1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - On September 4, 2025, all stock indices showed weak oscillations and significant declines. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2581.9 billion yuan, an increase of 186.2 billion yuan from the previous day, and nearly 3000 stocks declined. Due to the significant gains of some stocks, the profit - taking demand of profit - making funds increased, leading to a short - term technical adjustment in the stock indices, with the CSI 500 and CSI 1000 indices being more affected. However, in the medium - to - long term, the positive policy expectations and loose capital situation strongly support the stock indices, and the logic of their upward movement remains strong. Recently, the joint working group of the Ministry of Finance and the People's Bank of China held its second group leader meeting, indicating a clear expectation of policy support for the economy. The liquidity is relatively loose, and in the context of the "asset shortage", the attractiveness of equity assets is strong, with incremental funds continuously flowing in, which will drive the repair of stock valuations. In general, due to the increased profit - taking demand of profit - making funds, the stock indices are expected to fluctuate widely in the short term. Currently, the implied volatility of options continues to rise. Considering the medium - to - long - term upward trend of the stock indices, one can continue to hold bull spreads or ratio spreads for a mild bullish view [3]. 3. Summary by Related Catalogs 3.1 Option Indicators - On September 4, 2025, the 50ETF fell 1.72% to 3.034; the 300ETF (Shanghai Stock Exchange) fell 2.04% to 4.456; the 300ETF (Shenzhen Stock Exchange) fell 2.11% to 4.593; the CSI 300 Index fell 2.12% to 4365.21; the CSI 1000 Index fell 2.30% to 7041.15; the 500ETF (Shanghai Stock Exchange) fell 2.32% to 6.779; the 500ETF (Shenzhen Stock Exchange) fell 2.62% to 2.710; the GEM ETF fell 4.15% to 2.751; the Shenzhen 100ETF fell 2.54% to 3.226; the SSE 50 Index fell 1.71% to 2910.47; the STAR 50ETF fell 6.08% to 1.28; and the E Fund STAR 50ETF fell 6.22% to 1.25 [5]. - The trading volume PCR and position PCR of various ETF options and index options changed compared to the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 94.23 (75.73 the previous day), and the position PCR was 81.16 (87.40 the previous day) [6]. - The implied volatility of at - the - money options in September 2025 and the 30 - trading - day historical volatility of the underlying assets of various options were reported. For instance, the implied volatility of at - the - money options of SSE 50ETF options in September 2025 was 19.16%, and the 30 - trading - day historical volatility of the underlying asset was 14.44% [7]. 3.2 Related Charts - The report provides a series of charts for different types of options, including the trends, volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility of different terms of various ETF options and index options such as SSE 50ETF options, SSE 300ETF options, etc. [9][19][32]

1. Report Industry Investment Rating No relevant content provided. 2. Report's Core View - On September 3, 2025, all stock indices fluctuated and declined. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2.3957 trillion yuan, a decrease of 516.7 billion yuan from the previous day. Due to the significant increase in some stocks, the profit - taking demand of profitable funds has risen, and the recent trading volume of the stock market has shrunk, indicating a certain divergence in market expectations, and the stock indices have entered a short - term technical adjustment. In the long - term, the expectation of policy benefits and the loose capital situation strongly support the stock indices, and the logic of the long - term upward movement of the stock indices remains strong. Anti - involution policies and consumption - promotion policies optimize the supply - demand structure from both the supply and demand sides, promote a moderate increase in the price index, and repair corporate profits. In terms of capital, the margin trading balance has risen rapidly, non - bank deposits have soared, and long - term funds have continued to enter the market. The continuous inflow of incremental funds in the stock market promotes the repair of stock valuations. In general, in the short term, the marginal effect of policy benefit expectations has weakened, and the profit - taking demand of profitable funds has increased. The stock indices are expected to fluctuate widely in the short term. Currently, the implied volatility of options continues to rise. Considering the long - term upward trend of the stock indices, investors can continue to hold bull spreads or ratio spreads for a mild bullish view [3]. 3. Summary by Relevant Catalogs 3.1 Option Indicators - **ETF and Index Performance**: On September 3, 2025, the 50ETF fell 1.31% to 3.087; the 300ETF (Shanghai Stock Exchange) fell 0.89% to 4.549; the 300ETF (Shenzhen Stock Exchange) fell 0.91% to 4.692; the CSI 300 Index fell 0.68% to 4459.83; the CSI 1000 Index fell 1.46% to 7206.88; the 500ETF (Shanghai Stock Exchange) fell 1.63% to 6.940; the 500ETF (Shenzhen Stock Exchange) fell 1.14% to 2.783; the GEM ETF rose 0.77% to 2.870; the Shenzhen 100ETF fell 0.57% to 3.310; the SSE 50 Index fell 1.07% to 2960.99; the STAR 50ETF fell 2.08% to 1.37; the E Fund STAR 50ETF fell 2.05% to 1.34 [5]. - **Volume and Open Interest PCR**: The volume PCR and open interest PCR of various options showed different changes compared with the previous trading day. For example, the volume PCR of SSE 50ETF options was 75.73 (previous day: 80.63), and the open interest PCR was 88.23 (previous day: 90.60) [6]. - **Implied Volatility and Historical Volatility**: The implied volatility and 30 - day historical volatility of various options in September 2025 were provided. For instance, the implied volatility of the at - the - money options of SSE 50ETF options in September 2025 was 19.94%, and the 30 - day historical volatility of the underlying was 13.93% [7]. 3.2 Relevant Charts - **SSE 50ETF Options**: Charts include the SSE 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [9][11][13]. - **SSE 300ETF Options**: Charts cover the SSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [21][23][25]. - **SZSE 300ETF Options**: Charts involve the SZSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [33][34]. - **CSI 300 Index Options**: Charts include the CSI 300 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [36][37]. - **CSI 1000 Index Options**: Charts cover the CSI 1000 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [38][41][43]. - **SSE 500ETF Options**: Charts include the SSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [52][54][56]. - **SZSE 500ETF Options**: Charts involve the SZSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [65][67][69]. - **GEM ETF Options**: Charts cover the GEM ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [77][79][81]. - **Shenzhen 100ETF Options**: Charts include the Shenzhen 100ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [90][92][94]. - **SSE 50 Index Options**: Charts cover the SSE 50 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [103][106][107]. - **STAR 50ETF Options**: Charts include the STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [117][118][119]. - **E Fund STAR 50ETF Options**: Charts involve the E Fund STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [124][125][126].

Report Summary 1. Investment Rating The report is bullish on the long - term trend of stock index futures, maintaining a positive outlook on the long - bull market of the stock index [3]. 2. Core View The current adjustment of the stock index is beneficial for its long - term development. Although there was a pull - back in the market on the day, the long - term upward trend remains unchanged, and the long - bull market of the stock index is still expected [3]. 3. Summary by Directory Market Analysis - **Policy Situation**: Domestically, the Ministry of Commerce will introduce policies to expand service consumption next month and has formulated measures to promote service exports. Overseas, the EU responded to the US threat of tariff retaliation on digital regulation [1]. - **Spot Market**: A - share indexes generally declined, with the Shanghai Composite Index down 1.76% to 3800.35 points, and only the communication sector rising. The trading volume of the two markets reached 3.2 trillion yuan. In the US, the three major stock indexes rose slightly, with the Dow Jones up 0.32% to 45565.23 points [1]. - **Futures Market**: The basis of stock index futures rebounded, with the current - month contracts of IH and IF at a premium. The trading volume and open interest of stock index futures increased simultaneously [2]. Strategy The current adjustment is conducive to the long - term trend of the stock index. The support levels at 3800 and 3700 points should be monitored, and the long - term upward trend of the stock index is still optimistic [3]. Chart Summary - **Macroeconomic Charts**: Include the relationship between the US dollar index, US Treasury yields, RMB exchange rate and A - share trends [6]. - **Spot Market Tracking Charts**: Present the daily performance of major domestic stock indexes, trading volume of the two markets, and margin trading balance [13][14]. - **Stock Index Futures Tracking Charts**: Show the trading volume, open interest, basis, and inter - delivery spreads of different stock index futures contracts [17][37][44].

Report Date - July 30, 2025 [3] Market Review - Except for the Shanghai Stock Exchange 50 Index, all other stock indices closed down today. The trading volume of the two markets increased by 4.1109 billion yuan. In the futures index market, IF and IH increased in volume, while IC and IM decreased in volume [4] Important Information - China and the US will continue to extend the suspension of 24% of the US reciprocal tariffs and China's countermeasures for 90 days [5] - The Political Bureau of the CPC Central Committee meeting stated that monetary policy should maintain ample liquidity and promote a decline in the comprehensive social financing cost [5] - The Political Bureau emphasized that macro - policies should continue to exert force and increase force in a timely manner [5] - The Political Bureau called for in - depth implementation of special actions to boost consumption, cultivating new growth points in service consumption while expanding commodity consumption [5] Core View - Today, stock indices showed mixed performance. The large - cap stock indices were relatively strong, with the dividend index leading the rise. Market sentiment was cautious, and the trading volume of the two markets increased slightly. GC001 rose by over 7%. Tightening marginal market liquidity led to relatively weak performance of small - and medium - cap stock indices. After the Central Political Bureau meeting in the afternoon, the stock indices declined in advance. This was due to the market having pre - traded the positive expectations of the meeting, and when the meeting was officially held, the positive news was exhausted, causing the stock indices to decline. Overall, there was no information exceeding expectations in this meeting, so the stock indices rebounded slightly at the end of the session but the amplitude was limited. Today, the volume - weighted average basis of each futures index variety decreased slightly, while the trading volume and open interest increased. It is expected that the stock indices will undergo a short - term adjustment, but the adjustment range will be small, and the overall upward trend will remain unchanged [5] Strategy Recommendation - Hold long positions and wait and see [5] Futures Index Market Observation | Variety | Main Contract Intraday Change (%) | Trading Volume (10,000 lots) | Trading Volume MoM (10,000 lots) | Open Interest (10,000 lots) | Open Interest MoM (10,000 lots) | | --- | --- | --- | --- | --- | --- | | IF | 0.04 | 13.8031 | 4.0368 | 27.4703 | 1.5183 | | IH | 0.28 | 7.0949 | 2.4802 | 10.3281 | 0.8559 | | IC | - 0.42 | 10.5254 | 1.7161 | 22.9923 | 0.5142 | | IM | - 0.43 | 23.1279 | 4.273 | 34.6497 | 1.6585 | [5] Spot Market Observation | Name | Value | | --- | --- | | Shanghai Stock Exchange Change (%) | 0.17 | | Shenzhen Stock Exchange Change (%) | - 0.77 | | Ratio of rising to falling stocks | 0.48 | | Trading Volume of the Two Markets (billion yuan) | 184.4279 | | Trading Volume MoM (billion yuan) | 4.1109 | [6]

Report Industry Investment Rating No information provided in the given content. Core Viewpoints - The contraction of the US Q1 GDP for the first time in three years has further strengthened market expectations of at least two Fed rate cuts this year, leading to a full - scale rise in the three major US stock indexes [2]. - China will issue the third batch of trade - in funds in July, which is expected to inject new impetus into domestic demand recovery in the second half of the year [2]. - After three consecutive days of strong rallies, A - shares' sentiment indicators are overheated, and the stock index is adjusting. It is expected that the index still has upward momentum after consolidation, with a rising price center, and the sector market will continue to diverge [2]. Summary by Directory Market Analysis - **Macroeconomic Situation**: The US economy is showing a decline. The US Q1 real GDP final annualized quarter - on - quarter decline was 0.5%, higher than the expected 0.2%, the first contraction in three years. The preliminary value of durable goods orders in May increased by 16.4% month - on - month, the largest increase since July 2014, far exceeding the expected 8.5%. Domestically, China will issue the third batch of consumer goods trade - in funds in July [1]. - **Spot Market**: A - share's three major indexes fluctuated downward. The Shanghai Composite Index fell 0.22% to close at 3448.45 points, and the ChiNext Index fell 0.66%. Most sector indexes declined. Bank, communication, and national defense and military industries led the gains, while automobile, non - bank finance, pharmaceutical biology, and beauty care industries led the losses. The trading volume of the Shanghai and Shenzhen stock markets remained at 1.6 trillion yuan. Overseas, the latest economic data significantly boosted market expectations of at least two Fed rate cuts this year, and the three major US stock indexes rose collectively [1]. - **Futures Market**: In the futures market, the IM basis continued to repair slightly. The trading volume and open interest of IF, IC, and IM decreased [1]. Strategy - The contraction of the US Q1 GDP has further strengthened market expectations of at least two Fed rate cuts this year, leading to a rise in the three major US stock indexes. China's issuance of the third batch of trade - in funds in July is expected to boost domestic demand in the second half of the year. After three consecutive days of rallies, A - shares are adjusting due to overheated sentiment, but are expected to rise after consolidation, with a rising price center and continued sector divergence [2]. Macro - economic Charts - The report includes charts such as the relationship between the US dollar index and A - share trends, the relationship between US Treasury yields and A - share trends, the relationship between the RMB exchange rate and A - share trends, and the relationship between US Treasury yields and A - share style trends [4][6][7]. Spot Market Tracking Charts - **Domestic Main Stock Index Daily Performance**: On June 26, 2025, the Shanghai Composite Index closed at 3448.45, down 0.22%; the Shenzhen Component Index closed at 10343.48, down 0.48%; the ChiNext Index closed at 2114.43, down 0.66%; the CSI 300 Index closed at 3946.02, down 0.35%; the SSE 50 Index closed at 2738.47, up 1.17%; the CSI 500 Index closed at 5838.25, down 0.41%; the CSI 1000 Index closed at 6247.79, down 0.45% [12]. Futures Market Tracking Charts - **Trading Volume and Open Interest**: The trading volume and open interest of IF, IH, IC, and IM futures decreased. For example, the trading volume of IF decreased by 38,640 to 84,890, and the open interest decreased by 10,070 to 243,932 [14]. - **Basis**: The basis of IF, IH, IC, and IM futures showed different changes. For example, the basis of IM continued to repair slightly, with the current - month contract basis rising by 1.17 to - 35.99 [33]. - **Inter - period Spread**: The inter - period spreads of IF, IH, IC, and IM futures also changed. For example, the spread between the next - month and current - month contracts of IM increased by 4.80 to - 55.20 [45].

Report Industry Investment Rating - Not provided in the content Core Viewpoints - Amid uncertainties in Sino-US trade negotiations and unresolved market sentiment volatility risks, the market is expected to undergo a technical correction after a short-term rapid decline. It is recommended to focus on the layout of large-cap index futures and use small and medium-cap index futures for hedging [3] Summary by Directory Market Analysis - Domestically, the central budgetary investment for social undertakings is expected to increase by over 30% compared to the end of the "13th Five-Year Plan". Policies related to social security, education, and employment are being promoted, and the basic pension for retirees will be moderately raised, with plans to establish a childcare subsidy system. Overseas, the US and Mexico are close to an agreement to cancel a 50% tariff on a certain quantity of steel imports [1] - In the spot market, the three major A-share indices rebounded after hitting bottom. The Shanghai Composite Index fell 0.44% to close at 3384.82 points, and the ChiNext Index fell 1.17%. Most sector indices declined, with the beauty care, banking, and pharmaceutical sectors leading the gains, while the national defense and military industry, computer, electronics, and communication sectors led the losses. The trading volume in the Shanghai and Shenzhen stock markets increased to 1.4 trillion yuan. Overseas, the three major US stock indices closed higher, with the Nasdaq rising 0.63% to 19714.99 points [2] - In the futures market, only the IM basis rebounded. On the trading volume and open interest front, the trading volume of index futures increased on the day, and the open interest of IH and IM rose [2] Strategy - Given the uncertainties in Sino-US trade negotiations and the lingering risks of market sentiment fluctuations, it is expected that after a short-term rapid decline, the market will experience a technical correction. Operationally, it is advisable to focus on the layout of large-cap index futures and use small and medium-cap index futures for hedging [3] Macro Economic Charts - The content mainly lists charts related to the relationship between the US dollar index, US Treasury yields, RMB exchange rate, and A-share trends, as well as the relationship between US Treasury yields and A-share styles [6][10][12] Spot Market Tracking Charts - The daily performance of major domestic stock indices on June 10, 2025, shows that the Shanghai Composite Index fell 0.44%, the Shenzhen Component Index fell 0.86%, the ChiNext Index fell 1.17%, the CSI 300 Index fell 0.51%, the SSE 50 Index fell 0.08%, the CSI 500 Index fell 0.82%, and the CSI 1000 Index fell 0.92% [14] Futures Market Tracking Charts - The trading volume and open interest data of index futures show that the trading volume of IF, IH, IC, and IM increased, and the open interest of IH and IM rose, while that of IF and IC decreased [16] - The basis data of index futures show that only the IM basis increased, while the basis of IF, IH, and IC decreased or changed slightly [36] - The inter - delivery spread data of index futures show the differences and changes in spreads between different delivery months of IF, IH, IC, and IM [43][45]

Group 1: Report Industry Investment Rating - The industry investment rating for the stock index is "Oscillation" [1] Group 2: Core Viewpoints of the Report - In May, fundamental factors changed little. Against the backdrop of a protracted trade - war, the story of China's asset revaluation driven by fundamental inflection points is difficult to start. It is expected that the stock index will continue to oscillate in June, and a band - operation strategy is recommended [3] - The current stock index rally is mainly driven by retail sentiment and theme speculation, with domestic liquidity as the main source, making the A - share index relatively independent globally. The stock index is at a relatively high position within the oscillation range, and there is a need for further adjustment in technical terms. Considering the high probability of market sentiment cooling in the second quarter historically, it is advisable to wait for a pull - back [3] - For futures operations, it is recommended to wait and see in the short term, with the lower support level at the position on April 9th. A band - operation strategy is recommended on a monthly basis. For options operations, the implied volatility of stock - index options is oscillating at a low level. The cost of buying options during the waiting period for a breakthrough is expected to be high, and the premium from selling options is limited. It is recommended to wait for a second wave of rising volatility before engaging in double - selling [3] Group 3: Summary by Relevant Catalogs Macro Stock Market Information - FTSE Russell announced the quarterly review changes to the FTSE China Index Series, which will take effect after the close on June 20th. Jiangsu Bank will be included in the FTSE China A50 Index, while Great Wall Motor will be removed. A - shares such as BeiGene, Yili Group, SAIC Motor, Seres, and Inovance Technology are included in the candidate list [4] - The US ADP employment in May increased by 37,000, lower than the expected 110,000 and the previous value of 62,000. After the release of the data, US President Trump called for Fed Chairman Powell to cut interest rates [4] Stock Index Disk Review - **Market Performance**: In the previous trading day, the A - shares rose collectively. Among the four major indices, the Shanghai 50 Index rose 0.13%, the CSI 300 Index rose 0.43%, the CSI 500 Index rose 0.78%, and the CSI 1000 Index rose 0.88%. The leisure goods (+3.05%) and motorcycle (+2.56%) sectors led the gains, while the land transportation (-1.15%) and aviation (-1.08%) sectors lagged. More than 3,900 stocks rose, and 87 stocks hit the daily limit, indicating a rebound in the profit - making effect [4] - **Technical Analysis**: After a previous oversold rebound, the stock indices generally approached the upper edge of the gap. The pressure at the daily and weekly levels has increased, while the monthly - line shows an oscillating trend [4] - **Fund Flow**: The trading volume of A - shares is oscillating at a low level, remaining around 1.1 - 1.2 trillion yuan. Market sentiment is cautious, and the sustainability of the market is poor [4]