Report Summary 1. Report Industry Investment Rating - No information provided. 2. Core Viewpoints - Yesterday, the stock index was weakly volatile in the morning and rallied significantly in the afternoon, with the Shanghai 50 leading the gains driven by the coal and real estate sectors. The macro news was calm, precious metal prices rebounded, and market sentiment improved. In the short - term, it's necessary to focus on whether the panic caused by overseas liquidity tightening can be effectively alleviated. After the volume - shrinking rebound, the stock index is expected to consolidate through oscillations. In the long - run, in the context of low interest rates and "asset shortage", domestic market funds are generally abundant, and as the economy is in the bottom - building process, the medium - to - long - term upward trend of the stock index is not expected to end [6]. 3. Summary by Relevant Catalogs 3.1 Interest Rates and Bond Market - Interest rates: DR001 closed at 1.32% with a 0.32bp increase; DR007 at 1.49% with a 0.57bp decrease; GC001 at 1.48% with a 12.50bp decrease; GC007 at 1.57% with a 3.50bp decrease; SHBOR 3M at 1.58% with a 0.13bp decrease; LPR 5 - year at 3.50% unchanged [3]. - Bond yields: 1 - year treasury bond at 1.30% with a 0.01bp decrease; 5 - year at 1.51% with a 0.25bp decrease; 10 - year at 1.81% with a 0.15bp increase; 10 - year US treasury bond at 4.28% with a 1.00bp decrease [3]. - Central bank operations: The central bank conducted 750 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40% yesterday. With 3775 billion yuan of reverse repurchases maturing, the net withdrawal was 3025 billion yuan. This week, 17615 billion yuan of reverse repurchases will mature, and 7000 billion yuan of 91 - day repurchase - style reverse repurchases will mature on Wednesday [3]. 3.2 Stock Index Futures and Stock Market - Stock index futures prices: IF当月 closed at 4699 with a 0.9% increase; IH当月 at 3072 with a 1.3% increase; IC当月 at 8321 with a 0.3% increase; IM当月 at 8230 with a 0.2% increase [3][5][10]. - Stock index prices: The CSI 300 rose 0.83% to 4698.7; the SSE 50 rose 1.14% to 3069.2; the CSI 500 rose 0.15% to 8299.1; the CSI 1000 fell 0.02% to 8207.1 [5]. - Trading volume and open interest: IF volume decreased by 21.8%, open interest by 5.6%; IH volume by 17.5%, open interest by 6.9%; IC volume by 18.1%, open interest by 2.9%; IM volume by 11.4%, open interest by 0.5% [5][10]. - Market turnover: The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2.5 trillion yuan, a decrease of 623 billion yuan from the previous day [5]. - Industry performance: Most industry sectors rose. The coal, photovoltaic equipment, airport, glass fiber, mining, and real estate development sectors led the gains, while the precious metal, cultural media, gaming, internet service, and semiconductor sectors led the losses [5]. 3.3 Stock Index Futures Basis - IF basis: - 0.06% for the current - month contract, 0.90% for the next - month contract, 1.94% for the current - quarter contract, 3.01% for the next - quarter contract [7]. - IH basis: - 1.75% for the current - month contract, - 0.69% for the next - month contract, 0.30% for the current - quarter contract, 1.71% for the next - quarter contract [7]. - IC basis: - 6.03% for the current - month contract, - 1.45% for the next - month contract, 2.71% for the current - quarter contract, 3.78% for the next - quarter contract [7]. - IM basis: - 6.36% for the current - month contract, 0.38% for the next - month contract, 5.33% for the current - quarter contract, 6.27% for the next - quarter contract [7].

1. Report Industry Investment Rating No information provided in the content. 2. Core Views - Today, the performance of each stock index was differentiated. The CSI 1000 and CSI 500 indices, which had a large increase last Friday, pulled back from their highs, while the SSE 50 and CSI 300 indices continued to fluctuate and consolidate. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 3280.6 billion yuan, an increase of 162.5 billion yuan from the previous day, indicating that the market sentiment remained optimistic. In the medium to long term, the positive policy expectations and the continuous net inflow of incremental funds into the stock market are the main supporting forces for the upward movement of stock indices. However, in the short term, the regulatory authorities' expectation to control risks is relatively clear, and the "chasing high" sentiment is suppressed. The increase in this round of stock rebound is mainly contributed by the valuation side. As the capital side shows differences between chasing up and taking profits, the short - term shock and consolidation needs of stock indices are constantly reflected. Since the current stock market style favors small and medium - cap stocks, the fluctuations of the CSI 1000 and CSI 500 indices have intensified, and attention should be paid to the short - term repeated fluctuation risks. In general, the stock indices will mainly fluctuate and consolidate in the short term. [4] - Regarding options, since the medium - to long - term upward logic of stock indices is relatively solid, a bull spread strategy can be adopted. [4] 3. Summary by Relevant Catalogs 3.1 Option Indicators - On January 26, 2026, the 50ETF rose 0.74% to close at 3.129; the 300ETF (SSE) rose 0.17% to close at 4.712; the 300ETF (SZSE) rose 0.31% to close at 4.913; the CSI 300 index rose 0.10% to close at 4706.96; the CSI 1000 index fell 1.24% to close at 8365.43; the 500ETF (SSE) fell 1.78% to close at 8.564; the 500ETF (SZSE) fell 1.64% to close at 3.409; the ChiNext ETF fell 0.96% to close at 3.305; the Shenzhen 100ETF fell 0.51% to close at 3.484; the SSE 50 index rose 0.57% to close at 3049.59; the STAR 50ETF fell 1.22% to close at 1.62; the E Fund STAR 50ETF fell 1.20% to close at 1.56. [6] - The trading volume PCR and position PCR of various options on January 26, 2026, and their changes compared with the previous trading day are as follows: - 50ETF options: trading volume PCR was 76.23 (previous day: 97.54), position PCR was 75.94 (previous day: 66.75). [7] - SSE 300ETF options: trading volume PCR was 87.01 (previous day: 103.34), position PCR was 91.07 (previous day: 86.20). [7] - SZSE 300ETF options: trading volume PCR was 162.92 (previous day: 118.26), position PCR was 75.84 (previous day: 67.18). [7] - CSI 300 index options: trading volume PCR was 42.22 (previous day: 52.95), position PCR was 67.75 (previous day: 66.45). [7] - CSI 1000 index options: trading volume PCR was 75.69 (previous day: 64.10), position PCR was 102.44 (previous day: 103.60). [7] - SSE 500ETF options: trading volume PCR was 92.86 (previous day: 81.01), position PCR was 135.43 (previous day: 150.13). [7] - SZSE 500ETF options: trading volume PCR was 136.55 (previous day: 162.14), position PCR was 114.67 (previous day: 119.22). [7] - ChiNext ETF options: trading volume PCR was 97.63 (previous day: 81.20), position PCR was 105.99 (previous day: 110.10). [7] - Shenzhen 100ETF options: trading volume PCR was 129.86 (previous day: 140.12), position PCR was 132.46 (previous day: 124.47). [7] - SSE 50 index options: trading volume PCR was 39.97 (previous day: 60.12), position PCR was 58.57 (previous day: 58.64). [7] - STAR 50ETF options: trading volume PCR was 78.62 (previous day: 64.35), position PCR was 100.18 (previous day: 101.93). [7] - E Fund STAR 50ETF options: trading volume PCR was 67.78 (previous day: 87.05), position PCR was 95.29 (previous day: 97.48). [7] - The implied volatility of at - the - money options in February 2026 and the 30 - trading - day historical volatility of the underlying assets of various options are as follows: - 50ETF options: implied volatility was 15.24%, historical volatility was 11.65%. [8] - SSE 300ETF options: implied volatility was 15.27%, historical volatility was 11.92%. [8] - SZSE 300ETF options: implied volatility was 15.49%, historical volatility was 11.94%. [8] - CSI 300 index options: implied volatility was 15.59%, historical volatility was 11.62%. [8] - CSI 1000 index options: implied volatility was 21.73%, historical volatility was 17.72%. [8] - SSE 500ETF options: implied volatility was 28.95%, historical volatility was 17.72%. [8] - SZSE 500ETF options: implied volatility was 23.90%, historical volatility was 17.65%. [8] - ChiNext ETF options: implied volatility was 24.17%, historical volatility was 22.40%. [8] - Shenzhen 100ETF options: implied volatility was 19.28%, historical volatility was 16.10%. [8] - SSE 50 index options: implied volatility was 16.15%, historical volatility was 11.67%. [8] - STAR 50ETF options: implied volatility was 32.84%, historical volatility was 27.10%. [9] - E Fund STAR 50ETF options: implied volatility was 33.02%, historical volatility was 27.08%. [9] 3.2 Relevant Charts - **SSE 50ETF options**: Include charts of the SSE 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility. [10][11][12] - **SSE 300ETF options**: Include charts of the SSE 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility. [21][22] - **SZSE 300ETF options**: Include charts of the SZSE 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility. [24][25] - **CSI 300 index options**: Include charts of the CSI 300 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility. [36][37] - **CSI 1000 index options**: Include charts of the CSI 1000 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility. [45][46] - **SSE 500ETF options**: Include charts of the SSE 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility. [59][60] - **SZSE 500ETF options**: Include charts of the SZSE 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility. [72][73] - **ChiNext ETF options**: Include charts of the ChiNext ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility. [85][86] - **Shenzhen 100ETF options**: Include charts of the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility. [96][97] - **SSE 50 index options**: Include charts of the SSE 50 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility. [109][110] - **STAR 50ETF options**: Include charts of the STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility. [122][123] - **E Fund STAR 50ETF options**: Include charts of the E Fund STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility. [132][133]

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - Today, the stock indices fluctuated within a narrow range. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 181.55 billion yuan, a decrease of 5.84 billion yuan from the previous day. Since late June, some stocks have had significant gains, leading to profit - taking needs. The stock indices need a short - term consolidation phase. The recent rebound of the stock indices is mainly driven by policy expectations, and the market sentiment is generally optimistic. Domestic policies have boosted the price and profit recovery expectations of related industries, and the official start of the Yarlung Zangbo River hydropower project has increased the expectation of policy support. Currently, the trading volume of the stock market is at a high level, indicating that investors' risk appetite is high. In general, the stock indices will be volatile and slightly stronger in the short term. [4] - The implied volatility of options has rebounded. Considering the upward trend of the stock indices, investors can continue to hold bull spreads or ratio spreads for a mild bullish view. [4] 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On July 25, 2025, the 50ETF fell 0.58% to 2.916; the 300ETF (Shanghai Stock Exchange) fell 0.52% to 4.203; the 300ETF (Shenzhen Stock Exchange) fell 0.50% to 4.338; the CSI 300 Index fell 0.53% to 4127.16; the CSI 1000 Index rose 0.08% to 6706.61; the 500ETF (Shanghai Stock Exchange) rose 0.03% to 6.365; the 500ETF (Shenzhen Stock Exchange) fell 0.08% to 2.543; the GEM ETF fell 0.30% to 2.318; the Shenzhen 100ETF fell 0.48% to 2.932; the SSE 50 Index fell 0.60% to 2795.51; the Science and Technology Innovation 50ETF rose 2.12% to 1.11; the E Fund Science and Technology Innovation 50ETF rose 2.08% to 1.08. [6] - The trading volume PCR and position PCR of various options changed compared to the previous trading day. For example, the trading volume PCR of the SSE 50ETF option was 83.28 (89.38 the previous day), and the position PCR was 97.93 (108.57 the previous day). [7] - The implied volatility of the at - the - money options in August 2025 and the 30 - trading - day historical volatility of the underlying assets of various options were provided. For example, the implied volatility of the at - the - money options of the SSE 50ETF option was 15.45%, and the 30 - trading - day historical volatility of the underlying asset was 8.12%. [8] 3.2 Relevant Charts - **SSE 50ETF Option**: Charts include the SSE 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms. [10][12][14] - **SSE 300ETF Option**: Charts cover the SSE 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms. [21] - **SZSE 300ETF Option**: Charts involve the SZSE 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms. [24] - **CSI 300 Index Option**: Charts include the CSI 300 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms. [37] - **CSI 1000 Index Option**: Charts cover the CSI 1000 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms. [50] - **SSE 500ETF Option**: Charts involve the SSE 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms. [63] - **SZSE 500ETF Option**: Charts include the SZSE 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms. [76] - **GEM ETF Option**: Charts cover the GEM ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms. [90] - **Shenzhen 100ETF Option**: Charts involve the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms. [103] - **SSE 50 Index Option**: Charts include the SSE 50 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms. [116] - **Science and Technology Innovation 50ETF Option**: Charts cover the Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms. [129] - **E Fund Science and Technology Innovation 50ETF Option**: Charts involve the E Fund Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and implied volatility of at - the - money options for different terms. [132]