Group 1: Report Information - Report Title: Stock Index Option Data Daily Report [2] - Date: September 17, 2025 [3] - Research Institute: Guomao Futures Research Institute [3] - Analyst: Li Zeju from the Financial Derivatives Center [3] - Data Sources: Wind, Guomao Futures Research Institute [3] Group 2: Market Overview - Index Performance: The Shanghai Composite Index rose 0.04% to 3861.87 points, the Shenzhen Component Index rose 0.45%, the ChiNext Index rose 0.68%, the Beixin 50 rose 0.63%, the Kechuang 50 rose 1.32%, the Wind All A rose 0.48%, the Wind 4500 fell 0.1%, and the CSI A500 rose 0.03% [5] - A-share Trading Volume: The total trading volume of A-shares was 2.37 trillion yuan, compared with 2.3 trillion yuan the previous day [5] Group 3: Index Quotes | Index | Turnover (billion yuan) | Closing Price | Change (%) | Volume (billion) | | --- | --- | --- | --- | --- | | SSE 50 | 1554.30 | 2947.8222 | -0.50 | 4523.3367 | | CSI 300 | - | 7483.6282 | -0.21 | 249.27 | | CSI 1000 | - | - | 0.92 | 309.01 | [3] Group 4: CFFEX Stock Index Option Trading | Index | Call Option Volume (million contracts) | Put Option Volume (million contracts) | Volume PCR | Call Option Open Interest (million contracts) | Put Option Open Interest (million contracts) | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.94 | 1.67 | 0.57 | 3.83 | 0.61 | 0.61 | | CSI 300 | 0.64 | 23.86 | 0.80 | 10.60 | 14.99 | 0.80 | | CSI 1000 | 37.50 | 20.75 | 0.81 | 16.75 | 16.89 | 1.09 | [3] Group 5: Volatility Analysis - SSE 50 Volatility: Analyzed historical volatility, historical volatility cone, and volatility smile curve [3][4] - CSI 300 Volatility: Analyzed historical volatility, historical volatility cone, and volatility smile curve [3][4] - CSI 1000 Volatility: Analyzed historical volatility, historical volatility cone, and volatility smile curve [3][4]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Report's Core View - No clear core view presented in the given content 3. Summary by Relevant Catalogs 3.1 Market Review - Index closing prices and changes: The Shanghai Composite Index closed down 0.37% at 3559.95 points, the Shenzhen Component Index fell 0.17%, the ChiNext Index dropped 0.24%, the Northbound 50 Index declined 0.23%, the Science and Technology Innovation 50 Index decreased 1.06%, the Wind All - A Index fell 0.13%, the Wind A500 Index dropped 0.45%, and the CSI A500 Index declined 0.44% [4][11]. - Index trading volume: A - share trading volume was 1.62 trillion yuan for the day, compared to 1.96 trillion yuan the previous day [11]. - Index performance details: The Shanghai 50 Index closed at 2754.1302, down 0.79%, with a trading volume of 940.74 billion yuan and a turnover of 48.96 billion; the CSI 300 Index closed at 4054.9286, down 0.51%, with a trading volume of 3596.85 billion yuan and a turnover of 196.22 billion; the CSI 1000 Index closed at 6670.472, up 0.14%, with a trading volume of 3490.71 billion yuan and a turnover of 232.48 billion [4]. 3.2 CFFEX Stock Index Option Trading Situation - Option trading volume: The trading volume of Shanghai 50 index options was 3.80 million contracts (2.58 million for call options and 1.22 million for put options, PCR = 0.47), the trading volume of CSI 300 index options was 10.99 million contracts (6.79 million for call options and 4.21 million for put options, PCR = 0.62), and the trading volume of CSI 1000 index options was 22.65 million contracts (12.52 million for call options and 10.13 million for put options, PCR = 0.81) [4]. - Option open interest: The open interest of Shanghai 50 index options was 7.30 million contracts (4.70 million for call options and 2.60 million for put options, PCR = 0.55), the open interest of CSI 300 index options was 20.18 million contracts (12.01 million for call options and 8.17 million for put options, PCR = 0.68), and the open interest of CSI 1000 index options was 27.13 million contracts (14.07 million for call options and 13.06 million for put options, PCR = 0.93) [4]. 3.3 Volatility Analysis - Shanghai 50 volatility: Historical volatility and current value comparison are presented, along with the volatility smile curve and next - month at - the - money implied volatility [11]. - CSI 300 volatility: Historical volatility and current value comparison are shown, as well as the volatility smile curve and next - month at - the - money implied volatility [11]. - CSI 1000 volatility: Historical volatility and current value comparison are provided, along with the volatility smile curve and next - month at - the - money implied volatility [11].

Report Summary 1. Market Index Performance - The Shanghai Composite Index rose 0.17% to 3615.72 points, while the Shenzhen Component Index fell 0.77%, the ChiNext Index dropped 1.62%, the Beijing Stock Exchange 50 declined 1.75%, the Science and Technology Innovation 50 fell 1.11%, the Wind All A decreased 0.4%, the Wind A500 dropped 0.15%, and the CSI A500 declined 0.22% [11]. - A - share trading volume reached 1.87 trillion yuan throughout the day, compared with 1.83 trillion yuan the previous day [11]. 2. Index Quotes | Index | Closing Price | Change (%) | Turnover (Billion Yuan) | Trading Volume (Billion) | | --- | --- | --- | --- | --- | | SSE 50 | 2819.3508 | 0.38 | 1125.97 | 52.19 | | CSI 300 | 4151.2379 | - 0.02 | 4451.68 | 249.85 | | CSI 1000 | 6718.4819 | - 0.82 | 3926.75 | 268.18 | [4] 3. CFFEX Stock Index Option Trading | Index | Option Trading Volume (10,000 Contracts) | | | Option Open Interest (10,000 Contracts) | | | | | --- | --- | --- | --- | --- | --- | --- | --- | | | Put Options | Call Options | PCR | | Call Options | Put Options | PCR | | SSE 50 | 1.91 | 3.71 | 0.51 | 6.82 | 4.29 | 2.53 | 0.59 | | CSI 300 | 4.83 | 7.58 | 0.64 | 19.26 | 10.95 | 8.31 | 0.76 | | CSI 1000 | 11.22 | 13.69 | 0.82 | 26.13 | 13.49 | 12.65 | 0.94 | [4] 4. Volatility Analysis - The report presents historical volatility chains and next - month at - the - money implied volatility and volatility smile curves for SSE 50, CSI 300, and CSI 1000 [8][10]