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

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The implied volatility of financial options is negatively correlated with the underlying asset's movement, and the market's bullish sentiment has declined [1] Summary by Relevant Catalogs 1. Option Market Trading Overview - The total daily average trading volume of all options is 10.129 million lots, with a total daily average turnover of 11.5072668 billion yuan. The trading volume and turnover of each option variety vary, with ETF options generally having higher trading volume and turnover compared to index options [1] 2. Option Volatility Statistics - On the last trading day of the week, the ATM - IV, IV change, same - term HV, HV change, Skew, Skew change, VIX, and VIX change of different options are presented. For example, the ATM - IV of Shanghai 50 Index Options is 15.25% with a 1.67% change, and its same - term HV is 17.36% with a 7.97% change [3] 3. Option Liquidity - Multiple charts are used to show the changes in total trading volume, total open interest, total turnover, total trading market value, and total open - interest market value of financial options, as well as the trading volume and open - interest proportions of each option variety [4][6][8] 4. Option Volatility Level - Last week, there was a divergence between the at - the - money implied volatility (ATM - IV) and historical volatility (HV) of options. The current ATM - IV of different options ranges from 15.25% to 44.43%. The underlying assets and ATM - IV showed a negative correlation last week, with correlation coefficients ranging from - 2.62% to - 84.04% [9][23][29] 5. Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of options can reflect the market's bull - bear sentiment to some extent. Multiple charts show the PCR trends and daily -环比 incremental percentages of different options [36][37][38] 6. Market Support and Resistance Levels - The key support and resistance levels of different option underlying assets are provided. For example, the key support level of the Shanghai 50 Index is 2900, and the resistance level is 3000; the key support level of the CSI 1000 Index is 7000, and the resistance level is 7600 [52]

Report Summary 1. Report Industry Investment Rating - No information provided 2. Core Viewpoints - The report presents the daily data of stock index options, including the performance of major indices, trading volume, open interest, and volatility analysis of Shanghai - Shenzhen 300, Shanghai Stock Exchange 50, and China Securities 1000 [3][4] 3. Summary by Directory 3.1 Market Review - **Index Performance**: The Shanghai Composite Index rose 1.32% to 3933.97 points, the Shenzhen Component Index rose 1.47%, the ChiNext Index rose 0.73%, the Beijing Stock Exchange 50 fell 0.18%, the Science and Technology Innovation 50 rose 2.93%, the Wind All - A rose 1.31%, the Wind A500 rose 1.56%, and the China Securities A500 rose 1.59%. A - shares traded 2.67 trillion yuan throughout the day, compared with 2.2 trillion yuan the previous day [4][5] - **Index Details**: The Shanghai Stock Exchange 50 closed at 2319.23 with a turnover of 3020.5964 billion yuan and a trading volume of 1.06 billion; the Shanghai - Shenzhen 300 closed at 8622.08 with a turnover of 4709.482 billion yuan and a trading volume of 347.68; the China Securities 1000 closed at 7648.0523 with a turnover of 5305.00 billion yuan and a trading volume of 303.49 [3] 3.2 CFFEX Stock Index Options Trading Situation - **Trading Volume and Open Interest**: For the Shanghai Stock Exchange 50, the call option trading volume was 6.84 million, the put option trading volume was 7.04 million, the call option open interest was 3.95 million, and the put option open interest was 3.09 million; for the Shanghai - Shenzhen 300, the call option trading volume was 11.83 million, the put option trading volume was 17.90 million, the call option open interest was 19.00 million, and the put option open interest was 8.94 million; for the China Securities 1000, the call option trading volume was 30.05 million, the put option trading volume was 15.64 million, the call option open interest was 27.69 million, and the put option open interest was 14.41 million [3] - **PCR (Put - Call Ratio)**: The trading volume PCR for the Shanghai Stock Exchange 50 was 0.78, the open interest PCR was 0.49; for the Shanghai - Shenzhen 300, the trading volume PCR was 1.00, the open interest PCR was 8.96; for the China Securities 1000, the trading volume PCR was 0.92, the open interest PCR was 1.06 [3] 3.3 Volatility Analysis - **Historical Volatility and Volatility Cone**: The report shows the historical volatility and volatility cone of the Shanghai Stock Exchange 50, Shanghai - Shenzhen 300, and China Securities 1000, including the minimum, 10% quantile, 30% quantile, maximum, 90% quantile, 60% quantile, and current values [3][4] - **Volatility Smile Curve**: The report presents the next - month at - the - money implied volatility smile curves of the Shanghai Stock Exchange 50, Shanghai - Shenzhen 300, and China Securities 1000 [3][4]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints of the Report - The stock market showed strong performance, with the Shanghai Composite Index breaking through 3900 points. The bond market closed higher across the board. For stock index futures, continue to over - allocate IM long positions. For stock index options, maintain a high - level hedging strategy. For treasury bond futures, the market is in a cautious and volatile state, and long - end arbitrage opportunities are recommended [1][2][3] Summary by Relevant Catalogs 1. Market Views Stock Index Futures - The Shanghai Composite Index broke through 3900 points. On the first trading day after the holiday, the equity market was generally positive. Sectors such as non - ferrous metals, semiconductors, and power generation equipment led the gains, and the ChiNext and STAR Market styles continued to outperform. The CSI 500 Index was strong, related to its physical attributes. The trading volume was close to 2.7 trillion, indicating high market activity. After the holiday, continue to focus on growth sectors. The strategy is to continue to over - allocate IM long positions [1][7] Stock Index Options - Options continue with a high - level hedging strategy. The equity index rose strongly, with the Shanghai Composite Index rising 1.32% in a single day. On October 9, the implied volatility of various option varieties decreased by about 4% on average. Although the short - volatility strategy performed well, it is necessary to use option purchases to hedge positions. The trading volume of call and put options of CSI 1000 index options increased, indicating market adoption of the option - purchase hedging strategy. Overall, the option strategy recommends high - level defense [2][7] Treasury Bond Futures - Treasury bond futures closed higher across the board. T, TF, TS, and TL main contracts rose 0.15%, 0.07%, 0.02%, and 0.46% respectively. Although the central bank had a net reverse - repurchase withdrawal of 1.45 trillion, it carried out a 1.1 - trillion 3 - month outright reverse - repurchase, and the overnight funding became looser. In the short term, factors such as fund fee reform and the stock - bond seesaw may continue to affect the bond market. The bond market is in a cautious and volatile state, and it is recommended to pay attention to long - end arbitrage opportunities [3][7][8] 2. Economic Calendar - The economic data released this week include China's September official manufacturing PMI (49.8, with a previous value of 49.4 and a forecast of 50.1), the US September ISM manufacturing PMI (49.1, with a previous value of 48.7), and China's September foreign exchange reserves ($33386.58 billion, with a previous value of $33221.54 billion) [10] 3. Important Information and News Tracking - Domestic Macro: During the 8 - day National Day and Mid - Autumn Festival holiday, the number of domestic tourist trips reached 888 million, an increase of 123 million compared to the 7 - day National Day holiday in 2024. Domestic tourism spending was 809.006 billion yuan, an increase of 108.189 billion yuan. The average daily sales revenue of national consumption - related industries increased by 4.5% year - on - year [10] - Artificial Intelligence: Ant Group released the trillion - parameter general language model Ling - 1T, which achieved SOTA performance in multiple complex reasoning benchmarks and leading results in many high - difficulty benchmark tests [11] - Overseas Macro: The European Automobile Manufacturers Association said that the EU Commission's reduction of steel import quotas would push up prices and exacerbate inflation, and the complexity of applying new origin rules in the automotive industry should be recognized [11] - Market Access: The Ministry of Commerce included foreign entities such as anti - drone technology companies and TechInsights and their branches in the unreliable entity list, banning relevant import and export, investment, and cooperation activities [12] 4. Derivatives Market Monitoring - Not provided in detail in the given content

Report Summary 1. Core View - A-shares fluctuated lower, with the ChiNext Index falling more than 2% and breaking below 3,200 points. Technology stocks corrected across the board. The Shanghai Composite Index closed down 0.65% at 3,828.11 points, the Shenzhen Component Index fell 1.76%, the ChiNext Index dropped 2.6%, the Beijing Stock Exchange 50 declined 1.81%, the Science and Technology Innovation 50 decreased 1.6%, the Wind All-A fell 1.2%, the Wind A500 dropped 1%, and the CSI A500 decreased 1.14%. A-share trading volume was 2.17 trillion yuan for the day, compared with 2.39 trillion yuan the previous day [5]. 2. Market Data Index Quotes | Index | Closing Price | Change (%) | Trading Volume (billion yuan) | Trading Volume (billion shares) | | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 1,899.69 | 70.63 | 2973.0417 | 1.09 | | CSI 300 | 6,933.95 | 274.36 | 1.54 | 7497.8308 | | CSI 1000 | 1.36 | 258.68 | - | - | [3] CFFEX Stock Index Option Trading | Index | Call Option Volume (million contracts) | Put Option Volume (million contracts) | Total Volume (million contracts) | Call Option Open Interest (million contracts) | Put Option Open Interest (million contracts) | Total Open Interest (million contracts) | Volume PCR | Open Interest PCR | | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | ---- | | SSE 50 | 7.41 | 5.10 | 2.31 | 7.14 | 0.70 | 0.45 | 4.20 | 2.94 | | CSI 300 | 17.60 | 11.38 | 6.22 | 0.55 | 17.86 | 9.31 | 8.55 | 0.92 | | CSI 1000 | 30.66 | 17.05 | 0.80 | 27.35 | 13.61 | 13.63 | 0.99 | - | [3] Volatility Analysis - The report presents historical volatility and volatility cones for the SSE 50, CSI 300, and CSI 1000, as well as their respective volatility smile curves and next-month at-the-money implied volatility [3][4].

中信期货研究|⾦融衍⽣品策略⽇报 2025-09-30 股市偏积极，债市偏谨慎 投资咨询业务资格：证监许可【2012】669号 股指期货：整体情绪偏积极 股指期权：情绪偏强，但期权节前仍建议买权防御 国债期货：债市震荡偏谨慎 股指期货方面，整体情绪偏积极。周一权益市场情绪整体偏积极，新 能源及保险券商异动，市场量能略收缩，节前预计以成长局部行情为主。 值得注意的是，券商股昨日异动，或隐含资金对于节后相对积极的看法。 我们认为节后行情能够持续的原因如下，其一，外部扰动有限，资金对于 美联储四季度降息计价偏积极，弱美元环境利于全球资本市场走势，其 二，十五五规划临近，预计科技及反内卷成为关键词，这或诱发资金提前 布局，政策的看涨期权仍在，其三，9月盘面虽有波折，但整体呈现强韧 性，这有利于吸引增量资金进入股市。故操作层面，节前半仓过节应对不 确定性，节后仍建议积极参与成长及反内卷博弈行情。 ⾦融衍⽣品团队 研究员: 康遵禹 从业资格号:F03090802 投资咨询号:Z0016853 股指期权方面，情绪偏强，但期权节前仍建议买权防御。昨日权益市 场震荡偏强，沪指单日涨幅0.90%。期权方面，各个品种市场成交额提 ...

Core Points - HNA Technology Co., Ltd. held its 12th Board of Directors' fourth meeting on September 29, 2025, to address market volatility risks and ensure stable operations for the company and its subsidiaries [1][2] - The board unanimously approved two significant proposals: the first is to engage in financial derivatives business through forward freight agreements (FFA) to hedge against market risks, with a maximum trading margin of $3 million and a maximum contract value of $30 million on any trading day [1] - The second proposal involves conducting foreign exchange derivatives trading to mitigate exchange rate and interest rate risks, with a maximum trading margin and premium not exceeding $3 million and a total usage limit of $80 million [1] Proposal Details - The FFA business aims to use proprietary funds for hedging purposes, with the approved trading limits valid for 12 months from the board's approval date [1] - The foreign exchange hedging business will allow for a maximum trading amount of $80 million, which can be reused within the authorized period, also valid for 12 months [1] - Both proposals do not constitute related party transactions and do not require shareholder meeting approval, reflecting the company's commitment to proactive risk management and stable operations [2]

Core Viewpoint - JunDa Co., Ltd. (02865) announced plans to conduct foreign exchange hedging activities to mitigate foreign exchange risks and enhance financial stability [1] Group 1: Foreign Exchange Hedging - The company aims to carry out foreign exchange hedging to avoid adverse impacts from significant currency fluctuations on its operations and those of its subsidiaries [1] - The hedging activities are intended to meet normal operational needs and are not for speculative or arbitrage purposes [1] Group 2: Hedging Amount and Terms - The total amount for the proposed foreign exchange hedging activities is set at no more than RMB 1.9 billion (including principal) or equivalent in other currencies [1] - The approved amount can be used in a rolling manner throughout the investment period, with the cumulative amount at any point not exceeding RMB 1.9 billion or its equivalent in other currencies [1]

Market Overview - A-shares fluctuated lower, with the ChiNext Index falling more than 2% and breaking below 3,200 points. Technology stocks pulled back across the board. The Shanghai Composite Index closed down 0.65% at 3,828.11 points, the Shenzhen Component Index fell 1.76%, the ChiNext Index dropped 2.6%, the BeiZheng 50 declined 1.81%, the KeChuang 50 decreased 1.6%, the Wind All A fell 1.2%, the Wind A500 dropped 1%, and the CSI A500 declined 1.14%. The total trading volume of A-shares throughout the day was 2.17 trillion yuan, compared with 2.39 trillion yuan the previous day [5] Index Performance Index Trading Volume and Price | Index | Turnover (billion yuan) | Trading Volume (billion) | Closing Price | Change (%) | | --- | --- | --- | --- | --- | | SSE 50 | 150.188 | 29.410184 | 5,987.24 | -0.40 | | CSI 300 | 455.00487 | 2.0848 | 7,397.5894 | -0.95 | | CSI 1000 | - | 43.6863 | - | -1.45 | [3] CFFEX Stock Index Options Trading | Index | Call Option Volume (million) | Put Option Volume (million) | Volume PCR | Call Option Open Interest (million) | Put Option Open Interest (million) | Open Interest PCR | | --- | --- | --- | --- | --- | --- | --- | | SSE 50 | 2.85 | 1.83 | 0.64 | 2.78 | 1.02 | 0.37 | | CSI 300 | 6.05 | 4.59 | 0.76 | 8.20 | 9.42 | 1.15 | | CSI 1000 | 28.25 | 13.64 | 0.48 | 14.61 | 13.51 | 0.92 | [3] Volatility Analysis SSE 50 Volatility - Historical volatility and historical volatility cone data are presented, along with the volatility smile curve and next-month at-the-money implied volatility [3][4] CSI 300 Volatility - Historical volatility and historical volatility cone data are provided, as well as the volatility smile curve and next-month at-the-money implied volatility [3][4] CSI 1000 Volatility - Historical volatility and historical volatility cone data are shown, along with the volatility smile curve and next-month at-the-money implied volatility [3][4]

Core Insights - The "Swap Connect" mechanism allows domestic and foreign investors to connect through Hong Kong and mainland infrastructure institutions, facilitating participation in both Hong Kong and mainland financial derivative markets [1][3] - Recent optimization measures for "Swap Connect" aim to enhance market vitality and better meet the demand of foreign investors for managing RMB interest rate risks [1][4] Group 1 - "Swap Connect" provides foreign investors with a convenient tool for managing interest rate risks, reducing the impact of interest rate fluctuations on the value of their bond holdings [3] - Since its launch on May 15, 2023, "Swap Connect" has facilitated over 15,000 RMB interest rate swap transactions with a nominal principal of 8.15 trillion yuan from 82 foreign investors across 15 countries and regions by the end of August 2025 [3] - The optimization measures include establishing a dynamic adjustment mechanism for "Swap Connect" quote providers and expanding the pool of quote providers [4] Group 2 - A daily net limit dynamic assessment mechanism will be improved, with the daily net limit set to increase to 45 billion yuan starting from October 13, 2025 [4]