1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - Futures: In the short term, the stock index will mainly experience wide - range fluctuations. Last week, all stock indices fluctuated and declined, with the CSI 500 and CSI 1000 experiencing relatively large declines. Overseas uncertainty risk factors have increased recently, and the risk - aversion sentiment has risen. Stocks with large previous gains face technical adjustment pressure due to profit - taking. Macroeconomically, the inflation and credit data in September were weak, strengthening the expectation of future policy - driven demand - stabilizing measures, which provides long - term support for the stock index. A major policy meeting will be held from October 20th to 23rd, with a high certainty of policy - driven demand and expectation stabilization. Overall, the subsequent market trend depends on the rhythm of the game between profit - taking sentiment and policy - driven positive expectations [3][81]. - ETF Options and Stock Index Options: Maintain a bull spread in the long term. The implied volatility of options has been relatively stable. Since the probability of the stock index rising in the long term is high, one can hold a bull spread or a ratio spread for a moderately bullish position [4][82]. 3. Summary by Directory 3.1 Market Review 3.1.1 Stock Index Trends - Last week, all stock indices fluctuated and declined, with the CSI 500 and CSI 1000 having relatively large declines. Overseas uncertainty risk factors have increased recently, and the risk - aversion sentiment has risen. Stocks with large previous gains face technical adjustment pressure due to profit - taking. Macroeconomically, the inflation and credit data in September were weak, strengthening the expectation of future policy - driven demand - stabilizing measures, which provides long - term support for the stock index. A major policy meeting will be held from October 20th to 23rd, with a high certainty of policy - driven demand and expectation stabilization. The subsequent market trend depends on the rhythm of the game between profit - taking sentiment and policy - driven positive expectations [9]. 3.1.2 Option Price Trends - This week, the 50ETF had a weekly decline of 1.90%, closing at 3.045; the 300ETF (Shanghai Stock Exchange) had a weekly decline of 0.37%, closing at 4.604; the 300ETF (Shenzhen Stock Exchange) had a weekly decline of 0.46%, closing at 4.747; the CSI 300 Index had a weekly decline of 0.44%, closing at 4501.92; the CSI 1000 Index had a weekly increase of 0.21%, closing at 7438.19; the 500ETF (Shanghai Stock Exchange) had a weekly increase of 0.26%, closing at 7.261; the 500ETF (Shenzhen Stock Exchange) had a weekly increase of 0.24%, closing at 2.903; the ChiNext ETF had a weekly increase of 2.24%, closing at 3.062; the Shenzhen 100ETF had a weekly increase of 1.85%, closing at 3.475; the SSE 50 Index had a weekly decline of 1.98%, closing at 2909.74; the STAR 50ETF had a weekly increase of 1.78%, closing at 1.43; the E Fund STAR 50ETF had a weekly increase of 1.90%, closing at 1.40 [17]. 3.1.3 Futures Basis and Monthly Spreads - The basis of the four stock index futures varieties: The basis of IF and IH is at a normal quantile level, while IM and IC show a significant backwardation in the far - month futures. The inter - period spreads of IC and IM futures have declined, indicating a decrease in the market's short - term risk preference for IC and IM [23]. 3.2 Option Indicators 3.2.1 PCR Indicators - The trading volume PCR of SSE 50ETF options was 113.82, and the previous trading day's volume PCR was 78.41; the open - interest PCR was 71.82, and the previous trading day's open - interest PCR was 70.73. The trading volume PCR of SSE 300ETF options was 153.61, and the previous trading day's volume PCR was 110.31; the open - interest PCR was 110.15, and the previous trading day's open - interest PCR was 106.38. The trading volume PCR of Shenzhen 300ETF options was 73.47, and the previous trading day's volume PCR was 72.84; the open - interest PCR was 98.99, and the previous trading day's open - interest PCR was 92.75. The trading volume PCR of CSI 300 Index options was 64.59, and the previous trading day's volume PCR was 67.07; the open - interest PCR was 74.10, and the previous trading day's open - interest PCR was 81.48. The trading volume PCR of CSI 1000 Index options was 85.53, and the previous trading day's volume PCR was 84.96; the open - interest PCR was 93.89, and the previous trading day's open - interest PCR was 110.83. The trading volume PCR of SSE CSI 500ETF options was 139.83, and the previous trading day's volume PCR was 102.40; the open - interest PCR was 133.60, and the previous trading day's open - interest PCR was 130.18. The trading volume PCR of Shenzhen CSI 500ETF options was 143.53, and the previous trading day's volume PCR was 94.41; the open - interest PCR was 83.96, and the previous trading day's open - interest PCR was 84.33. The trading volume PCR of ChiNext ETF options was 89.29, and the previous trading day's volume PCR was 86.21; the open - interest PCR was 134.79, and the previous trading day's open - interest PCR was 134.46. The trading volume PCR of Shenzhen 100ETF options was 410.60, and the previous trading day's volume PCR was 126.21; the open - interest PCR was 127.97, and the previous trading day's open - interest PCR was 121.02. The trading volume PCR of SSE 50 Index options was 67.73, and the previous trading day's volume PCR was 56.08; the open - interest PCR was 60.10, and the previous trading day's open - interest PCR was 60.46. The trading volume PCR of STAR 50ETF options was 118.88, and the previous trading day's volume PCR was 103.93; the open - interest PCR was 107.09, and the previous trading day's open - interest PCR was 107.32. The trading volume PCR of E Fund STAR 50ETF options was 83.92, and the previous trading day's volume PCR was 84.17; the open - interest PCR was 93.29, and the previous trading day's open - interest PCR was 91.94 [34]. 3.2.2 Implied Volatility - The implied volatility of the at - the - money options of SSE 50ETF options in October 2025 was 16.72%, and the 30 - trading - day historical volatility of the underlying was 15.73%. The implied volatility of the at - the - money options of SSE 300ETF options in October 2025 was 17.48%, and the 30 - trading - day historical volatility of the underlying was 17.28%. The implied volatility of the at - the - money options of Shenzhen 300ETF options in October 2025 was 18.41%, and the 30 - trading - day historical volatility of the underlying was 17.24%. The implied volatility of the at - the - money options of CSI 300 Index options in October 2025 was 17.88%, and the 30 - trading - day historical volatility of the underlying was 17.24%. The implied volatility of the at - the - money options of CSI 1000 Index options in October 2025 was 23.62%, and the 30 - trading - day historical volatility of the underlying was 22.03%. The implied volatility of the at - the - money options of SSE CSI 500ETF options in October 2025 was 22.44%, and the 30 - trading - day historical volatility of the underlying was 22.22%. The implied volatility of the at - the - money options of Shenzhen CSI 500ETF options in October 2025 was 22.75%, and the 30 - trading - day historical volatility of the underlying was 22.16%. The implied volatility of the at - the - money options of ChiNext ETF options in October 2025 was 37.73%, and the 30 - trading - day historical volatility of the underlying was 37.69%. The implied volatility of the at - the - money options of Shenzhen 100ETF options in October 2025 was 23.32%, and the 30 - trading - day historical volatility of the underlying was 24.08%. The implied volatility of the at - the - money options of SSE 50 Index options in October 2025 was 17.53%, and the 30 - trading - day historical volatility of the underlying was 15.77%. The implied volatility of the at - the - money options of STAR 50ETF options in October 2025 was 44.27%, and the 30 - trading - day historical volatility of the underlying was 44.44%. The implied volatility of the at - the - money options of E Fund STAR 50ETF options in October 2025 was 43.69%, and the 30 - trading - day historical volatility of the underlying was 44.55% [54]. 3.3 Conclusion - Futures: In the short term, the stock index will mainly experience wide - range fluctuations. Last week, all stock indices fluctuated and declined, with the CSI 500 and CSI 1000 experiencing relatively large declines. Overseas uncertainty risk factors have increased recently, and the risk - aversion sentiment has risen. Stocks with large previous gains face technical adjustment pressure due to profit - taking. Macroeconomically, the inflation and credit data in September were weak, strengthening the expectation of future policy - driven demand - stabilizing measures, which provides long - term support for the stock index. A major policy meeting will be held from October 20th to 23rd, with a high certainty of policy - driven demand and expectation stabilization. Overall, the subsequent market trend depends on the rhythm of the game between profit - taking sentiment and policy - driven positive expectations [81]. - ETF Options and Stock Index Options: Maintain a bull spread in the long term. The implied volatility of options has been relatively stable. Since the probability of the stock index rising in the long term is high, one can hold a bull spread or a ratio spread for a moderately bullish position [82].

Core Insights - In South Korea, some investors are actively betting on leveraged VIX investments to hedge their large U.S. stock holdings or seek new speculative opportunities [1] - The 2x long VIX futures ETF has attracted approximately $130 million in inflows this year, aiming to achieve double the returns of the Chicago Board Options Exchange's VIX futures [1] - This ETF has become one of the most popular U.S. stock ETFs among Korean investors, ranking seventh in purchase volume in July [1] - The new inflows account for about 20% of the global inflows into this ETF [1] - Amid years of enthusiasm for large tech stocks and cryptocurrencies, many Korean investors are now preparing for potential market sell-offs as U.S. stock valuations approach historical highs, with discussions about "bubbles" rising on social media [1]

1. Report Industry Investment Rating - No industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The stock market rebounded with shrinking volume, and the bond market declined due to disturbances. The short - term trend of the bond market is expected to be volatile, while the stock market shows signs of improvement with the potential for policy - driven rallies [1][3]. 3. Summary According to Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - The market showed a shrinking - volume rebound, and hedging sentiment eased. The growth preference resurfaced, with power equipment, automobiles, and electronics leading the gains among primary industries. The reduction in IC positions on Wednesday exceeded the increase on Tuesday, and the discount narrowed significantly, possibly indicating concentrated short - covering of IC. The U.S. stocks stopped falling, and the domestic technology - related industries rebounded. The September social financing data showed an increase in corporate medium - and long - term loans, indicating a recovery in corporate demand. With an important meeting approaching at the end of the month, policy - boosting expectations are rising. It is recommended to hold IM long positions [1][7]. 3.1.2 Stock Index Options - The implied volatility dropped significantly. The underlying market rose across the board in the afternoon. The trading volume of the options market decreased by 24.91% compared to the previous day. The proportion of bullish trading increased slightly, and the short - term trading scale of buyers did not rise. The PCR of open interest rebounded significantly, and the average absolute value of the volatility index of each variety decreased by 1.72%. Sellers were more willing to add positive - delta positions, and the put - buying options from the previous day were mainly for profit - taking or stop - loss. It is recommended to continue with the monthly covered - call strategy and limit the double - selling strategy to intraday trading [2][7]. 3.1.3 Treasury Bond Futures - Risk preference disturbances still exist. Most treasury bond futures closed lower on Wednesday, with the 30 - year, 10 - year, and 5 - year main contracts falling by 0.14%, 0.06%, and 0.03% respectively, and the 2 - year main contract remaining flat. The central bank maintained a loose liquidity environment through open - market operations, which supported the bond market. The September inflation and social financing data were in line with market expectations, and the bond market had already priced them in. The improvement in the equity market's risk preference was negative for the bond market. In the short term, the long - end of the bond market is still greatly affected by risk preference, but the impact of tariffs may be lower than that in early April. The short - term bond market trend is expected to be volatile. It is recommended to adopt a volatile trend strategy, pay attention to short - hedging at low basis levels, look for long - end arbitrage opportunities, and appropriately focus on the steepening of the yield curve [3][8][10]. 3.2 Economic Calendar - The actual values of China's September export annual rate, PPI annual rate, and social financing scale from the beginning of the year to date were 8.3%, - 2.3%, and 30.09 trillion yuan respectively, with the export annual rate and social financing scale exceeding expectations, and the PPI annual rate in line with expectations. The data for the U.S. September non - farm payrolls change is yet to be released [12]. 3.3 Important Information and News Tracking - **Social Financing**: As of the end of September, M2 and M1 balances increased by 8.4% and 7.2% year - on - year respectively. In the first three quarters, RMB loans increased by 14.75 trillion yuan, and the cumulative social financing scale increment was 30.09 trillion yuan, 4.42 trillion yuan more than the same period last year [13]. - **New Energy**: The National Development and Reform Commission issued an action plan to double the service capacity of electric vehicle charging facilities in three years. By the end of 2027, 28 million charging facilities will be built nationwide, providing over 300 million kilowatts of public charging capacity [13]. - **U.S. Finance**: The U.S. Treasury Secretary stated that the budget deficit is smaller than last year, and the deficit - to - GDP ratio may reach 3%. A trade agreement with South Korea is imminent, and the relationship between the U.S. and Canada has normalized. The U.S. investment boom is sustainable, and the AI boom is in its early stages [14]. - **Consumption Tax Refund**: Starting from November 1, 2025, Inner Mongolia Autonomous Region will implement the tax - refund policy for overseas tourists' shopping [15].

Core Viewpoint - The A-share market experienced fluctuations and a rise on October 15, with a total trading volume of 20,728 billion yuan Group 1: Market Activity - The trading volume of the Shanghai and Shenzhen stock markets reached 20,728 billion yuan on October 15 [1] - The options market showed a mixed change in open interest, with active trading volumes reported for various ETFs [2] Group 2: Options Market Performance - The trading volume for the Shanghai 50 ETF options was 1,567,373 contracts, with an open interest of 1,620,171 contracts and a trading value of 574 million yuan [2] - The trading volume for the CSI 300 ETF options was 2,069,336 contracts, with an open interest of 1,328,756 contracts and a trading value of 995 million yuan [2] - The trading volume for the ChiNext ETF options was 2,484,809 contracts, with an open interest of 2,067,970 contracts and a trading value of 1,575 million yuan [2] Group 3: Implied Volatility - The implied volatility for various options showed a slight decline but remained at relatively high levels for the year, indicating a positive market sentiment [3] - The weighted implied volatility for the Shanghai 50 ETF options was 0.194, while for the CSI 300 ETF options it was 0.2119 [3] - The analysis suggests that the current market conditions allow for potential strategies such as long volatility positions and constructing long synthetic positions [3]

Report Summary 1. Core View - The stock index options are experiencing a downward wave increase, indicating a rise in bearish sentiment [1] 2. Market Data Summary 2.1 Underlying Market Statistics - The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index were 2961.10, 4539.06, and 7373.15 respectively, all showing declines. The trading volumes were 86.18 billion, 372.95 billion, and 304.41 billion hands respectively, with changes of 16.02 billion, 57.94 billion, and 16.01 billion hands [2] - For ETFs, the closing prices of Shanghai Composite 50 ETF, Huatai-PineBridge 300 ETF, and others also mostly declined, with varying trading volumes and changes [2] 2.2 Option Market Statistics - The trading volumes and open interests of various index options and ETF options showed different degrees of change. For example, the trading volume of Shanghai Composite 50 Index Option was 68,793, an increase of 4,243, and the open interest was 77,492, an increase of 248 [2] - The VL-PCR and OI-PCR of different options also varied, reflecting different market sentiment. For instance, the VL-PCR of Shanghai Composite 50 Index Option was 68.12%, and the OI-PCR was 72.11% [2] 2.3 Option Volatility Statistics - The ATM-IV, IV changes, same - term HV, and HV changes of different options were presented. For example, the near - month ATM - IV of Shanghai Composite 50 Index Option was 17.32%, with an IV change of 1.69%, and the same - term HV was 11.68%, with an HV change of - 8.47% [5] 3. Figures and Charts - There are multiple figures and charts for different index options and ETF options, including the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term structure chart, which visually display the market conditions of each option [9][14][18]

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - On October 13, 2025, the implied volatility of stock index options opened high and trended lower, with a rise in bearish sentiment. It is advisable to consider buying put options for protection [1] 3. Summary by Related Catalogs 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 decreased by 7.65, 22.86, and 14.06 respectively. The trading volumes of the Shanghai Composite 50 ETF, Huatai-PineBridge 300 ETF, and Southern 500 ETF were 5.38 billion, 9.66 billion, and 3.87 billion hands respectively [2] - **Option Market Statistics**: The trading volume and open interest of most options increased. For example, the trading volume of Shanghai Composite 50 Index options increased by 7,823 to 64,550, and the open interest increased by 775 to 77,244 [2] 3.2 Option Volatility Statistics - **Near - Month Options**: The ATM - IV of most options increased. For instance, the ATM - IV of Shanghai Composite 50 Index options increased by 0.38% to 15.63%, and the ATM - IV of CSI 1000 Index options increased by 1.87% to 21.65% [5] - **Next - Month Options**: The ATM - IV of most options also increased. For example, the ATM - IV of Shanghai Composite 50 Index options increased by 0.53% to 17.69%, and the ATM - IV of CSI 300 Index options increased by 1.28% to 19.04% [5] 3.3 Option Indicator Data Statistics - **PCR and Skew**: The VL - PCR and OI - PCR of most options showed different degrees of change, and the skew also changed. For example, the VL - PCR of Shanghai Composite 50 Index options was 70.39%, and the skew of near - month options decreased by 2.84% to - 0.20% [2][5] 3.4 Option Charts - **Volatility Charts**: For various options such as Shanghai Composite 50 Index options, CSI 300 Index options, and Shanghai Composite 50ETF options, there are charts showing the volatility trends of the main contracts, including ATM - IV and 20HV [9][11][13] - **PCR and Skew Charts**: There are also charts showing the PCR and skew trends of the main contracts and all contracts of various options [9][14][17] - **Volatility Cone and Term Structure Charts**: There are charts presenting the volatility cone and term structure of various options [9][15][18]

- The report introduces a **PCR timing strategy** based on the **Put/Call Ratio (PCR)**, which is a market sentiment indicator. The strategy logic includes trend-following (PCR rising indicates positive sentiment) and counter-trend (low PCR suggests a sentiment bottom with potential reversal) [5][66][73] - The **PCR timing strategy** is applied to **Shanghai Stock Exchange 50 (SSE 50)** and **CSI 300** indices. The strategy's performance is tracked, showing a year-to-date return of 0.09% for CSI 300, with the latest signal being "no position" (signal 0) [5][73][83] - The **PCR timing strategy** performance metrics for CSI 300 include annualized volatility (15.31%), maximum drawdown (9.44%), Sharpe ratio (0.25), and Calmar ratio (0.43) for 2025. The overall performance from 2020 to 2025 shows an annualized return of 19.96%, maximum drawdown of 23.42%, and Sharpe ratio of 1 [79] - For SSE 50, the **PCR timing strategy** metrics for 2025 include annualized volatility (13.46%), maximum drawdown (12.59%), Sharpe ratio (-0.24), and Calmar ratio (-0.2). The overall performance from 2017 to 2025 shows an annualized return of 14.06%, maximum drawdown of 24.96%, and Sharpe ratio of 0.75 [80]

Report Industry Investment Rating No relevant information provided. Core Viewpoints of the Report - T0 strategies, with low risk exposure and high return - drawdown ratios, are attracting more attention. Stock T0 strategies have an annualized return of 5% - 20% and a drawdown of around 1%, making them popular as alternative absolute - return strategies. Futures T0 strategies are more advantageous carriers, offering high liquidity, low costs, and leverage, and having lower slippage compared to commodity futures [1]. - Combining deep - learning - based medium - low - frequency momentum/reversal strategies is a viable approach for futures T0 strategies. The K - Shape algorithm is used to classify intraday trends into three types: upward, downward, and sideways. An MLP + GRU neural network is used to predict these trends, with a validation set win - rate increasing from 33% to 40%. By integrating these predictions with an intraday CTA base strategy, the strategy can achieve a post - fee annualized return of 11.19% and a drawdown of 3.62%, and over 30% annualized return on the IM contract [2][3][4]. Summary According to the Table of Contents 1. Analysis of the Characteristics of Futures T0 Strategies 1.1 From Stock T0 to Futures T0 Strategies - **Stock T0 Strategies**: T0 strategies are less affected by index trends and macro - economic conditions, and more related to turnover and intraday amplitude. They can be divided into manual and programmed T0. Their annualized returns range from 5% to 20%, with small drawdowns, and are suitable for small - scale funds or large - position strategies. There are already mature third - party algorithm providers collaborating with brokerages [9][12][13]. - **Advantages of Futures T0 Strategies**: Futures offer a T + 0 trading mechanism, high liquidity, sufficient amplitude, low trading costs, and leverage. They also have lower slippage compared to commodity futures, providing a better platform for T0 strategies [16][18]. - **Significance for Multi - asset and Multi - strategy Allocation**: Futures T0 strategies can diversify asset allocation, provide free leverage and short - side returns, and improve the performance of traditional asset portfolios. For example, adding a CTA - like strategy to a basic asset pool can increase the annualized return of a risk - parity strategy from 5.50% to 6.67% and reduce the maximum drawdown from 6.71% to 3.74% [19][21]. 1.2 Exploration of Futures T0 Strategy Paradigms - **Differences from Traditional Strategies**: T0 strategies have time - limited opening and closing positions, a narrowing decision - making space, and are highly susceptible to high - frequency information flows, requiring strict trading discipline [23]. - **Specific Implementation Logics**: - **Micro - structure Strategies Based on Order Books**: Analyze high - frequency data such as order book volume and price distribution to predict short - term price trends, with high trading frequencies [25]. - **Momentum/Reversal and Statistical Arbitrage Strategies**: Based on financial time - series statistical laws, with medium - low trading frequencies. Momentum strategies follow trends, while reversal strategies capture corrective rebounds [26]. - **Combination of Machine/Deep Learning with Traditional Paradigms**: Machine and deep learning can automatically learn complex non - linear patterns from large - scale, high - dimensional, and noisy data, and are used in the above two types of strategies [27]. 2. T0 Framework Based on Intraday Trend Pattern Prediction 2.1 Review of Time - Series Clustering Algorithms - **DTW + K - Means**: DTW can measure the similarity between time series, overcoming translation, scaling, and periodic invariance. Combined with K - Means, it can cluster intraday index trends, but is affected by outliers and has high computational complexity [33][39][40]. - **K - Shape**: A time - series clustering algorithm using shape - based distance (SBD) to measure similarity, with translation and scaling invariance. It has better computational efficiency and cluster - center representation, and is used for subsequent analysis [41]. 2.2 Clustering Performance of the K - Shape Algorithm on Stock Index Spot - The K - Shape algorithm is used to cluster the intraday trends of the Shanghai 50, CSI 300, CSI 500, and CSI 1000. Initially, 20 - category clustering is performed, and then reduced to 8 categories. The cluster centers are explicitly initialized, and the final three - category classification (upward, downward, and sideways) is used for subsequent prediction [48][51][53]. 2.3 Prediction of Trend Pattern Labels Based on Deep Learning - For medium - low - frequency T0 strategies, predicting trend types is more meaningful than predicting returns. An MLP neural network with a Softmax output layer is used, integrating cross - sectional and time - series price - volume features. The validation set win - rate can increase from 12.5% to 20.35%, and for the three - category classification, it can increase from 33% to 40%. The model is retrained quarterly to ensure stable performance [57][58][65]. 2.4 T0 Baseline Strategy: Intraday ATR Breakout - The intraday ATR breakout strategy is a trend - following strategy that uses the previous day's ATR to set trading intervals, with opening, stop - profit, and stop - loss thresholds. It is sensitive to trading fees. Under a unilateral fee rate of 0.0025%, the CSI 300, CSI 500, and CSI 1000 can achieve positive long - term returns [72][75][80]. 2.5 Futures T0 Strategy Based on Trend Pattern Prediction - By predicting intraday trends, the application and parameters of the base strategy can be adjusted. For example, on four equal - weighted contracts from January 2023 to June 2025, the annualized return can increase from 6.65% to 11.19%, and the maximum drawdown can be reduced from 7.45% to 3.62% [84][86][87]. 2.6 Summary and Outlook - Futures T0 strategies are more advantageous than stock T0 strategies, and an intraday trend pattern prediction + intraday CTA framework is used to construct the strategy. Future research can focus on improving trend prediction by adding more information and developing reversal CTA strategies [92][93][96].

Core Viewpoint - The A-share market is expected to maintain a bullish trend in Q4 2025, but faces increased macroeconomic uncertainties, particularly regarding US-China trade policies, leading to heightened market volatility. Investors are encouraged to utilize options to create a balanced portfolio to navigate this turbulence and enhance returns [1]. Group 1: Market Trends - In Q3 2025, the market favored trading growth-oriented index options, with the CSI 1000 index options holding a market share of 33.29%, a slight decrease of 2.9 percentage points from the previous quarter. The Southern CSI 500 ETF options followed with an 18.05% share, down 4 percentage points, while the ChiNext ETF options rose to 12.85%, an increase of 4.2 percentage points [2]. - The PCR (Put-Call Ratio) values for major financial options showed an upward trend, with the CSI 300 index options rising from 65% to around 100%, and the CSI 1000 index options increasing from 95% to approximately 120%, before retreating to a range of 90%-100% [2]. Group 2: Volatility Analysis - Implied volatility for options exhibited a clear pattern of rising and then declining in Q3 2025. The average implied volatility for CSI 300 and CSI 1000 options peaked at 24.11% and around 29% respectively in late August, before decreasing to approximately 15% and 22% [3]. - The implied volatility reached historical highs, with CSI 300 and CSI 1000 options touching the 90% and 87% percentiles over the past three years, indicating a more rational investor sentiment compared to previous market surges [3]. Group 3: Future Outlook - Looking ahead to Q4, the market remains in a bullish phase, with the CSI 300 index's bond-equity ratio at a two-standard-deviation extreme below the past three-year average. Implied volatility is at historical lows, but there is potential for an upward spike due to US-China trade uncertainties [5]. - Investors are advised to consider selling out-of-the-money put options after market sentiment stabilizes, as this strategy offers a higher margin of safety compared to direct long positions in index futures. Additionally, a shift from unilateral upward movement to a range-bound market is anticipated, suggesting that investors holding long positions in index futures should consider selling out-of-the-money call options to generate additional income [5].

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The implied volatility of financial options is negatively correlated with the underlying asset's movement, and the market's bullish sentiment has declined [1] Summary by Relevant Catalogs 1. Option Market Trading Overview - The total daily average trading volume of all options is 10.129 million lots, with a total daily average turnover of 11.5072668 billion yuan. The trading volume and turnover of each option variety vary, with ETF options generally having higher trading volume and turnover compared to index options [1] 2. Option Volatility Statistics - On the last trading day of the week, the ATM - IV, IV change, same - term HV, HV change, Skew, Skew change, VIX, and VIX change of different options are presented. For example, the ATM - IV of Shanghai 50 Index Options is 15.25% with a 1.67% change, and its same - term HV is 17.36% with a 7.97% change [3] 3. Option Liquidity - Multiple charts are used to show 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][8] 4. Option Volatility Level - Last week, there was a divergence between the at - the - money implied volatility (ATM - IV) and historical volatility (HV) of options. The current ATM - IV of different options ranges from 15.25% to 44.43%. The underlying assets and ATM - IV showed a negative correlation last week, with correlation coefficients ranging from - 2.62% to - 84.04% [9][23][29] 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. Multiple charts show the PCR trends and daily -环比 incremental percentages of different options [36][37][38] 6. Market Support and Resistance Levels - The key support and resistance levels of different option underlying assets are provided. For example, the key support level of the Shanghai 50 Index is 2900, and the resistance level is 3000; the key support level of the CSI 1000 Index is 7000, and the resistance level is 7600 [52]