1. Report Industry Investment Rating - There is no information provided regarding the report industry investment rating in the given content. 2. Core Viewpoints of the Report - On October 14, 2025, all stock indices fluctuated downward, with significant declines in the CSI 1000 and CSI 500. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2596.6 billion yuan, an increase of 222.4 billion yuan from the previous day [3]. - Due to the resurgence of the tariff war and the approaching external uncertainties before November, combined with the current relatively high valuation level, investors' willingness to take profits has increased, leading to a correction in the stock indices [3]. - Trump's tariff threats have a short - term impact on the A - share market, with a weaker marginal effect than in early April this year, and the impact is relatively limited [3]. - There are still issues of insufficient effective domestic demand, and external tariff factors continue to cause disturbances. However, there are strong expectations for policy support to stabilize the macro - fundamentals, which provides strong support for the stock indices [3]. - The investment attribute of A - shares is valued by the policy, and there is a trend of social wealth flowing into the stock market. Continuous capital inflows will be a long - term driving force for the upward movement of the stock indices [3]. - In the short term, the stock indices are expected to fluctuate widely. Currently, the implied volatility of options remains at a low level. Considering the long - term upward trend of the stock indices, investors can continue to hold bull spreads or covered calls [3]. 3. Summary by Relevant Catalogs 3.1 Option Indicators - On October 14, 2025, the 50ETF fell 0.03% to 3.100; the 300ETF (Shanghai Stock Exchange) fell 1.00% to 4.645; the 300ETF (Shenzhen Stock Exchange) fell 1.09% to 4.791; the CSI 300 Index fell 1.20% to 4539.06; the CSI 1000 Index fell 1.95% to 7373.15; the 500ETF (Shanghai Stock Exchange) fell 2.41% to 7.289; the 500ETF (Shenzhen Stock Exchange) fell 2.25% to 2.916; the GEM ETF fell 3.93% to 2.934; the Shenzhen 100ETF fell 2.54% to 3.413; the SSE 50 Index fell 0.21% to 2961.10; the STAR 50ETF fell 4.20% to 1.48; and the E Fund STAR 50ETF fell 4.10% to 1.45 [5]. - The trading volume PCR and open interest PCR of various options on October 14, 2025, and their changes compared with the previous trading day are provided in detail, including those of the SSE 50ETF options, SSE 300ETF options, etc [6]. - The implied volatility of at - the - money options in October or November 2025 and the 30 - trading - day historical volatility of the underlying assets for various options are presented, such as the SSE 50ETF options with an implied volatility of 17.33% and a 30 - trading - day historical volatility of 15.11% [7]. 3.2 Relevant Charts - **SSE 50ETF Options**: Include charts of the SSE 50ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [9]. - **SSE 300ETF Options**: Include charts of the SSE 300ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [20]. - **SZSE 300ETF Options**: Include charts of the SZSE 300ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [32]. - **CSI 300 Index Options**: Include charts of the CSI 300 index trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [44]. - **CSI 1000 Index Options**: Include charts of the CSI 1000 index trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [57]. - **SSE 500ETF Options**: Include charts of the SSE 500ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [71]. - **SZSE 500ETF Options**: Include charts of the SZSE 500ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [84]. - **GEM ETF Options**: Include charts of the GEM ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [98]. - **Shenzhen 100ETF Options**: Include charts of the Shenzhen 100ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [111]. - **SSE 50 Index Options**: Include charts of the SSE 50 index trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [124]. - **STAR 50ETF Options**: Include charts of the STAR 50ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [138]. - **E Fund STAR 50ETF Options**: Include charts of the E Fund STAR 50ETF trend, option volatility, trading volume PCR, open interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [145].

Report Industry Investment Rating - No relevant content provided. Core Viewpoints of the Report - The underlying index market remains in a bull market in Q4 2025, but there is a local overheating of leveraged funds in the short - term. The implied volatility of options is at a moderately low level, and there may be local volatility pulses in Q4 due to increased Sino - US relations uncertainty. In a bull market with a negative skew structure, shorting out - of - the - money put options after local volatility pulses is worth attention. As Sino - US relations uncertainty grows, index trends may shift from unilateral upward to range - bound, and investors with long futures positions are advised to sell out - of - the - money call options near the upper bound of the range for additional income [4][5][66]. Summary by Relevant Catalogs 2025 Pre - Q3 Financial Options Market Operation Option Market Activity Highly Differentiated - There are 12 listed financial options, with 5 on the SSE, 4 on the SZSE, and 3 on the CFFEX. From January 1 to September 25, 2025, the total trading volume was 1.353 billion contracts, with an average daily trading volume of 7.516 million contracts, a total turnover of 1.25744 trillion yuan, an average daily turnover of 6.986 billion yuan, and an average daily open interest of 8.706 million contracts. Compared with the same period in 2024, the average daily trading volume, turnover, and open interest increased by about 17%, 48%, and 47% respectively. In Q3 2025, the average daily turnover increased by 101.4% quarter - on - quarter. The turnover of small - and medium - cap index options and ChiNext options increased significantly, while that of large - cap index options changed little [10][11][12]. Market Prefers to Trade Growth - Oriented Index Options - In Q3 2025, the CSI 1000 index options had the highest market share at 33.29%, followed by the Southern CSI 500 ETF options at 18.05%, and the ChiNext ETF options at 12.85%. The market generally prefers growth - oriented index options with higher volatility [14]. The PCR of Open Interest Indicates Over - Enthusiasm among Put Option Sellers - In Q3 2025, the PCR of open interest of major financial options mostly followed the underlying index's fluctuations, showing an upward - trending oscillation. The PCR of IO and MO options reached extremely high levels above the 99th percentile, indicating an over - proportion of put option sellers and local market overheating [20]. Stock Index Options Market Volatility Option Implied Volatility Shows an Up - and - Down Trend - In Q3 2025, the implied volatility of options first rose and then fell. The average implied volatility of IO and MO options reached around the 90th and 87th percentiles in the past three years, respectively. During the upward movement of the underlying index, the implied volatility showed different patterns at different stages. Currently, the implied volatility has returned to a relatively low level in the past five - year period, and the room for further decline is limited [23][28][29]. The Proportion of Negative Skew Decreased Significantly in Q3 - The proportion of negative skew in Q3 decreased compared with Q2. The decrease was partly due to the end of the dividend period of index component stocks and the stagnation of small - cap stocks after late August, which reduced the hedging demand of public and private funds. The buying momentum of out - of - the - money call options weakened after reaching a high in late August, indicating market caution [33][35]. The Frequency of "Near - Low, Far - High" Implied Volatility Increases - Taking the CSI 300 and CSI 1000 index options as examples, the proportion of the "near - low, far - high" term structure of the CSI 1000 index options increased in Q3, indicating a relatively stable market trend and a lower frequency of short - term sharp fluctuations, suggesting a healthier and more sustainable market upward movement [38][40]. Q4 Volatility Outlook - In Q3 2025, the difference between the implied volatility and the 30 - day historical volatility of IO and MO options had a certain range of fluctuations, and the average difference showed that the environment for option sellers improved compared with Q2. Currently, the implied volatility of the CSI 300 and CSI 1000 index options has bottomed out and rebounded, with a moderately low premium level. There is a possibility of upward volatility pulses in Q4 [41][42][44]. Option Strategy Review and Recommendation Long - Term Excess Returns of IM Long Positions - As of October 10, 2025, long - term holding of the IM current - month contract has achieved a cumulative return of 44.5%, 11.2 percentage points higher than the CSI 1000 index. However, there was a significant retracement from mid - August to early September due to the stagnation of small - cap stocks and the convergence of futures discounts [45]. Returns of Put Option Sellers in the First Three Quarters - Back - testing shows that although put option sellers did not outperform the underlying index in Q3, the stability of the fund curve was better, and the average retracement was significantly reduced [48]. Quantitative Timing Strategy Based on Option Synthetic Underlying Premiums - The quantitative timing strategy based on ETF option synthetic underlying premiums has achieved an annualized return of 19.5% and a maximum retracement of 17.83% on the CSI 500 index futures since 2018. In the first three quarters of 2025, it achieved an absolute return of 21.41% with a maximum retracement of only 3.25% [54]. Classic Option Double - Selling Strategy - The double - selling strategy is most suitable for the relatively stable SSE 50 index options, with a cumulative return of 12.96% and a maximum retracement of less than 6% in the first three quarters of 2025. The IO option double - selling strategy has achieved positive returns but suffered a significant retracement during the unilateral market since July. The MO option double - selling strategy has the most unstable returns, with a cumulative return of - 2.52% and a relatively large maximum retracement [56][58]. Q4 2025 Outlook - In Q4 2025, the underlying index market is still in a bull market, but there is local overheating of leveraged funds in the short - term. The implied volatility of options is at a moderately low level, and there may be local volatility pulses. In a bull market with a negative skew structure, shorting out - of - the - money put options after local volatility pulses is worth attention. As Sino - US relations uncertainty grows, index trends may shift from unilateral upward to range - bound, and investors with long futures positions are advised to sell out - of - the - money call options near the upper bound of the range for additional income [66].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The stock market showed a slight decline in the bullish trend, with the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks all experiencing this pattern [2]. - The implied volatility of financial options remained at a relatively high level [2]. - For ETF options, it is suitable to construct bullish buyer strategies and call option bull spread combination strategies; for index options, it is appropriate to build bullish seller strategies, call option bull spread combination strategies, and arbitrage strategies between synthetic long futures of options and short futures [2]. 3. Summary by Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,889.50, down 0.19% with a trading volume of 10,854 billion yuan, a decrease of 467 billion yuan [3]. - The Shenzhen Component Index closed at 13,231.47, down 0.93% with a trading volume of 12,693 billion yuan, a decrease of 1,142 billion yuan [3]. - The SSE 50 Index closed at 2,967.21, down 0.26% with a trading volume of 1,858 billion yuan, a decrease of 144 billion yuan [3]. - The CSI 300 Index closed at 4,593.98, down 0.50% with a trading volume of 7,140 billion yuan, a decrease of 787 billion yuan [3]. - The CSI 500 Index closed at 7,376.56, down 0.29% with a trading volume of 4,733 billion yuan, a decrease of 288 billion yuan [3]. - The CSI 1000 Index closed at 7,519.76, down 0.19% with a trading volume of 4,710 billion yuan, a decrease of 147 billion yuan [3]. 3.2 Option - underlying ETF Market Overview - The SSE 50 ETF closed at 3.101, down 0.35% with a trading volume of 537.71 million shares and a trading value of 16.58 billion yuan, a decrease of 12.56 billion yuan [4]. - The SSE 300 ETF closed at 4.692, down 0.57% with a trading volume of 965.84 million shares and a trading value of 45.00 billion yuan, a decrease of 10.82 billion yuan [4]. - The SSE 500 ETF closed at 7.469, down 0.48% with a trading volume of 386.54 million shares and a trading value of 28.63 billion yuan, an increase of 6.66 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.546, up 1.18% with a trading volume of 4,771.06 million shares and a trading value of 73.06 billion yuan, a decrease of 15.02 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.513, up 1.00% with a trading volume of 1,520.00 million shares and a trading value of 22.74 billion yuan, a decrease of 2.31 billion yuan [4]. - The Shenzhen 300 ETF closed at 4.844, down 0.47% with a trading volume of 240.51 million shares and a trading value of 11.56 billion yuan, a decrease of 1.90 billion yuan [4]. - The Shenzhen 500 ETF closed at 2.983, down 0.50% with a trading volume of 210.99 million shares and a trading value of 6.23 billion yuan, an increase of 2.00 billion yuan [4]. - The Shenzhen 100 ETF closed at 3.502, down 1.27% with a trading volume of 92.51 million shares and a trading value of 3.22 billion yuan, an increase of 1.17 billion yuan [4]. - The ChiNext ETF closed at 3.054, down 1.32% with a trading volume of 2,223.55 million shares and a trading value of 67.31 billion yuan, a decrease of 2.51 billion yuan [4]. 3.3 Option Factor - Volume and Position PCR - For SSE 50 ETF options, the trading volume PCR was 1.20 (up 0.35), and the position PCR was 0.69 (down 0.02) [5]. - For SSE 300 ETF options, the trading volume PCR was 1.31 (up 0.16), and the position PCR was 0.86 (down 0.05) [5]. - For SSE 500 ETF options, the trading volume PCR was 1.32 (up 0.25), and the position PCR was 1.25 (up 0.04) [5]. - For Huaxia Science and Technology Innovation 50 ETF options, the trading volume PCR was 1.13 (up 0.06), and the position PCR was 1.05 (up 0.02) [5]. - For E Fund Science and Technology Innovation 50 ETF options, the trading volume PCR was 1.11 (up 0.32), and the position PCR was 0.85 (down 0.01) [5]. - For Shenzhen 300 ETF options, the trading volume PCR was 1.32 (up 0.28), and the position PCR was 0.76 (up 0.04) [5]. - For Shenzhen 500 ETF options, the trading volume PCR was 1.40 (up 0.50), and the position PCR was 0.88 (down 0.02) [5]. - For Shenzhen 100 ETF options, the trading volume PCR was 1.81 (down 0.33), and the position PCR was 1.21 (up 0.04) [5]. - For ChiNext ETF options, the trading volume PCR was 1.20 (up 0.14), and the position PCR was 0.98 (down 0.07) [5]. - For SSE 50 index options, the trading volume PCR was 0.70 (up 0.16), and the position PCR was 0.72 (unchanged) [5]. - For CSI 300 index options, the trading volume PCR was 0.91 (up 0.19), and the position PCR was 0.88 (down 0.01) [5]. - For CSI 1000 index options, the trading volume PCR was 1.07 (up 0.11), and the position PCR was 0.99 (unchanged) [5]. 3.4 Option Factor - Pressure and Support Points - The pressure point of SSE 50 ETF was 3.20, and the support point was 3.10 [7]. - The pressure point of SSE 300 ETF was 4.80, and the support point was 4.60 [7]. - The pressure point of SSE 500 ETF was 7.50, and the support point was 7.25 [7]. - The pressure point of Huaxia Science and Technology Innovation 50 ETF was 1.65, and the support point was 1.50 [7]. - The pressure point of E Fund Science and Technology Innovation 50 ETF was 1.60, and the support point was 1.50 [7]. - The pressure point of Shenzhen 300 ETF was 4.90, and the support point was 4.70 [7]. - The pressure point of Shenzhen 500 ETF was 3.00, and the support point was 2.90 [7]. - The pressure point of Shenzhen 100 ETF was 3.60, and the support point was 2.90 [7]. - The pressure point of ChiNext ETF was 3.20, and the support point was 3.10 [7]. - The pressure point of SSE 50 index was 3,000, and the support point was 2,900 [7]. - The pressure point of CSI 300 index was 4,700, and the support point was 4,500 [7]. - The pressure point of CSI 1000 index was 7,500, and the support point was 7,200 [7]. 3.5 Option Factor - Implied Volatility - The at - the - money implied volatility of SSE 50 ETF options was 17.41%, and the weighted implied volatility was 19.20% (up 1.53%) [9]. - The at - the - money implied volatility of SSE 300 ETF options was 18.34%, and the weighted implied volatility was 19.56% (up 2.28%) [9]. - The at - the - money implied volatility of SSE 500 ETF options was 21.51%, and the weighted implied volatility was 23.12% (up 2.68%) [9]. - The at - the - money implied volatility of Huaxia Science and Technology Innovation 50 ETF options was 44.86%, and the weighted implied volatility was 46.89% (up 2.80%) [9]. - The at - the - money implied volatility of E Fund Science and Technology Innovation 50 ETF options was 44.29%, and the weighted implied volatility was 47.02% (up 2.20%) [9]. - The at - the - money implied volatility of Shenzhen 300 ETF options was 18.98%, and the weighted implied volatility was 21.31% (up 3.03%) [9]. - The at - the - money implied volatility of Shenzhen 500 ETF options was 22.10%, and the weighted implied volatility was 23.40% (up 1.31%) [9]. - The at - the - money implied volatility of Shenzhen 100 ETF options was 26.08%, and the weighted implied volatility was 32.51% (up 4.10%) [9]. - The at - the - money implied volatility of ChiNext ETF options was 38.06%, and the weighted implied volatility was 40.71% (up 3.51%) [9]. - The at - the - money implied volatility of SSE 50 index options was 16.59%, and the weighted implied volatility was 17.86% (up 0.92%) [9]. - The at - the - money implied volatility of CSI 300 index options was 17.91%, and the weighted implied volatility was 18.61% (up 1.96%) [9]. - The at - the - money implied volatility of CSI 1000 index options was 22.16%, and the weighted implied volatility was 23.99% (up 2.87%) [9]. 3.6 Strategy and Recommendations 3.6.1 Financial Stock Sector (SSE 50 ETF, SSE 50) - SSE 50 ETF showed a bullish trend with high - level fluctuations. The implied volatility remained above the average, and the position PCR indicated increasing upward pressure. The pressure point was 3.20, and the support point was 3.10. Recommended strategies included a seller - biased bullish combination strategy for volatility and a spot long - covered call strategy [12]. 3.6.2 Large - Cap Blue - Chip Stock Sector (CSI 300, SSE 300 ETF, Shenzhen 300 ETF) - SSE 300 ETF showed a bullish trend with support at the short - term bottom. The implied volatility remained above the average, and the position PCR indicated increasing upward pressure. The pressure point was 4.80, and the support point was 4.60. Recommended strategies included a short - volatility strategy of selling calls and puts and a spot long - covered call strategy [12]. 3.6.3 Large - and Medium - Sized Stock Sector (Shenzhen 100 ETF) - Shenzhen 100 ETF showed a bullish trend with a significant decline. The implied volatility was at a relatively high level, and the position PCR indicated a strong - oscillating market. The pressure point was 3.60, and the support point was 2.90. Recommended strategies included a call bull spread strategy for direction, a short - volatility strategy of selling calls and puts, and a spot long - covered call strategy [13]. 3.6.4 Small - and Medium - Sized Stock Sector (SSE 500 ETF, Shenzhen 500 ETF, CSI 1000) - SSE 500 ETF showed a short - term bullish trend with high - level fluctuations. The implied volatility remained at a relatively high level, and the position PCR indicated a bullish oscillation. The pressure point was 7.50, and the support point was 7.25. Recommended strategies included a call bull spread strategy for direction and a spot long - covered call strategy [13]. - CSI 1000 showed a bullish trend with high - level fluctuations. The implied volatility increased to a relatively high level, and the position PCR indicated an oscillating market. The pressure point was 7,500, and the support point was 7,200. Recommended strategies included a short - volatility strategy of selling calls and puts [14]. 3.6.5 ChiNext Sector (Huaxia Science and Technology Innovation 50 ETF, E Fund Science and Technology Innovation 50 ETF, ChiNext ETF) - ChiNext ETF showed a bullish trend with a rapid decline after breaking through. The implied volatility increased to a historical high and then declined significantly, and the position PCR indicated an oscillating market. The pressure point was 3.20, and the support point was 3.10. Recommended strategies included a short - volatility strategy and a spot long - covered call strategy [14].

金融期权 2025-10-13 金融期权策略早报 | 卢品先 | 投研经理 | 从业资格号：F3047321 | 交易咨询号：Z0015541 | 邮箱：lupx@wkqh.cn | | --- | --- | --- | --- | --- | | 黄柯涵 | 期权研究员 | 从业资格号：F03138607 | 电话：0755-23375252 | 邮箱：huangkh@wkqh.cn | 金融期权策略早报概要： （1）股市短评：上证综指数、大盘蓝筹股、中小盘股和创业板股表现为多头趋势方向上大幅回落的市场行情。 （2）金融期权波动性分析：金融期权隐含波动率维持较高水平波动。 （3）金融期权策略与建议：对于ETF期权来说，适合构建偏多头的买方策略，认购期权牛市价差组合策略；对于股 指期权来说，适合构建偏多头的卖方策略、认购期权牛市价差组合策略和期权合成期货多头与期货空头做套利策略 。 表1：金融市场重要指数概况 | 重要指数 | 指数代码 | 收盘价 | 涨跌 | 涨跌幅 | 成交额 | 额变化 | PE | | --- | --- | --- | --- | --- | --- | --- | --- | ...

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - On September 30, 2025, all stock indices fluctuated and rose. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 2197.2 billion yuan, an increase of 19.1 billion yuan from the previous day. The manufacturing PMI continued to recover in September, indicating strong resilience in the domestic macro - economy. Coupled with the expectation of policy benefits from the important meeting in October, market risk appetite continued to rise. However, in the short term, due to the significant increase in the stock valuation, especially when the index rebounded near the previous high, there was still a need for profit - taking by profitable funds. It was necessary to pay attention to the game between the subsequent profit - taking rhythm of funds and the fermentation of policy expectations. In general, since the index was approaching the previous high, the stock index was expected to fluctuate widely in the short term. Currently, the implied volatility of options has rebounded. Considering the long - term upward trend of the stock index, one could continue to hold bull spreads or ratio spreads [3] Group 3: Summary of Each Section 1 Option Indicators - On September 30, 2025, the 50ETF rose 0.55% to close at 3.126; the 300ETF (Shanghai Stock Exchange) rose 0.27% to close at 4.741; the 300ETF (Shenzhen Stock Exchange) rose 0.31% to close at 4.895; the CSI 300 Index rose 0.45% to close at 4640.69; the CSI 1000 Index rose 1.03% to close at 7574.96; the 500ETF (Shanghai Stock Exchange) rose 0.76% to close at 7.519; the 500ETF (Shenzhen Stock Exchange) rose 0.74% to close at 3.002; the ChiNext ETF rose 0.12% to close at 3.217; the Shenzhen 100ETF rose 0.19% to close at 3.615; the SSE 50 Index rose 0.53% to close at 2988.94; the STAR 50ETF rose 1.75% to close at 1.57; the E Fund STAR 50ETF rose 1.79% to close at 1.54 [5] - The report also provided the volume PCR and open - interest PCR data for various options on September 30, 2025, and compared them with the previous trading day [6] - The implied volatility of at - the - money options in October 2025 and the 30 - trading - day historical volatility of the underlying assets were presented for different options [7][8] 2 Related Charts - The report included charts related to the trends, option volatilities, volume PCR, open - interest PCR, implied volatility curves, and at - the - money implied volatilities of different terms for various options such as the SSE 50ETF option, SSE 300ETF option, Shenzhen 300ETF option, CSI 300 Index option, CSI 1000 Index option, SSE 500ETF option, Shenzhen 500ETF option, ChiNext ETF option, Shenzhen 100ETF option, SSE 50 Index option, STAR 50ETF option, and E Fund STAR 50ETF option [9][21][33][45][56][70][83][96][109][122][135][142]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a market trend of gradually declining in the long position direction, then rebounding and rising, and finally oscillating at a high level [3]. - The implied volatility of financial options remained at a relatively high level of fluctuation [3]. - For ETF options, it is suitable to construct a long-biased buyer strategy and a bull spread combination strategy for call options; for index options, it is suitable to construct a long-biased seller strategy, a bull spread combination strategy for call options, and an arbitrage strategy between synthetic long futures of options and short futures [3]. 3. Summary by Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,862.53, up 34.43 points or 0.90%, with a trading volume of 968.2 billion yuan, an increase of 40.3 billion yuan [3]. - The Shenzhen Component Index closed at 13,479.43, up 270.43 points or 2.05%, with a trading volume of 1,193.2 billion yuan, a decrease of 25.8 billion yuan [3]. - The SSE 50 Index closed at 2,973.04, up 32.02 points or 1.09%, with a trading volume of 190 billion yuan, an increase of 39.8 billion yuan [3]. - The CSI 300 Index closed at 4,620.05, up 70.00 points or 1.54%, with a trading volume of 693.4 billion yuan, an increase of 94.7 billion yuan [3]. - The CSI 500 Index closed at 7,350.56, up 109.65 points or 1.51%, with a trading volume of 433.9 billion yuan, an increase of 3.7 billion yuan [3]. - The CSI 1000 Index closed at 7,497.83, up 100.24 points or 1.36%, with a trading volume of 419.5 billion yuan, a decrease of 17.3 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 3.109, up 0.032 or 1.04%, with a trading volume of 12.6409 million shares, an increase of 12.5943 million shares, and a trading volume of 3.914 billion yuan, an increase of 2.479 billion yuan [4]. - The SSE 300 ETF closed at 4.728, up 0.077 or 1.66%, with a trading volume of 11.9544 million shares, an increase of 11.8828 million shares, and a trading volume of 5.620 billion yuan, an increase of 2.276 billion yuan [4]. - The SSE 500 ETF closed at 7.462, up 0.126 or 1.72%, with a trading volume of 3.3294 million shares, an increase of 3.3073 million shares, and a trading volume of 2.473 billion yuan, an increase of 0.839 billion yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.543, up 0.019 or 1.25%, with a trading volume of 35.143 million shares, an increase of 34.8542 million shares, and a trading volume of 5.345 billion yuan, an increase of 0.899 billion yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.510, up 0.017 or 1.14%, with a trading volume of 10.5311 million shares, an increase of 10.4435 million shares, and a trading volume of 1.566 billion yuan, an increase of 0.245 billion yuan [4]. - The Shenzhen 300 ETF closed at 4.880, up 0.080 or 1.67%, with a trading volume of 2.5923 million shares, an increase of 2.5808 million shares, and a trading volume of 1.257 billion yuan, an increase of 0.702 billion yuan [4]. - The Shenzhen 500 ETF closed at 2.980, up 0.046 or 1.57%, with a trading volume of 1.254 million shares, an increase of 1.2335 million shares, and a trading volume of 0.371 billion yuan, a decrease of 0.236 billion yuan [4]. - The Shenzhen 100 ETF closed at 3.608, up 0.079 or 2.24%, with a trading volume of 0.7154 million shares, an increase of 0.7098 million shares, and a trading volume of 0.256 billion yuan, an increase of 0.057 billion yuan [4]. - The ChiNext ETF closed at 3.213, up 0.084 or 2.68%, with a trading volume of 16.3285 million shares, an increase of 16.1592 million shares, and a trading volume of 5.208 billion yuan, a decrease of 0.16 billion yuan [4]. 3.3 Option Factor - Volume and Position PCR - For the SSE 50 ETF option, the trading volume was 1.4737 million contracts, an increase of 0.6855 million contracts, the open interest was 1.2883 million contracts, an increase of 0.062 million contracts, the trading volume PCR was 0.59, a decrease of 0.32, and the open interest PCR was 0.78, an increase of 0.02 [6]. - For the SSE 300 ETF option, the trading volume was 1.4472 million contracts, an increase of 0.5099 million contracts, the open interest was 1.1082 million contracts, an increase of 0.0283 million contracts, the trading volume PCR was 0.87, a decrease of 0.35, and the open interest PCR was 1.04, a decrease of 0.01 [6]. - For the SSE 500 ETF option, the trading volume was 1.5295 million contracts, an increase of 0.086 million contracts, the open interest was 1.0855 million contracts, an increase of 0.0289 million contracts, the trading volume PCR was 0.91, a decrease of 0.28, and the open interest PCR was 1.29, a decrease of 0.01 [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 1.4806 million contracts, an increase of 0.0463 million contracts, the open interest was 1.7509 million contracts, an increase of 0.0807 million contracts, the trading volume PCR was 0.87, a decrease of 0.09, and the open interest PCR was 1.04, a decrease of 0.02 [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 0.314 million contracts, an increase of 0.0295 million contracts, the open interest was 0.4785 million contracts, an increase of 0.0301 million contracts, the trading volume PCR was 0.80, an increase of 0.03, and the open interest PCR was 0.96, a decrease of 0.01 [6]. - For the Shenzhen 300 ETF option, the trading volume was 0.2741 million contracts, an increase of 0.1395 million contracts, the open interest was 0.2646 million contracts, an increase of 0.0361 million contracts, the trading volume PCR was 0.92, an increase of 0.14, and the open interest PCR was 0.84, an increase of 0.06 [6]. - For the Shenzhen 500 ETF option, the trading volume was 0.2622 million contracts, an increase of 0.0865 million contracts, the open interest was 0.318 million contracts, an increase of 0.0126 million contracts, the trading volume PCR was 1.02, a decrease of 0.04, and the open interest PCR was 0.88, an increase of 0.02 [6]. - For the Shenzhen 100 ETF option, the trading volume was 0.1279 million contracts, an increase of 0.0034 million contracts, the open interest was 0.1178 million contracts, an increase of 0.0049 million contracts, the trading volume PCR was 2.92, a decrease of 0.34, and the open interest PCR was 1.16, a decrease of 0.02 [6]. - For the ChiNext ETF option, the trading volume was 1.7877 million contracts, an increase of 0.0179 million contracts, the open interest was 1.5818 million contracts, an increase of 0.0333 million contracts, the trading volume PCR was 0.92, a decrease of 0.10, and the open interest PCR was 1.33, an increase of 0.14 [6]. - For the SSE 50 index option, the trading volume was 0.0741 million contracts, an increase of 0.0456 million contracts, the open interest was 0.0714 million contracts, an increase of 0.0017 million contracts, the trading volume PCR was 0.45, a decrease of 0.10, and the open interest PCR was 0.70, an increase of 0.04 [6]. - For the CSI 300 index option, the trading volume was 0.176 million contracts, an increase of 0.0696 million contracts, the open interest was 0.1786 million contracts, an increase of 0.0024 million contracts, the trading volume PCR was 0.55, a decrease of 0.21, and the open interest PCR was 0.92, an increase of 0.05 [6]. - For the CSI 1000 index option, the trading volume was 0.3066 million contracts, an increase of 0.0241 million contracts, the open interest was 0.2735 million contracts, a decrease of 0.0001 million contracts, the trading volume PCR was 0.80, a decrease of 0.27, and the open interest PCR was 0.99, an increase of 0.02 [6]. 3.4 Option Factor - Pressure Point and Support Point - For the SSE 50 ETF option, the underlying closing price was 3.109, the at-the-money strike price was 3.10, the pressure point was 3.10, the pressure point deviation was 0.00, the support point was 3.10, the support point deviation was 0.10, the maximum long position of call options was 128,775 contracts, and the maximum long position of put options was 86,084 contracts [8]. - For the SSE 300 ETF option, the underlying closing price was 4.728, the at-the-money strike price was 4.70, the pressure point was 4.70, the pressure point deviation was 0.00, the support point was 4.60, the support point deviation was 0.00, the maximum long position of call options was 87,647 contracts, and the maximum long position of put options was 83,270 contracts [8]. - For the SSE 500 ETF option, the underlying closing price was 7.462, the at-the-money strike price was 7.50, the pressure point was 7.50, the pressure point deviation was 0.00, the support point was 7.00, the support point deviation was 0.00, the maximum long position of call options was 81,999 contracts, and the maximum long position of put options was 92,250 contracts [8]. - For the Huaxia Science and Technology Innovation 50 ETF option, the underlying closing price was 1.543, the at-the-money strike price was 1.55, the pressure point was 1.55, the pressure point deviation was 0.00, the support point was 1.50, the support point deviation was 0.15, the maximum long position of call options was 94,489 contracts, and the maximum long position of put options was 64,694 contracts [8]. - For the E Fund Science and Technology Innovation 50 ETF option, the underlying closing price was 1.510, the at-the-money strike price was 1.50, the pressure point was 1.50, the pressure point deviation was 0.00, the support point was 1.35, the support point deviation was 0.00, the maximum long position of call options was 30,321 contracts, and the maximum long position of put options was 16,868 contracts [8]. - For the Shenzhen 300 ETF option, the underlying closing price was 4.880, the at-the-money strike price was 4.90, the pressure point was 5.00, the pressure point deviation was 0.10, the support point was 4.80, the support point deviation was 0.00, the maximum long position of call options was 18,754 contracts, and the maximum long position of put options was 17,107 contracts [8]. - For the Shenzhen 500 ETF option, the underlying closing price was 2.980, the at-the-money strike price was 3.00, the pressure point was 3.00, the pressure point deviation was 0.05, the support point was 2.95, the support point deviation was 0.00, the maximum long position of call options was 18,749 contracts, and the maximum long position of put options was 12,971 contracts [8]. - For the Shenzhen 100 ETF option, the underlying closing price was 3.608, the at-the-money strike price was 3.60, the pressure point was 3.60, the pressure point deviation was 0.00, the support point was 3.50, the support point deviation was 0.00, the maximum long position of call options was 12,164 contracts, and the maximum long position of put options was 8,031 contracts [8]. - For the ChiNext ETF option, the underlying closing price was 3.213, the at-the-money strike price was 3.20, the pressure point was 3.20, the pressure point deviation was 0.00, the support point was 3.10, the support point deviation was 0.00, the maximum long position of call options was 101,833 contracts, and the maximum long position of put options was 84,037 contracts [8]. - For the SSE 50 index option, the underlying closing price was 2,973.04, the at-the-money strike price was 2,950, the pressure point was 3,000, the pressure point deviation was 0, the support point was 2,850, the support point deviation was 0, the maximum long position of call options was 5,255 contracts, and the maximum long position of put options was 3,517 contracts [8]. - For the CSI 300 index option, the underlying closing price was 4,620.05, the at-the-money strike price was 4,600, the pressure point was 4,600, the pressure point deviation was 0, the support point was 4,500, the support point deviation was 0, the maximum long position of call options was 8,031 contracts, and the maximum long position of put options was 9,327 contracts [8]. - For the CSI 1000 index option, the underlying closing price was 7,497.83, the at-the-money strike price was 7,500, the pressure point was 7,500, the pressure point deviation was 0, the support point was 7,000, the support point deviation was 0, the maximum long position of call options

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a market trend of gradually declining in the long position direction, then rebounding and rising, and finally oscillating at a high level [3]. - The implied volatility of financial options remained at a relatively high level of fluctuation [3]. - For ETF options, it is suitable to construct a long-biased buyer strategy and a bullish spread combination strategy of call options; for index options, it is suitable to construct a long-biased seller strategy, a bullish spread combination strategy of call options, and an arbitrage strategy of synthetic long futures with options and short futures [3]. 3. Summary According to Relevant Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,828.11, down 25.20 points or 0.65%, with a trading volume of 927.9 billion yuan, a decrease of 73.3 billion yuan [3]. - The Shenzhen Component Index closed at 13,209.00, down 236.90 points or 1.76%, with a trading volume of 1,219 billion yuan, a decrease of 150.9 billion yuan [3]. - The Shanghai 50 Index closed at 2,941.02, down 11.72 points or 0.40%, with a trading volume of 150.2 billion yuan, a decrease of 8.5 billion yuan [3]. - The CSI 300 Index closed at 4,550.05, down 43.44 points or 0.95%, with a trading volume of 598.7 billion yuan, a decrease of 71.1 billion yuan [3]. - The CSI 500 Index closed at 7,240.91, down 100.41 points or 1.37%, with a trading volume of 430.2 billion yuan, a decrease of 62.8 billion yuan [3]. - The CSI 1000 Index closed at 7,397.59, down 108.92 points or 1.45%, with a trading volume of 436.9 billion yuan, a decrease of 27.9 billion yuan [3]. 3.2 Option Underlying ETF Market Overview - The Shanghai 50 ETF closed at 3.077, down 0.010 or 0.32%, with a trading volume of 4.6557 million shares, an increase of 4.5999 million shares, and a trading volume of 1.435 billion yuan, a decrease of 286 million yuan [4]. - The Shanghai 300 ETF closed at 4.651, down 0.044 or 0.94%, with a trading volume of 7.1531 million shares, an increase of 7.0759 million shares, and a trading volume of 3.345 billion yuan, a decrease of 270 million yuan [4]. - The Shanghai 500 ETF closed at 7.336, down 0.105 or 1.41%, with a trading volume of 2.21 million shares, an increase of 2.1936 million shares, and a trading volume of 1.634 billion yuan, an increase of 412 million yuan [4]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.524, down 0.024 or 1.55%, with a trading volume of 28.8739 million shares, an increase of 28.5448 million shares, and a trading volume of 4.446 billion yuan, a decrease of 640 million yuan [4]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.493, down 0.020 or 1.32%, with a trading volume of 8.7634 million shares, an increase of 8.6592 million shares, and a trading volume of 1.32 billion yuan, a decrease of 253 million yuan [4]. - The Shenzhen 300 ETF closed at 4.800, down 0.044 or 0.91%, with a trading volume of 1.1526 million shares, an increase of 1.1384 million shares, and a trading volume of 556 million yuan, a decrease of 134 million yuan [4]. - The Shenzhen 500 ETF closed at 2.934, down 0.036 or 1.21%, with a trading volume of 2.052 million shares, an increase of 2.041 million shares, and a trading volume of 607 million yuan, an increase of 281 million yuan [4]. - The Shenzhen 100 ETF closed at 3.529, down 0.066 or 1.84%, with a trading volume of 557,900 shares, an increase of 550,100 shares, and a trading volume of 199 million yuan, a decrease of 81 million yuan [4]. - The ChiNext ETF closed at 3.129, down 0.082 or 2.55%, with a trading volume of 16.9276 million shares, an increase of 16.765 million shares, and a trading volume of 5.368 billion yuan, an increase of 168 million yuan [4]. 3.3 Option Factor - Volume and Open Interest PCR - For the Shanghai 50 ETF, the trading volume was 788,200 contracts, a decrease of 95,600 contracts; the open interest was 1,226,300 contracts, an increase of 72,800 contracts; the trading volume PCR was 0.91, an increase of 0.06; the open interest PCR was 0.76, a decrease of 0.01 [6]. - For the Shanghai 300 ETF, the trading volume was 937,300 contracts, a decrease of 123,700 contracts; the open interest was 1,079,900 contracts, an increase of 40,300 contracts; the trading volume PCR was 1.23, an increase of 0.38; the open interest PCR was 1.05, a decrease of 0.07 [6]. - For the Shanghai 500 ETF, the trading volume was 1,443,500 contracts, a decrease of 49,100 contracts; the open interest was 1,056,600 contracts, an increase of 66,300 contracts; the trading volume PCR was 1.19, an increase of 0.10; the open interest PCR was 1.30, a decrease of 0.06 [6]. - For the Huaxia Science and Technology Innovation 50 ETF, the trading volume was 1,434,300 contracts, a decrease of 322,400 contracts; the open interest was 1,670,200 contracts, an increase of 95,200 contracts; the trading volume PCR was 0.96, an increase of 0.22; the open interest PCR was 1.06, unchanged [6]. - For the E Fund Science and Technology Innovation 50 ETF, the trading volume was 284,500 contracts, a decrease of 60,900 contracts; the open interest was 448,400 contracts, an increase of 26,100 contracts; the trading volume PCR was 0.77, an increase of 0.18; the open interest PCR was 0.97, unchanged [6]. - For the Shenzhen 300 ETF, the trading volume was 134,500 contracts, a decrease of 45,800 contracts; the open interest was 228,500 contracts, an increase of 11,000 contracts; the trading volume PCR was 0.78, a decrease of 0.06; the open interest PCR was 0.78, a decrease of 0.12 [6]. - For the Shenzhen 500 ETF, the trading volume was 175,700 contracts, a decrease of 138,000 contracts; the open interest was 305,300 contracts, an increase of 600 contracts; the trading volume PCR was 1.06, a decrease of 0.01; the open interest PCR was 0.87, a decrease of 0.03 [6]. - For the Shenzhen 100 ETF, the trading volume was 124,500 contracts, an increase of 55,300 contracts; the open interest was 112,800 contracts, an increase of 22,100 contracts; the trading volume PCR was 3.26, an increase of 1.98; the open interest PCR was 1.18, unchanged [6]. - For the ChiNext ETF, the trading volume was 1,769,800 contracts, a decrease of 188,400 contracts; the open interest was 1,548,500 contracts, an increase of 115,300 contracts; the trading volume PCR was 1.02, an increase of 0.24; the open interest PCR was 1.19, a decrease of 0.16 [6]. - For the Shanghai 50 index options, the trading volume was 28,500 contracts, a decrease of 7,200 contracts; the open interest was 69,700 contracts, an increase of 3,100 contracts; the trading volume PCR was 0.55, an increase of 0.09; the open interest PCR was 0.66, an increase of 0.02 [6]. - For the CSI 300 index options, the trading volume was 106,400 contracts, a decrease of 27,800 contracts; the open interest was 176,200 contracts, an increase of 5,800 contracts; the trading volume PCR was 0.76, an increase of 0.09; the open interest PCR was 0.87, a decrease of 0.02 [6]. - For the CSI 1000 index options, the trading volume was 282,500 contracts, an increase of 53,400 contracts; the open interest was 273,600 contracts, an increase of 9,800 contracts; the trading volume PCR was 1.07, an increase of 0.27; the open interest PCR was 0.98, a decrease of 0.04 [6]. 3.4 Option Factor - Pressure and Support Levels - For the Shanghai 50 ETF, the closing price was 3.077, the at-the-money strike price was 3.10, the pressure level was 3.10, the support level was 3.00, the maximum open interest for call options was 125,773 contracts, and the maximum open interest for put options was 75,082 contracts [8]. - For the Shanghai 300 ETF, the closing price was 4.651, the at-the-money strike price was 4.70, the pressure level was 4.70, the support level was 4.60, the maximum open interest for call options was 84,102 contracts, and the maximum open interest for put options was 76,974 contracts [8]. - For the Shanghai 500 ETF, the closing price was 7.336, the at-the-money strike price was 7.25, the pressure level was 7.50, the support level was 7.00, the maximum open interest for call options was 85,185 contracts, and the maximum open interest for put options was 87,549 contracts [8]. - For the Huaxia Science and Technology Innovation 50 ETF, the closing price was 1.524, the at-the-money strike price was 1.50, the pressure level was 1.55, the support level was 1.35, the maximum open interest for call options was 86,459 contracts, and the maximum open interest for put options was 59,837 contracts [8]. - For the E Fund Science and Technology Innovation 50 ETF, the closing price was 1.493, the at-the-money strike price was 1.50, the pressure level was 1.50, the support level was 1.35, the maximum open interest for call options was 27,628 contracts, and the maximum open interest for put options was 17,091 contracts [8]. - For the Shenzhen 300 ETF, the closing price was 4.800, the at-the-money strike price was 4.80, the pressure level was 4.90, the support level was 4.80, the maximum open interest for call options was 19,543 contracts, and the maximum open interest for put options was 12,076 contracts [8]. - For the Shenzhen 500 ETF, the closing price was 2.934, the at-the-money strike price was 2.95, the pressure level was 2.95, the support level was 2.95, the maximum open interest for call options was 19,502 contracts, and the maximum open interest for put options was 12,725 contracts [8]. - For the Shenzhen 100 ETF, the closing price was 3.529, the at-the-money strike price was 3.50, the pressure level was 3.60, the support level was 3.50, the maximum open interest for call options was 12,404 contracts, and the maximum open interest for put options was 9,151 contracts [8]. - For the ChiNext ETF, the closing price was 3.129, the at-the-money strike price was 3.10, the pressure level was 3.20, the support level was 3.10, the maximum open interest for call options was 116,362 contracts, and the maximum open interest for put options was 75,995 contracts [8]. - For the Shanghai 50 index options, the closing price was 2,941.02, the at-the-money strike price was 2,950, the pressure level was 3,000, the support level was 2,850, the maximum open interest for call options was 6,003 contracts, and the maximum open interest for put options was 3,158 contracts [8]. - For the CSI 300 index options, the closing price was 4,550.05, the at-the-money strike price was 4,550, the pressure level was 4,600, the support level was 4,500, the maximum open interest for call options was 8,962 contracts, and the maximum open interest for put options was 7,653 contracts [8]. - For the CSI 1000 index options, the closing price was 7,397.59, the at-the-money strike price was 7,400, the pressure level was 7,500, the support level was 7,000, the maximum open interest for call options was 11,839 contracts, and the maximum open interest for put options was 7,776 contracts [8]. 3.5 Option Factor - Implied Volatility - For the Shanghai 50 ETF options, the at-the-money implied volatility was 18.23%, the weighted implied volatility was 19.81%, an increase of 0.45 percentage points, the annual average implied volatility was 16.11%, the call option implied volatility was 20.26%, the put option implied volatility was 19.12%, the historical volatility (HISV20) was 18.57%, and the difference between implied and historical volatility was 1.24 percentage points [11]. - For the Shanghai 300 ETF options, the at-the-money implied volatility was 19.26%, the weighted implied volatility was 20.31%, an increase of 0.82 percentage points, the annual average implied volatility was 16.56%, the call option implied volatility was 20.30%, the put option implied volatility was 20.32%, the historical volatility (HISV20) was 18.40%, and the difference between implied and historical volatility was 1.91 percentage points [11]. - For the Shanghai 500 ETF options, the at-the-money implied volatility was 26.30%, the weighted implied volatility was 27.75%, an increase of 1.01 percentage points, the annual average implied volatility was 20.39%, the call

1. Report Industry Investment Rating - There is no information provided in the report regarding the industry investment rating. 2. Core Viewpoints of the Report - All stock indices oscillated and pulled back on the day, with the total trading volume of the Shanghai, Shenzhen, and Beijing stock markets reaching 2166.1 billion yuan, a decrease of 225.7 billion yuan from the previous day [3]. - Trump's recent announcement of a new round of high - tariffs on various imported products has led to an increase in market risk - aversion sentiment [3]. - As the valuation has risen significantly, especially when the index rebounded near the previous high, the profit - taking demand of profitable funds has increased. Additionally, with the approaching National Day holiday, investors' desire to secure profits has grown [3]. - In the medium - to - long term, the expectation of policy benefits and the long - term net inflow trend of funds constitute the medium - to - long - term driving force for the upward movement of stock indices [3]. - In the future, the focus will be on the game between the rhythm of profit - taking by funds and the fermentation of policy expectations. In general, due to the index approaching the previous high and the approaching holiday, the stock index is expected to fluctuate widely in the short term [3]. - Currently, the implied volatility of options has declined. Considering the medium - to - long - term upward trend of the stock index, investors can continue to hold bull spreads or ratio spreads [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On September 26, 2025, the 50ETF fell 0.32% to close at 3.077; the 300ETF (Shanghai Stock Exchange) fell 0.94% to close at 4.651; the 300ETF (Shenzhen Stock Exchange) fell 0.91% to close at 4.800; the CSI 300 Index fell 0.95% to close at 4550.05; the CSI 1000 Index fell 1.45% to close at 7397.59; the 500ETF (Shanghai Stock Exchange) fell 1.41% to close at 7.336; the 500ETF (Shenzhen Stock Exchange) fell 1.21% to close at 2.934; the ChiNext ETF fell 2.55% to close at 3.129; the Shenzhen 100ETF fell 1.84% to close at 3.529; the SSE 50 Index fell 0.40% to close at 2941.02; the Science and Technology Innovation 50ETF fell 1.55% to close at 1.52; and the E Fund Science and Technology Innovation 50ETF fell 1.32% to close at 1.49 [5]. - The trading volume PCR and open - interest PCR of various options changed compared to the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 91.14 (85.45 the previous day), and the open - interest PCR was 78.68 (77.23 the previous day) [6]. - The implied volatility of the at - the - money options in October 2025 and the 30 - trading - day historical volatility of the underlying assets of various options were provided. For instance, the implied volatility of the at - the - money options of SSE 50ETF options in October 2025 was 14.64%, and the 30 - trading - day historical volatility of the underlying asset was 15.75% [7]. 3.2 Relevant Charts - **SSE 50ETF Options**: Charts include the SSE 50ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [9][11][13][17]. - **SSE 300ETF Options**: Charts cover the SSE 300ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [20][22][24][30]. - **SZSE 300ETF Options**: Charts involve the SZSE 300ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [33][34]. - **CSI 300 Index Options**: Charts include the CSI 300 index trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [36][38][40][42][46]. - **CSI 1000 Index Options**: Charts cover the CSI 1000 index trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [49][51][53][55][59]. - **SSE 500ETF Options**: Charts involve the SSE 500ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [62][64][65][71]. - **SZSE 500ETF Options**: Charts include the SZSE 500ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [75][79][80][82][87]. - **ChiNext ETF Options**: Charts cover the ChiNext ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [90][92][93][98]. - **Shenzhen 100ETF Options**: Charts involve the Shenzhen 100ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [103][105][107][113]. - **SSE 50 Index Options**: Charts include the SSE 50 index trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [116][118][120][126]. - **Science and Technology Innovation 50ETF Options**: Charts cover the Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [129][131][133]. - **E Fund Science and Technology Innovation 50ETF Options**: Charts involve the E Fund Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [137][139][141][147].

Report Summary 1) Report Industry Investment Rating No relevant information provided. 2) Core Viewpoints of the Report - The stock market shows a market trend where the Shanghai Composite Index, large - cap blue - chip stocks, small and medium - cap stocks, and ChiNext stocks decline on the long - position side, then rebound and oscillate at a high level [3]. - The implied volatility of financial options maintains a relatively high - level fluctuation [3]. - For ETF options, it is suitable to construct a long - biased buyer strategy and a bull spread combination strategy of call options; for index options, it is suitable to construct a long - biased seller strategy, a bull spread combination strategy of call options, and an arbitrage strategy between synthetic long futures of options and short futures [3]. 3) Summary by Relevant Catalogs Stock Market Overview - **Important Indexes**: The Shanghai Composite Index closed at 3,853.30, down 0.01%; the Shenzhen Component Index closed at 13,445.90, up 0.67%; the SSE 50 closed at 2,952.74, up 0.45%; the CSI 300 closed at 4,593.49, up 0.60%; the CSI 500 closed at 7,341.32, up 0.24%; the CSI 1000 closed at 7,506.51, down 0.37% [3]. - **ETF Market**: Different ETFs showed different price changes, such as the SSE 50 ETF closing at 3.087, up 0.49%, and the Huaxia Science and Technology Innovation 50 ETF closing at 1.548, up 1.18% [4]. Option Factor Analysis - **Volume and Position PCR**: Different option varieties have different volume and position PCR values and their changes, which can be used to describe the strength of the option underlying market and the turning point of the underlying market [6][7]. - **Pressure and Support Points**: By looking at the strike prices of the maximum positions of call and put options, the pressure and support points of the option underlying can be determined, such as the pressure point of the SSE 50 ETF is 3.10 and the support point is 3.00 [8][10]. - **Implied Volatility**: The implied volatility of options, including at - the - money implied volatility and weighted implied volatility, shows different levels and changes for different option varieties [11][12]. Strategy and Recommendations - **Overall Strategy**: The financial option sector is divided into several sub - sectors, and different option strategies are recommended for each sub - sector, including directional strategies, volatility strategies, and spot long - position covered call strategies [13]. - **Sub - sector Strategies** - **Financial Stocks**: For the SSE 50 ETF and SSE 50, construct a seller long - biased combination strategy and a spot long - position covered call strategy [14]. - **Large - cap Blue - chip Stocks**: For the SSE 300 ETF, SZSE 300 ETF, and CSI 300, construct a bull spread combination strategy of call options, a short - volatility strategy, and a spot long - position covered call strategy [14]. - **Medium - sized Stocks**: For the SZSE 100 ETF, construct a bull spread combination strategy of call options, a short - volatility strategy, and a spot long - position covered call strategy [15]. - **Small - cap Stocks**: For the SSE 500 ETF, SZSE 500 ETF, and CSI 1000, construct a bull spread combination strategy of call options, a short - volatility strategy (for CSI 1000), and a spot long - position covered call strategy [15][16]. - **ChiNext Stocks**: For the ChiNext ETF, Huaxia Science and Technology Innovation 50 ETF, and E Fund Science and Technology Innovation 50 ETF, construct a bull call option combination strategy, a short - volatility strategy, and a spot long - position covered call strategy [16].

Group 1: Report Overview - Report Title: Financial Options Strategy Morning Report [1] - Report Date: September 25, 2025 - Analysts: Lu Pinxian, Huang Kehan [2] Group 2: Market Conditions Stock Market Review - The Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks showed a market trend of rising, falling back, rebounding, and then oscillating at a high level in the bullish direction [3] Financial Market Indexes - The Shanghai Composite Index closed at 3,853.64, up 0.83% with a trading volume of 101.57 billion yuan [4] - The Shenzhen Component Index closed at 13,356.14, up 1.80% with a trading volume of 131.11 billion yuan [4] ETF Market Conditions - The Shanghai 50 ETF closed at 3.072, up 0.59% with a trading volume of 8.0898 million shares and a turnover of 2.479 billion yuan [5] - The Shanghai 300 ETF closed at 4.663, up 0.89% with a trading volume of 10.0449 million shares and a turnover of 4.656 billion yuan [5] Group 3: Option Factors Volume and Open Interest PCR - The volume PCR and open interest PCR of various options showed different trends, reflecting changes in market sentiment [6] Implied Volatility - The implied volatility of financial options gradually rose to a relatively high level around the mean [3] Group 4: Strategy and Recommendations Overall Strategy - For ETF options, it is suitable to construct a bullish buyer strategy and a call option bull spread combination strategy [3] - For index options, it is suitable to construct a bullish seller strategy, a call option bull spread combination strategy, and an arbitrage strategy between synthetic option futures long and futures short [3] Sector-Specific Strategies - Financial Stocks Sector (Shanghai 50 ETF, Shanghai 50): Construct a seller's bullish combination strategy and a spot long covered call strategy [14] - Large-Cap Blue-Chip Stocks Sector (Shanghai 300 ETF, Shenzhen 300 ETF, CSI 300): Construct a call option bull spread combination strategy, a short volatility strategy, and a spot long covered call strategy [14] - Medium-Sized Stocks Sector (Shenzhen 100 ETF): Construct a call option bull spread combination strategy, a short volatility strategy, and a spot long covered call strategy [15] - Small and Medium-Cap Stocks Sector (Shanghai 500 ETF, Shenzhen 500 ETF, CSI 1000): Construct a call option bull spread combination strategy and a short volatility strategy [15][16] - ChiNext Sector (ChiNext ETF, Huaxia Science and Technology Innovation 50 ETF, E Fund Science and Technology Innovation 50 ETF): Construct a bullish call option combination strategy, a short volatility strategy, and a spot long covered call strategy [16]