今年的市场特点是方向不确定、事件驱动增强、波动率周期反复，通过量化模型识别波动结构与情绪拐 点，姜炯的团队在震荡市中捕捉到了更稳定的收益机会。"方向往往是偶然的，但波动是必然的。在宏 观不确定性提升的阶段，专注于波动定价和风险暴露管理，比盲目预测方向更能带来稳健收益。"姜炯 对期货日报记者说。 品种上，姜炯的团队主要聚焦科创50、有色金属、黄金、原油、农产品及恒生科技等相关标的。期权方 面，重点布局中证1000、科创50等指数期权，偶尔配合商品期权做互补。"选择这些品种，一方面是基 于基本面的中长期逻辑，比如有色金属受益于全球补库与绿色转型，科创50受益于自主创新政策；另一 方面，我们也看重品种的流动性与波动特征，确保期权策略能有较好的定价与成交效率。"他解释，选 择标的的两个核心标准则是，隐含波动率处于低位、受宏观影响较大，以及受"反内卷"逻辑影响明显。 在入场时机上，他们坚持"基本面定方向，技术面定时机"，期权方面，特别关注市场情绪与波动率位 置。"本质上，我们不做预测型交易，只做逻辑验证后的跟随与保护。"姜炯介绍，识别交易机会依托量 化模型与宏观判断结合的体系，模型部分以波动率结构、量价行为、资金流因子 ...

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - Today, all stock indices fluctuated and consolidated. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 1964.8 billion yuan, a decrease of 49.1 billion yuan compared to the previous day. In the short term, the fermentation rhythm of policy - favorable expectations and the profit - taking rhythm of funds are in a game, and the stock indices are in a volatile and repeated market. In the medium and long term, the policy - favorable expectations and the trend of capital inflow into the stock market together form strong support for the stock indices. Especially next year is the beginning of the "15th Five - Year Plan", and the policy - favorable expectations support the stock indices to rise in the medium and long term. However, the incremental policy signals have weakened in the short term. As the stock valuation has risen significantly, the willingness of profit - making funds to take profits has increased, and the stock indices technically need to consolidate. Overall, with multiple factors at play, the stock indices will mainly fluctuate within a range in the short term. Currently, the implied volatility of options is at a relatively low historical quantile level. Considering the medium - and long - term upward trend of the stock indices, the idea of maintaining a bull spread is recommended [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On November 12, 2025, the 50ETF rose 0.53% to close at 3.197; the 300ETF (Shanghai Stock Exchange) rose 0.04% to close at 4.765; the 300ETF (Shenzhen Stock Exchange) fell 0.06% to close at 4.912; the CSI 300 Index fell 0.13% to close at 4645.91; the CSI 1000 Index fell 0.72% to close at 7486.38; the 500ETF (Shanghai Stock Exchange) fell 0.51% to close at 7.356; the 500ETF (Shenzhen Stock Exchange) fell 0.54% to close at 2.937; the GEM ETF fell 0.16% to close at 3.108; the Shenzhen 100ETF rose 0.09% to close at 3.528; the SSE 50 Index rose 0.32% to close at 3044.30; the Science and Technology Innovation 50ETF fell 0.55% to close at 1.45; the E Fund Science and Technology Innovation 50ETF fell 0.50% to close at 1.41 [5]. - The trading volume PCR and position PCR of various options on November 12, 2025, and their changes compared to the previous trading day are provided in detail, including those of 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), GEM ETF options, Shenzhen 100ETF options, SSE 50 Index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [6]. - The implied volatility of at - the - money options in November 2025 and the 30 - trading - day historical volatility of the underlying assets for various options are also provided, such as 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), GEM ETF options, Shenzhen 100ETF options, SSE 50 Index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [7][8]. 3.2 Relevant Charts - **SSE 50ETF Options**: Include charts of the SSE 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [9]. - **Shanghai Stock Exchange 300ETF Options**: Include charts of the Shanghai Stock Exchange 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [18]. - **Shenzhen Stock Exchange 300ETF Options**: Include charts of the Shenzhen Stock Exchange 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [31]. - **CSI 300 Index Options**: Include charts of the CSI 300 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [43]. - **CSI 1000 Index Options**: Include charts of the CSI 1000 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [56]. - **Shanghai Stock Exchange 500ETF Options**: Include charts of the Shanghai Stock Exchange 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [70]. - **Shenzhen Stock Exchange 500ETF Options**: Include charts of the Shenzhen Stock Exchange 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [83]. - **GEM ETF Options**: Include charts of the GEM ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [96]. - **Shenzhen 100ETF Options**: Include charts of the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [109]. - **SSE 50 Index Options**: Include charts of the SSE 50 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [122]. - **Science and Technology Innovation 50ETF Options**: Include charts of the Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [135]. - **E Fund Science and Technology Innovation 50ETF Options**: Include charts of the E Fund Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [144].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - Today, the stock indices showed mixed trends. The SSE 50 and CSI 300 closed up, while the CSI 500 and CSI 1000 closed down. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1948.7 billion yuan, a decrease of 141.7 billion yuan from the previous day. The latest financial data for September indicates that the financing demand of the household sector remains weak, and the problem of insufficient effective domestic demand persists. Coupled with the ongoing impact of external tariff factors, there are strong expectations for policy measures to stabilize the macro - fundamentals in the future, which will provide long - term support for the stock indices. However, in the short term, there are still uncertainties and risks before November, and the significant increase in stock valuations has led to an increase in investors' willingness to take profits, resulting in short - term technical adjustment pressure. Overall, the subsequent market trend depends on the interaction between profit - taking sentiment and policy - driven positive expectations, and the stock indices are expected to remain volatile in the short term. Currently, the implied volatility of options remains relatively stable. Considering the long - term upward trend of the stock indices, investors can continue to hold bull spreads or covered calls [4]. 3. Summary of Each Section 3.1 Option Indicators - On October 16, 2025, the 50ETF rose 0.67% to close at 3.159; the 300ETF (SSE) rose 0.32% to close at 4.721; the 300ETF (SZSE) rose 0.21% to close at 4.872; the CSI 300 Index rose 0.26% to close at 4618.42; the CSI 1000 Index fell 1.09% to close at 7401.84; the 500ETF (SSE) fell 0.77% to close at 7.336; the 500ETF (SZSE) fell 0.88% to close at 2.927; the GEM ETF rose 0.37% to close at 3.014; the Shenzhen 100ETF rose 0.26% to close at 3.495; the SSE 50 Index rose 0.59% to close at 3019.20; the Science and Technology Innovation 50ETF fell 0.93% to close at 1.49; and the E Fund Science and Technology Innovation 50ETF fell 0.82% to close at 1.46 [6]. - The trading volume PCR and open interest PCR of various options are presented, showing changes compared to the previous trading day [7]. - The implied volatility of at - the - money options and the 30 - day historical volatility of the underlying assets for various options are provided [8][9]. 3.2 Related 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 [10][11][12]. - **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 [22][23][24]. - **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 [35][36][37]. - **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 [48][49][50]. - **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 [61][62][63]. - **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 [75][76][77]. - **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 [87][88][89]. - **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 [100][101][102]. - **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 [113][114][115]. - **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 [126][127][128]. - **Science and Technology Innovation 50ETF Options**: Include charts of 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 different tenors [141][142][143]. - **E Fund Science and Technology Innovation 50ETF Options**: Include charts of 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 different tenors [151][152][153].

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 - Not provided in the content 2. Core Viewpoints of the Report - On September 18, 2025, the stock indexes fluctuated and declined throughout the day, with the Shanghai, Shenzhen, and Beijing stock markets having a total turnover of 3166.6 billion yuan, a significant increase of 763.7 billion yuan from the previous day. The decline was mainly due to large stock price increases and significant valuation improvements, causing investors to lose confidence in chasing prices and increasing their willingness to take profits. [3] - In the medium to long term, stock indexes are strongly supported by favorable macro - policies and net inflows of funds. Given the weak credit and inflation data in August and the slowdown in consumption growth, there is a high expectation of policies to stabilize demand, with the key window period for policy introduction expected to be in October. The significant increase in non - bank deposits in July and August and the high - level operation of margin trading balances indicate continuous inflows of incremental funds into the stock market. [3] - However, due to the significant increase in the valuation of some stocks, there is still a willingness among profitable funds to take profits, leading to short - term technical adjustment pressure on stock indexes. The subsequent focus should be on the game between the rhythm of profit - taking and the fermentation of policy expectations. In general, stock indexes are expected to experience wide - range fluctuations in the short term. [3] - Currently, the implied volatility of options has increased. Considering the long - term upward trend of stock indexes, investors can continue to hold bull spreads or ratio spreads. [3] 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On September 18, 2025, most ETFs and stock indexes declined, except for the科创 50ETF and the 易方达科创 50ETF, which rose by 0.69% and 0.64% respectively. For example, the 50ETF fell 1.30% to 3.048, and the 300ETF (Shanghai Stock Exchange) fell 1.27% to 4.594. [5] - The trading volume PCR and open - interest PCR of various options changed compared to the previous trading day. For instance, the trading volume PCR of the Shanghai Stock Exchange 50ETF options was 78.41 (previous day: 87.34), and the open - interest PCR was 73.26 (previous day: 76.66). [6] - The implied volatility of at - the - money options in September or October 2025 and the 30 - trading - day historical volatility of the underlying assets were provided for different options. For example, the implied volatility of at - the - money options of the Shanghai Stock Exchange 50ETF options in September 2025 was 19.35%, and the 30 - trading - day historical volatility of the underlying asset was 15.12%. [7] 3.2 Relevant Charts - Multiple charts were presented for different types of options, including the trend of the underlying asset, volatility, trading volume PCR, open - interest PCR, implied volatility curve, and the implied volatility of at - the - money options for different terms. For example, for the Shanghai Stock Exchange 50ETF options, there were charts showing its trend, volatility, trading volume PCR, etc. [9][11][13]

Group 1 - The market experienced a V-shaped reversal with the Sci-Tech 50 index rising by 7.23%, while other indices like the Shanghai 50, CSI 300, CSI 500, and CSI 1000 saw increases ranging from 1% to 2.5% [1][2] - The CSI 1000 index rose by 1.51%, with daily trading volume and open interest for its options at 405,700 contracts and 317,400 contracts respectively, showing a slight decrease in PCR values [1] - The CSI 300 index increased by 1.77%, with daily trading volume of 203,300 contracts and open interest of 214,100 contracts, indicating a cautious sentiment among put option sellers [1] Group 2 - The Sci-Tech 50 ETF options recorded a trading volume of 2,647,700 contracts and open interest of 1,774,000 contracts, reflecting a high level of activity since its inception [2] - The implied volatility for the September contracts reached 62%, indicating a potential overheating in the short term for the underlying index [2] - Overall market sentiment is optimistic, with a recommendation for investors to adopt a bullish spread strategy in IO options during market dips [2]

1. Report Industry Investment Rating - Not provided in the given content 2. Core Views - Today, the stock index trends were volatile and differentiated. The Shanghai Stock Exchange 50 Index rose slightly after a rise and fall throughout the day, while the CSI 500 and CSI 1000 showed weak performance and closed slightly lower. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2,306.3 billion yuan, an increase of 131.1 billion yuan from the previous day. The high trading volume indicates an optimistic market sentiment. In the short term, due to the profit - taking demand of profitable funds after continuous rises, the stock index may experience short - term technical consolidation. However, the positive policy expectations strongly support the stock index. Anti - involution and consumption - promotion policies are conducive to promoting a moderate recovery of the price index, restoring the profit margins of listed companies, and promoting a positive cycle in the "residents' consumption - corporate profits - employee salaries" chain, leading to an increasing expectation of an improving macro - economic fundamentals. Overall, in the short term, the domestic policy expectations are positive, external risk factors are temporarily alleviated, the risk appetite of the stock market continues to recover, and the stock index will mainly show a volatile and upward trend. Currently, the implied volatility of options has rebounded. Considering the long - term upward trend of the stock index, investors can continue to hold bull spreads or ratio spreads to maintain a moderately bullish view [2] 3. Summary by Relevant Catalogs 3.1 Option Indicators - On August 14, 2025, the 50ETF rose 0.48% to 2.954; the 300ETF (Shanghai Stock Exchange) fell 0.16% to 4.256; the 300ETF (Shenzhen Stock Exchange) fell 0.16% to 4.392; the CSI 300 Index fell 0.08% to 4,173.31; the CSI 1000 Index fell 1.24% to 6,976.49; the 500ETF (Shanghai Stock Exchange) fell 1.03% to 6.514; the 500ETF (Shenzhen Stock Exchange) fell 1.14% to 2.601; the ChiNext ETF fell 1.09% to 2.446; the Shenzhen 100ETF fell 0.70% to 2.992; the Shanghai Stock Exchange 50 Index rose 0.59% to 2,829.47; the Science and Technology Innovation 50ETF rose 0.79% to 1.14; the E Fund Science and Technology Innovation 50ETF rose 0.54% to 1.11 [5] - The trading volume PCR and position PCR of various options changed compared to the previous trading day. For example, the trading volume PCR of the Shanghai Stock Exchange 50ETF option was 68.37 (previous day: 68.38), and the position PCR was 114.70 (previous day: 103.45) [6] - The implied volatility of at - the - money options and the 30 - day historical volatility of the underlying assets of various options were reported. For instance, the implied volatility of the at - the - money option of the Shanghai Stock Exchange 50ETF option in August 2025 was 13.41%, and the 30 - day historical volatility of the underlying asset was 8.18% [7] 3.2 Relevant Charts - **Shanghai Stock Exchange 50ETF Option**: Charts include the Shanghai Stock Exchange 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [9] - **Shanghai Stock Exchange 300ETF Option**: Charts cover the Shanghai Stock Exchange 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [20] - **Shenzhen Stock Exchange 300ETF Option**: Charts involve the Shenzhen Stock Exchange 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [33] - **CSI 300 Index Option**: Charts include the CSI 300 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [36] - **CSI 1000 Index Option**: Charts cover the CSI 1000 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [49] - **Shanghai Stock Exchange 500ETF Option**: Charts involve the Shanghai Stock Exchange 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [63] - **Shenzhen Stock Exchange 500ETF Option**: Charts include the Shenzhen Stock Exchange 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [75] - **ChiNext ETF Option**: Charts cover the ChiNext ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [88] - **Shenzhen 100ETF Option**: Charts involve the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [99] - **Shanghai Stock Exchange 50 Index Option**: Charts include the Shanghai Stock Exchange 50 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [112] - **Science and Technology Innovation 50ETF Option**: Charts cover the Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [126] - **E Fund Science and Technology Innovation 50ETF Option**: Charts involve the E Fund Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of various tenors [129]

Core Viewpoint - The stock market in Shanghai and Shenzhen experienced narrow fluctuations, with slight increases in major indices like the SSE 50, CSI 300, and CSI 1000, while the CSI 500 and ChiNext saw minor declines [1][3]. Index Performance - The CSI 1000 index rose by 0.01%, with daily trading volume and open interest for its options at 239,300 contracts and 291,800 contracts respectively, indicating a high PCR value of 80.73% for trading volume and 110.66% for open interest, both above the 99th percentile over the past year [1]. - The CSI 300 index increased by 0.03%, with daily trading volume of 95,000 contracts and open interest of 209,300 contracts, resulting in a PCR value of 51.01% for trading volume and 72.1% for open interest, reflecting a historically low proportion of put options, suggesting overall optimistic market sentiment [3]. - The SSE 50 index also saw a rise of 0.03%, with trading volume and open interest at 32,400 contracts and 75,000 contracts respectively, leading to PCR values of 41.34% and 56.79%, indicating a relatively low historical level [3]. Options Market Insights - The highest open interest for call and put options on the CSI 1000 is at strike prices of 6900 and 6600, serving as short-term resistance and support levels [1]. - For the CSI 300, the concentrated areas for call and put options are at strike prices of 4100 and 4150, indicating significant short-term divergence between bullish and bearish sentiments [3]. - The implied volatility for the August contracts is at 12.08% for the CSI 300, which, despite being low, shows a 3.2 percentage point premium over the 30-day historical volatility, suggesting limited upward momentum in short-term implied volatility [3]. Market Outlook - Overall, the indices are approaching significant resistance levels, with a potential for slight pullbacks, although the expected decline is limited. Investors holding long positions in index futures may consider utilizing out-of-the-money call options for covered call strategies to enhance returns [5].

1. Report Industry Investment Rating There is no information provided regarding the report industry investment rating in the given content. 2. Core Viewpoints - On August 6, 2025, all stock indices fluctuated and rose, with CSI 500 and CSI 1000 leading the gains. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1.7591 trillion yuan, an increase of 143.3 billion yuan from the previous day. Due to the easing of external risk factors and the resilience of domestic economic data, the bearish drive was weak, and the risk preference in the stock market was at a relatively high level. The trading volume in the stock market exceeded 1.5 trillion yuan, indicating that investors' risk preference was actively optimistic. The margin trading balance exceeded 2 trillion yuan, and margin trading funds continued to have net purchases, reflecting strong confidence of investors in the stock market. Although the expectation of short - term policy intensification has weakened, the expectation of policy support still exists. In general, the risk preference of stock market investors is actively optimistic in the short term, and the stock indices are expected to fluctuate strongly in the short term [3]. - The implied volatility of options is currently in the normal range. Considering the long - term upward trend of stock indices, investors can continue to hold bull spreads or ratio spreads for a mild bullish view [3]. 3. Summary by Relevant Catalogs 3.1 Option Indicators - On August 6, 2025, 50ETF rose 0.21% to 2.918; SSE 300ETF rose 0.26% to 4.194; SZSE 300ETF rose 0.25% to 4.326; CSI 300 Index rose 0.24% to 4113.49; CSI 1000 Index rose 1.09% to 6861.31; SSE 500ETF rose 0.82% to 6.428; SZSE 500ETF rose 0.98% to 2.570; ChiNext ETF rose 0.69% to 2.336; Shenzhen 100ETF rose 0.24% to 2.907; SSE 50 Index rose 0.24% to 2797.42; Science and Technology Innovation 50ETF rose 0.36% to 1.11; E Fund Science and Technology Innovation 50ETF rose 0.46% to 1.09 [6]. - The trading volume PCR and position PCR of various options on August 6, 2025, and their changes compared with the previous day are provided in detail, including 50ETF options, SSE 300ETF options, SZSE 300ETF options, CSI 300 Index options, CSI 1000 Index options, SSE 500ETF options, SZSE 500ETF options, ChiNext ETF options, Shenzhen 100ETF options, SSE 50 Index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [7]. - The implied volatility of at - the - money options in August 2025 and the 30 - trading - day historical volatility of the underlying assets of various options are provided, including 50ETF options, SSE 300ETF options, SZSE 300ETF options, CSI 300 Index options, CSI 1000 Index options, SSE 500ETF options, SZSE 500ETF options, ChiNext ETF options, Shenzhen 100ETF options, SSE 50 Index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [8][9]. 3.2 Relevant Charts - **SSE 50ETF Options**: Include charts of SSE 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility for different terms [10][11][13][14][17][19]. - **SSE 300ETF Options**: Include charts of SSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility for different terms [22][23][24]. - **SZSE 300ETF Options**: Include charts of SZSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility for different terms [25][26][27]. - **CSI 300 Index Options**: Include charts of CSI 300 Index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility for different terms [38][39][40]. - **CSI 1000 Index Options**: Include charts of CSI 1000 Index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility for different terms [51][52][54]. - **SSE 500ETF Options**: Include charts of SSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility for different terms [65][66][67]. - **SZSE 500ETF Options**: Include charts of SZSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility for different terms [78][79][81]. - **ChiNext ETF Options**: Include charts of ChiNext ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility for different terms [93][94][97]. - **Shenzhen 100ETF Options**: Include charts of Shenzhen 100ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility for different terms [105][106][107]. - **SSE 50 Index Options**: Include charts of SSE 50 Index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility for different terms [118][119][121]. - **Science and Technology Innovation 50ETF Options**: Include charts of Science and Technology Innovation 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility for different terms [132][133][134]. - **E Fund Science and Technology Innovation 50ETF Options**: Include charts of E Fund Science and Technology Innovation 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and at - the - money implied volatility for different terms [135][136][137].

1. Report Industry Investment Rating - Not provided in the content 2. Core Views of the Report - On July 31, 2025, all stock indices fluctuated and declined. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 196.18 billion yuan, an increase of 9.09 billion yuan from the previous day [3]. - The manufacturing PMI in July was 49.3, a decrease of 0.4 percentage points from the previous month, indicating a decline in manufacturing prosperity and the continued existence of insufficient effective domestic demand [3]. - Considering that the Politburo meeting in July mainly emphasized the implementation of existing policies, incremental policies may need to wait for the Fourth Plenary Session of the 20th CPC Central Committee in October. In the short term, the driving force of policy -利好 expectations will gradually weaken [3]. - Since late June, some stocks have achieved significant gains, and some profit - taking funds have a need to take profits. Therefore, the stock indices have a short - term need for technical consolidation [3]. - Given that the trading volume of the stock market is still at a high level, the downward space of the stock indices is expected to be limited. It is expected that the stock indices will mainly fluctuate within a range in the short term [3]. - Currently, the implied volatility of options has rebounded. Considering that the stock indices are upward in the medium and long term, investors can continue to hold bull spreads or ratio spreads for a mild long - position view [3]. 3. Summaries According to Relevant Catalogs 3.1 Option Indicators - On July 31, 2025, 50ETF fell 1.50% to 2.899; 300ETF (Shanghai Stock Exchange) fell 1.82% to 4.155; 300ETF (Shenzhen Stock Exchange) fell 1.88% to 4.284; the CSI 300 Index fell 1.82% to 4075.59; the CSI 1000 Index fell 0.85% to 6661.19; 500ETF (Shanghai Stock Exchange) fell 1.44% to 6.297; 500ETF (Shenzhen Stock Exchange) fell 1.41% to 2.517; the ChiNext ETF fell 1.88% to 2.301; the Shenzhen 100ETF fell 2.00% to 2.884; the SSE 50 Index fell 1.54% to 2775.99; the STAR 50ETF fell 0.99% to 1.10; and E Fund STAR 50ETF fell 1.01% to 1.07 [5]. - The trading volume PCR and position PCR of various options changed compared with the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 92.57 (the previous trading day was 85.10), and the position PCR was 89.67 (the previous trading day was 100.85) [6]. - The implied volatility of the at - the - money options in August 2025 and the 30 - trading - day historical volatility of the underlying assets of various options are provided. For example, the implied volatility of the at - the - money options of SSE 50ETF options in August 2025 was 14.87%, and the 30 - trading - day historical volatility of the underlying asset was 8.07% [7]. 3.2 Relevant Charts - **SSE 50ETF Options**: Include charts of SSE 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [9][11][13]. - **SSE 300ETF Options**: Include charts of SSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [18][19]. - **SZSE 300ETF Options**: Include charts of SZSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [21][22]. - **CSI 300 Index Options**: Include charts of CSI 300 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [33][34]. - **CSI 1000 Index Options**: Include charts of CSI 1000 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [46][47]. - **SSE 500ETF Options**: Include charts of SSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [57][58]. - **SZSE 500ETF Options**: Include charts of SZSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [70][71]. - **ChiNext ETF Options**: Include charts of ChiNext ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [82][83]. - **Shenzhen 100ETF Options**: Include charts of Shenzhen 100ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [95][96]. - **SSE 50 Index Options**: Include charts of SSE 50 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [108][109]. - **STAR 50ETF Options**: Include charts of STAR 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [122][123]. - **E Fund STAR 50ETF Options**: Include charts of E Fund STAR 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [125][126].