Report Date - The report is dated July 30, 2025 [1] Core Viewpoint - Stock index options: Implied volatility has declined, and there is still a significant implied volatility premium. A covered call strategy can be considered [2] Market Data Summary Underlying Market Statistics - **Indices**: The Shanghai Composite 50 Index closed at 2819.35, up 10.76; the CSI 300 Index closed at 4151.24, down 0.79; the CSI 1000 Index closed at 6718.48, down 55.40 [3] - **ETFs**: The Shanghai Composite 50 ETF closed at 2.943, up 0.009; the Huatai-PineBridge CSI 300 ETF closed at 4.232, down 0.003; etc [3] Option Market Statistics - **Volume and Open Interest**: For example, the trading volume of Shanghai Composite 50 index options was 56,146, an increase of 29,906; the open interest was 68,176, a decrease of 2,286 [3] - **PCR**: The VL-PCR and OI-PCR of different options vary, such as the VL-PCR of Shanghai Composite 50 index options was 51.35%, and the OI-PCR was 58.89% [3] Option Volatility Statistics - **ATM-IV and HV**: The ATM-IV of Shanghai Composite 50 index options (near - month) was 14.82%, down 1.32%; the same - term HV was 6.37%, up 0.05% [6] - **Skew and VIX**: The Skew of Shanghai Composite 50 index options was 9.62%, down 3.24%; the VIX was 18.64, down 0.976 [6]

【正文】 2025 年 7 月 29 日 股票股指期权：盘中隐波与标的呈现正相关上 行，隐波溢价扩大。 张雪慧 投资咨询从业资格号：Z0015363 zhangxuehui022447@gtjas.com 表 1：期权市场数据统计 | 标的市场统计 | 收盘价 | 涨跌 | 成交量(亿 | 成交变化 | 当月 | | 次月 | 次月基差 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | 手) | (亿手) | 合成期货 | 当月基差 | 合成期货 | | | 上证50指数 | 2808.59 | 5.82 | 47.05 | -2.69 | 2814.33 | 5.74 | 2816.33 | 7.74 | | 沪深300指数 | 4152.02 | 16.20 | 230.81 | 8.05 | 4153.00 | 0.98 | 4142.67 | -9.36 | | 中证1000指数 | 6773.88 | 43.91 | 259.26 | 6.52 | 6732.20 | -41.68 | 6661.07 | -112.8 ...

Report Title - "Three major indices hit new highs for the year, with daily trading volume reaching 1.8 trillion" - Stock Index Option Weekly Report 2025.7.28 [1] Core View - This week, the A-share market continued its upward trend, with the three major indices hitting new highs for the year and daily trading volume exceeding 1.7 trillion. For the CSI 300 Index, the moving averages showed a long - position arrangement, and the three - color K - line indicators remained red both daily and weekly. The IF futures' current - month contract's basis to the underlying first shrank and then expanded, while the next - month contract's discount to the current - month contract narrowed. The IO option's trading volume decreased, but the open interest increased, and both the trading volume PCR and open interest PCR rose, with implied volatility increasing, and the underlying index exceeding the strike - price range of the maximum open interest of call and put options. The CSI 1000 Index's daily and weekly K - line indicators were also positive. The IM futures' current - month contract's discount to the underlying first expanded and then shrank, and the next - month contract's discount to the current - month contract narrowed. The MO option's trading volume increased, and the open interest rose, with both PCRs rising, implied volatility increasing, and the strike prices of the maximum open interest of call and put options moving up. The SSE 50 Index also had positive K - line indicators. The IH futures' current - month contract turned to a premium over the underlying, and the next - month contract remained at a premium to the current - month contract. The HO option's trading volume decreased, the open interest increased, the trading volume PCR rose, the open interest PCR decreased, implied volatility increased, and the strike - price range of the maximum open interest of call and put options narrowed [2]. Summary by Directory 1. CSI 300 Stock Index Option (IO) - **Index Performance**: The CSI 300 Index had five consecutive weekly positive K - lines, and the three - color K - line indicator remained red. The daily moving averages were in a long - position arrangement, and the three - color K - line indicator also remained red [10][13]. - **Futures Basis**: The IF futures' current - month contract's basis to the underlying first shrank and then expanded, and the next - month contract's discount to the current - month contract narrowed [20][23]. - **Futures Trading Volume and Open Interest**: The trading volume of CSI 300 stock index futures decreased, and the open interest also decreased [25]. - **Option Trading Volume and Open Interest**: The trading volume of IO options decreased, but the open interest increased [28]. - **Option PCR**: Both the trading volume PCR and open interest PCR of IO options increased [31]. - **Option Strike Price**: The underlying index exceeded the strike - price range of the maximum open interest of call and put options, and the strike prices of the maximum open interest of call and put options for the 2508 contract were both 4100, with the option pain point at 4000 [15][34]. - **Implied Volatility**: The implied volatility of IO options increased [17] 2. CSI 1000 Stock Index Option (MO) - **Index Performance**: The CSI 1000 Index's daily moving averages were in a long - position arrangement, hitting a new high for the year, and the three - color K - line indicators remained red both daily and weekly [38][41]. - **Futures Basis**: The IM futures' current - month contract's discount to the underlying first expanded and then shrank, and the next - month contract's discount to the current - month contract narrowed [49][51]. - **Futures Trading Volume and Open Interest**: The trading volume of CSI 1000 stock index futures decreased, and the open interest also decreased [54]. - **Option Trading Volume and Open Interest**: The trading volume of MO options increased, and the open interest rose [57]. - **Option PCR**: Both the trading volume PCR and open interest PCR of MO options increased [60]. - **Option Strike Price**: The strike prices of the maximum open interest of call and put options for the 2508 contract were 6800 and 6500 respectively, and the option pain point was 6500. The strike prices of the maximum open interest of call and put options both moved up [43][63]. - **Implied Volatility**: The implied volatility of MO options increased [46] 3. SSE 50 Stock Index Option (HO) - **Index Performance**: The SSE 50 Index had five consecutive weekly positive K - lines, and the three - color K - line indicator remained red. The daily moving averages were in a long - position arrangement, and the three - color K - line indicator also remained red [67][70]. - **Futures Basis**: The IH futures' current - month contract turned to a premium over the underlying, and the next - month contract remained at a premium to the current - month contract [78][80]. - **Futures Trading Volume and Open Interest**: The trading volume of SSE 50 stock index futures decreased, and the open interest also decreased [83]. - **Option Trading Volume and Open Interest**: The trading volume of HO options decreased, but the open interest increased [85]. - **Option PCR**: The trading volume PCR of HO options increased, while the open interest PCR decreased [87]. - **Option Strike Price**: The strike prices of the maximum open interest of call and put options for the 2508 contract were 2800 and 2750 respectively, and the option pain point was 2750. The strike - price range of the maximum open interest of call and put options narrowed [72][88]. - **Implied Volatility**: The implied volatility of HO options increased [75] Strategy Recommendations - **Trend Strategy**: Pay attention to the strength - weakness arbitrage opportunities among varieties [2]. - **Volatility Strategy**: Buy a strangle to go long on volatility [2]

Group 1 - The VIX index has dropped to its lowest intraday level since mid-February, indicating a decrease in Wall Street's expectations for volatility in the coming month [1][4] - The decline in the VIX suggests that some investors betting on a decline in the S&P 500 are closing their positions, particularly "volatility buyers" who profit from market downturns [4] - The realized volatility of the S&P 500 has fallen significantly, with a one-month realized volatility of only 6.9%, which is notably lower than the VIX [4] Group 2 - Despite the low VIX indicating complacency in the summer market, historical trends suggest that volatility may rise in August, often accompanied by a decline in the stock market [5] - Concerns over market liquidity during the vacation season in August could exacerbate volatility, as many seasoned traders take time off, leading to a potential liquidity vacuum [5] - The VIX's low levels may not last, with expectations from RBC Capital Markets indicating a potential rebound in the VIX next month [4]

Market Overview - On July 23, the Shanghai and Shenzhen stock markets experienced a slight pullback after an initial rise, with a total trading volume of 1.8645 trillion yuan. The four major indices showed mixed results, with the Shanghai 50 Index up by 0.32% and the CSI 300 Index up by 0.02%, while the CSI 500 Index and CSI 1000 Index fell by 0.27% and 0.45% respectively [1]. Options Market Activity - The options market saw increased trading activity, with a continued rise in open interest. Specific trading volumes included 2,055,628 contracts for the Shanghai 50 ETF options, 2,037,994 contracts for the CSI 300 ETF options, and 1,811,686 contracts for the CSI 500 ETF options, among others. The total trading volume for various options reached significant amounts, with the CSI 1000 index options having a trading volume of 225,207 contracts and a total transaction value of 2.58 billion yuan [2]. Implied Volatility - There was a slight rebound in implied volatility across various options, although it remained at relatively low levels, indicating cautious market sentiment. The weighted implied volatility for the Shanghai 50 ETF options was recorded at 0.1578, while the CSI 300 ETF options had a volatility of 0.1455. The highest implied volatility was noted for the Huaxia Sci-Tech 50 ETF options at 0.2578 [3]. Market Sentiment and Strategy - Following positive news, the stock markets had seen significant gains recently, but on July 23, the upward momentum appeared to weaken. The options market remained active with increasing open interest. The current low implied volatility suggests a decline in the cost-effectiveness for sellers, prompting a need for tail risk management. Investors with a bullish outlook are advised to consider buying strategies, while those holding stocks may benefit from rolling out-of-the-money call options to enhance returns [4].

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core View The report focuses on the stock index and ETF options market on July 22, 2025, presenting data on market trends, including price changes, trading volume, open interest, and volatility, and warns about the expiration risk of ETF options [1]. 3. Summary by Category Market Data - **Underlying Market Statistics**: The closing prices of major indices and ETFs rose, with varying trading volume changes. For example, the Shanghai Composite 50 Index closed at 2792.18, up 19.94, and its trading volume was 68.31 billion hands, an increase of 18.36 billion hands [1]. - **Options Market Statistics**: Trading volume and open interest of most options increased. The PCR values (Volume - PCR and Open Interest - PCR) varied among different options, reflecting different market sentiment. For instance, the Volume - PCR of CSI 1000 Index Options was 72.54% [1]. - **Options Volatility Statistics**: Implied volatility (IV) and historical volatility (HV) of options showed different trends. For example, the near - month ATM - IV of Shanghai Composite 50 Index Options was 14.56%, with a 0.22% increase [4]. Index and ETF Options Analysis - **Shanghai Composite 50 Index Options**: Analyzed through full - contract PCR,主力 contract skew, volatility cone, and volatility term structure charts, showing market sentiment and volatility characteristics [7][8]. - **CSI 300 Index Options**: Similar analysis methods were used, with data presented in corresponding charts to reflect market conditions [11][12]. - **CSI 1000 Index Options**: The report analyzed its market performance from multiple perspectives, including trading volume, open interest, and volatility [14][15]. - **ETF Options**: Options such as Shanghai Composite 50ETF, Huatai - Berry 300ETF, and others were analyzed using PCR, skew, volatility cone, and term structure charts to understand their market trends [19][20].

Core Insights - The urgent demand for yields among American investors is driving the rapid expansion of the S&P 500 dividend futures and options market, which was previously considered a niche segment overshadowed by the European market [1] - The Chicago Mercantile Exchange (CME) data indicates a 40% year-on-year increase in S&P 500 dividend futures trading volume for the first half of 2025, with open interest in S&P 500 dividend options more than doubling [1] - The structural differences between the U.S. and European markets are evident in the shape of the derivatives curve, with U.S. long-term dividend contracts holding higher value compared to declining futures prices in Europe [4] Market Dynamics - The rise of dividend derivatives provides investors with more refined risk management tools, although market volatility remains a concern, as evidenced by an 11% drop in S&P 500 dividend contracts due to market crash fears in April [7] - External factors such as tariff policies may create a volatile environment, attracting a more diverse range of trading participants [7] - The focus of both U.S. and European markets is shifting towards 2027, with cautious sentiment regarding mid-term dividend growth reflected in the futures prices [9] Regulatory Environment - The regulatory landscape further shapes market characteristics, with the U.S. SEC enforcing stricter regulations on over-the-counter derivatives, while the European market remains more lenient, attracting U.S. financial institutions to shift some operations to London [11] - Despite price corrections in April, the misalignment of S&P 500 dividends is expected to be less severe than in Europe due to the balanced performance of S&P 500 constituents [11] Market Efficiency - The maturity of the dividend options market has significantly improved the accuracy of the futures curve, allowing for clearer reflections of market consensus on future dividend paths [12] - A dynamic balance mechanism is emerging, pushing the global dividend derivatives market towards a more efficient pricing era [12]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoint As of July 17, 2025, the positive skew of stock index options has increased, indicating a rise in bullish sentiment, and the index options are approaching expiration [1]. 3. Summary by Relevant Catalog 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Stock Exchange 50 Index, CSI 300 Index, and CSI 1000 Index were 2744.26, 4034.49, and 6535.67 respectively, with increases of 3.36, 27.29, and 73.61. The trading volumes were 36.15 billion, 161.25 billion, and 227.83 billion hands respectively, with changes of 1.91 billion, 10.22 billion, and 7.60 billion hands [2]. - **Option Market Statistics**: The trading volume and open interest of various options showed different changes. For example, the trading volume of Shanghai Stock Exchange 50 Index Options was 39,744, a decrease of 2,611, and the open interest was 77,564, an increase of 2,283 [2]. 3.2 Option Volatility Statistics - **Near - month Volatility**: The ATM - IV of Shanghai Stock Exchange 50 Index Options was 13.16%, with a change of 0.10%. The ATM - IV of CSI 300 Index Options was 11.69%, with a change of 0.81% [5]. - **Next - month Volatility**: The ATM - IV of Shanghai Stock Exchange 50 Index Options was 14.31%, with a change of 0.43%. The ATM - IV of CSI 300 Index Options was 14.05%, with a change of - 0.13% [5]. 3.3 Option Index Data Statistics No specific text description provided, but there are multiple charts for different option types, including PCR charts, skewness charts, volatility cone charts, and volatility term structure charts, which visually show the characteristics and trends of each option [9][13][22].

Core Insights - Short-term U.S. interest rate futures continue to rise as traders increase bets on Federal Reserve interest rate cuts [1] Group 1 - The market sentiment indicates a growing expectation for the Federal Reserve to lower interest rates in the near future [1]

Quantitative Models and Construction Methods 1. Model Name: Continuous Hedging Strategy - **Model Construction Idea**: This strategy is based on the analysis of basis convergence factors and optimization strategies, as detailed in the Cinda Derivatives Research Report Series. It aims to continuously hedge using futures contracts to minimize basis risk[44][45] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 11, 2025[45] - **Spot Side**: Hold the total return index of the corresponding underlying index[45] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal to short futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities for both the spot and futures sides based on the product's net value[45] - **Rebalancing Rules**: Continuously hold quarterly/monthly contracts until the remaining time to maturity is less than two days. On that day, close the position at the closing price and simultaneously short the next quarterly/monthly contract at the closing price[45] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[45] 2. Model Name: Minimum Basis Strategy - **Model Construction Idea**: This strategy selects futures contracts with the smallest annualized basis discount to optimize hedging performance[46] - **Model Construction Process**: - **Backtesting Period**: From July 22, 2022, to July 11, 2025[46] - **Spot Side**: Hold the total return index of the corresponding underlying index[46] - **Futures Side**: Use 70% of the funds for the spot side and allocate the same nominal principal to short futures contracts, occupying the remaining 30% of the funds. After each rebalancing, recalculate the quantities for both the spot and futures sides based on the product's net value[46] - **Rebalancing Rules**: Calculate the annualized basis for all tradable futures contracts on the day of rebalancing and select the contract with the smallest basis discount for opening positions. Hold the same contract for eight trading days or until the remaining time to maturity is less than two days before selecting a new contract[46] - **Assumptions**: Equal principal allocation between the spot and futures sides, excluding transaction fees, impact costs, and the indivisibility of futures contracts[46] --- Model Backtesting Results 1. Continuous Hedging Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -2.83% (monthly), -2.06% (quarterly)[48] - Volatility: 3.87% (monthly), 4.77% (quarterly)[48] - Maximum Drawdown: -8.26% (monthly), -8.34% (quarterly)[48] - Net Value: 0.9188 (monthly), 0.9405 (quarterly)[48] - Annual Turnover: 12 (monthly), 4 (quarterly)[48] - 2025 YTD Return: -3.58% (monthly), -1.35% (quarterly)[48] - **IF (CSI 300 Futures)**: - Annualized Return: 0.49% (monthly), 0.71% (quarterly)[51] - Volatility: 3.01% (monthly), 3.35% (quarterly)[51] - Maximum Drawdown: -3.95% (monthly), -4.03% (quarterly)[51] - Net Value: 1.0144 (monthly), 1.0211 (quarterly)[51] - Annual Turnover: 12 (monthly), 4 (quarterly)[51] - 2025 YTD Return: -0.89% (monthly), 0.12% (quarterly)[51] - **IH (SSE 50 Futures)**: - Annualized Return: 1.03% (monthly), 1.97% (quarterly)[54] - Volatility: 3.12% (monthly), 3.54% (quarterly)[54] - Maximum Drawdown: -4.22% (monthly), -3.76% (quarterly)[54] - Net Value: 1.0307 (monthly), 1.0593 (quarterly)[54] - Annual Turnover: 12 (monthly), 4 (quarterly)[54] - 2025 YTD Return: -0.01% (monthly), 0.99% (quarterly)[54] - **IM (CSI 1000 Futures)**: - Annualized Return: -6.04% (monthly), -4.45% (quarterly)[59] - Volatility: 4.74% (monthly), 5.79% (quarterly)[59] - Maximum Drawdown: -14.01% (monthly), -12.63% (quarterly)[59] - Net Value: 0.8469 (monthly), 0.8805 (quarterly)[59] - Annual Turnover: 12 (monthly), 4 (quarterly)[59] - 2025 YTD Return: -9.11% (monthly), -4.54% (quarterly)[59] 2. Minimum Basis Strategy - **IC (CSI 500 Futures)**: - Annualized Return: -1.06%[48] - Volatility: 4.67%[48] - Maximum Drawdown: -7.97%[48] - Net Value: 0.9692[48] - Annual Turnover: 17.28[48] - 2025 YTD Return: -0.96%[48] - **IF (CSI 300 Futures)**: - Annualized Return: 1.31%[51] - Volatility: 3.14%[51] - Maximum Drawdown: -4.06%[51] - Net Value: 1.0392[51] - Annual Turnover: 15.25[51] - 2025 YTD Return: 0.56%[51] - **IH (SSE 50 Futures)**: - Annualized Return: 1.72%[54] - Volatility: 3.14%[54] - Maximum Drawdown: -3.91%[54] - Net Value: 1.0516[54] - Annual Turnover: 15.93[54] - 2025 YTD Return: 1.04%[54] - **IM (CSI 1000 Futures)**: - Annualized Return: -3.83%[59] - Volatility: 5.59%[59] - Maximum Drawdown: -11.11%[59] - Net Value: 0.8949[59] - Annual Turnover: 15.91[59] - 2025 YTD Return: -3.89%[59] --- Quantitative Factors and Construction Methods 1. Factor Name: Cinda-VIX - **Factor Construction Idea**: Reflects investors' expectations of future volatility in the options market, with a term structure to capture expectations over different time horizons[61] - **Factor Construction Process**: Adjusted based on overseas methodologies and tailored to China's options market. The index reflects implied volatility from options pricing[61] - **Factor Evaluation**: Provides insights into market sentiment and risk expectations[61] 2. Factor Name: Cinda-SKEW - **Factor Construction Idea**: Measures the skewness of implied volatility across different strike prices, capturing market expectations of extreme events[69][70] - **Factor Construction Process**: Analyzes the slope of implied volatility curves to quantify the degree of skewness, with higher values indicating greater concern for tail risks[69][70] - **Factor Evaluation**: Useful for identifying market concerns about potential extreme downside risks[70] --- Factor Backtesting Results 1. Cinda-VIX - **30-Day VIX Values**: - SSE 50: 19.77[61] - CSI 300: 18.92[61] - CSI 500: 25.01[61] - CSI 1000: 23.34[61] 2. Cinda-SKEW - **SKEW Values**: - SSE 50: 97.27[70] - CSI 300: 99.19[70] - CSI 500: 102.27[70] - CSI 1000: 101.82[70]