Report Summary 1. Report Industry Investment Rating No information provided in the report. 2. Core View of the Report - Today, all stock indices fluctuated and declined. The uncertainty of the geopolitical situation in the Middle East is relatively high. There is still a possibility of an escalation of the situation, which could lead to a global energy crisis and severely impact the macro - economy. In this context, stock market investors' risk preference tends to be cautious, and the trading volume of the Shanghai and Shenzhen stock markets has been below 2 trillion yuan for many days, indicating weak trading willingness [3]. - In terms of domestic fundamentals, the export data from January to February exceeded expectations, and the data on social retail and industrial added value were also better than expected. Domestic policies may focus more on structural adjustment compared to last year, with fiscal efforts mainly for support, and the emphasis on promoting consumption and technological breakthroughs. Policy - side benefits form the medium - to - long - term logic for the upward movement of stock indices, and stock indices have strong support [3]. - Overall, it is expected that stock indices will mainly fluctuate and consolidate within a range in the short term. In the options market, the PCR of open interest has rebounded from a low level, and the at - the - money implied volatility of options has returned to stability, indicating that market sentiment has stabilized. Since there is still support for stock indices, a bull spread or covered call strategy can be used [3]. 3. Summary by Related Catalogs 3.1 Related Charts - **上证 50ETF Option**: The report presents charts of the 上证 50ETF's price trend, historical volatility, open - interest PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [5][6]. - **上交所 300ETF Option**: Charts of the 上交所 300ETF's price trend, historical volatility, open - interest PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone are shown [7][8]. - **深交所 300ETF Option**: There are charts of the 深交所 300ETF's price trend, historical volatility, open - interest PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [15][16]. - **沪深 300 Stock Index Option**: The report includes charts of the 沪深 300 stock index's price trend, historical volatility, open - interest PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [26][27]. - **中证 1000 Stock Index Option**: Charts of the 中证 1000 stock index's price trend, historical volatility, open - interest PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone are provided [35][36]. - **上交所 500ETF Option**: There are charts of the 上交所 500ETF's price trend, historical volatility, open - interest PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [46][47]. - **深交所 500ETF Option**: The report shows charts of the 深交所 500ETF's price trend, historical volatility, open - interest PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [61][62]. - **上证 50 Stock Index Option**: Charts of the 上证 50 index's price trend, historical volatility, open - interest PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone are presented [72][73].

Report Summary 1. Report's Investment Rating for the Industry No investment rating for the industry is provided in the report. 2. Core Viewpoints of the Report - Today, all stock indices oscillated with slight corrections. The risk of the long - term Middle East geopolitical crisis has increased, which may lead the global economy into stagflation, restricting the central bank's monetary easing space and suppressing stock prices from both corporate profit expectations and capital liquidity. However, the market has basically digested the geopolitical risks, and its marginal impact is gradually weakening, with the market ultimately returning to its fundamentals [3]. - Currently, the policy continues to provide support in the aggregate and focuses on expanding domestic demand and technological innovation in the structure. The continuous positive policies form the main logic for the medium - and long - term upward movement of stock indices [3]. - In the short term, the negative impact of geopolitical risks and the continuous positive policies are intertwined. Future attention should be paid to the development of the US - Iran situation, the effectiveness of policy implementation, and the disclosure of listed companies' financial reports. Overall, stock indices will mainly fluctuate within a range in the short term [3]. - In the options market, since the logic of the medium - and long - term upward movement of stock indices still exists, a bull spread strategy can be considered [3]. 3. Summary by Related Catalog 3.1 Related Charts - **上证50ETF期权 (SSE 50ETF Options)**: - The report presents charts of the SSE 50ETF's price trend, historical volatility, option position PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [5][6]. - **上交所300ETF期权 (SSE 300ETF Options)**: - Charts include the SSE 300ETF's price trend, historical volatility, option position PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [7][8][9]. - **深交所300ETF期权 (SZSE 300ETF Options)**: - There are charts of the SZSE 300ETF's price trend, historical volatility, option position PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [19][20][21]. - **沪深300股指期权 (CSI 300 Stock Index Options)**: - The report shows the CSI 300 index's price trend, historical volatility, option position PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [31][32][33]. - **中证1000股指期权 (CSI 1000 Stock Index Options)**: - Charts cover the CSI 1000 index's price trend, historical volatility, option position PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [41][42][43]. - **上交所500ETF期权 (SSE 500ETF Options)**: - There are charts of the SSE 500ETF's price trend, historical volatility, option position PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [52][53][54]. - **深交所500ETF期权 (SZSE 500ETF Options)**: - The report presents charts of the SZSE 500ETF's price trend, historical volatility, option position PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [65][66][67]. - **上证50股指期权 (SSE 50 Stock Index Options)**: - Charts include the SSE 50 index's price trend, historical volatility, option position PCR, at - the - money implied volatility, implied volatility curve, and at - the - money implied volatility cone [76][77][78].

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The stock indices fluctuated and rose slightly today. A-share trading volume was 2.22 trillion yuan, down from 2.41 trillion yuan the previous day, indicating a contraction in trading volume. As the impact of the Middle East geopolitical crisis is gradually digested by the market, the stock index trend returns to its fundamental factors. The policy support for aggregate demand and technological innovation is clear, and the continuous net inflow of incremental funds into the stock market remains unchanged, which forms the core logic for the medium - to long - term upward movement of the stock index. However, with the implementation of policy benefits from the Two Sessions' government work report, the approaching of the listed companies' earnings report season, and the uncertainty of the Middle East geopolitical risks, the stock index will mainly fluctuate within a range in the short term. For options, since the medium - to long - term upward logic of the stock index still exists, a bull spread strategy can be considered [4]. Summary of Related Charts 1. Shanghai 50ETF Options - Figures include the Shanghai 50ETF trend, historical volatility, option持仓量 PCR, option flat - value implied volatility, option implied volatility curve, and option flat - value implied volatility cone [6][9][11][13][15] 2. SSE 300ETF Options - Figures include the SSE 300ETF trend, historical volatility, option持仓量 PCR, option flat - value implied volatility, option implied volatility curve, and option flat - value implied volatility cone [16][18][19][20][22][27] 3. Shenzhen 300ETF Options - Figures include the Shenzhen 300ETF trend, historical volatility, option持仓量 PCR, option flat - value implied volatility, option implied volatility curve, and option flat - value implied volatility cone [28][30][32][34][38][39] 4. CSI 300 Stock Index Options - Figures include the CSI 300 stock index trend, historical volatility, option持仓量 PCR, option flat - value implied volatility, option implied volatility curve, and option flat - value implied volatility cone [40][42][44][46][50][51] 5. CSI 1000 Stock Index Options - Figures include the CSI 1000 stock index trend, historical volatility, option持仓量 PCR, option flat - value implied volatility, option implied volatility curve, and option flat - value implied volatility cone [52][54][55][56][58][65] 6. SSE 500ETF Options - Figures include the SSE 500ETF trend, historical volatility, option持仓量 PCR, option flat - value implied volatility, option implied volatility curve, and option flat - value implied volatility cone [66][68][69][70][74][77] 7. Shenzhen 500ETF Options - Figures include the Shenzhen 500ETF trend, historical volatility, option持仓量 PCR, option flat - value implied volatility, option implied volatility curve, and option flat - value implied volatility cone [78][80][81][83][85][92] 8. Shanghai 50 Stock Index Options - Figures include the Shanghai 50 index trend, historical volatility, option持仓量 PCR, option flat - value implied volatility, option implied volatility curve, and option flat - value implied volatility cone [93][95][97][99][101][104]

1. Report Industry Investment Rating - No relevant information provided 2. Core View of the Report - The stock index continued its narrow - range oscillation yesterday. In the short term, after a continuous adjustment, the index rebounded and entered an oscillation phase. It is expected that the pre - holiday market will maintain a relatively strong oscillation pattern. Although the domestic policy environment provides support for the index and overseas pressure factors have marginally eased, the pre - holiday market risk appetite has decreased, sector rotation has accelerated, and the daily trading volume of A - shares has fallen to the range of 2 - 2.3 trillion yuan, which means it is more difficult for the pre - holiday index to make a strong upward attack, and it is more likely to accumulate momentum for subsequent upward movement through oscillation [8] 3. Summary by Relevant Catalogs 3.1 Macro Financial Data - **Interest Rates**: The closing price of DR001 was 1.37 with a 0.49bp increase, DR007 was 1.54 with a 1.87bp decrease, GC001 was 1.52 with a 10.00bp decrease, GC007 was 1.65 with a 3.00bp decrease, SHBOR 3M was 1.58 with no change, LPR 5 - year was 3.50 with no change, 1 - year treasury bond was 1.31 with no change, 5 - year treasury bond was 1.47 with a 0.75bp decrease, 10 - year treasury bond was 1.79 with a 0.75bp decrease, and 10 - year US treasury bond was 4.16 with a 6.00bp decrease [5] - **Central Bank Operations**: The central bank conducted 785 billion yuan of 7 - day reverse repurchase operations with an operating rate of 1.40% and 4000 billion yuan of 14 - day reverse repurchase operations. With 750 billion yuan of reverse repurchase maturing, the net daily injection was 4035 billion yuan. This week, 4055 billion yuan of reverse repurchase will mature, and 5000 billion yuan of 182 - day repurchase will mature on Friday [5][6] 3.2 Stock Index Futures and Stock Market - **Stock Index Futures**: The closing price of IF当月 decreased by 0.3% to 4716, IH当月 remained unchanged at 3092, IC当月 increased by 0.4% to 8342, and IM当月 increased by 0.1% to 8260. The trading volume of IF decreased by 4.4% to 62400, IH increased by 4.6% to 30833, IC increased by 7.5% to 101790, and IM increased by 0.3% to 133571. The open interest of IF decreased by 0.2% to 281980, IH increased by 0.3% to 101315, IC decreased by 0.6% to 294295, and IM increased by 0.4% to 380005 [7] - **Stock Market**: The closing price of CSI 300 decreased by 0.22% to 4713.8, SSE 50 increased by 0.03% to 3088.5, CSI 500 increased by 0.23% to 8325.8, and CSI 1000 decreased by 0.13% to 8239.5. The trading volume of the Shanghai - Shenzhen - Beijing stock markets was 20012 billion yuan, a decrease of 1237 billion yuan from the previous day. Glass fiber, energy metals, small metals, precious metals, and chemical fiber industries led the gains, while cultural media, education, tourism hotels, and aerospace industries led the losses [8] 3.3 Stock Index Futures Premium and Discount - The premium and discount rates of IF were - 2.05% for the current - month contract, - 0.21% for the next - month contract, 2.05% for the current - quarter contract, and 3.11% for the next - quarter contract; IH were - 4.13%, - 0.94%, 0.04%, and 1.89% respectively; IC were - 8.08%, - 1.25%, 3.10%, and 4.17% respectively; IM were - 10.18%, - 0.18%, 5.29%, and 6.48% respectively [9]

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Core View of the Report - Today, the stock indices fluctuated and consolidated. The total market turnover was 291.13 billion yuan, a decrease of 107.54 billion yuan from the previous day. The significant reduction in trading volume indicates that investors have recognized the regulatory authorities' policy intention to reduce leverage and control risks, and their risk appetite has cooled. Some stocks have seen a significant increase in valuation this year while the performance recovery is not strong, so there is a need for profit - taking funds to "switch from high - to - low", resulting in a consolidation market. In the long run, the continuous fermentation of positive policy expectations and the continuous net inflow of incremental funds into the stock market remain unchanged. The logic of the medium - to - long - term upward movement of the stock indices is relatively solid, but there is uncertainty in the short - term rhythm, and the intraday volatility of the stock market will increase. It is expected that the stock indices will fluctuate strongly in the short term. In terms of options, since the medium - to - long - term upward logic of the stock indices is relatively solid, a bull - spread strategy can be adopted [3]. Group 3: Summary According to Relevant Catalogs 1. Option Indicators - On January 15, 2026, the 50ETF fell 0.22% to close at 3.180; the 300ETF (Shanghai Stock Exchange) rose 0.18% to close at 4.875; the 300ETF (Shenzhen Stock Exchange) rose 0.06% to close at 4.948; the CSI 300 Index rose 0.20% to close at 4751.43; the CSI 1000 Index fell 0.20% to close at 8240.78; the 500ETF (Shanghai Stock Exchange) fell 0.31% to close at 8.339; the 500ETF (Shenzhen Stock Exchange) fell 0.09% to close at 3.299; the ChiNext ETF rose 0.60% to close at 3.352; the Shenzhen 100ETF rose 0.77% to close at 3.543; the SSE 50 Index fell 0.21% to close at 3105.58; the STAR 50ETF fell 0.38% to close at 1.57; the E Fund STAR 50ETF fell 0.52% to close at 1.52 [5]. - The trading volume PCR and position - holding volume PCR of various options on January 15, 2026, and their changes compared with the previous trading day are provided in detail, including 50ETF options, SSE 300ETF options, SZSE 300ETF options, CSI 300 index options, CSI 1000 index options, SSE 500ETF options, SZSE 500ETF options, ChiNext ETF options, Shenzhen 100ETF options, SSE 50 index options, STAR 50ETF options, and E Fund STAR 50ETF options [6]. - The implied volatility of at - the - money options and the 30 - trading - day historical volatility of the underlying assets for various options in January or February 2026 are provided, including 50ETF options, SSE 300ETF options, SZSE 300ETF options, CSI 300 index options, CSI 1000 index options, SSE 500ETF options, SZSE 500ETF options, ChiNext ETF options, Shenzhen 100ETF options, SSE 50 index options, STAR 50ETF options, and E Fund STAR 50ETF options [7][8]. 2. Related Charts - For each type of option (e.g., SSE 50ETF options, SSE 300ETF options, SZSE 300ETF options, etc.), there are corresponding charts showing the underlying asset's trend, option volatility, trading volume PCR, position - holding volume PCR, implied volatility curve, and each - term at - the - money implied volatility [9][20][23] etc.

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - The high - level has listed expanding domestic demand as the primary strategic task, and the national subsidy policy will continue to advance next year. The domestic financing balance has reached a new high again, market risk appetite is gradually warming up, and the market is expected to maintain a volatile repair trend on the last trading day before the holiday [2] 3. Summary by Directory 3.1 Market Analysis - **Macro - policy**: In 2026, the national subsidy policy continues. The National Development and Reform Commission and the Ministry of Finance issued a notice on implementing large - scale equipment renewal and consumer goods trade - in policies and allocated the first batch of 62.5 billion yuan to support consumer goods trade - in. The subsidy objects in 2026 include new smart products like smart glasses and smart home, and exclude home decoration and electric bicycles. New car purchase subsidies are 12% or 10% of the car price with the same upper limits as in 2025. The scope of home appliance subsidies is narrowed to 6 categories, and the subsidy ratio for first - level energy - efficiency home appliances drops from 20% to 15%, with the maximum subsidy per appliance decreasing from 2,000 yuan to 1,500 yuan. Overseas, the Fed's December meeting minutes show that FOMC agreed to cut interest rates, but officials had significant differences [1] - **Index performance**: In the spot market, the three major A - share indexes fluctuated. The Shanghai Composite Index slightly declined to close at 3,965.12 points, while the ChiNext Index rose 0.63%. Among industries, petroleum and petrochemical, automobile, non - ferrous metals, and machinery equipment industries led the gains, while commerce and retail, real estate, and public utilities industries led the losses. The trading volume of the Shanghai and Shenzhen stock markets exceeded 2 trillion yuan. Overseas, the three major US stock indexes closed slightly lower, with the Nasdaq down 0.24% to 23,419.08 points [1] - **Futures market**: In the futures market, the basis of stock index futures declined on the day. In terms of trading volume and open interest, the trading volume and open interest of IH, IC, and IM increased simultaneously [1] 3.2 Strategy - The high - level has listed expanding domestic demand as the primary strategic task, and the national subsidy policy will continue to advance next year. The domestic financing balance has reached a new high again, market risk appetite is gradually warming up, and the market is expected to maintain a volatile repair trend on the last trading day before the holiday [2] 3.3 Macro Economic Charts - The charts include 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 [11][7] 3.4 Spot Market Tracking Charts - **Stock index performance**: On 2025 - 12 - 30, the Shanghai Composite Index closed at 3,965.12 points with a daily change of + 0.00%, the Shenzhen Component Index at 13,604.07 points with a + 0.49% change, the ChiNext Index at 3,242.90 points with a + 0.63% change, the CSI 300 Index at 4,651.28 points with a + 0.26% change, the SSE 50 Index at 3,036.55 points with a + 0.06% change, the CSI 500 Index at 7,458.94 points with a + 0.38% change, and the CSI 1000 Index at 7,597.30 points with a + 0.04% change [13] - Other charts show the trading volume of the Shanghai and Shenzhen stock markets and the financing balance [14] 3.5 Futures Market Tracking Charts - **Trading volume and open interest**: The trading volume and open interest data of IF, IH, IC, and IM are provided. For example, the trading volume of IF is 94,429 (a change of - 1,730), and the open interest is 281,129 (a change of + 5,274) [15] - **Basis**: The basis data of different contracts (current month, next month, current quarter, and next quarter) for IF, IH, IC, and IM are presented. For instance, the current - month contract basis of IF is - 8.57 (a change of - 8.33) [40] - **Inter - delivery spread**: The inter - delivery spread data for different contract combinations (such as next month - current month, next quarter - current month, etc.) of IF, IH, IC, and IM are given. For example, the next - month minus current - month spread of IF is - 10.00 (a change of + 5.00) [44]

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - Today, each stock index fluctuated and rose, with CSI 1000 and CSI 500 leading the gains. The total market turnover of the stock market was 192.18 billion yuan, an increase of 2.46 billion yuan from the previous day. In the medium - to - long term, the positive policy expectations and the trend of capital inflows together form the medium - to - long - term support for the stock index. Currently, positive policy expectations are gradually fermenting. With the appreciation of the RMB, a large number of relatively high - interest time deposits will mature next year, and their "reallocation" may bring a large amount of incremental funds into the stock market. In the short term, the liquidity of the capital market is tightening near the end of the year, policy incremental signals are not yet clear, and the stock index is approaching its previous high, which may cause short - term disturbances. In general, the stock index will maintain a range - bound oscillation in the short term. For options, the current position PCR and implied volatility are both within the normal range, and a bull spread or ratio spread with a mild bullish view can be adopted [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On December 25, 2025, 50ETF rose 0.26% to close at 3.107; 300ETF (SSE) rose 0.19% to close at 4.766; 300ETF (SZSE) rose 0.17% to close at 4.840; the CSI 300 Index rose 0.18% to close at 4642.54; the CSI 1000 Index rose 0.97% to close at 7579.38; 500ETF (SSE) rose 0.86% to close at 7.534; 500ETF (SZSE) rose 0.81% to close at 2.974; the GEM ETF rose 0.31% to close at 3.222; the Shenzhen 100ETF fell 0.09% to close at 3.475; the SSE 50 Index rose 0.25% to close at 3032.84; the STAR 50ETF fell 0.07% to close at 1.42; the E Fund STAR 50ETF fell 0.15% to close at 1.38 [5]. - The trading volume PCR and position PCR of various options on December 25, 2025, and their changes compared with the previous trading day are provided in detail, including 50ETF options, SSE 300ETF options, SZSE 300ETF options, CSI 300 index options, CSI 1000 index options, SSE 500ETF options, SZSE 500ETF options, GEM ETF options, Shenzhen 100ETF options, SSE 50 index options, STAR 50ETF options, and E Fund STAR 50ETF options [6]. - The implied volatility of at - the - money options in January 2026 and the 30 - trading - day historical volatility of the underlying assets of various options are provided, such as 50ETF options, SSE 300ETF options, SZSE 300ETF options, CSI 300 index options, CSI 1000 index options, SSE 500ETF options, SZSE 500ETF options, GEM ETF options, Shenzhen 100ETF options, SSE 50 index options, STAR 50ETF options, and E Fund STAR 50ETF options [7][8]. 3.2 Related Charts - **SSE 50ETF Options**: Include the trend chart of SSE 50ETF, the volatility chart of SSE 50ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [9][11][13][15][19]. - **SSE 300ETF Options**: Include the trend chart of SSE 300ETF, the volatility chart of SSE 300ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [21][23][25][27][29][31]. - **SZSE 300ETF Options**: Include the trend chart of SZSE 300ETF, the volatility chart of SZSE 300ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [34][36][38][40][42][45]. - **CSI 300 Index Options**: Include the trend chart of the CSI 300 index, the volatility chart of CSI 300 index options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [46][48][50][52][54][56]. - **CSI 1000 Index Options**: Include the trend chart of the CSI 1000 index, the volatility chart of CSI 1000 index options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [59][62][63][64][66][68]. - **SSE 500ETF Options**: Include the trend chart of SSE 500ETF, the volatility chart of SSE 500ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [73][75][77][79][81][83]. - **SZSE 500ETF Options**: Include the trend chart of SZSE 500ETF, the volatility chart of SZSE 500ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [86][88][90][92][94][95]. - **GEM ETF Options**: Include the trend chart of GEM ETF, the volatility chart of GEM ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [99][101][103][105][106][109]. - **Shenzhen 100ETF Options**: Include the trend chart of Shenzhen 100ETF, the volatility chart of Shenzhen 100ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [111][113][115][117][119][121]. - **SSE 50 Index Options**: Include the trend chart of the SSE 50 index, the volatility chart of SSE 50 index options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [124][126][128][130][132][134]. - **STAR 50ETF Options**: Include the trend chart of STAR 50ETF, the volatility chart of STAR 50ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [137][138][139][140][142][144]. - **E Fund STAR 50ETF Options**: Include the trend chart of E Fund STAR 50ETF, the volatility chart of E Fund STAR 50ETF options, the trading volume PCR chart, the position PCR chart, the implied volatility curve chart, and the chart of at - the - money implied volatility for each term [145][146][148][149].

Report Overview - Report Title: "Stock Index Conference Disturbance Subsides, Bond Market May Oscillate" - Report Date: December 22, 2025 - Research Institution: Yangtze River Futures Co., Ltd. 1. Report Industry Investment Rating - Not provided in the report. 2. Report's Core Viewpoints - **Stock Index**: The competition for the Fed Chair has intensified. Market mainlines rotate rapidly, and recent positive and negative conference supports have ended. Stock indices may oscillate, and attention should be paid to the possible pre - New Year market. The MACD indicator shows that the market index may oscillate with a slight upward trend [10]. - **Treasury Bonds**: The cross - year funds remain loose, and the capital interest rate is at a low level. The short - and medium - term bonds have strengthened steadily in the loose capital environment, while the long - term yields still fluctuate within the oscillation range formed since November. Before the end of the year, there is no significant negative factor for the bond market, and the upward space for yields is limited. However, the current market is still dominated by trading desks, and the lack of allocation power may lead to short - term trading rhythms. Whether a breakthrough can be achieved depends on whether there is more concentrated allocation power release or more explicit easing signals such as an increase in treasury bond trading volume at the end of the month [11]. - **Economic Data**: The 11 - month manufacturing PMI rebounded weakly from a low level, still below the boom - bust line. In October, CPI and PPI both rebounded year - on - year and month - on - month. Exports declined year - on - year, industrial added value and fixed - asset investment growth rates decreased, social retail growth slowed down, and new social financing decreased year - on - year [18][21][23]. 3. Summary by Directory 3.1 Financial Futures Strategy Recommendations 3.1.1 Stock Index Strategy Recommendations - **Strategy Outlook**: Range oscillation [10]. - **Stock Index Performance Review**: The Shanghai Composite Index rose 0.36% to 3890.45 points. All four major stock indices rose, with IC performing relatively the best [10]. - **Core Viewpoints**: The Fed Chair competition is intense. Market mainlines rotate fast, and recent positive and negative conference supports have ended. Stock indices may oscillate, and attention should be paid to the possible pre - New Year market [10]. - **Technical Analysis**: The MACD indicator shows that the market index may oscillate with a slight upward trend [10]. 3.1.2 Treasury Bond Strategy Recommendations - **Treasury Bond Performance Review**: The 30 - year main contract rose 0.22% to 112.660 yuan, the 10 - year main contract rose 0.10% to 108.150 yuan, the 5 - year main contract rose 0.09% to 105.970 yuan, and the 2 - year main contract rose 0.04% to 102.490 yuan [11]. - **Core Viewpoints**: Cross - year funds are loose, and the capital interest rate is low. Short - and medium - term bonds have strengthened, and long - term yields fluctuate. There is no significant negative factor for the bond market before the end of the year, but the market is dominated by trading desks. Whether a breakthrough can be achieved depends on end - of - month signals [11]. - **Technical Analysis**: The MACD indicator shows that the T main contract may oscillate with a slight upward trend [11]. - **Strategy Outlook**: Oscillatory operation [11]. 3.2 Key Data Tracking 3.2.1 PMI - In November, the manufacturing PMI rebounded to 49.2% from a low level, still below the boom - bust line and lower than the Bloomberg consensus forecast of 49.4%. The rebound was driven by a pulse - like strengthening of external demand, but the rebound was weak due to the decline in the prosperity of large enterprises. The price index was positive, indicating a possible increase in PPI month - on - month. The PMI rebound was weak, with readings significantly lower than the same period in previous years, the spread of contraction pressure, and a long - term downturn [18]. 3.2.2 CPI - In October 2025, the consumer price index increased by 0.2% year - on - year and 0.2% month - on - month; the producer price index decreased by 2.1% year - on - year and increased by 0.1% month - on - month. The rebound was due to seasonal factors, low - base effects, and the "anti - involution" effect [21]. 3.2.3 Exports and Imports - In October 2025, China's exports were $305.35 billion, imports were $215.28 billion, and the trade surplus was $90.07 billion. The year - on - year decline in exports was due to the high - base effect of the same period last year and the weakening of seasonality, as well as the overdraft effect of pre - export [23][24]. 3.2.4 Industrial Added Value - In October, the year - on - year growth rate of industrial added value dropped to 4.9%, and the service production index dropped to 4.6%. The year - on - year growth rates of the two production data were below 5% for the first time since September 2024. The weakening of production was related to the high base after policy implementation in September 2024 and the decline in export support [28]. 3.2.5 Fixed - Asset Investment - From January to October, fixed - asset investment decreased by 1.7% year - on - year, and it is estimated that in October, it decreased by 11.2% year - on - year, the second - lowest growth rate in history except for February 2020. The slowdown in fixed - asset investment was mainly due to the weakening of internal driving forces, with the growth rates of private and public investment both declining. In terms of expenditure directions, only equipment purchases maintained positive growth. The growth rates of infrastructure, manufacturing, and real estate investment all declined [31]. 3.2.6 Social Retail - In October, the year - on - year growth rate of social consumer goods retail dropped to 2.9%, and that of above - quota retail dropped to 1.6%. Consumption maintained positive growth under the high - base environment of last year, with a slight rebound in the two - year compound growth rate compared to September. The downward pressure on the growth rate of optional consumption increased, and the contribution rate of categories related to trade - in to the growth rate of social retail turned negative for the first time since September last year. The early "Double Eleven" on some platforms drove the growth rate of essential consumption to rebound, supporting consumption performance [34]. 3.2.7 Social Financing - In October, new social financing was 0.8 trillion yuan, a year - on - year decrease of 0.6 trillion yuan. Government bonds and credit were the main drag factors. The year - on - year growth rate of social financing dropped to 8.5%, and the growth rate of credit in the social financing caliber dropped to 6.3%. The net financing of government bonds is expected to decrease by 1.2 trillion yuan year - on - year from November to December. After considering the 500 - billion - yuan government bond quota hedge, it is still expected to drag down social financing by 0.2 percentage points. The new policy - based financial tools were fully launched in October, and it is expected that the supporting financing will continue to improve, offsetting the decline in social financing to some extent [37].

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - Today, all stock indices fluctuated and declined. The total market trading volume of the stock market was 1.75 trillion yuan, a decrease of 46.3 billion yuan compared to the previous day. The recent contraction in stock market trading volume is mainly due to the lack of market driving forces and the decline in the enthusiasm of capital trading [3]. - The Central Economic Work Conference continued to emphasize a more proactive fiscal policy and a moderately loose monetary policy. However, the aggregate policy did not exceed expectations, shifting from "extraordinary counter - cyclical" to "both counter - cyclical and cross - cyclical." This means that the aggregate policy will still support the economy in 2026, but will also focus more on structural adjustment, with policy efforts tilting towards domestic - cycle consumption and technology [3]. - Since the pressure to achieve this year's economic growth target is small, there is insufficient motivation for policy intensification this year. Policy efforts are expected to start in the first quarter of next year, and the short - term impetus from policy benefits is insufficient. The stock indices need to consolidate through fluctuations [3]. - At present, the stock indices are still within the fluctuation range. However, as the expectation of policy benefits continues to ferment in the future, the market risk appetite will gradually recover. In general, the stock indices will mainly fluctuate within a range in the short term [3]. - For options, considering the long - term upward trend of the stock indices, a bull spread or ratio spread with a moderately bullish approach can be adopted [3]. 3. Summary by Relevant Catalogs 3.1 Option Indicators - On December 16, 2025, 50ETF fell 0.96% to 3.103; 300ETF (Shanghai Stock Exchange) fell 1.01% to 4.620; 300ETF (Shenzhen Stock Exchange) fell 1.08% to 4.690; the CSI 300 Index fell 1.20% to 4497.55; the CSI 1000 Index fell 1.74% to 7181.62; 500ETF (Shanghai Stock Exchange) fell 1.52% to 7.126; 500ETF (Shenzhen Stock Exchange) fell 1.40% to 2.812; the ChiNext ETF fell 1.92% to 3.060; the Shenzhen 100ETF fell 1.17% to 3.367; the SSE 50 Index fell 1.08% to 2954.79; the STAR 50ETF fell 2.02% to 1.36; and the E Fund STAR 50ETF fell 1.86% to 1.32 [5]. - The trading volume PCR and open - interest PCR of various options changed compared to the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 133.64 (previous day: 109.24), and the open - interest PCR was 90.66 (previous day: 99.95) [6]. - The implied volatility of at - the - money options and the 30 - trading - day historical volatility of the underlying assets of various options are provided. For instance, the implied volatility of at - the - money SSE 50ETF options in December 2025 was 11.63%, and the 30 - trading - day historical volatility of the underlying asset was 10.66% [7]. 3.2 Relevant Charts - The report includes a series of charts for different types of options, such as the trend charts, volatility charts, trading volume PCR charts, open - interest PCR charts, implied volatility curve charts, and at - the - money implied volatility charts for different terms of SSE 50ETF options, SSE 300ETF options, and other options [9][20][33]. These charts visually present the performance and changes of option - related indicators over time.

Report Industry Investment Rating - Not specified in the provided content Core Viewpoints - Today, all stock indices fluctuated and consolidated. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 1.79 trillion yuan, a decrease of 126 billion yuan compared to the previous day. The policy side indicated that in 2026, a more proactive fiscal policy and a moderately loose monetary policy will continue to be implemented, sending out positive signals [4]. - The expectation of policy benefits is gradually fermenting, and market risk appetite is rising. However, it is still necessary to wait for more policy details to be introduced in the subsequent Central Economic Work Conference. In the short term, due to the strong resilience of macro - economic data and the fact that the Politburo meeting's statement on aggregate policies did not exceed expectations, the stock indices still need to fluctuate and consolidate in the short term and are currently within the fluctuation range [4]. - Overall, the expectation of policy benefits is gradually fermenting, and in the short term, the stock indices will mainly fluctuate strongly. For options, considering the long - term upward trend of the stock indices, a bull spread or ratio spread strategy with a mild bullish view can be adopted [4]. Summary by Relevant Catalogs 1 Option Indicators - **Stock Index Performance**: On December 10, 2025, the 50ETF fell 0.32% to close at 3.132; the 300ETF (Shanghai Stock Exchange) fell 0.13% to close at 4.702; the 300ETF (Shenzhen Stock Exchange) fell 0.17% to close at 4.775; the CSI 300 Index fell 0.14% to close at 4591.83; the CSI 1000 Index rose 0.37% to close at 7408.24; the 500ETF (Shanghai Stock Exchange) rose 0.54% to close at 7.263; the 500ETF (Shenzhen Stock Exchange) rose 0.56% to close at 2.860; the GEM ETF rose 0.13% to close at 3.192; the Shenzhen 100ETF rose 0.23% to close at 3.475; the SSE 50 Index fell 0.31% to close at 2988.64; the STAR 50ETF rose 0.07% to close at 1.42; the E Fund STAR 50ETF remained unchanged at 1.37 [6]. - **Volume PCR and Open Interest PCR**: The volume PCR and open interest PCR of various options changed compared to the previous trading day. For example, the volume PCR of SSE 50ETF options was 85.15 (previous day: 79.26), and the open interest PCR was 97.51 (previous day: 100.45) [7]. - **Implied Volatility and Historical Volatility**: The implied volatility and 30 - day historical volatility of the 2025 December at - the - money options of various options were reported. For instance, the implied volatility of the SSE 50ETF options' 2025 December at - the - money options was 11.35%, and the 30 - day historical volatility of the underlying was 11.09% [8]. 2 Related Charts - **SSE 50ETF Options**: Charts include the SSE 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [10][11][12]. - **SSE 300ETF Options**: Charts cover the SSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [21][22][23]. - **SZSE 300ETF Options**: Charts involve the SZSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [33][34][35]. - **CSI 300 Index Options**: Charts include the CSI 300 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [36][37][38]. - **CSI 1000 Index Options**: Charts cover the CSI 1000 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [49][50][51]. - **SSE 500ETF Options**: Charts involve the SSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [62][63][64]. - **SZSE 500ETF Options**: Charts include the SZSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [75][76][77]. - **GEM ETF Options**: Charts cover the GEM ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [88][89][90]. - **Shenzhen 100ETF Options**: Charts involve the Shenzhen 100ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [101][102][103]. - **SSE 50 Index Options**: Charts include the SSE 50 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [115][116][117]. - **STAR 50ETF Options**: Charts cover the STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [128][129][130]. - **E Fund STAR 50ETF Options**: Charts involve the E Fund STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [135][136][137].