Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - The trading volume of financial options reached 13.42 million contracts, indicating relatively active trading in the financial options market. The trading volume of most varieties' PCR ratios was significantly lower than 1, suggesting that the call options in the options market were more popular than the put options [1][3]. - The IV of SSE CSI 500 ETF options increased by 0.11%. On the SSE, the VIX indices of various ETF options rose to varying degrees, while on the CFFEX, the VIX index of CSI 1000 index options decreased by 0.28% [1][3]. 3. Summary by Directory 3.1. Market Quick Overview - **Trading Volume and Open Interest**: The report provides the closing price, price change, option trading volume, option open interest, trading volume PCR, and open interest PCR of multiple options, including SSE SSE 50 ETF, SSE CSI 300 ETF, etc. [9]. - **Volatility**: It presents the implied volatility index (VIX), IV price change, skewness index (SKEW), historical volatility (30 - day and 90 - day), and the difference between implied and historical volatility of multiple options. For example, the VIX of SSE SSE 50 ETF options was 17.65, with an IV increase of 0.06% [10]. 3.2. Product Research - **SSE SSE 50 ETF Options**: Various charts are provided, including the volatility smile curve, volatility term structure, VIX index, SKEW index, trading volume PCR, and open interest PCR [16]. - **SSE CSI 300 ETF Options**: Similar to the above, relevant charts for SSE CSI 300 ETF options are presented [19]. - **SSE CSI 500 ETF Options**: Charts such as the volatility smile curve, volatility term structure, etc., are included [23]. - **SSE STAR 50 ETF Options**: The report shows the volatility smile curve, volatility term structure, and other related information [26]. - **SSE STAR - BOARD 50 ETF Options**: Relevant charts for SSE STAR - BOARD 50 ETF options are provided [30]. - **SZSE CSI 300 ETF Options**: Information on volatility smile curve, volatility term structure, etc., is given [33]. - **SZSE CSI 500 ETF Options**: The report presents various charts related to SZSE CSI 500 ETF options [36].

Report Summary 1. Report Industry Investment Rating - No information provided in the given content. 2. Report's Core View - The report presents a daily overview of the stock index options market, including option trading volume, PCR (Put - Call Ratio), and VIX (Volatility Index) for various types of index options on August 14, 2025 [1][2][3]. 3. Summary by Related Catalogs Option Trading Volume - On August 14, 2025, the trading volumes of different index options were as follows: 127.52 million contracts for SSE 50 ETF options, 109.60 million contracts for SSE CSI 300 ETF options, 128.30 million contracts for SSE CSI 500 ETF options, 12.68 million contracts for Shenzhen 100 ETF options, 309.54 million contracts for ChiNext ETF options, 10.06 million contracts for SSE 50 index options, 21.42 million contracts for CSI 300 index options, and 40.51 million contracts for CSI 1000 index options [1]. Option PCR - The PCR data shows the following: for SSE 50 ETF options, the trading value PCR was 0.43 (a - 0.06 change from the previous period), and the open - interest PCR was 1.16 (+0.12 change). Similar data is provided for other index options, with varying changes in trading value and open - interest PCRs [2][35]. Option VIX - The VIX data indicates that for SSE 50 ETF options, the VIX was 17.65% (+0.07% change from the previous period). Other index options also had their respective VIX values and changes, with some increasing and some decreasing [3][50].

1. Report Industry Investment Rating - The investment ratings for stock index futures, stock index options, and Treasury bond futures are "volatile and bullish", "volatile", and "volatile and cautious" respectively [7][8][9] 2. Core Viewpoints of the Report - The stock market shows a positive trend, and the bond market sentiment has improved. The sentiment in the equity market has entered a positive feedback loop. Before the September military parade, a positive attitude towards the equity market is maintained. The bond market needs to remain cautious overall, but the financial data structure may support the bullish sentiment in the bond market to some extent [1][3] 3. Summary by Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - **Viewpoint**: The Shanghai Composite Index reached a new high, and the trading volume exceeded 2 trillion. The basis, spread, and total positions of IF, IH, IC, and IM contracts changed. The trading volume of the two markets reached a new high, approaching 2.2 trillion. The Shanghai Composite Index broke through the previous high in October 2024, and the ChiNext Index was close to the previous high. Before the September military parade, a positive attitude towards the equity market is maintained due to factors such as the Fed's expected interest - rate cut, policy support, and positive capital flow signals. The short - term strategy is to follow the trend [7] - **Operation Suggestion**: Hold IM contracts [7] 3.1.2 Stock Index Options - **Viewpoint**: Continue to hold the offensive strategy. The equity market continued to fluctuate strongly, and the ChiNext Index rose significantly. The trading volume of options exceeded 10 billion again since April 9th, with the trading volume of ChiNext ETF options increasing by 143.43% in a single day. The option sentiment index strengthened, and the implied volatility increased rapidly. It is recommended to follow the trend and continue to hold the bull spread portfolio [2][7] - **Operation Suggestion**: Continue to hold the bull spread portfolio [2][7] 3.1.3 Treasury Bond Futures - **Viewpoint**: The bond market sentiment has improved. The Treasury bond futures strengthened overall, but the stock market's strength may still have a negative impact on the bond market. The sentiment in the commodity market weakened, reducing the negative impact on the bond market. After continuous adjustments, the wait - and - see sentiment in the bond market increased. The July financial data showed that the social financing growth rate continued to rise, but the RMB loan segment needed further improvement. The financial data structure may support the bullish sentiment in the bond market, but overall, caution is still needed [3][8][9] - **Operation Suggestion**: The trend strategy is to be volatile and cautious. The hedging strategy is to pay attention to short - hedging at low basis levels. The basis strategy may have limited arbitrage space for the main contracts. The curve strategy is to pay attention to steepening the yield curve [9] 3.2 Economic Calendar - The economic data of the United States and China from August 12th to 15th, 2025 are presented, including the US July CPI annual rate, China's July M2 money supply annual rate, and other indicators [10] 3.3 Important Information and News Tracking - **Crude Oil**: The IEA stated that the global oil market will face a record supply surplus next year. OECD countries' oil demand is "resilient" due to low oil prices. The global crude oil processing volume in August is expected to reach a record high, and the observable global oil inventory in June reached a 46 - month high [11] - **Macro - economy**: The central bank released the July financial statistics report. The RMB deposits, loans, and social financing scale from January to July are detailed, including the changes in various sectors and sub - items [11][12] 3.4 Derivatives Market Monitoring - The report includes data on stock index futures, stock index options, and Treasury bond futures, but specific data details are not fully presented in the given text [13][17][29]

与美联储会期挂钩的隔夜指数互换合约在周三晚些时候完全消化了9月联邦公开市场委员会会议将降息 25个基点的预期，联邦基金利率 期货合约出现大量交易。纽约时间下午3点前，联邦基金利率期货8月 和10月合约交易活跃，担保隔夜融资利率 期货2025年9月合约出现大量交易。与美联储9月政策会议挂 钩的OIS利率因此降至日内低点，接近4.08%，显示有一次25个基点降息的可能性为100%。从互换曲线 更远端来看，市场目前预计今年剩余3次FOMC会议合计将降息62个基点，而周二收盘时为59个基点。 ...

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core Viewpoint The stock index options showed an upward volatility increase, with a significant rise in skewness. It is advisable to consider the bullish call spread strategy [1]. 3. Summary of Different Parts Market Data Statistics - **Underlying Market**: Included the closing price, change, trading volume, and change in trading volume of various indexes and ETFs such as the Shanghai Composite 50 Index, CSI 300 Index, and Shenzhen Component 100 ETF. Also presented the synthetic futures and basis of the current and next months [1]. - **Option Market**: Provided the trading volume, change, open interest, change, VL - PCR, OI - PCR, and the maximum positions of call and put options (near - month) for different stock index options and ETF options, like the Shanghai Composite 50 Index option and Huatai - Ba瑞 300ETF option [1]. Option Volatility Statistics - **Near - month**: Showed the ATM - IV, IV change, same - term HV, HV change, Skew, Skew change, VIX, and VIX change for various options, including the Shanghai Composite 50 Index option and CSI 1000 Index option [4]. - **Next - month**: Displayed the ATM - IV, IV change, same - term HV, HV change, Skew, and Skew change for different options [4]. Option Charts - **Shanghai Composite 50 Index Option**: Included the full - contract PCR chart, main - contract skewness chart, volatility cone chart, and volatility term - structure chart [8]. - **CSI 300 Index Option**: Had the main - contract volatility chart, full - contract PCR chart, main - contract skewness chart, volatility cone chart, and volatility term - structure chart [12][13]. - **CSI 1000 Index Option**: Contained the main - contract volatility chart, full - contract PCR chart, main - contract skewness chart, volatility cone chart, and volatility term - structure chart [15][17]. - **ETF Options**: Each type of ETF option (such as Shanghai Composite 50ETF option, Huatai - Ba瑞 300ETF option) had corresponding main - contract volatility charts, full - contract PCR charts, main - contract skewness charts, volatility cone charts, and volatility term - structure charts [19][23][34].

投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2025-08-13 股市延续配置思路，债市情绪仍偏弱 股指期货：沪指逼近前⾼ 股指期权：续持进攻策略 国债期货：债市情绪仍偏弱 股指期货方面，周二权益市场延续上行走势，其中沪指逼近2024年10 月前高，科创50、创业板指异动大涨。盘面情绪强势，这主要与中美贸易 联合声明有关，前期上涨幅度较少的上证50早盘拉升。另外，昨日盘面一 大特征是大市值个股表现突出，如科创50表现显著强于科创100及科创20 0。我们认为和几个因素有关，其一，沪指面临向上突破压力，历史上突 破前夕一般需要大盘股支持，部分投机资金在大市值个股中寻找机会， 其二，也可能与大机构资金集中入市有关，前期踏空资金寻找低位补涨方 向。目前来看，市场对于负面因素并不敏感，短期延续配置思路，若沪指 向上突破，仍是小市值因子占优。 股指期权方面，昨日权益市场持续震荡偏强，科创创业板块强势。 期权方面，市场整体成交额小幅回落，其中大部分品种流动性回落，科创 创业相关品种依旧交投活跃。期权情绪指标明显走强，尾盘看涨期权隐含 波动率快速提升，推测买权进场交易。目前行情上涨有所 ...

General Information - The report date is August 11, 2025 [1] - The core view is that for stock index options, with the upward movement and decreasing volatility, a covered call strategy can be considered [1] Market Data Statistics Underlying Market Statistics - The closing price of the Shanghai Stock Exchange 50 Index was 2789.90, up 0.72, with a trading volume of 43.48 billion hands, an increase of 4.56 billion hands. The current - month synthetic futures price was 2790.47, with a basis of 0.57, and the next - month synthetic futures price was 2793.13, with a basis of 3.24 [2] - The closing price of the CSI 300 Index was 4122.51, up 17.54, with a trading volume of 190.44 billion hands, an increase of 17.27 billion hands. The current - month synthetic futures price was 4119.40, with a basis of - 3.11, and the next - month synthetic futures price was 4109.87, with a basis of - 12.64 [2] - The closing price of the CSI 1000 Index was 6943.94, up 105.81, with a trading volume of 260.97 billion hands, an increase of 9.50 billion hands. The current - month synthetic futures price was 6926.33, with a basis of - 17.60, and the next - month synthetic futures price was 6860.13, with a basis of - 83.80 [2] Option Market Statistics - For the Shanghai Stock Exchange 50 Index Option, the trading volume was 44922, an increase of 15604, the open interest was 78144, an increase of 3462, VL - PCR was 59.91%, OI - PCR was 53.47%, the C - maximum open interest (near - month) was 2800, and the P - maximum open interest (near - month) was 2750 [2] - For the CSI 300 Index Option, the trading volume was 116426, an increase of 37090, the open interest was 211865, an increase of 2426, VL - PCR was 55.35%, OI - PCR was 75.11%, the C - maximum open interest (near - month) was 4150, and the P - maximum open interest (near - month) was 4100 [2] - For the CSI 1000 Index Option, the trading volume was 321756, an increase of 105966, the open interest was 294708, an increase of 1052, VL - PCR was 77.77%, OI - PCR was 115.94%, the C - maximum open interest (near - month) was 7000, and the P - maximum open interest (near - month) was 6500 [2] Option Volatility Statistics Near - Month - The ATM - IV of the Shanghai Stock Exchange 50 Index Option was 11.76%, with an IV change of 0.07%, the same - term HV was 3.67%, with an HV change of - 3.47%, Skew was 3.19%, with a Skew change of 4.83%, and VIX was 17.79, with a VIX change of 0.750 [5] - The ATM - IV of the CSI 300 Index Option was 11.12%, with an IV change of - 0.13%, the same - term HV was 4.46%, with an HV change of - 2.43%, Skew was 3.96%, with a Skew change of 15.32%, and VIX was 17.71, with a VIX change of 0.081 [5] - The ATM - IV of the CSI 1000 Index Option was 16.44%, with an IV change of - 0.36%, the same - term HV was 13.83%, with an HV change of 3.68%, Skew was 0.27%, with a Skew change of 6.94%, and VIX was 22.28, with a VIX change of 0.321 [5] Next - Month - The ATM - IV of the Shanghai Stock Exchange 50 Index Option was 14.13%, with an IV change of 0.11%, the same - term HV was 8.00%, with an HV change of - 0.01%, and Skew was 9.40%, with a Skew change of 5.12% [5] - The ATM - IV of the CSI 300 Index Option was 14.25%, with an IV change of - 0.14%, the same - term HV was 8.70%, with an HV change of 0.04%, and Skew was 7.35%, with a Skew change of 3.52% [5] - The ATM - IV of the CSI 1000 Index Option was 18.15%, with an IV change of 0.13%, the same - term HV was 10.81%, with an HV change of 0.66%, and Skew was 0.20%, with a Skew change of 1.21% [5] Option Types and Related Charts Shanghai Stock Exchange 50 Index Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [9] CSI 300 Index Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [13] CSI 1000 Index Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [17] Shanghai Stock Exchange 50ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [21] Huatai - Peregrine 300ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [28] Southern CSI 500ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [38] ChinaAMC STAR 50ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [43] E Fund STAR 50ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [53] Harvest 300ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [57] Harvest CSI 500ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [59] ChiNext ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [66] Shenzhen 100ETF Option - There are charts of the full - contract PCR, the main - contract skew trend, the volatility cone, and the volatility term structure [68]

=: F0251925 投资咨询业务资格:证监许可【2012】31号 ITG国贸期 权数据日报 于一个工干量中心 上证50历史波动率 力史波动率链 0.5 醫小值 -最大值 -- 10%分位值 0.45 30%分位值 -- 60%分位值 · 当前值 0.4 90%分位值 0.35 0.3 80% 0.25 70%6 0.2 60% 0.15 40% 0.1 30% 0.05 20% 0 10% 2025-03-26 2025-04-26 2025-05-26 2025-06-26 2025-07-26 0% - HV5 - HV20 - 20日 40日 eo日 120日 - HAEO 日 上证50下月平值隐波 波动车微笑曲线 0.4 -- 2509 2508 0.35 0.36 - 0.3 0.33 0.3 - 0.25 0.27 0.24 0.2 0.21 0.15 0.18 0.15 0.1 0.12 0.09 2300 2450 2550 2375 沪深300波动率分析 沪深300历史波动率 历史波动率链 0.6 - 最小值 -- 最大值 -- 10%分位值 30%分位值 == 60%分位值 0.5 9 ...

债券市场持续高位震荡，利率衍生品正逐步成为投资者风险管理的核心工具。在众多利率衍生品中，利率互换凭借其直接对冲利率风险的能力和广泛的适用 性，已成为市场参与者的首选工具。这一场外交易协议允许交易双方在不交换本金的前提下，按照约定的名义本金互相支付不同类型的利息，最常见的形式 是固定利率与浮动利率之间的互换。 受一季度市场流动性偏紧且持续时间较长的影响，市场参与者更加重视套期保值策略。2025年上半年，债券市场告别了此前的单边牛市，波动幅度明显加 大。在此背景下，金融机构加大了利率互换工具的运用频率。利率互换这一在牛市中相对不显眼的风险管理工具，在震荡加剧的市场环境下有效缓解了投资 波动。 利率互换不仅服务于境内投资者，也通过"互换通"为境外投资者提供风险管理工具。6月27日，上海清算所公告称，于6月30日联合推出"北向互换通"30年期 合约，并在银行间市场同步延长集中清算合约期限。这一举措为海外投资者提供了超长期利率风险对冲工具，填补了境外机构管理长期债券利率敞口的空 白。 30年期合约的推出降低了养老金、寿险公司、主权基金等"耐心资本"的风险管理成本。同时有助于完善我国利率互换收益率曲线，提高定价合理性和流 ...

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - In the stock index option market on August 8, 2025, there was a downward trend in volatility, and the positive skew declined. It is recommended to consider selling call options [1] 3. Summary by Related Catalogs 3.1 Market Data Statistics - **Underlying Market Statistics**: The closing prices of major indices and ETFs generally declined. For example, the Shanghai Composite 50 Index closed at 2789.17, down 9.14 points; the CSI 300 Index closed at 4104.97, down 9.70 points. Trading volumes also decreased in most cases, such as the Shanghai Composite 50 Index with a trading volume of 38.92 billion hands, a decrease of 3.41 billion hands [2] - **Option Market Statistics**: Trading volumes of most option contracts decreased, while some open interest increased. For instance, the trading volume of Shanghai Composite 50 Index options was 29,318, a decrease of 3,056, and the open interest was 74,682, a decrease of 361 [2] - **Option Volatility Statistics**: The implied volatility (IV) of most options decreased, and the historical volatility (HV) showed different trends. For example, the ATM - IV of Shanghai Composite 50 Index options was 11.69%, a decrease of 0.06%, and the 20 - day HV was 6.72%, a decrease of 2.69% [5] 3.2 Option Analysis by Type - **Shanghai Composite 50 Index Options**: Analyzed through full - contract PCR, main - contract skew, volatility cone, and volatility term structure charts [8][9] - **CSI 300 Index Options**: Similar analysis methods were used as the Shanghai Composite 50 Index options, including full - contract PCR, main - contract skew, volatility cone, and volatility term structure [12][13] - **CSI 1000 Index Options**: Analyzed using full - contract PCR, main - contract skew, volatility cone, and volatility term structure [15][16] - **ETF Options**: Options such as Shanghai Composite 50 ETF, Huatai - Baorui 300 ETF, and others were analyzed in terms of full - contract PCR, main - contract skew, volatility cone, and volatility term structure [19][20][24]