1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints - On January 29, the A-share market continued its narrow consolidation. Liquor stocks saw a wave of limit - up in the afternoon, and gold stocks remained strong. The Shanghai Composite Index closed up 0.16% at 4,157.98 points, while the Shenzhen Component Index fell 0.3%, the ChiNext Index fell 0.57%, the North - bound 50 Index fell 1.69%, the Science and Technology Innovation 50 Index fell 3.03%, the Wind All - A Index fell 0.23%, the Wind A500 Index rose 0.5%, and the CSI A500 Index rose 0.3%. The total A - share trading volume for the day was 3.26 trillion yuan, compared with 2.99 trillion yuan the previous day [4] 3. Summary by Related Contents 3.1 Market Quotes Review - **Index Closing Price and Changes** - The closing price of the Shanghai 50 Index was 2,948.88, with an increase of 100.71 and a daily increase of 1.65%. The trading volume was 31.109135 billion, and the trading value was 100.71 billion yuan - The closing price of the CSI 300 Index was 4,753.8697, with an increase of 0.76. The trading volume was 41.551 billion, and the trading value was 917.966 billion yuan - The closing price of the CSI 1000 Index was 8,332.2067, with a decrease of 0.80%. The trading volume was 401.99 billion, and the trading value was 677.736 billion yuan [3] - **China Financial Futures Exchange Stock Index Options Trading Situation** - **Shanghai 50 Index Options**: The trading volume of call options was 6.93 million contracts, and the trading volume of put options was 5.06 million contracts. The open interest of call options was 7.97 million contracts, and the open interest of put options was 4.87 million contracts. The trading volume PCR was 0.73, and the open interest PCR was 0.61 - **CSI 300 Index Options**: The trading volume of call options was 8.23 million contracts, and the trading volume of put options was 9.11 million contracts. The open interest of call options was 20.85 million contracts, and the open interest of put options was 12.63 million contracts. The trading volume PCR was 1.11, and the open interest PCR was 0.61 - **CSI 1000 Index Options**: The trading volume of call options was 33.22 million contracts, and the trading volume of put options was 32.21 million contracts. The open interest of call options was 16.19 million contracts, and the open interest of put options was 16.02 million contracts. The trading volume PCR was 0.97, and the open interest PCR was 0.99 [3] 3.2 Volatility Analysis - **Shanghai 50 Volatility Analysis** - The historical volatility cone shows the maximum, minimum, 10% quantile, 30% quantile, 60% quantile, 90% quantile values, as well as the current values of HV5, HV20, and HV60 - The volatility smile curve shows the implied volatility of the next - month at - the - money options of the Shanghai 50 Index [3] - **CSI 300 Volatility Analysis** - The historical volatility cone presents the maximum, minimum, 10% quantile, 30% quantile, 60% quantile, 90% quantile values, along with the current values of HV5, HV20, and HV60 - The volatility smile curve shows the implied volatility of the next - month at - the - money options of the CSI 300 Index [3] - **CSI 1000 Volatility Analysis** - The historical volatility cone displays the maximum, minimum, 10% quantile, 30% quantile, 60% quantile, 90% quantile values, together with the current values of HV5, HV20, and HV60 - The volatility smile curve shows the implied volatility of the next - month at - the - money options of the CSI 1000 Index [3]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - On January 28, the A - share market showed a narrow - range consolidation. The Shanghai Composite Index rose 0.27% to close at 4151.24 points, the Shenzhen Component Index rose 0.09%, the ChiNext Index fell 0.57%, the North Star 50 fell 0.16%, the STAR 50 fell 0.08%, the Wind All - A rose 0.11%, the Wind A500 rose 0.43%, and the CSI A500 rose 0.35%. The total trading volume of A - shares was 2.99 trillion yuan, compared with 2.92 trillion yuan the previous day [4] - The non - ferrous metals sector saw a wave of daily limit, and resource stocks strengthened across the board [4] 3. Summary by Relevant Catalogs 3.1 Market Quotes Review - **Index Closing Prices and Changes**: The closing price of the Shanghai Stock Exchange 50 was 3060.557, with a daily increase of 0.27% and a trading volume of 96.37 billion and a turnover of 2526.23 billion yuan; the closing price of the CSI 300 was 382.26, with an increase of 0.26%, a trading volume of 8294.14 billion and a turnover of 4717.9914 billion yuan; the closing price of the CSI 1000 was 349.66, with an increase of 0.21%, a trading volume of 8399.7938 billion and a turnover of 6273.57 billion yuan [3] - **China Financial Futures Exchange Stock Index Options Trading Situation**: For the Shanghai Stock Exchange 50 index options, the call option trading volume was 3.58 million contracts, the put option trading volume was 2.51 million contracts, the call option open interest was 8.39 million contracts, and the put option open interest was 5.28 million contracts; for the CSI 300 index options, the call option trading volume was 6.29 million contracts, the put option trading volume was 3.21 million contracts, the call option open interest was 20.24 million contracts, and the put option open interest was 7.94 million contracts; for the CSI 1000 index options, the call option trading volume was 21.88 million contracts, the put option trading volume was 13.07 million contracts, the call option open interest was 31.68 million contracts, and the put option open interest was 15.77 million contracts [3] 3.2 Volatility Analysis - **Shanghai Stock Exchange 50 Volatility**: Analyzed the historical volatility and the historical volatility cone, including the maximum, 30% quantile value, minimum, 10% quantile value, HV5, HV20, HV60, 90% quantile value, 60% quantile value and the current value. Also presented the next - month at - the - money implied volatility and the volatility smile curve [3] - **CSI 300 Volatility**: Analyzed the historical volatility and the historical volatility cone with relevant quantile values and current values, and showed the next - month at - the - money implied volatility and the volatility smile curve [3] - **CSI 1000 Volatility**: Analyzed the historical volatility and the historical volatility cone, and presented the next - month at - the - money implied volatility and the volatility smile curve [3]

Group 1: Report Information - Report title: Stock Index Option Data Daily Report [2] - Report date: January 28, 2026 [3] - Data sources: Wind, Guomao Futures Research Institute [3] Group 2: Market Review - On January 27, the A - share market fluctuated and rose with scattered hotspots. Gold stocks rose again with many hitting new highs. Commercial space and space photovoltaic themes strengthened locally. The Shanghai Composite Index closed up 0.18% at 4139.9 points, the Shenzhen Component Index rose 0.09%, the ChiNext Index rose 0.71%, the Beixin 50 fell 0.05%, the Kechuang 50 rose 1.51%, the Wind All - A rose 0.14%, the Wind A500 fell 0.03%, and the CSI A500 rose 0.08%. A - share trading volume was 2.92 trillion yuan, compared with 3.28 trillion yuan the previous day [4] Group 3: Index Performance | Index | Closing Price | Change (%) | Trading Volume (billion) | Turnover (billion yuan) | | --- | --- | --- | --- | --- | | SSE 50 | 3052.3932 | 0.09 | 2023.27 | 75.14 | | CSI 300 | 4705.6918 | - 0.03 | 7152.68 | 301.48 | | CSI 1000 | 8382.1533 | 0.20 | 365.66 | 6302.08 | [3] Group 4: CFFEX Stock Index Option Trading | Index | Call Option Volume (10,000 contracts) | Put Option Volume (10,000 contracts) | Option Volume (10,000 contracts) | Call Option Open Interest (10,000 contracts) | Put Option Open Interest (10,000 contracts) | Option Open Interest (10,000 contracts) | Volume PCR | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 3.78 | 1.50 | 5.28 | 3.01 | 0.40 | 3.41 | 0.40 | 0.13 | | CSI 300 | 8.37 | 3.51 | 11.88 | 7.71 | 11.81 | 19.52 | 0.42 | 1.53 | | CSI 1000 | 33.75 | 31.11 | 64.86 | 18.80 | 15.59 | 34.39 | 0.92 | 0.83 | [3] Group 5: Volatility Analysis - The report presents historical volatility cones and volatility smile curves for SSE 50, CSI 300, and CSI 1000, including maximum, minimum, 10%, 30%, 60%, 90% quantile values, and current values of historical volatility, as well as next - month at - the - money implied volatility [3]

1. Report Industry Investment Rating - No relevant information provided 2. Core View - On January 23, the A - share market fluctuated and climbed, with active performance of individual stocks. Nearly 4,000 stocks rose, and over 100 stocks hit the daily limit. The trading volume returned to 3 trillion yuan. Space photovoltaic and commercial aerospace concept stocks rose sharply. The Shanghai Composite Index closed up 0.33% at 4136.16 points, the Shenzhen Component Index rose 0.79%, the ChiNext Index rose 0.63%, the North - bound 50 rose 3.82%, the Science and Technology Innovation 50 rose 0.78%, the Wind All - A rose 0.97%, the Wind A500 rose 0.13%, and the CSI A500 rose 0.39%. The full - day trading volume of A - shares was 3.12 trillion yuan, compared with 2.72 trillion yuan the previous day [4] 3. Summary by Relevant Catalogs 3.1 Market Index Quotes - **Index Closing Prices and Changes**: The closing price of the Shanghai 50 was 2004.56, with a decline of 0.69%, and the trading volume was 69.02 billion yuan; the closing price of the CSI 300 was 7556.18, with a decline of 0.45%, and the trading volume was 314.64 billion yuan; the closing price of the CSI 1000 was 8470.7438, and the trading volume was 393.04 billion yuan [3] 3.2 CFFEX Stock Index Options Trading Situation - **Option Trading Volume and Open Interest**: For the Shanghai 50, the call option trading volume was 4.70 million contracts, the put option trading volume was 1.76 million contracts, the call option open interest was 7.54 million contracts, and the put option open interest was 2.79 million contracts; for the CSI 300, the call option trading volume was 7.31 million contracts, the put option trading volume was 12.20 million contracts, the call option open interest was 18.32 million contracts, and the put option open interest was 11.01 million contracts; for the CSI 1000, the call option trading volume was 19.94 million contracts, the put option trading volume was 12.78 million contracts, the call option open interest was 29.45 million contracts, and the put option open interest was 14.46 million contracts [3] 3.3 Volatility Analysis - **Historical Volatility and Volatility Smile Curves**: Analyzed the historical volatility and volatility smile curves of the Shanghai 50, CSI 300, and CSI 1000, including historical volatility cones, maximum and minimum values, percentile values, and next - month at - the - money implied volatility [3]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core View of the Report - On January 5th, the Shanghai Composite Index rose by over 1% with increased trading volume, returning to 4000 points; the ChiNext Index soared nearly 3%. There was a broad - based rally in theme stocks, with nearly 4200 stocks rising in the market. The Shanghai Composite Index closed up 1.38% at 4023.42 points, the Shenzhen Component Index rose 2.24%, the ChiNext Index rose 2.85%, the BeiZheng 50 rose 1.8%, the KeChuang 50 rose 4.41%, the Wind All - A rose 1.99%, the Wind A500 rose 2.08%, and the CSI A500 rose 2.14%. A - share trading volume for the whole day was 2.57 trillion yuan, compared with 2.07 trillion yuan the previous day [5] 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Performance**: The closing prices, daily percentage changes, trading volumes (in billions of shares), and turnovers (in billions of yuan) of the SSE 50, CSI 300, and CSI 1000 are presented. For example, the SSE 50 closed at 3099.7462, with a turnover of 1695.62 billion yuan and a trading volume of 2.26 billion shares, showing a 53.50% change [3] - **CFFEX Stock Index Options Trading**: The trading volume and open interest of call and put options, as well as the PCR (Put - Call Ratio) of the SSE 50, CSI 300, and CSI 1000 are provided. For instance, the SSE 50 call option trading volume was 3.26 million contracts, the put option trading volume was 2.32 million contracts, and the trading volume PCR was 0.77 [3] 3.2 Volatility Analysis - **Historical Volatility and Volatility Cone**: The historical volatility and volatility cone of the SSE 50, CSI 300, and CSI 1000 are analyzed, including the 10%, 30%, 60%, 90% quantile values, minimum, maximum, and current values, as well as the 5 - day, 20 - day, 40 - day, 60 - day, and 120 - day historical volatilities [3][4] - **Volatility Smile Curve**: The volatility smile curves and next - month at - the - money implied volatilities of the SSE 50, CSI 300, and CSI 1000 are presented [3][4]

Report Summary 1. Report Industry Investment Rating - No information provided in the given content. 2. Core View - The report presents the daily data of stock index options, including the closing prices, price changes, trading volumes, and option trading data of major stock indices such as SSE 50, CSI 300, and CSI 1000, as well as the volatility analysis of these indices [3][4]. 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Data**: On December 31, 2025, the Shanghai Composite Index closed up 0.09% at 3968.84 points, while the Shenzhen Component Index fell 0.58%, the ChiNext Index fell 1.23%, the North Securities 50 fell 0.7%, the Science and Technology Innovation 50 fell 1.15%, the Wind All - A fell 0.17%, the Wind A500 fell 0.36%, and the CSI A500 fell 0.28%. The total trading volume of A - shares for the day was 2.07 trillion yuan, compared with 2.16 trillion yuan the previous day [5]. - **Stock Index Data**: The closing price of SSE 50 was 1076.68, with a price change of 37.36, trading volume of 170.76 billion, and turnover of 3031.1258 billion yuan; the closing price of CSI 300 was 4629.9395, with a price change of - 0.46% and turnover of 4444.92 billion yuan; the closing price of CSI 1000 was 7595.2845, with a price change of - 0.03% and turnover of 244.55 billion yuan [3]. 3.2 CFFEX Stock Index Option Trading Situation - **Option Volume and Position**: For SSE 50, the call option volume was 5.27 million, the put option volume was 2.65 million, the call option position was 3.16 million, and the put option position was 2.11 million; for CSI 300, the call option volume was 10.32 million, the put option volume was 6.58 million, the call option position was 10.27 million, and the put option position was 7.43 million; for CSI 1000, the call option volume was 22.19 million, the put option volume was 12.83 million, the call option position was 29.43 million, and the put option position was 9.36 million [3]. - **PCR**: The trading volume PCR of SSE 50 was 0.53, and the position PCR was 0.67; the trading volume PCR of CSI 300 was 0.57, and the position PCR was 0.72; the trading volume PCR of CSI 1000 was 0.73, and the position PCR was 0.97 [3]. 3.3 Volatility Analysis - **SSE 50 Volatility**: The report shows the historical volatility cone and volatility smile curve of SSE 50, including the current value and different percentile values of historical volatility [3][4]. - **CSI 300 Volatility**: The report presents the historical volatility cone and volatility smile curve of CSI 300, including the current value and different percentile values of historical volatility [3][4]. - **CSI 1000 Volatility**: The report provides the historical volatility cone and volatility smile curve of CSI 1000, including the current value and different percentile values of historical volatility [3][4].

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - On December 19, the A-share market fluctuated higher. Hainan local stocks saw a wave of limit - up, and many high - position stocks tumbled at the end of the session. The Shanghai Composite Index rose 0.36% to close at 3890.45 points, the Shenzhen Component Index rose 0.66%, the ChiNext Index rose 0.49%, the Northbound 50 Index rose 0.99%, the Science and Technology Innovation 50 Index rose 0.2%, the Wind All - A Index rose 0.8%, the Wind A500 Index rose 0.52%, and the CSI A500 Index rose 0.55%. The A - share trading volume for the day was 1.75 trillion yuan, compared with 1.68 trillion yuan the previous day [5] 3. Summary by Relevant Catalogs Market Review - **Index Performance**: The closing price of the Shanghai 50 Index was 949.40, with a daily increase of 36.61, a trading volume of 3004.3401 billion yuan, and a turnover of 0.19 billion. The closing price of the CSI 300 Index was 4568.1781, with a daily increase of 0.34, a trading volume of 154.88 billion yuan, and a turnover of 0.79 billion. The closing price of the CSI 1000 Index was 7329.8057, with a daily increase of 219.21 [3] - **CFFEX Stock Index Option Trading Situation**: For the Shanghai 50 Index, the call option trading volume was 3.47 million contracts, the put option trading volume was 5.58 million contracts, the call option open interest was 3.89 million contracts, the put option open interest was 2.39 million contracts, and the open interest PCR was 0.63. For the CSI 300 Index, the call option trading volume was 15.02 million contracts, the put option trading volume was 0.62 million contracts, the call option open interest was 8.05 million contracts, and the open interest PCR was 0.65. For the CSI 1000 Index, the call option trading volume was 32.84 million contracts, the put option trading volume was 17.11 million contracts, the call option open interest was 22.82 million contracts, the put option open interest was 11.80 million contracts, and the open interest PCR was 0.93 [3] Volatility Analysis - **Shanghai 50 Volatility**: The historical volatility cone shows the current value and different percentile values (10%, 30%, 60%, 90%, etc.) of historical volatility. The volatility smile curve for the next - month at - the - money implied volatility of the Shanghai 50 Index is presented [3][4] - **CSI 300 Volatility**: Similar to the Shanghai 50 Index, the historical volatility cone and the volatility smile curve for the next - month at - the - money implied volatility of the CSI 300 Index are provided [3][4] - **CSI 1000 Volatility**: The historical volatility cone and the volatility smile curve for the next - month at - the - money implied volatility of the CSI 1000 Index are also shown [3][4]

Group 1: Report Industry Investment Rating - No relevant information provided Group 2: Core View of the Report - On December 18, the A-share market showed a divergence between large and small indexes. The Shanghai Composite Index rose slightly, while the ChiNext Index declined. The Shanghai Composite Index closed up 0.16% at 3,876.37 points, the Shenzhen Component Index fell 1.29%, the ChiNext Index fell 2.17%, the North Exchange 50 fell 0.51%, the Science and Technology Innovation 50 fell 1.46%, the Wind All A fell 0.38%, the Wind A500 fell 0.64%, and the CSI A500 fell 0.63%. The total trading volume of A-shares for the day was 1.68 trillion yuan, compared with 1.83 trillion yuan the previous day [3] Group 3: Summary by Relevant Catalogs 1. Market Review - **Index Performance**: The closing prices, trading volumes, and percentage changes of the Shanghai Composite 50, CSI 300, and CSI 1000 are presented. The Shanghai Composite 50 closed at 2,998.517 with a trading volume of 0.23 billion and a decline of 0.59%; the CSI 300 closed at 4,552.7926 with a trading volume of 151.68 billion and a decline of 0.22%; the CSI 1000 closed at 3,489.84 with a trading volume of 200.04 billion [3] - **Trading Volume and Turnover**: The trading volume and turnover of the Shanghai Composite 50, CSI 300, and CSI 1000 are provided. The trading volume of the Shanghai Composite 50 was 0.23 billion, and the turnover was 3821.02 billion yuan; the trading volume of the CSI 300 was 151.68 billion, and the turnover was 7272.4024 billion yuan; the trading volume of the CSI 1000 was 200.04 billion [3] 2. CFFEX Stock Index Option Trading Situation - **Option Volume and Open Interest**: The trading volume and open interest of call and put options for the Shanghai Composite 50, CSI 300, and CSI 1000 are presented, along with the PCR (Put-Call Ratio) values [3] 3. Volatility Analysis - **Historical Volatility and Volatility Cone**: The historical volatility and volatility cone of the Shanghai Composite 50, CSI 300, and CSI 1000 are analyzed, including the 5-day, 20-day, 40-day, 60-day, and 120-day historical volatility, as well as the maximum, minimum, and percentile values [3] - **Volatility Smile Curve**: The volatility smile curves of the Shanghai Composite 50, CSI 300, and CSI 1000 for the next month's at-the-money implied volatility are presented [3]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - On December 12, the A-share market rose with increased trading volume. The nuclear power and commercial space sectors saw a wave of limit - up stocks, and the CPO theme was repeatedly active with many stocks hitting record highs. The Shanghai Composite Index rose 0.41% to 3889.35 points, the Shenzhen Component Index rose 0.84%, the ChiNext Index rose 0.97%, the North - Star 50 Index rose 0.31%, the Science and Technology Innovation 50 Index rose 1.74%, the Wind All - A Index rose 0.77%, the Wind A500 Index rose 0.69%, and the CSI A500 Index rose 0.8%. The total trading volume of A - shares was 2.12 trillion yuan, compared with 1.89 trillion yuan the previous day [5] 3. Summary by Relevant Catalogs 3.1 Market Review - **Index Performance**: The Shanghai Composite 50 Index closed at 2994.6446, up 0.59% with a turnover of 57.19 billion yuan and a trading volume of 1.37258 billion; the CSI 300 Index closed at 5238.63, up 0.63% with a turnover of 4580.95 billion yuan and a trading volume of 4227.79 billion; the CSI 1000 Index closed at 7370.9416, up 0.81% with a turnover of 243.53 billion yuan [3] - **China Financial Futures Exchange Stock Index Options Trading Situation**: For the Shanghai Composite 50 Index, the call option trading volume was 3.46 million, the put option trading volume was 2.13 million, the call option open interest was 2.98 million, the put option open interest was 4.16 million; for the CSI 300 Index, the call option trading volume was 8.03 million, the put option trading volume was 5.11 million, the call option open interest was 11.29 million, the put option open interest was 8.93 million; for the CSI 1000 Index, the call option trading volume was 33.90 million, the put option trading volume was 17.17 million, the call option open interest was 13.16 million, the put option open interest was 16.73 million [3] 3.2 Volatility Analysis - **Shanghai Composite 50 Volatility**: Analyzed historical volatility and the volatility cone, and presented the volatility smile curve of the next - month at - the - money implied volatility [3][4] - **CSI 300 Volatility**: Analyzed historical volatility and the volatility cone, and presented the volatility smile curve of the next - month at - the - money implied volatility [3][4] - **CSI 1000 Volatility**: Analyzed historical volatility and the volatility cone, and presented the volatility smile curve of the next - month at - the - money implied volatility [3][4]

Report Summary 1. Report Industry Investment Rating - No information provided about the industry investment rating [2][3][4] 2. Core View of the Report - On December 3rd, the A - share market fluctuated and declined, with more stocks falling than rising, over 3800 stocks declined; market hotspots were scarce, and trading volume remained relatively low. The Shanghai Composite Index closed down 0.51% at 3878 points, the Shenzhen Component Index fell 0.78%, the ChiNext Index dropped 1.12%, the North - Securities 50 declined 0.4%, the STAR 50 fell 0.89%, the Wind All - A dropped 0.72%, the Wind A500 declined 0.58%, and the CSI A500 fell 0.56%. The total trading volume of A - shares was 1.68 trillion yuan, compared with 1.61 trillion yuan the previous day [3] 3. Summary According to Related Catalogs 3.1 Market Index Performance - The closing prices, price changes, trading volumes (in billions), and trading amounts (in billions of yuan) of the Shanghai Composite 50, CSI 300, and CSI 1000 are as follows: - Shanghai Composite 50: closing price 2963.0763, down 0.52%, trading volume 38.52 billion, trading amount 854.95 billion yuan [3] - CSI 300: closing price 4531.0486, down 0.51%, trading volume 169.76 billion, trading amount 3744.86 billion yuan [3] - CSI 1000: closing price 7248.274, down 0.89%, trading volume 214.63 billion, trading amount 3350.34 billion yuan [3] 3.2 CFFEX Stock Index Option Trading Situation - Option trading volume, open interest, trading volume of call options, trading volume of put options, open interest of call options, open interest of put options, trading volume PCR, and open interest PCR of the Shanghai Composite 50, CSI 300, and CSI 1000 are presented in detail [3] 3.3 Volatility Analysis - Historical volatility, historical volatility cones, and volatility smile curves of the Shanghai Composite 50, CSI 300, and CSI 1000 are analyzed, including the 10% - 30% quantile, maximum, minimum, current value, 90% quantile, and 60% quantile of historical volatility [3]