国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 9 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2025/9/29 3.109 1.04% 18.66% 17.92% 2025/9/30 3.126 0.55% 18.25% 17.67% 2025/10/9 3.161 1.12% 15.19% 16.05% 【50ETF】 近1年 当月IV分位数 70.60% 67.30% 46.90% 近2年 当月IV分位数 当月合约距离到期还剩 80.70% 77.90% 57.40% 近1年 次月IV分位数 57.30% 56.10% 48.90% 近2年 次月IV分位数 73.30% 71.30% 62.90% 2025年10月9日 金融期权波动率 0% 10% 20% 30% ATM IV(M1) ATM IV(M2) ATM IV(Q1) ATM IV(Q2) ATM IV期限结构 今日 昨日 0% 20% 40% 60% 80% 2.00 2.50 3.00 3.50 2022/9/30 2023/3/6 2023/8/1 2023/12/27 2024/5/31 ...

1. Report Industry Investment Rating - No information provided in the given documents 2. Report's Core View - No clear core view is presented in the provided documents. The reports mainly focus on presenting data related to various ETFs and indices, including price, volatility, and skew index over a certain period. 3. Summary by Related Catalogs 3.1 General Data (13 - day data) - For 50ETF, from Sep 23 - 25, 2025, the price increased from 3.054 to 3.087, with the highest daily increase of 0.59% on Sep 24. The monthly IV decreased from 21.49% to 17.69% [1]. - For Shanghai 300ETF, from Sep 23 - 25, 2025, the price rose from 4.622 to 4.695, with the highest daily increase of 0.89% on Sep 24. The monthly IV fluctuated between 16.03% and 19.72% [3]. - For Shenzhen 300ETF, from Sep 23 - 25, 2025, the price increased from 4.762 to 4.844, with the highest daily increase of 1.01% on Sep 24. The monthly IV changed from 17.19% to 19.19% [7]. - For Shanghai CSI 500ETF, from Sep 23 - 25, 2025, the price went up from 7.277 to 7.441, with the highest daily increase of 2.25% on Sep 25. The monthly IV increased from 16.69% to 26.03% [14]. - For Shenzhen CSI 500ETF, from Sep 23 - 25, 2025, the price first rose from 2.906 to 2.972 and then slightly dropped to 2.970. The monthly IV increased from 16.57% to 26.58% [22]. - For ChiNext ETF, from Sep 23 - 25, 2025, the price increased from 3.093 to 3.211, with the highest daily increase of 2.17% on Sep 24. The monthly IV changed from 30.72% to 41.46% [26]. - For Shenzhen 100ETF, from Sep 23 - 25, 2025, the price rose from 3.494 to 3.595, with the highest daily increase of 1.75% on Sep 24. The monthly IV fluctuated between 25.27% and 29.03% [33]. - For Science and Technology Innovation 50ETF, from Sep 23 - 25, 2025, the price increased from 1.475 to 1.548, with the highest daily increase of 3.73% on Sep 24. The monthly IV increased from 41.63% to 50.25% [41]. - For STAR 50ETF, from Sep 23 - 25, 2025, the price rose from 1.442 to 1.513, with the highest daily increase of 3.68% on Sep 24. The monthly IV increased from 41.58% to 49.81% [48]. - For 300 Index, from Sep 23 - 25, 2025, the price increased from 4519.778 to 4593.488, with the highest daily increase of 1.02% on Sep 24. The monthly IV decreased from 20.20% to 18.16% [55]. - For 1000 Index, from Sep 23 - 25, 2025, the price first rose from 7408.069 to 7534.222 and then dropped to 7506.512. The monthly IV fluctuated between 27.42% and 28.25% [63]. - For Shanghai - Shenzhen 50 Index, from Sep 23 - 25, 2025, the price increased from 2919.515 to 2952.735, with the highest daily increase of 0.68% on Sep 24. The monthly IV decreased from 19.89% to 19.08% [68]. 3.2 IV Quantile Data - For 50ETF, the monthly IV quantile in the past 1 - year was between 63.60% and 84.80%, and in the past 2 - year was between 74.80% and 91.00% [1]. - For Shanghai 300ETF, the monthly IV quantile in the past 1 - year was between 47.30% and 77.90%, and in the past 2 - year was between 60.30% and 83.20% [3]. - For Shenzhen 300ETF, the monthly IV quantile in the past 1 - year was between 55.50% and 72.20%, and in the past 2 - year was between 70.90% and 84.00% [7]. - For Shanghai CSI 500ETF, the monthly IV quantile in the past 1 - year was between 21.60% and 80.80%, and in the past 2 - year was between 26.10% and 86.90% [14]. - For Shenzhen CSI 500ETF, the monthly IV quantile in the past 1 - year was between 22.40% and 80.00%, and in the past 2 - year was between 26.70% and 86.50% [22]. - For ChiNext ETF, the monthly IV quantile in the past 1 - year was between 61.60% and 91.70%, and in the past 2 - year was between 78.90% and 94.80% [26]. - For Shenzhen 100ETF, the monthly IV quantile in the past 1 - year was between 70.60% and 86.50%, and in the past 2 - year was between 83.20% and 92.40% [33]. - For Science and Technology Innovation 50ETF, the monthly IV quantile in the past 1 - year was between 73.80% and 87.30%, and in the past 2 - year was between 88.90% and 94.40% [41]. - For STAR 50ETF, the monthly IV quantile in the past 1 - year was between 78.30% and 88.70%, and in the past 2 - year was between 86.90% and 94.60% [48]. - For 300 Index, the monthly IV quantile in the past 1 - year was between 53.40% and 80.50%, and in the past 2 - year was between 62.40% and 83.00% [55]. - For 1000 Index, the monthly IV quantile in the past 1 - year was between 56.70% and 79.90%, and in the past 2 - year was between 70.60% and 79.10% [63]. - For Shanghai - Shenzhen 50 Index, the monthly IV quantile in the past 1 - year was between 65.30% and 90.20%, and in the past 2 - year was between 59.10% and 95.00% [68]. 3.3 Skew Index Data - For 50ETF, the skew index on Sep 25, 2025, was 82.18, decreasing from 83.73 the previous day [2]. - For Shanghai 300ETF, the skew index on Sep 25, 2025, was 98.87, increasing from 94.55 the previous day [5]. - For Shenzhen 300ETF, the skew index on Sep 25, 2025, was 96.50, increasing from 95.51 the previous day [12]. - For Shanghai CSI 500ETF, the skew index on Sep 25, 2025, was 100.56, decreasing from 103.35 the previous day [17]. - For Shenzhen CSI 500ETF, the skew index on Sep 25, 2025, was 98.83, decreasing from 99.08 the previous day [25]. - For ChiNext ETF, the skew index on Sep 25, 2025, was 99.99, increasing from 95.76 the previous day [30]. - For Shenzhen 100ETF, the skew index on Sep 25, 2025, was 98.60, increasing from 96.56 the previous day [37]. - For Science and Technology Innovation 50ETF, the skew index on Sep 25, 2025, was 98.68, increasing from 88.91 the previous day [44]. - For STAR 50ETF, the skew index on Sep 25, 2025, was 94.06, increasing from 91.22 the previous day [51]. - For 300 Index, no skew index data is provided. - For 1000 Index, no skew index data is provided. - For Shanghai - Shenzhen 50 Index, no skew index data is provided.

国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 1 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2025/9/19 3.045 -0.10% 18.07% 18.96% 2025/9/22 3.054 0.30% 19.45% 18.87% 2025/9/23 3.054 0.00% 21.49% 18.43% 【50ETF】 近1年 当月IV分位数 66.90% 76.70% 84.80% 近2年 当月IV分位数 当月合约距离到期还剩 77.90% 85.60% 91.00% 近1年 次月IV分位数 68.30% 66.20% 61.10% 近2年 次月IV分位数 82.00% 80.90% 77.80% 2025年9月23日 金融期权波动率 18% 19% 19% 20% 20% ATM IV(M1) ATM IV(M2) ATM IV(Q1) ATM IV(Q2) ATM IV期限结构 今日 昨日 0% 20% 40% 60% 80% 2.00 2.50 3.00 3.50 2022/9/22 2023/2/24 2023/7/24 2023/12/19 2 ...

1. Report Industry Investment Rating - No information provided regarding the report industry investment rating 2. Report's Core View - No clear core view is presented in the provided content 3. Summary by Related Catalogs 3.1 50ETF - From September 18 - 22, 2025, the price fluctuated, with a -1.30% drop on the 18th, -0.10% on the 19th, and a 0.30% increase on the 22nd; the current month IV ranged from 17.80% - 19.45%, and the next month IV from 18.87% - 20.13% [1] - The current month IV quantiles in the past 1 - 2 years were 65.30% - 76.70%, and the next month IV quantiles were 66.20% - 86.00% [1] 3.2 Shanghai 300ETF - From September 18 - 22, 2025, the price rose gradually, with a -1.27% drop on the 18th, a 0.22% increase on the 19th, and a 0.33% increase on the 22nd; the current month IV ranged from 17.76% - 18.21%, and the next month IV from 19.55% - 20.47% [3] - The current month IV quantiles in the past 1 - 2 years were 62.40% - 74.80%, and the next month IV quantiles were 66.60% - 84.50% [3] 3.3 Shenzhen 300ETF - From September 18 - 22, 2025, the price increased steadily, with a -1.42% drop on the 18th, a 0.32% increase on the 19th, and a 0.36% increase on the 22nd; the current month IV ranged from 18.46% - 19.73%, and the next month IV from 20.50% - 21.64% [9] - The current month IV quantiles in the past 1 - 2 years were 63.20% - 82.60%, and the next month IV quantiles were 70.30% - 86.80% [9] 3.4 Shanghai CSI 500ETF - From September 18 - 22, 2025, the price had minor fluctuations, with a 0.14% increase on the 18th, a -1.30% drop on the 19th, and a 0.36% increase on the 22nd; the current month IV ranged from 22.20% - 24.13%, and the next month IV from 25.49% - 25.82% [13] - The current month IV quantiles in the past 1 - 2 years were 59.10% - 80.10%, and the next month IV quantiles were 76.70% - 87.50% [13] 3.5 Shenzhen CSI 500ETF - From September 18 - 22, 2025, the price increased slightly, with a -1.05% drop on the 18th, a -0.34% drop on the 19th, and a 0.69% increase on the 22nd; the current month IV ranged from 20.78% - 24.98%, and the next month IV from 25.90% - 48.50% [19] - The current month IV quantiles in the past 1 - 2 years were 65.70% - 86.20%, and the next month IV quantiles were 76.70% - 87.30% [19] 3.6 ChiNext ETF - From September 18 - 22, 2025, the price increased slightly, with a -1.67% drop on the 18th, a -0.16% drop on the 19th, and a 0.65% increase on the 22nd; the current month IV ranged from 34.48% - 38.92%, and the next month IV from 42.19% - 43.81% [23] - The current month IV quantiles in the past 1 - 2 years were 74.20% - 92.80%, and the next month IV quantiles were 90.70% - 96.40% [23] 3.7 Shenzhen 100ETF - From September 18 - 22, 2025, the price increased steadily, with a -1.00% drop on the 18th, a 0.38% increase on the 19th, and a 0.55% increase on the 22nd; the current month IV ranged from 23.77% - 25.70%, and the next month IV from 27.03% - 27.77% [32] - The current month IV quantiles in the past 1 - 2 years were 64.40% - 85.00%, and the next month IV quantiles were 77.60% - 90.60% [32] 3.8 Science and Technology Innovation 50ETF - From September 18 - 22, 2025, the price increased significantly, with a 0.69% increase on the 18th, a -1.31% drop on the 19th, and a 3.35% increase on the 22nd; the current month IV ranged from 45.63% - 50.03%, and the next month IV from 50.07% - 54.41% [39] - The current month IV quantiles in the past 1 - 2 years were 81.60% - 94.20%, and the next month IV quantiles were 87.70% - 96.60% [39] 3.9 STAR 50ETF - From September 18 - 22, 2025, the price increased significantly, with a 0.64% increase on the 18th, a -1.20% drop on the 19th, and a 3.51% increase on the 22nd; the current month IV ranged from 38.30% - 49.22%, and the next month IV from 48.55% - 52.77% [46] - The current month IV quantiles in the past 1 - 2 years were 83.60% - 95.50%, and the next month IV quantiles were 70.60% - 93.60% [46] 3.10 CSI 300 Index - From September 18 - 22, 2025, the price increased steadily, with a -1.16% drop on the 18th, a 0.08% increase on the 19th, and a 0.46% increase on the 22nd; the current month IV ranged from 17.81% - 21.19%, and the next month IV from 20.05% - 21.24% [52] - The current month IV quantiles in the past 1 - 2 years were 61.60% - 86.90%, and the next month IV quantiles were 64.40% - 85.00% [52] 3.11 CSI 1000 Index - From September 18 - 22, 2025, the price increased slightly, with a -1.04% drop on the 18th, a -0.51% drop on the 19th, and a 0.69% increase on the 22nd; the current month IV ranged from 19.76% - 28.60%, and the next month IV from 25.77% - 27.61% [60] - The current month IV quantiles in the past 1 - 2 years were 26.50% - 80.50%, and the next month IV quantiles were 56.70% - 85.00% [60] 3.12 SSE 50 Index - From September 18 - 22, 2025, the price increased slightly, with a -1.35% drop on the 18th, a -0.11% drop on the 19th, and a 0.43% increase on the 22nd; the current month IV ranged from 20.16% - 20.74%, and the next month IV from 57.39% - 80.72% [65] - The current month IV quantiles in the past 1 - 2 years were 74.20% - 99.50%, and the next month IV quantiles were 74.60% - 99.10% [65]

Report Information - Report Date: June 26, 2025 [1] - Analyst: Fan Lijun from Guotou Futures Core Data Summary 50ETF - **Price and Volatility**: On June 24 - 26, 2025, the price ranged from 2.792 to 2.832. 5HV, 10HV, and 20HV showed fluctuations, with 5HV reaching 12.17% on June 25. The implied volatility (IV) also changed, with the monthly IV reaching 15.07% on June 25 [2]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 88%, and the minimum was 2% [7]. - **Skew Index**: The skew index of the main contract month was 91.48 on June 26 [9]. Shanghai 300ETF - **Price and Volatility**: From June 24 - 26, 2025, the price varied between 3.936 and 4.001. 5HV, 10HV, and 20HV had changes, with 5HV reaching 14.81% on June 25. The monthly IV was 14.85% on June 25 [11]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 110%, and the minimum was 1% [18]. - **Skew Index**: The skew index of the main contract month was 91.48 on June 26 [17]. Shenzhen 300ETF - **Price and Volatility**: During June 24 - 26, 2025, the price was between 4.059 and 4.126. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 14.83% on June 25. The monthly IV was 15.70% on June 25 [21]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 111%, and the minimum was 1% [29]. - **Skew Index**: The skew index of the main contract month was 90.04 on June 26 [27]. Shanghai CSI 500ETF - **Price and Volatility**: From June 23 - 25, 2025, the price ranged from 5.712 to 5.913. 5HV, 10HV, and 20HV changed, with 5HV reaching 20.36% on June 25. The monthly IV was 16.74% on June 25 [31]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 102%, and the minimum was 5% [38]. - **Skew Index**: The skew index of the main contract month was 90.75 on June 25 [37]. Shenzhen CSI 500ETF - **Price and Volatility**: On June 24 - 26, 2025, the price was between 2.320 and 2.361. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 19.69% on June 25. The monthly IV was 18.99% on June 25 [40]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 434%, and the minimum was 5% [49]. - **Skew Index**: The skew index of the main contract month was 91.14 on June 26 [47]. GEM ETF - **Price and Volatility**: From June 24 - 26, 2025, the price varied from 2.044 to 2.109. 5HV, 10HV, and 20HV changed, with 5HV reaching 30.91% on June 25. The monthly IV was 24.91% on June 25 [52]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 253%, and the minimum was 4% [59]. - **Skew Index**: The skew index of the main contract month was 86.99 on June 26 [58]. Shenzhen 100ETF - **Price and Volatility**: During June 24 - 26, 2025, the price was between 2.680 and 2.732. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 18.89% on June 25. The monthly IV was 18.83% on June 25 [63]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 134%, and the minimum was 4% [70]. - **Skew Index**: The skew index of the main contract month was 98.36 on June 26 [69]. Science and Technology Innovation 50ETF - **Price and Volatility**: From June 24 - 26, 2025, the price ranged from 1.029 to 1.048. 5HV, 10HV, and 20HV changed, with 5HV reaching 18.72% on June 26. The monthly IV was 20.49% on June 26 [72]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 222%, and the minimum was 5% [80]. - **Skew Index**: The skew index of the main contract month was 80.28 on June 26 [78]. Science and Technology Innovation 50ETF E Fund - **Price and Volatility**: On June 24 - 26, 2025, the price was between 1.003 and 1.022. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 18.87% on June 26. The monthly IV was 20.97% on June 26 [86]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 219%, and the minimum was 4% [90]. - **Skew Index**: The skew index of the main contract month was 79.72 on June 26 [88]. 300 Index - **Price and Volatility**: From June 24 - 26, 2025, the price ranged from 3904.034 to 3960.066. 5HV, 10HV, and 20HV changed, with 5HV reaching 14.19% on June 25. The monthly IV was 17.09% on June 25 [93]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 99%, and the minimum was 1% [94]. - **Skew Index**: The skew index of the main contract month was 85.71 on June 26 [94]. 1000 Index - **Price and Volatility**: On June 24 - 26, 2025, the price was between 6194.666 and 6276.163. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 23.05% on June 25. The monthly IV was 19.27% on June 25 [95]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 128%, and the minimum was 8% [104]. - **Skew Index**: The skew index of the main contract month was 91.75 on June 26 [103]. SSE 50 Index - **Price and Volatility**: From June 24 - 26, 2025, the price ranged from 2715.922 to 2747.728. 5HV, 10HV, and 20HV changed, with 5HV reaching 11.06% on June 25. The monthly IV was 14.56% on June 25 [105]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 80%, and the minimum was 2% [110]. - **Skew Index**: The skew index of the main contract month was 85.47 on June 26 [109].

Report Summary 1. Report Industry Investment Rating No information about the industry investment rating is provided in the given content. 2. Report's Core View No clear core view is presented in the given content. The document mainly provides a large amount of data on various financial products such as ETFs and indices, including historical volatility, implied volatility, and related price trends. 3. Summary by Related Catalogs 3.1 50ETF - On June 16, 2025, the underlying price was 2.753, with 5HV at 8.25%, 10HV at 5.68%, 20HV at 5.92%, and the current month's IV at 11.21%. The IV percentile for the current month in the past 1 year was 4.80%, and in the past 2 years was 2.40%. The next month's IV was 12.16%, with an IV percentile of 5.70% in the past 1 year and 11.30% in the past 2 years [1][2]. - The current month's contract has 7 days until expiration [1]. 3.2 Shanghai 300ETF - On June 16, 2025, the underlying price was 3.990, with 5HV at 9.45%, 10HV at 6.81%, 20HV at 6.89%, and the current month's IV at 0.32%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 0.20%. The next month's IV was 0.36%, with an IV percentile of 0.40% in the past 1 year and 0.20% in the past 2 years [9]. - The current month's contract has 7 days until expiration [9]. 3.3 Shenzhen 300ETF - On June 16, 2025, the underlying price was 4.026, with 5HV at 9.82%, 10HV at 7.08%, 20HV at 7.04%, and the current month's IV at 13.11%. The IV percentile for the current month in the past 1 year was 20.40%, and in the past 2 years was 16.70%. The next month's IV was 12.75%, with an IV percentile of 12.20% in the past 1 year and 10.10% in the past 2 years [15]. - The current month's contract has 7 days until expiration [15]. 3.4 Shanghai CSI 500ETF - On June 16, 2025, the underlying price was 5.797, with 5HV at 10.82%, 10HV at 9.26%, 20HV at 9.77%, and the current month's IV at 0.00%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 0.20%. The next month's IV was 0.00%, with an IV percentile of 0.40% in the past 1 year and 0.20% in the past 2 years [26]. - The current month's contract has 7 days until expiration [26]. 3.5 Shenzhen CSI 500ETF - On June 16, 2025, the underlying price was 2.319, with 5HV at 12.27%, 10HV at 10.15%, 20HV at 10.73%, and the current month's IV at 14.23%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 14.10%. The next month's IV was 15.64%, with an IV percentile of 1.20% in the past 1 year and 25.80% in the past 2 years [37]. - The current month's contract has 7 days until expiration [37]. 3.6 ChiNext ETF - On June 16, 2025, the underlying price was 2.037, with 5HV at 16.59%, 10HV at 13.76%, 20HV at 14.11%, and the current month's IV at 17.99%. The IV percentile for the current month in the past 1 year was 2.40%, and in the past 2 years was 9.80%. The next month's IV was 19.57%, with an IV percentile of 8.00% in the past 1 year and 23.90% in the past 2 years [49]. - The current month's contract has 7 days until expiration [49]. 3.7 Shenzhen 100ETF - On June 16, 2025, the underlying price was 3.725, with 5HV at 11.72%, 10HV at 9.51%, 20HV at 11.55%. The data for the current month's IV and related IV percentiles showed errors (VALUE!) [59]. - The current month's contract has -1 days until expiration [59]. 3.8 Science and Technology Innovation 50ETF - On June 16, 2025, the underlying price was 1.021, with 5HV at 12.36%, 10HV at 13.16%, 20HV at 12.46%, and the current month's IV at 18.11%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 4.90%. The next month's IV was 20.29%, with an IV percentile of 2.10% in the past 1 year and 17.30% in the past 2 years [68]. - The current month's contract has 7 days until expiration [68]. 3.9 Science and Technology Innovation 50ETF E Fund - On June 16, 2025, the underlying price was 0.995, with 5HV at 11.77%, 10HV at 13.04%, 20HV at 12.35%, and the current month's IV at 17.64%. The IV percentile for the current month in the past 1 year was 9.30%, and in the past 2 years was 5.70%. The next month's IV was 19.64%, with an IV percentile of 8.00% in the past 1 year and 17.30% in the past 2 years [78]. - The current month's contract has 7 days until expiration [78]. 3.10 300 Index - On June 16, 2025, the underlying price was 3873.795, with 5HV at 9.23%, 10HV at 6.91%, 20HV at 7.42%, and the current month's IV at 11.17%. The IV percentile for the current month in the past 1 year was 1.60%, and in the past 2 years was 0.80%. The next month's IV was 13.05%, with an IV percentile of 11.40% in the past 1 year and 5.90% in the past 2 years [88]. - The current month's contract has 4 days until expiration [88]. 3.11 1000 Index - On June 16, 2025, the underlying price was 6147.460, with 5HV at 13.88%, 10HV at 12.77%, 20HV at 13.82%, and the current month's IV at 15.88%. The IV percentile for the current month in the past 1 year was 0.40%, and in the past 2 years was 19.60%. The next month's IV was 17.74%, with an IV percentile of 0.40% in the past 1 year and 28.40% in the past 2 years [90]. - The current month's contract has 4 days until expiration [90]. 3.12 Shanghai Composite 50 Index - On June 16, 2025, the underlying price was 2685.009, with 5HV at 7.42%, 10HV at 5.31%, 20HV at 6.19%, and the current month's IV at 11.56%. The IV percentile for the current month in the past 1 year was 3.60%, and in the past 2 years was 1.80%. The next month's IV was 43.63%, with an IV percentile of 51.80% in the past 1 year and 75.80% in the past 2 years [100]. - The current month's contract has 4 days until expiration [100].

Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the content. 2. Core Viewpoints There is no explicit core viewpoint presented in the given content. The report mainly offers a large amount of data on various ETFs and indexes, including historical volatility, implied volatility, skew index, and price trends. 3. Summary by Related Catalogs 3.1 50ETF - The current month's contract has 5 days until expiration [5] - Data on price, historical volatility, implied volatility, and their respective quantiles from May 19 - 21, 2025 are provided [2] - Information on historical volatility cones, skew index, and option smile curves is also included [7][9] 3.2 Shanghai 300ETF - The current month's contract has 5 days until expiration [10] - Similar data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [10] - Historical volatility cones, skew index, and option smile curves are also covered [16][15] 3.3 Shenzhen 300ETF - The current month's contract has 5 days until expiration [20] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [20] - Information on historical volatility cones, skew index, and option smile curves is provided [28][27] 3.4 Shanghai CSI 500ETF - The current month's contract has 5 days until expiration [31] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are given [31] - Historical volatility cones, skew index, and option smile curves are also included [38][37] 3.5 Shenzhen CSI 500ETF - The current month's contract has 5 days until expiration [42] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [42] - Information on historical volatility cones, skew index, and option smile curves is provided [51][49] 3.6 GEM ETF - The current month's contract has 5 days until expiration [57] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [57] - Historical volatility cones, skew index, and option smile curves are also covered [62][64] 3.7 Shenzhen 100ETF - The current month's contract has 5 days until expiration [65] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are given [65] - Historical volatility cones, skew index, and option smile curves are also included [72][71] 3.8 Science and Technology Innovation 50ETF - The current month's contract has 5 days until expiration [74] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [74] - Historical volatility cones, skew index, and option smile curves are also covered [81][80] 3.9 Science and Technology Innovation 50ETF E Fund - The current month's contract has 5 days until expiration [89] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [89] - Historical volatility cones, skew index, and option smile curves are also included [92][91] 3.10 300 Index - The current month's contract has 21 days until expiration [96] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are given [96] - Historical volatility cones, skew index, and option smile curves are also included [97] 3.11 1000 Index - The current month's contract has 21 days until expiration [98] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [98] - Historical volatility cones, skew index, and option smile curves are also covered [102][106] 3.12 Shanghai 50 Index - The current month's contract has 21 days until expiration [107] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [107] - Historical volatility cones, skew index, and option smile curves are also included [113][112]

1. Report Industry Investment Rating - No information provided in the content 2. Report Core Viewpoints - No clear core viewpoints are presented in the given content 3. Summary by Related Catalogs 3.1 50ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 2.628 to 2.672, 5HV increased from 44.61% to 46.81%, 10HV from 30.39% to 31.50%, 20HV from 25.02% to 25.41%, and the current month IV decreased from 24.88% to 18.89% [2] - The主力月份skew指数 decreased from 121.27 yesterday to 110.07 today [9] 3.2 Shanghai 300ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 3.730 to 3.829, 5HV increased from 47.87% to 53.42%, 10HV from 33.33% to 36.11%, 20HV from 26.38% to 27.60%, and the current month IV decreased from 27.91% to 20.10% [12] - The主力月份skew指数 decreased from 121.27 yesterday to 110.07 today [17] 3.3 Shenzhen 300ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 3.764 to 3.851, 5HV increased from 47.35% to 52.24%, 10HV from 32.97% to 35.37%, 20HV from 26.13% to 27.17%, and the current month IV decreased from 27.08% to 20.02% [22] - The主力月份skew指数 decreased from 118.98 yesterday to 113.77 today [24] 3.4 Shanghai CSI 500ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 5.313 to 5.535, 5HV increased from 68.57% to 76.41%, 10HV from 47.60% to 52.03%, 20HV from 35.15% to 37.25%, and the current month IV decreased from 33.43% to 26.15% [29] - The主力月份skew指数 decreased from 122.70 yesterday to 119.74 today [35] 3.5 Shenzhen CSI 500ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 2.124 to 2.211, 5HV increased from 72.18% to 79.08%, 10HV from 49.85% to 53.89%, 20HV from 36.61% to 38.55%, and the current month IV decreased from 36.59% to 26.74% [40] - The主力月份skew指数 decreased from 126.40 yesterday to 114.78 today [48] 3.6 ChiNext ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 1.804 to 1.863, 5HV increased from 88.62% to 95.31%, 10HV from 61.71% to 65.09%, 20HV from 45.89% to 47.45%, and the current month IV decreased from 50.69% to 35.49% [53] - The主力月份skew指数 decreased from 123.29 yesterday to 110.32 today [58] 3.7 Shenzhen 100ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 2.487 to 2.556, 5HV increased from 62.39% to 69.02%, 10HV from 44.15% to 47.24%, 20HV from 33.89% to 35.32%, and the current month IV decreased from 33.80% to 26.31% [61] - The主力月份skew指数 decreased from 125.64 yesterday to 119.23 today [68] 3.8 Science and Technology Innovation 50ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 0.986 to 1.042, 5HV increased from 67.29% to 80.42%, 10HV from 46.97% to 54.31%, 20HV from 35.16% to 39.91%, and the current month IV decreased from 44.19% to 35.44% [73] - The主力月份skew指数 decreased from 125.78 yesterday to 111.76 today [79] 3.9 Science and Technology Innovation 50ETF E Fund - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 0.960 to 1.015, 5HV increased from 60.70% to 75.14%, 10HV from 42.41% to 50.74%, 20HV from 32.30% to 37.48%, and the current month IV decreased from 43.30% to 33.92% [83] - The主力月份skew指数 decreased from 124.60 yesterday to 110.24 today [90] 3.10 300 Index - The current month contract has 6 days until expiration. From April 8 - 10, 2025, the underlying price rose from 3650.759 to 3735.115, 5HV increased from 52.80% to 56.84%, 10HV from 36.31% to 38.39%, 20HV from 28.02% to 28.88%, and the current month IV decreased from 28.54% to 20.68% [94] - The主力月份skew指数 decreased from 116.65 yesterday to 110.46 today [101] 3.11 1000 Index - The current month contract has 6 days until expiration. From April 8 - 10, 2025, the underlying price rose from 5530.019 to 5784.585, 5HV increased from 80.82% to 89.38%, 10HV from 56.19% to 60.89%, 20HV from 41.21% to 43.55%, and the current month IV decreased from 42.12% to 31.88% [103] - The主力月份skew指数 decreased from 126.71 yesterday to 126.20 today [107] 3.12 Shanghai Composite 50 Index - The current month contract has 6 days until expiration. From April 8 - 10, 2025, the underlying price rose from 2574.353 to 2612.619, 5HV increased from 44.77% to 46.63%, 10HV from 30.43% to 31.40%, 20HV from 24.88% to 25.15%, and the current month IV decreased from 26.37% to 19.55% [113] - The主力月份skew指数 decreased from 120.10 yesterday to 112.34 today [121]

Investment Rating - The report does not explicitly state an investment rating for the industry or specific ETFs analyzed. Core Insights - The report provides detailed volatility data for various ETFs, including 50ETF,沪300ETF, 深300ETF, 沪中证500ETF, 创业板ETF, and 深证100ETF, highlighting their implied volatility (IV) and historical volatility (HV) trends over recent days. - The implied volatility for the 50ETF on March 18, 2025, was recorded at 16.16%, with a historical volatility of 15.36% over 20 days, indicating a relatively stable market condition [2][3][4]. - The report notes a skew index for the main month of the 50ETF at 82.83, suggesting a slight preference for puts over calls in the options market [9]. - For the沪300ETF, the implied volatility on March 18, 2025, was 15.63%, with a 20-day historical volatility of 14.48%, reflecting a similar stability [11][12]. - The report indicates that the 创业板ETF had an implied volatility of 23.46% on March 18, 2025, which is higher compared to other ETFs, suggesting greater market uncertainty or potential for price movement [52][53]. Summary by Sections 50ETF Analysis - The 50ETF's price on March 18, 2025, was 2.800, with an implied volatility of 16.16% and a 20-day historical volatility of 15.36% [2][3]. - The report shows a decreasing trend in the implied volatility over the past few days, indicating a potential stabilization in market expectations [4][5]. 沪300ETF Analysis - The 沪300ETF's price on March 18, 2025, was 4.103, with an implied volatility of 15.63% and a 20-day historical volatility of 14.48% [11][12]. - The report highlights a consistent pattern in the implied volatility, suggesting a stable outlook for this ETF [12]. 深300ETF Analysis - The 深300ETF's price on March 18, 2025, was 4.207, with an implied volatility of 15.56% and a 20-day historical volatility of 14.70% [22][23]. - The report indicates a slight decrease in implied volatility, reflecting a potential reduction in market uncertainty [23]. 沪中证500ETF Analysis - The 沪中证500ETF's price on March 18, 2025, was 6.126, with an implied volatility of 20.04% and a 20-day historical volatility of 16.95% [29][30]. - The report notes a higher implied volatility compared to other ETFs, indicating greater market expectations for price movements [30]. 创业板ETF Analysis - The 创业板ETF's price on March 18, 2025, was 2.185, with an implied volatility of 23.46% and a 20-day historical volatility of 24.33% [52][53]. - The report suggests that this ETF is experiencing higher volatility, which may present both risks and opportunities for investors [53]. 深证100ETF Analysis - The 深证100ETF's price on March 18, 2025, was 2.845, with an implied volatility of 18.43% and a 20-day historical volatility of 17.53% [62][63]. - The report indicates a stable trend in implied volatility, suggesting a balanced market outlook [63].

Investment Rating - The report does not explicitly state an investment rating for the industry or specific companies Core Insights - The report provides detailed volatility data for various ETFs, indicating a fluctuating market environment with significant historical volatility levels observed across different time frames [10][20][28] - Implied volatility (IV) for the 50ETF, Hu300ETF, and other ETFs shows a trend of increasing IV, suggesting heightened market expectations for future volatility [11][23][54] - The skew index for the main months of options indicates a shift in market sentiment, with recent values showing an upward trend, reflecting changing investor expectations [9][18][38] Summary by Sections 50ETF - The current price is 2.723 with an implied volatility (IV) of 13.56% and historical volatility (HV) values showing a range from 5.43% to 12.91% over the past days [2][3][10] - The IV percentile for the past year is 39.10%, indicating a relatively high level of implied volatility compared to historical data [2][3] Hu300ETF - The current price is 4.005 with an IV of 14.39% and HV values ranging from 4.80% to 11.43% [11][12] - The IV percentile for the past year is 43.60%, suggesting increased market expectations for volatility [11][12] Deep300ETF - The current price is 4.106 with an IV of 14.21% and HV values from 4.40% to 11.99% [23][24] - The IV percentile for the past year is 37.10%, indicating a moderate level of implied volatility [23][24] Entrepreneur Board ETF - The current price is 2.125 with an IV of 23.06% and HV values ranging from 9.93% to 19.19% [54][55] - The IV percentile for the past year is 40.40%, reflecting significant market expectations for future volatility [54][55] Deep100ETF - The current price is 2.770 with an IV of 18.31% and HV values from 5.00% to 13.57% [60][61] - The IV percentile for the past year is 42.80%, indicating a relatively high level of implied volatility [60][61]