1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - Stock index options are experiencing an upward trend with decreasing volatility, and the bearish sentiment is declining. A covered call strategy can be considered [2] 3. Summary by Relevant Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and other indices all rose, while the trading volumes decreased. For example, the Shanghai Composite 50 Index closed at 3001.35, up 40.25, with a trading volume of 63.38 billion hands, a decrease of 22.81 billion hands [3] - **Option Market Statistics**: The trading volumes of most options decreased, while the positions of some options increased. For example, the trading volume of Shanghai Composite 50 Index options was 55,008, a decrease of 13,785, and the position was 77,675, an increase of 183 [3] 3.2 Option Volatility Statistics - **Near - Month Options**: The implied volatility (ATM - IV) of most options decreased. For example, the ATM - IV of Shanghai Composite 50 Index options was 14.62%, a decrease of 2.70% [6] - **Next - Month Options**: The ATM - IV of most options also decreased. For example, the ATM - IV of Shanghai Composite 50 Index options was 16.06%, a decrease of 1.87% [6] 3.3 Option Indicator Data Statistics - **PCR and Skew**: The report provides the PCR (volume and position) and skew data of various options, which can be used to analyze market sentiment and risk [3][6] 3.4 Option Charts - **Volatility Charts**: Include the volatility trends of the main contracts of various options, such as the Shanghai Composite 50 Index option, CSI 300 Index option, etc., which can help investors understand the volatility changes of options [10][12][14] - **PCR Charts**: Show the volume and position PCR trends of all contracts of various options, reflecting the market's bullish and bearish sentiment [10][17][20] - **Volatility Cone and Term Structure Charts**: Present the volatility cone and term structure of various options, helping investors analyze the volatility characteristics and term structure of options [10][16][24]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report Stock index options are experiencing a downward increase in volatility, and the skewness of some varieties has shifted to negative skew [2]. 3. Summary According to Relevant Catalogs 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and other indexes all declined. Their trading volumes also decreased, except for the Shanghai Composite 50 ETF, Huatai-PineBridge CSI 300 ETF, and other ETFs, which showed an increase [3]. - **Option Market Statistics**: The trading volumes of the Shanghai Composite 50 Index Option, Shanghai Composite 50 ETF Option, and other options decreased, while the trading volumes of the CSI 300 Index Option, Huatai-PineBridge CSI 300 ETF Option, and other options increased. The open interest of most options increased [3]. - **Option Volatility Statistics**: The ATM-IV of most options increased, and the HV also showed an upward trend. The skewness of some options shifted to negative skew [6]. 3.2 Option Index Data Statistics - **PCR (Put-Call Ratio)**: The VL-PCR and OI-PCR of most options are relatively high, indicating a strong bearish sentiment in the market [3]. - **Maximum Open Interest**: The maximum open interest of call options and put options in the near - month contracts of different options varies, which can reflect the market's expectations of the future price range of the underlying assets [3]. 3.3 Option Charts - **Volatility Cone and Volatility Term Structure**: Different option varieties have different volatility cone and volatility term structure charts, which can help analyze the historical and current volatility levels and term structure characteristics of options [10][14][20]. - **PCR Chart and Skewness Chart**: The PCR chart and skewness chart of different option varieties can reflect the market sentiment and the probability distribution of the underlying asset price changes [10][15][19].

Report Date - The report is dated September 18, 2025 [1] Core Viewpoint - The stock index options show a downward volatility trend, with sentiment回调, and the index options are approaching maturity [2] Market Data Summary Underlying Market Statistics - The Shanghai Composite 50 Index closed at 2912.83, down 39.95, with a trading volume of 74.86 billion hands and a change of 18.19 billion hands. The synthetic futures for the current month and next month were 2908.93 and 2912.20 respectively, with basis of -3.89 and -0.63 [3] - The CSI 300 Index closed at 4498.11, down 52.91, with a trading volume of 309.86 billion hands and a change of 74.14 billion hands. The synthetic futures for the current month and next month were 4484.13 and 4473.80 respectively, with basis of -13.98 and -24.31 [3] - The CSI 1000 Index closed at 7476.40, down 78.41, with a trading volume of 398.60 billion hands and a change of 96.89 billion hands. The synthetic futures for the current month and next month were 7449.93 and 7366.20 respectively, with basis of -26.47 and -110.20 [3] Option Market Statistics - The trading volume of Shanghai Composite 50 Index options was 118,589, an increase of 60,763, and the open interest was 103,897, a decrease of 1580. The VL-PCR was 56.08% and the OI-PCR was 60.46%. The maximum call and put open interests (near - month) were at strike prices of 3000 and 2900 respectively [3] - The trading volume of CSI 300 Index options was 304,276, an increase of 123,482, and the open interest was 238,898, a decrease of 4051. The VL-PCR was 67.07% and the OI-PCR was 81.48%. The maximum call and put open interests (near - month) were at strike prices of 4500 and 4550 respectively [3] - The trading volume of CSI 1000 Index options was 708,257, an increase of 271,637, and the open interest was 344,711, a decrease of 10,505. The VL-PCR was 84.96% and the OI-PCR was 110.83%. The maximum call and put open interests (near - month) were at strike prices of 7500 and 7000 respectively [3] Option Volatility Statistics - For near - month options, the ATM - IV of Shanghai Composite 50 Index options was 20.14%, down 1.81%, and the VIX was 21.88, down 0.199 [6] - The ATM - IV of CSI 300 Index options was 17.44%, down 2.84%, and the VIX was 21.55, down 1.142 [6] - The ATM - IV of CSI 1000 Index options was 19.87%, down 6.08%, and the VIX was 27.20, down 0.716 [6] Graphical Analysis - The report includes various graphs for different types of options, such as PCR graphs,主力合约偏度 graphs, volatility cone graphs, and volatility term structure graphs for Shanghai Composite 50 Index options, CSI 300 Index options, CSI 1000 Index options, and multiple ETF options [10][14][17]

Report Date - The report is dated June 25, 2025 [1] Investment Recommendation - The report suggests that stock index options are experiencing an upward volatility trend, with increasing bullish sentiment, and recommends considering a bull call spread strategy [2] Core Viewpoints - The market shows an upward trend in stock index options, with increasing trading volume and changes in various indicators such as volatility and PCR [2][3] Market Data Summary Underlying Market Statistics - The closing prices of major indices like the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index have increased, along with corresponding changes in trading volume and basis [3] Option Market Statistics - Trading volumes and open interests of various options have changed, and indicators such as VL - PCR and OI - PCR show different levels of bullish or bearish sentiment [3] Option Volatility Statistics - ATM - IV, IV changes, HV, and Skew of different options have fluctuated, indicating changes in market expectations and risks [6] Option - Specific Analysis Shanghai Composite 50 Index Options - Analyzed through charts of PCR, skew, volatility cone, and volatility term structure, showing changes in market sentiment and volatility characteristics [9][10] CSI 300 Index Options - Similar to the Shanghai Composite 50 Index Options, with its own unique data and trends in PCR, skew, and volatility [13][14] CSI 1000 Index Options - Exhibits distinct features in trading volume, open interest, and volatility compared to other index options [16][17] ETF Options - Options on various ETFs such as Shanghai Composite 50 ETF, Huatai - Berry 300 ETF, and Southern 500 ETF are analyzed in terms of PCR, skew, and volatility [20][21][24]

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core View Stock index options are experiencing upward price movements and decreasing volatility, and a covered call strategy can be considered [1]. 3. Summary of Each Section 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index were 2,690.89, 3,858.70, and 6,089.58 respectively, with increases of 7.83, 22.46, and 105.12. The trading volumes were 27.47 billion, 108.47 billion, and 189.38 billion shares respectively, with increases of 2.30 billion, 19.44 billion, and 30.27 billion shares [2]. - **Option Market Statistics**: The trading volumes of the Shanghai Composite 50 Index option, CSI 300 Index option, and CSI 1000 Index option were 22,188, 56,966, and 196,848 respectively, with increases of 11,072, 18,064, and 86,458. The open interests were 61,281, 165,536, and 251,432 respectively, with increases of 2,243, 1,733, and 3,916 [2]. 3.2 Option Indicator Data Statistics - **Option Volatility Statistics (Near - term)**: The ATM - IV of the Shanghai Composite 50 Index option was 13.35%, with a change of 0.02%; the CSI 300 Index option was 13.23%, with a change of - 0.18%; the CSI 1000 Index option was 19.25%, with a change of - 1.89% [5]. - **Option Volatility Statistics (Next - term)**: The ATM - IV of the Shanghai Composite 50 Index option was 13.96%, with a change of 0.23%; the CSI 300 Index option was 13.86%, with a change of - 0.62%; the CSI 1000 Index option was 20.19%, with a change of - 1.39% [5]. 3.3 Option Charts - **Stock Index Options**: There are various charts for Shanghai Composite 50 Index options, CSI 300 Index options, and CSI 1000 Index options, including PCR charts, skew charts, volatility cone charts, and volatility term structure charts [9][13][21]. - **ETF Options**: There are also corresponding charts for multiple ETF options such as Shanghai Composite 50ETF options, Huatai - Berich 300ETF options, etc., including PCR charts, skew charts, volatility cone charts, and volatility term structure charts [24][29][34].

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Not provided in the given content Summary by Related Catalogs Option Market Data Statistics - **Underlying Market Statistics**: The closing prices, price changes, trading volumes, and other data of various indexes and ETFs are presented, including the Shanghai Composite 50 Index, CSI 300 Index, and others. For example, the Shanghai Composite 50 Index closed at 2728.43, up 11.80, with a trading volume of 31.43 billion lots [1]. - **Option Market Statistics**: The trading volumes, changes, open interests, and other data of various index options and ETF options are provided. For instance, the trading volume of Shanghai Composite 50 Index options was 20,579, a decrease of 3,760, and the open interest was 54,113, an increase of 1,521 [1]. Option Indicator Data Statistics - **Option Volatility Statistics (Near - Month)**: Data such as ATM - IV, IV changes, same - term HV, HV changes, Skew, Skew changes, and VIX are given for different options. For example, the ATM - IV of Shanghai Composite 50 Index options was 13.21%, with an IV change of 0.31% [4]. - **Option Volatility Statistics (Next - Month)**: Similar data for the next - month options are presented, including ATM - IV, IV changes, same - term HV, HV changes, Skew, and Skew changes [4]. Option Charts - **Index Option Charts**: For each index option (e.g., Shanghai Composite 50 Index options, CSI 300 Index options, and CSI 1000 Index options), there are charts showing the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [6][10][15]. - **ETF Option Charts**: For each ETF option (e.g., Shanghai Composite 50 ETF options, Huatai - Baorui 300 ETF options), there are charts presenting the main - contract volatility trend, the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [22][24][26].