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]

投资咨询号: Z0000116 国贸期货研究院 2026/1/26 金融行生品中心 李泽矩 从业资格号: F0251925 数据来源: Wind, 国贸期货研究院 行情回顾 指数 收盘价 涨跌幅 (8) 成交额(亿元) 成交量(亿) 上证50 2004. 56 3032. 193 -0. 69 69. 02 沪深300 7556. 18 4702. 4966 -0. 45 314. 64 8470. 7438 1. 94 6819. 48 393. 04 中证1000 中金所股指期权成交情况 期权成交量 认购期权 认购期权 认沽期权 持仓量 认活期权 日成交量 期权持仓量 指数 持仓量 持仓量 (万张) 成交量 成交量 (万张) PCR PCR 上证50 4. 70 1. 76 0. 60 7. 54 2. 79 2. 94 4. 75 0. 59 沪深300 7. 31 12. 20 7. 98 4. 22 0. 53 18. 32 11. 01 0. 66 32. 72 中证1000 19. 94 12. 78 29. 45 0. 64 14. 46 14. 98 1. 04 沪深300PCR走势 中证1 ...

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]

| () () = | 6900 | 6000 | 6300 | 6600 | 5/00 | | | --- | --- | --- | --- | --- | --- | --- | | 行情概况 | 12月31日，A股2025年交易收官，上证指数收涨0.09%报3968.84点，深证成指跌0.58%，创业板指跌1.23%，北证50跌 | | | | | | | 0.7%，科创50跌1.15%，万得全A跌0.17%，万得A500跌0.36%，中证A500跌0.28%。A股全天成交2.07万亿元，上日成交2.16万 | 亿元。 | | | | | | | 本报告中的信息均源于公开可获得的资料,国贸期货力求推确可靠,但不对上述信息的准确性及完整性做任何保证。本报告不构 | 免责 | 成个人投资建议,也未针对个别投资者特殊的投资目标、财务状况或需要,投资者需自行判断本报告中的任何意见或建议是否符 | 合其特定状况,据此投资，责任自负。本报告未经国贸期货授权许可,任何引用、转载以及向第三方传播的行为均构成对国贸期 | | | | | 声明 | 货的侵权,我司将视情况追究法律责任。期市有风险,入市需谨慎。 | | | ...

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]

旨期权数据日报 投资咨询号: Z0000116 国贸期货研究院 2025/12/19 金融衍生品中心 李泽矩 从业资格号:F0251925 数据来源: Wind,国资期货研 Time to Matutity 行情回顾 成交量(亿) 收盘价 涨跌幅(%) 成交额(亿元) 指数 0. 23 827.17 32. 55 上证50 2998. 517 4552. 7926 -0. 59 3821. 02 沪深300 151. 68 7272. 4024 -0. 22 中证1000 3489. 84 200. 04 中金所股指期权成交情况 期权成交量 认洁期权 持仓量 认购期权 期权持企量 认购期权 日成交量 认洁期权 指数 持仓量 持仓量 (万张) 成交量 成交量 PCR (万张) PCR 上证50 0. 78 2. 59 7. 05 3. 97 3.08 4. 20 1.61 0. 62 沪深300 15. 23 8. 90 6. 33 0. 71 21. 36 11. 98 9. 38 0. 78 中证1000 33. 46 17. 38 0. 93 36. 06 17. 52 18. 54 16. 08 1. ...

投资咨询业务资格:证监许可【2012】31号 股指期权数据日报 本报告中的信息均源于公开可获得的资料,国贸期货力求准确可靠，但不对上述信息的准确性及完整性做任何保证。本报告不构 成个人投资建议,也未针对个别投资者特殊的投资目标、财务状况或需要,投资者需自行判断本报告中的任何意见或建议是否符 合其特定状况,据此投资,责任自负。本报告未经国贸期货授权许可,任何引用、转载以及向第三方传播的行为均构成对国贸期 货的侵权,我司将视情况追究法律责任。期市有风险,入市需谨慎。 ITC E 認 期货 世界500强投资企业 国贸期货有限公司 成为一 -流的衍生品综合服务商 投资咨询号: Z0000116 国贸期货研究院 2025/12/15 金融衍生品中心 李泽钜 从业资格号:F0251925 数据来源: Wind,国贸期货研究院 行情回顾 指数 涨跌幅(%) 收盘价 成交额(亿元) 成交量(亿) 1372. 58 上证50 57. 19 0. 59 2994. 6446 212. 83 沪深300 0. 63 5238. 63 4580. 95 4227.79 中证1000 7370. 9416 0. 81 243. 53 ...

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]