contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 1,424,300 contracts; the trading volume of Shenzhen 100 ETF options was 47,500 contracts; the trading volume of ChiNext ETF options was 1,925,500 contracts; the trading volume of Shanghai Stock Exchange 50 index options was 18,600 contracts; the trading volume of CSI 300 index options was 89,900 contracts; the total trading volume of CSI 1000 options was 193,500 contracts [1] - The detailed trading volume data of call and put options for each type of option are also provided [20] Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.85, with a month - on - month change of +0.02; the position PCR was reported at 0.77, with a month - on - month change of +0.00. Similar data for other types of options are also presented, including CSI 300 ETF options (Shanghai market), CSI 500 ETF options (Shanghai market), Shenzhen 100 ETF options, ChiNext ETF options, Shanghai Stock Exchange 50 index options, CSI 300 index options, and CSI 1000 index options [2][35] Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 15.12%, with a month - on - month change of - 0.20%. Similar data for other types of options are also provided, including CSI 300 ETF options (Shanghai market), CSI 500 ETF options (Shanghai market), Shenzhen 100 ETF options, ChiNext ETF options, Shanghai Stock Exchange 50 index options, CSI 300 index options, and CSI 1000 index options [3][48]

Report Summary 1. Industry Investment Rating No information provided. 2. Core View No information provided. 3. Summary by Directory Option Trading Volume - On March 9, 2026, the trading volume of SSE 50 ETF options was 563,400 contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 842,000 contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 1,335,200 contracts; the trading volume of Shenzhen 100 ETF options was 91,600 contracts; the trading volume of ChiNext ETF options was 2,012,300 contracts; the trading volume of SSE 50 index options was 45,600 contracts; the trading volume of CSI 300 index options was 80,400 contracts; the total trading volume of CSI 1000 options was 378,900 contracts [1]. - The table shows the trading volume details of call, put and total for different index ETF options, such as for SSE 50 ETF options, call volume was 560,900 contracts, put volume was 555,000 contracts, and total volume was 1,115,900 contracts [21]. Option PCR - The turnover PCR of SSE 50 ETF options was reported at 1.56, with a month - on - month change of +0.65; the position PCR was reported at 0.78, with a month - on - month change of +0.00. Similar data for other options are also provided, like for CSI 300 ETF options (Shanghai market), turnover PCR was 1.78, month - on - month change +0.72, position PCR was 0.88, month - on - month change +0.02 [2][34]. Option VIX - The VIX of SSE 50 ETF options was reported at 16.84%, with a month - on - month change of +2.34%. For other options, such as CSI 300 ETF options (Shanghai market), the VIX was 17.59%, with a month - on - month change of +2.43%. Similar data for other index options are also presented [3][49].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock market continued to decline with rising volatility, and the short - end of the bond market remained strong [2]. - For stock index futures, the rebound failed. The equity market was weak on Wednesday, with the morning rebound not continuing, trading volume dropping to 2.4 trillion. The previously strong dividend index saw a supplementary decline, and the oil and gas sector's chips loosened. The CSI 500 was stable and relatively resistant to decline during the day. There are liquidity concerns globally, and the stabilization of the South Korean market may be a sign for this round of the market. As the Two Sessions approach, the market will trade on policy expectations, with expanding domestic demand and supporting the technology sector as the main lines, but new policy statements are more important. The PCR ratio of major options continued to rise, indicating that risk may not be fully released [3][10]. - For stock index options, the downward trend with rising volatility continued. The underlying market remained weak on Wednesday, with the total turnover of financial options at 117.8 billion yuan, slightly lower than Tuesday. The implied volatility of various options mostly increased, showing a negative correlation with the index. The PCR ratio of most options continued to rise, with significant increases in call option positions, but the skewness did not show an obvious return. Due to the current uncertainties at home and abroad and the lack of signs of stabilization in the underlying, the implied volatility still has room to rise, so the operation should continue to hedge and defend against the risk of increased market volatility [4][10]. - For treasury bond futures, the short - end of the bond market remained strong. Most of the main contracts of treasury bond futures rose yesterday, and the yields of major inter - bank interest - rate bonds declined overall, with a larger decline at the short - end. Although the central bank continued to withdraw liquidity in the open - market operations, the inter - bank market liquidity was still relatively loose at the beginning of the month, and the short - end showed strong certainty. The weakening of the equity market due to risk - aversion sentiment supported the bond market through the stock - bond seesaw effect. The February manufacturing PMI data was slightly lower than expected, also supporting the bullish sentiment in the bond market. In the short term, the bond market may be affected by risk - aversion sentiment, but with the approaching of important meetings, policy speculation may heat up, and the bond market may be volatile. The strategy should focus on arbitrage in the short term, such as the convergence opportunity of the 30 - 10Y treasury bond term spread [4][11]. 3. Summary by Relevant Catalogs 3.1 Market Outlook - **Stock Index Futures**: The view is that the rebound failed. The logic is based on the weak operation of the equity market, changes in trading volume, the performance of the dividend index and the oil and gas sector, global liquidity concerns, and approaching policy expectations. The operation suggestion is to hold IM with half - position, and the risk point is insufficient incremental funds. The outlook is volatile [10]. - **Stock Index Options**: The view is that the downward trend with rising volatility continued. The logic is based on the weak underlying market, changes in option turnover, implied volatility, and sentiment indicators. The operation suggestion is to use option - buying for defense, and the risk factor is insufficient liquidity in the option market. The outlook is volatile [10]. - **Treasury Bond Futures**: The view is that the short - end of the bond market remained strong. The logic is based on the performance of treasury bond futures contracts, changes in bond yields, central bank operations, the stock - bond seesaw effect, and PMI data. The operation suggestions include a trend strategy of being volatile, a hedging strategy of paying attention to short - selling hedging at low basis levels, a basis strategy of paying attention to ultra - long - end arbitrage opportunities, and a curve strategy of paying attention to the flattening of the 30Y - 10Y yield curve. The risk factors are excessive supply of ultra - long bonds, unexpected stock market rise, and unexpected monetary policy. The outlook is volatile [11]. 3.2 Derivatives Market Monitoring - **Stock Index Futures Data**: No specific content provided. - **Stock Index Options Data**: No specific content provided. - **Treasury Bond Futures Data**: No specific content provided.

Report Industry Investment Rating - Not provided in the given content Core View - The report provides a daily overview of the stock index options market, including option trading volume, PCR, and VIX, offering data on various types of options such as ETF options and index options on a specific date (2026-03-03) [1][2][3] Summary by Directory I. Option Trading Volume - On March 3, 2026, the trading volume of Shanghai Stock Exchange 50 ETF options was 900,800 contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 1,174,300 contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 1,511,900 contracts; the trading volume of Shenzhen 100 ETF options was 46,100 contracts; the trading volume of ChiNext ETF options was 1,993,700 contracts; the trading volume of Shanghai Stock Exchange 50 index options was 58,900 contracts; the trading volume of CSI 300 index options was 124,200 contracts; the total trading volume of CSI 1000 options was 418,400 contracts [1] - The detailed trading volume data for call and put options and total trading volume of various ETF options and index options are also provided, such as the total trading volume of Shanghai Stock Exchange 50 ETF options was 1,223,400 contracts, with 552,600 call contracts and 670,700 put contracts [21] II. Option PCR - The turnover PCR of Shanghai Stock Exchange 50 ETF options was reported at 0.97, with a month - on - month change of +0.18; the position PCR was reported at 0.83, with a month - on - month change of +0.02. Similar data for other types of options are also provided, like the turnover PCR of CSI 300 ETF options (Shanghai market) was 0.98, with a month - on - month change of +0.19, and the position PCR was 0.87, with a month - on - month change of +0.06 [2][37] III. Option VIX - The VIX of Shanghai Stock Exchange 50 ETF options was reported at 16.77%, with a month - on - month change of +1.41%. The VIX and month - on - month changes of other types of options are also presented, for example, the VIX of CSI 300 ETF options (Shanghai market) was 17.41%, with a month - on - month change of +2.05% [3][52]

Group 1: Report's Industry Investment Ratings - The outlook for stock index futures is "shockingly strong" [6] - The outlook for stock index options is "shock" [6] - The outlook for treasury bond futures is "shock" [7] Group 2: Report's Core Views - For stock index futures, the introduction of real - estate policies has scattered trading themes. The Shanghai Composite Index rose and then fell on Wednesday, with small and medium - cap stocks outperforming. After the Shanghai property market policy was released, there was sector rotation. With scattered themes, the upside may be limited, but with improved A - share trading volume after the holiday, it's still recommended to hold IM long - positions before the Two Sessions [1][6] - Regarding stock index options, short - term volatility expectations have decreased, and the focus can shift to medium - term moderate growth. The trading logic is moving from hedging and speculation to medium - term layout. The put - call ratio of small and medium - cap stocks provides some support, and a covered - call strategy can be the main medium - term approach [2][6] - For treasury bond futures, policies and risk preferences have disturbed the bond market, causing it to decline. The central bank's operations have loosened the money - market, but the bond market sentiment was weak due to the rise in the stock market and the new real - estate policy. In the short - term, the bond market is expected to continue to fluctuate [3][7] Group 3: Summaries Based on Related Catalogs 1. Stock Index Futures - **Market Situation**: The Shanghai Composite Index rose and fell on Wednesday, with small and medium - cap stocks performing better. After the Shanghai property market policy, sector rotation occurred, with cyclical sectors taking profits and real - estate related sectors being relatively resilient [1][6] - **Investment Strategy**: Hold IM long - positions as post - holiday A - share trading volume has recovered, and the policy call option before the Two Sessions is still valid [1][6] 2. Stock Index Options - **Market Situation**: The underlying market continued to rise, with small and medium - cap related varieties rising more. Option trading volume increased slightly, and implied volatility decreased, indicating a shift from short - term trading to medium - term layout [2][6] - **Investment Strategy**: Adopt a covered - call strategy as short - term volatility expectations decline and the market is suitable for medium - to long - term bullish strategies [2][6] 3. Treasury Bond Futures - **Market Situation**: Treasury bond futures' main contracts fell. The central bank's operations loosened the money - market, but the bond market was affected by the rise in the stock market and the new real - estate policy, leading to an increase in interest rates [3][7] - **Investment Strategy**: Be cautious in the bond market. For hedging, focus on short - hedging at low basis levels; for basis strategies, look for positive - arbitrage opportunities in ultra - long - term bonds; for curve strategies, focus on the narrowing of the 30Y - 10Y spread; and pay attention to the downward momentum of inter - delivery spreads and the change in the delivery window due to the Spring Festival [7]