1. Report Industry Investment Rating - No relevant content provided 2. Report's Core View - Implied volatility is positively correlated and rising. It is advisable to consider a bull spread strategy with caution and take a long position [2] 3. Summary by Relevant Sections 3.1 Option Market Transaction Overview - The daily average total trading volume of options reached 9.5451 million lots, with a total turnover of 12.5736002 billion yuan. For specific options: - Shanghai 50 Index Option: Call trading volume was 41,200 lots, Put trading volume was 17,700 lots, and total turnover was 288.733 million yuan [2] - CSI 1000 Index Option: Call trading volume was 221,300 lots, Put trading volume was 158,100 lots, and total turnover was 4.8323127 billion yuan [2] - Shanghai and Shenzhen 300 Index Option: Call trading volume was 114,200 lots, Put trading volume was 57,500 lots, and total turnover was 1.1351234 billion yuan [2] - Other ETF options also had corresponding trading volumes and turnovers [2] 3.2 Option Volatility Statistics - For near - month options, the ATM - IV, IV weekly change, 20HV, HV weekly change, Skew, Skew weekly change, VIX, and VIX change of various options were presented. For example: - Shanghai 50 Index Option: ATM - IV was 14.71%, IV weekly change was 1.83%, 20HV was 12.63%, HV weekly change was 4.01% [4] - CSI 1000 Index Option: ATM - IV was 24.13%, IV weekly change was 5.29%, 20HV was 16.18%, HV weekly change was 1.92% [4] 3.3 Option Liquidity - Various charts showed the changes in total trading volume, total open interest, total turnover, total trading market value, and total open - interest market value of financial options, as well as the trading volume and open - interest proportions of each option variety [5][6][7][8][9] 3.4 Option Volatility Level - Comparing the at - the - money implied volatility (ATM - IV) and historical volatility of options, last week, the ATM - IV and historical volatility of most options showed signs of divergence or convergence. The current ATM - IV and the positive correlation between the ATM - IV and the underlying asset price were also presented. For example: - Shanghai 50 Index Option: The current ATM - IV was 14.71%, and the correlation coefficient between the underlying asset and the ATM - IV was 95.75% [10] - CSI 1000 Index Option: The current ATM - IV was 24.13%, and the correlation coefficient was 96.30% [12] 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of options can reflect the market's bull - bear sentiment to some extent. The report presented the PCR trends and daily - on - daily incremental percentages of various options [39][40][41][42][43][44][46] 3.6 Market Support and Resistance Level Information - The trading volume and open interest at different strike prices of options can help reveal the support and resistance levels of the underlying asset. For example: - Shanghai 50 Index: Key support level was 3000, and resistance level was 3150 [46] - CSI 1000 Index: Key support level was 7700, and resistance level was 8000 [46] - Shanghai and Shenzhen 300 Index: Key support level was 4650, and resistance level was 4750 [46] - Other underlying assets also had corresponding support and resistance levels [46]

1. Report's Industry Investment Rating No information provided regarding the industry investment rating. 2. Core Viewpoints of the Report - The financial options market in 2025 showed structural changes and sentiment differentiation. The market preference was towards growth - style index options, and the mid - term market sentiment remained optimistic. The implied volatility was relatively mild, and the advantage of option sellers increased. In 2026, the volatility center may rise slightly, and certain option strategies are recommended [4][111][113]. - The performance of option strategies in 2025 varied. The quantitative timing strategy based on the premium and discount of synthetic underlying assets achieved stable returns, while the "foolish" double - selling strategy had relatively large risks [5][112]. 3. Summary According to the Table of Contents 3.1 2025 Financial Options Market Operation - **Option Market Activity**: The domestic option market had 12 listed financial option varieties. By November 30, 2025, the total trading volume was 1.717 billion contracts, the average daily trading volume was 7.8047 million contracts, the total trading turnover was 1.641327 trillion yuan, and the average daily trading turnover was 7.46 billion yuan. The average daily trading volume, turnover, and open interest increased by about 12%, 21%, and 13% respectively compared to the same period in 2024. The growth in turnover mainly came from the third quarter, and the growth was mainly driven by the CSI 1000 Index Option and the dual - innovation options [12][14]. - **Market Preference for Growth - Style Index Options**: Measured by average daily turnover, the CSI 1000 Index Option had the highest market share at 33.69%, followed by the Southern CSI 500ETF Option at 19.25%. The market still preferred growth - style index options with larger underlying index fluctuations, while the share of the SSE 50ETF Option continued to decline to about 6% [17]. - **Position PCR Indicating Optimistic Mid - term Market Sentiment**: The position PCR values of major financial options mostly followed the fluctuations of the underlying index in 2025. The average position PCR values of IO and MO options increased significantly compared to 2024, indicating an increase in the proportion of investors selling put options. Although the position PCR values have declined recently, they are still at medium - to - high historical levels, suggesting that the mid - term market sentiment remains optimistic [22][23]. 3.2 2025 Stock Index Option Market Volatility - **Historical Volatility in a Similar "M" Shape**: The historical volatility of the three major index option underlying assets showed a similar "M" shape in 2025, with the upward - moving period significantly shorter than the downward - moving period. The volatility center and range narrowed compared to 2024 [26]. - **Implied Volatility More Moderate than in Previous Years**: The implied volatility of options also showed a similar "M" shape, but the upward - pulse time was shorter and the peak - reaching time was earlier. The implied volatility was more moderate than in previous years, which was related to the increasing institutionalization of the market and the regulatory authorities' advocacy of a slow - bull market [32][39]. - **Enhanced Advantage of Option Sellers in 2025**: The advantage of option sellers was enhanced in 2025, as the frequency and average amplitude of option implied volatility premiums increased compared to 2024, and the implied volatility mostly showed a downward - trending pattern [40][44]. - **Low Skewness Throughout the Year**: The proportion of negative skewness in implied volatility of options increased in 2025, mainly due to the expansion of stock market neutral products. Currently, the skewness of the CSI 1000 Index Option has recovered to a medium - to - high level in the past two years, while that of the SSE 50 and CSI 300 Index Options is still at a slightly low - medium level [45][48]. - **2026 Volatility Outlook**: In 2026, the implied volatility is currently low, and the volatility center may rise slightly, but it is expected that the peak will not exceed that of 2025. The implied volatility of the SSE 50 and CSI 300 Index Options is expected to range between 12% - 30%, and that of the CSI 1000 Index Option between 17% - 40%. Local peaks may occur in the first and third quarters [52]. 3.3 Option Strategy Review and Recommendation - **Quantitative Timing Strategy Based on Premium and Discount of Option Synthetic Underlying Assets**: This strategy can achieve a 23.6% absolute return in 2025, with a maximum drawdown of only 4.81%, far superior to the CSI 500 Index and corresponding stock index futures [60]. - **Performance Review of Classic Option Strategies**: - **Bull Spread Strategy**: In a slow - bull market, this strategy performs well. Although it slightly underperforms the underlying index, it significantly reduces the maximum drawdown [63][70]. - **Selling Put Option Strategy**: Except during the sharp rise in late September 2024, this strategy can generally outperform the underlying index, and the decline amplitude is relatively smaller [73][77]. - **Covered Call Strategy**: In 2025, this strategy performs better in IO and HO options with more stable underlying fluctuations, but underperforms in MO options with larger fluctuations. It may not be able to outperform the underlying index in a rapidly rising market [85][89]. - **Bullish Three - Leg Strategy**: In a slow - bull market, this strategy is a good alternative to index long positions. In case of a rapid market rise, the problem of underperformance can be improved by adjusting the position ratio [90]. - **Traditional Double - Selling Strategy**: For investors with poor timing ability, the SSE 50 Index Option is the most suitable for the double - selling strategy. The double - selling strategy for MO options has the most unstable returns and relatively large maximum drawdowns [98]. 3.4 Summary and Outlook - **Summary**: In 2025, the trading turnover of the financial options market increased, mainly driven by growth - style options. The position PCR indicated optimistic mid - term sentiment, the implied volatility was moderate, and option strategies achieved stable returns. Some classic strategies can reduce drawdowns and smooth the capital curve [106][111][112]. - **Outlook**: In 2026, the volatility center may rise slightly. Sellers of out - of - the - money put options are worthy of attention, the bullish three - leg strategy can be used to replace traditional futures long positions, and the strategy of shorting volatility is also worth considering [113][114].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoint of the Report The market is fluctuating weakly, implied volatility is rising. Consider timing to buy put options for protection [1]. 3. Summary by Relevant Catalogs 3.1 Option Market Trading Overview - The total daily average trading volume of all options is 13.5785 million lots, with a total open interest of 10.3924 million lots and a total turnover of 12.963624 billion yuan [1]. 3.2 Option Volatility - The ATM - IV, IV weekly change, 20HV, HV weekly change, Skew, Skew weekly change, VIX, and VIX change of various options are presented in Table 2. For example, the ATM - IV of SSE 50 Index Option is 17.54%, with an IV weekly change of 2.29% [3]. 3.3 Option Liquidity - There are multiple charts showing the changes in total trading volume, total open interest, total turnover, total trading market value, and total open - interest market value of financial options, as well as the trading volume and open - interest proportions of each option variety [4][6][7][8]. 3.4 Option Volatility Level - Last week, there was a divergence between at - the - money implied volatility and historical volatility for various options. The current at - the - money implied volatility and the correlation coefficient between the underlying asset and at - the - money implied volatility of each option are provided. For instance, for SSE 50 Index Option, the current at - the - money implied volatility is 17.54%, and the correlation coefficient is - 79.60% [9]. 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of options can reflect market bull - bear sentiment. There are multiple charts showing the PCR trends and daily环比 incremental percentages of various options [35][36]. 3.6 Market Support and Resistance Level Information - The key support and resistance levels of various option underlying assets are provided. For example, the key support level of SSE 50 Index is 3000, and the resistance level is 3000; the key support level of CSI 1000 Index is 7300, and the resistance level is 7500 [50].

1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - The volatility trends of near - and far - month options are diverging. It is advisable to consider building a protective put position for the next month when prices are low [1] 3. Summary by Relevant Catalogs 3.1 Option Market Trading Overview - The daily average trading volume, open interest, and turnover of various financial options are presented. For example, the total daily average trading volume of all options is 1242.50 million lots, with a total open interest of 1169.28 million lots and a total turnover of 13.2349519 billion yuan [1] 3.2 Option Volatility Statistics - The implied volatility (IV), historical volatility (HV), skew, and VIX of various options on the last trading day of the week are provided. For instance, the ATM - IV of SSE 50 Index Options is 21.01% with a - 2.19% change [3] 3.3 Option Liquidity - Multiple charts show the changes in total trading volume, open interest, turnover, trading value, and the proportion of trading volume and open interest of each option variety [4][6][10] 3.4 Option Volatility Level - Comparing the at - the - money implied volatility (ATM - IV) and historical volatility (HV) of various options, there were signs of convergence last week. The current ATM - IVs of different options range from 18.21% to 46.36%. The relationship between the underlying asset and ATM - IV varies, with correlation coefficients ranging from - 44.74% to 95.63% [11][13][15] 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of various options is used to reflect market bull - bear sentiment, and the PCR trends and daily环比increment percentages of different options are presented through charts [39][40] 3.6 Market Support and Resistance Levels - The key support and resistance levels of various option underlying assets are given. For example, the key support level of the SSE 50 Index is 2850, and the resistance level is 3000 [53]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The implied volatility of financial options has risen, and market sentiment has continued to heat up. The trading volume of 50ETF options has increased significantly compared to the previous week, and the put - call trading ratio has decreased, while the put - call holding ratio has increased [1][2]. 3. Summary by Relevant Catalog 3.1 Financial Option Data - 50ETF options had an average daily trading volume of 1.9067 million contracts this week, a 20.55% increase from the previous week. The put - call trading ratio was 0.64, lower than the historical average, and the put - call holding ratio last week was 1.19, higher than the historical average [1][4]. - Huatai - Baorui 300ETF options had an average daily trading volume of 1.8624 million contracts and an average daily holding volume of 1.5178 million contracts [1][4]. - Southern China Securities 500ETF options had an average daily trading volume of 2.3846 million contracts and an average daily holding volume of 1.5008 million contracts [1][4]. - Huaxia Shanghai - Stock Exchange Science and Technology Innovation 50ETF options had an average daily trading volume of 2.1747 million contracts and an average daily holding volume of 2.0811 million contracts [1][4]. - Shenzhen 100ETF options had an average daily trading volume of 189,900 contracts and an average daily holding volume of 164,000 contracts [1][4]. - GEM ETF options had an average daily trading volume of 2.9074 million contracts and an average daily holding volume of 1.9249 million contracts [1][4]. - CSI 300 index options had an average daily trading volume of 134,600 lots and an average daily holding volume of 162,000 lots [1][4]. - CSI 1000 index options had an average daily trading volume of 317,000 lots and an average daily holding volume of 253,000 lots [1][4]. 3.2 Volatility - As of the close on Friday, the implied volatility of CSI 300 index options was 19.30%, a 1.29% increase from a week ago [2][5]. - The implied volatility of 50ETF options was 19.78%, a 3.60% increase from a week ago [2][5]. - The implied volatility of CSI 1000 index options was 26.01%, a 4.72% increase from a week ago [2][5].