Market Performance - The stock market experienced a significant upward trend on August 20, with the Shanghai Composite Index rising by 1.04%, the Shenzhen Component Index by 0.89%, the ChiNext Index by 0.23%, and the STAR Market 50 Index by 3.23% [1] - All four major indices closed in the green, with the Shanghai 50 Index increasing by 1.23%, the CSI 300 Index by 1.14%, the CSI 500 Index by 1.09%, and the CSI 1000 Index by 0.86% [1] Options Market Activity - The trading volume of various options increased overall, with specific figures showing that the 50ETF options had a trading volume of 1,709,339 contracts and a turnover of 612 million yuan [2] - The 300ETF options recorded a trading volume of 1,887,385 contracts with a turnover of 942 million yuan, while the 500ETF options had a trading volume of 2,431,663 contracts and a turnover of 2.282 billion yuan [2] - The ChiNext ETF options had a trading volume of 2,648,667 contracts and a turnover of 1.328 billion yuan, indicating robust market activity [2] Implied Volatility - The implied volatility for various options is currently elevated, with the 50ETF options at 0.1826 and the 300ETF options at 0.1902, reflecting a positive market sentiment [3] - The implied volatility for the ChiNext ETF options is at 0.3542, which is among the highest, indicating strong market expectations for future price movements [3] Market Outlook - The market sentiment is positive, with expectations for continued upward movement in the stock indices, suggesting that investors may consider buying on dips [4] - Investors holding stocks are advised to roll over out-of-the-money call options to enhance profits, while being cautious of potential risks as the main ETF options contracts are set to expire next Wednesday [4]

Core Viewpoint - The Shanghai options market experienced significant trading activity in July, with a total trading volume of 115.51 million contracts, reflecting a month-on-month increase of 48.92% [1] Group 1: Market Performance - In July, the trading volume for the Shanghai options market reached 11550.66 million contracts, with notable increases in various ETFs: - SSE 50 ETF options: 29.40 million contracts, up 49.25% - CSI 300 ETF options: 29.43 million contracts, up 68.31% - CSI 500 ETF options: 32.35 million contracts, up 22.91% - Huaxia Sci-Tech 50 ETF options: 20.04 million contracts, up 81.23% - E Fund Sci-Tech 50 ETF options: 4.29 million contracts, up 42.75% [1] Group 2: Participant Data - As of July 2025, the total number of investor accounts in the Shanghai options market reached 705,868, with 4,323 new brokerage accounts added in July. A total of 91 securities firms and 34 futures companies have opened stock options brokerage business trading permissions [2] - The top three securities firms by trading volume in July were: - CITIC Securities: 5.08% market share - Guotai Junan Securities: 4.34% market share - Huabao Securities: 4.23% market share [2] Group 3: Wealth Management and Risk Management - The low interest rate environment has made standardized, high liquidity, and low-risk options increasingly popular among retail investors. The implementation of the Futures and Derivatives Law has provided a legal framework for the over-the-counter derivatives market, enhancing investor interest [2] - The main products in the over-the-counter derivatives business include OTC options and total return swaps, which serve both risk management and wealth management functions. OTC options can hedge market risks for various assets, while total return swaps help manage risks related to prices, interest rates, and exchange rates [3] Group 4: Market Opportunities - The over-the-counter derivatives market is poised for unprecedented growth opportunities due to the gradual improvement of regulatory frameworks and accelerated business innovations, highlighting its value in serving the risk management needs of the real economy and meeting diverse investment demands [4]

Report Summary 1. Investment Rating The report does not provide an industry investment rating. 2. Core View The report suggests that with the decline in the stock index option market and the decrease in volatility, investors can consider selling call options at high prices [1]. 3. Summary of Related Content 3.1 Option Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai - Shenzhen 300 Index, Shanghai 50 Index, and most ETFs declined, while the closing price of the CSI 1000 Index increased slightly. The trading volumes of most underlying assets decreased, such as the Shanghai - Shenzhen 300 Index with a trading volume of 250.82 billion shares, a decrease of 50.66 billion shares [1]. - **Option Market Statistics**: The trading volumes of various options decreased significantly, while the open - interest of most options increased. For example, the trading volume of CSI 1000 index options was 264,630, a decrease of 94,783, and the open - interest was 256,493, an increase of 17,161. The VL - PCR and OI - PCR of most options showed different degrees of change [1]. 3.2 Option Volatility Statistics - **Near - Month Options**: The implied volatility (ATM - IV) of most options decreased, such as the Shanghai 50 index option with an ATM - IV of 17.77%, a decrease of 1.27%. The historical volatility (HV) also showed different trends, with some increasing and some decreasing [4]. - **Next - Month Options**: The ATM - IV of most next - month options also decreased, for example, the Shanghai 50 index option with an ATM - IV of 18.90%, a decrease of 1.52% [4]. 3.3 Option Index Data Statistics - **Each Option Type**: The report presents multiple charts for each option type, including the full - contract PCR chart, the main - contract skewness chart, the volatility cone chart, and the volatility term - structure chart, which can help investors analyze the market conditions of different options [8][12][15].

Report Summary 1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - The stock market shows a bullish upward trend, with the Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks all performing well [3]. - The implied volatility of financial options is gradually rising and fluctuating above the mean level [3]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic long or short options and long or short futures [3]. 3. Summary by Related Catalogs 3.1 Financial Market Important Index Overview - The Shanghai Composite Index closed at 3,696.77, up 30.33 points or 0.83%, with a trading volume of 960.6 billion yuan [4]. - The Shenzhen Component Index closed at 11,634.67, up 183.23 points or 1.60%, with a trading volume of 1,284 billion yuan [4]. - The SSE 50 Index closed at 2,832.88, up 3.41 points or 0.12%, with a trading volume of 142.2 billion yuan [4]. - The CSI 300 Index closed at 4,202.35, up 29.04 points or 0.70%, with a trading volume of 518.7 billion yuan [4]. - The CSI 500 Index closed at 6,568.57, up 138.72 points or 2.16%, with a trading volume of 381.4 billion yuan [4]. - The CSI 1000 Index closed at 7,117.50, up 141.01 points or 2.02%, with a trading volume of 492.5 billion yuan [4]. 3.2 Option Underlying ETF Market Overview - The SSE 50 ETF closed at 2.965, up 0.011 or 0.37%, with a trading volume of 13.5306 million shares and a trading value of 4.004 billion yuan [5]. - The SSE 300 ETF closed at 4.295, up 0.039 or 0.92%, with a trading volume of 10.7183 million shares and a trading value of 4.584 billion yuan [5]. - The SSE 500 ETF closed at 6.658, up 0.144 or 2.21%, with a trading volume of 2.2912 million shares and a trading value of 1.515 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.158, up 0.016 or 1.40%, with a trading volume of 37.0532 million shares and a trading value of 4.258 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.131, up 0.018 or 1.62%, with a trading volume of 11.3728 million shares and a trading value of 1.275 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.432, up 0.040 or 0.91%, with a trading volume of 1.8033 million shares and a trading value of 797 million yuan [5]. - The Shenzhen 500 ETF closed at 2.663, up 0.062 or 2.38%, with a trading volume of 986,200 shares and a trading value of 261 million yuan [5]. - The Shenzhen 100 ETF closed at 3.035, up 0.043 or 1.44%, with a trading volume of 345,000 shares and a trading value of 104 million yuan [5]. - The ChiNext ETF closed at 2.509, up 0.063 or 2.58%, with a trading volume of 14.2712 million shares and a trading value of 3.546 billion yuan [5]. 3.3 Option Factor - Volume and Open Interest PCR - The volume PCR and open interest PCR of various options show different trends, which can be used to analyze the strength and turning points of the underlying asset market [6][7]. 3.4 Option Factor - Pressure and Support Points - The pressure and support points of various options are analyzed from the perspective of the strike prices with the largest open interest of call and put options [8][10]. 3.5 Option Factor - Implied Volatility - The implied volatility of various options is calculated, including at-the-money implied volatility and weighted implied volatility, to reflect the market's expectation of future volatility [11][12]. 3.6 Strategy and Recommendations - The financial option sector is divided into large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks, and different option strategies are recommended for each sector [13]. - For each sector, specific option strategies are recommended based on the analysis of the underlying asset market, option factor research, and option strategy suggestions [14][15][16][17].

Report Summary 1. Report's Investment Rating for the Industry No investment rating for the industry is provided in the report. 2. Core Viewpoints - The stock market shows a bullish upward trend, with the Shanghai Composite Index, large-cap blue-chip stocks, small and medium-cap stocks, and ChiNext stocks all performing well [3]. - The implied volatility of financial options is gradually rising and fluctuating above the average level [3]. - For ETF options, it is suitable to construct covered strategies, neutral double-selling strategies, and vertical spread combination strategies; for stock index options, it is suitable to construct neutral double-selling strategies and arbitrage strategies between synthetic futures long or short positions and futures short or long positions [3]. 3. Summary by Relevant Catalogs 3.1 Financial Market Index Overview - The Shanghai Composite Index closed at 3,666.44, down 17.02 points or 0.46%, with a trading volume of 949.5 billion yuan, an increase of 6.24 billion yuan [4]. - The Shenzhen Component Index closed at 11,451.43, down 99.93 points or 0.87%, with a trading volume of 1,329.7 billion yuan, an increase of 6.58 billion yuan [4]. - The SSE 50 Index closed at 2,829.47, up 16.49 points or 0.59%, with a trading volume of 131.1 billion yuan, an increase of 5.6 billion yuan [4]. - The CSI 300 Index closed at 4,173.31, down 3.26 points or 0.08%, with a trading volume of 485.1 billion yuan, an increase of 22.3 billion yuan [4]. - The CSI 500 Index closed at 6,429.85, down 78.25 points or 1.20%, with a trading volume of 368 billion yuan, an increase of 14.5 billion yuan [4]. - The CSI 1000 Index closed at 6,976.49, down 87.85 points or 1.24%, with a trading volume of 513.6 billion yuan, an increase of 42.1 billion yuan [4]. 3.2 Option - Based ETF Market Overview - The SSE 50 ETF closed at 2.954, up 0.014 or 0.48%, with a trading volume of 9.2975 million lots, an increase of 9.2234 million lots, and a trading value of 2.757 billion yuan, an increase of 0.577 billion yuan [5]. - The SSE 300 ETF closed at 4.256, down 0.007 or 0.16%, with a trading volume of 8.8793 million lots, an increase of 8.8035 million lots, and a trading value of 3.797 billion yuan, an increase of 0.57 billion yuan [5]. - The SSE 500 ETF closed at 6.514, down 0.068 or 1.03%, with a trading volume of 2.239 million lots, an increase of 2.221 million lots, and a trading value of 1.465 billion yuan, an increase of 0.291 billion yuan [5]. - The Huaxia Science and Technology Innovation 50 ETF closed at 1.142, up 0.009 or 0.79%, with a trading volume of 67.6781 million lots, an increase of 67.2977 million lots, and a trading value of 7.79 billion yuan, an increase of 3.494 billion yuan [5]. - The E Fund Science and Technology Innovation 50 ETF closed at 1.113, up 0.006 or 0.54%, with a trading volume of 15.0785 million lots, an increase of 14.9893 million lots, and a trading value of 1.695 billion yuan, an increase of 0.711 billion yuan [5]. - The Shenzhen 300 ETF closed at 4.392, down 0.007 or 0.16%, with a trading volume of 1.4872 million lots, an increase of 1.4745 million lots, and a trading value of 0.656 billion yuan, an increase of 0.103 billion yuan [5]. - The Shenzhen 500 ETF closed at 2.601, down 0.03 or 1.14%, with a trading volume of 0.6412 million lots, an increase of 0.6339 million lots, and a trading value of 0.168 billion yuan, a decrease of 0.023 billion yuan [5]. - The Shenzhen 100 ETF closed at 2.992, down 0.021 or 0.70%, with a trading volume of 0.4926 million lots, an increase of 0.4853 million lots, and a trading value of 0.148 billion yuan, a decrease of 0.071 billion yuan [5]. - The ChiNext ETF closed at 2.446, down 0.027 or 1.09%, with a trading volume of 14.8928 million lots, an increase of 14.7031 million lots, and a trading value of 3.67 billion yuan, a decrease of 0.954 billion yuan [5]. 3.3 Option Factor - Volume and Position PCR - For the SSE 50 ETF option, the trading volume was 2.2963 million lots, an increase of 0.7432 million lots; the open interest was 1.551 million lots, an increase of 0.0037 million lots; the volume PCR was 0.68, unchanged; the position PCR was 1.15, an increase of 0.11 [6]. - For the SSE 300 ETF option, the trading volume was 1.9952 million lots, an increase of 0.3912 million lots; the open interest was 1.3969 million lots, an increase of 0.0173 million lots; the volume PCR was 0.81, an increase of 0.02; the position PCR was 1.11, an increase of 0.03 [6]. - For the SSE 500 ETF option, the trading volume was 2.1653 million lots, a decrease of 0.0015 million lots; the open interest was 1.3893 million lots, an increase of 0.0015 million lots; the volume PCR was 0.86, an increase of 0.12; the position PCR was 1.21, a decrease of 0.20 [6]. - For the Huaxia Science and Technology Innovation 50 ETF option, the trading volume was 2.2192 million lots, an increase of 0.8156 million lots; the open interest was 1.9538 million lots, a decrease of 0.0453 million lots; the volume PCR was 0.48, a decrease of 0.07; the position PCR was 0.75, an increase of 0.05 [6]. - For the E Fund Science and Technology Innovation 50 ETF option, the trading volume was 0.5254 million lots, an increase of 0.2541 million lots; the open interest was 0.5561 million lots, an increase of 0.0111 million lots; the volume PCR was 0.43, an increase of 0.02; the position PCR was 0.79, an increase of 0.07 [6]. - For the Shenzhen 300 ETF option, the trading volume was 0.2743 million lots, an increase of 0.0127 million lots; the open interest was 0.2781 million lots, a decrease of 0.0007 million lots; the volume PCR was 0.54, a decrease of 0.04; the position PCR was 1.08, an increase of 0.02 [6]. - For the Shenzhen 500 ETF option, the trading volume was 0.3433 million lots, a decrease of 0.034 million lots; the open interest was 0.3664 million lots, an increase of 0.0155 million lots; the volume PCR was 0.70, a decrease of 0.02; the position PCR was 0.94, a decrease of 0.01 [6]. - For the Shenzhen 100 ETF option, the trading volume was 0.181 million lots, a decrease of 0.0173 million lots; the open interest was 0.1534 million lots, a decrease of 0.0054 million lots; the volume PCR was 1.16, a decrease of 0.05; the position PCR was 1.29, an increase of 0.01 [6]. - For the ChiNext ETF option, the trading volume was 2.7026 million lots, a decrease of 0.3928 million lots; the open interest was 1.7565 million lots, an increase of 0.0169 million lots; the volume PCR was 0.68, unchanged; the position PCR was 1.41, a decrease of 0.01 [6]. - For the SSE 50 index option, the trading volume was 0.1019 million lots, an increase of 0.0377 million lots; the open interest was 0.0767 million lots, a decrease of 0.0009 million lots; the volume PCR was 0.43, a decrease of 0.08; the position PCR was 0.60, an increase of 0.05 [6]. - For the CSI 300 index option, the trading volume was 0.2142 million lots, an increase of 0.0452 million lots; the open interest was 0.1994 million lots, a decrease of 0.0045 million lots; the volume PCR was 0.55, an increase of 0.01; the position PCR was 0.87, an increase of 0.07 [6]. - For the CSI 1000 index option, the trading volume was 0.4051 million lots, an increase of 0.0084 million lots; the open interest was 0.3093 million lots, an increase of 0.0075 million lots; the volume PCR was 0.79, an increase of 0.05; the position PCR was 1.15, a decrease of 0.07 [6]. 3.4 Option Factor - Pressure and Support Points - For the SSE 50 ETF option, the pressure point was 2.95, the support point was 2.90 [8]. - For the SSE 300 ETF option, the pressure point was 4.30, the support point was 4.20 [8]. - For the SSE 500 ETF option, the pressure point was 6.50, the support point was 6.25 [8]. - For the Huaxia Science and Technology Innovation 50 ETF option, the pressure point was 1.15, the support point was 1.10 [8]. - For the E Fund Science and Technology Innovation 50 ETF option, the pressure point was 1.10, the support point was 1.05 [8]. - For the Shenzhen 300 ETF option, the pressure point was 4.40, the support point was 4.30 [8]. - For the Shenzhen 500 ETF option, the pressure point was 2.60, the support point was 2.55 [8]. - For the Shenzhen 100 ETF option, the pressure point was 2.90, the support point was 2.90 [8]. - For the ChiNext ETF option, the pressure point was 2.50, the support point was 2.30 [8]. - For the SSE 50 index option, the pressure point was 3200, the support point was 2700 [8]. - For the CSI 300 index option, the pressure point was 4200, the support point was 4000 [8]. - For the CSI 1000 index option, the pressure point was 7000, the support point was 6000 [8]. 3.5 Option Factor - Implied Volatility - For the SSE 50 ETF option, the at - the - money implied volatility was 13.97%, the weighted implied volatility was 15.44%, an increase of 0.37%; the annual average was 14.97%; the call implied volatility was 15.99%, the put implied volatility was 14.42%; the 20 - day historical volatility was 13.33%, and the difference between implied and historical volatility was 2.11% [11]. - For the SSE 300 ETF option, the at - the - money implied volatility was 15.42%, the weighted implied volatility was 16.31%, an increase of 0.36%; the annual average was 15.61%; the call implied volatility was 16.71%, the put implied volatility was 15.60%; the 20 - day historical volatility was 14.02%, and the difference between implied and historical volatility was 2.29% [11]. - For the SSE 500 ETF option, the at - the - money implied volatility was 17.46%, the weighted implied volatility was 19.09%, an increase of 0.83%; the annual average was 19.30%; the call implied volatility was 19.53%, the put implied volatility was 18.50%; the 20 - day historical volatility was 16.22%, and the difference between implied and historical volatility was 2.86% [11]. - For the Huaxia Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 25.75%, the weighted implied volatility was 28.37%, an increase of 0.57%; the annual average was 28.59%; the call implied volatility was 29.16%, the put implied volatility was 26.53%; the 20 - day historical volatility was 23.43%, and the difference between implied and historical volatility was 4.94% [11]. - For the E Fund Science and Technology Innovation 50 ETF option, the at - the - money implied volatility was 25.62%, the weighted implied volatility was 30.31%, an increase of 1.17%; the annual average was 29.39%; the call implied volatility was 31.47%, the put implied volatility was 27.38%; the 20 - day historical volatility was 24.39%, and the difference between implied and historical volatility was 5.91% [11]. - For the Shenzhen 300 ETF option, the at - the - money implied volatility was 15.48%, the weighted implied volatility was 17.63%, a decrease of 0.02%; the annual average was 16.84%; the call implied volatility was 18.03%, the put implied volatility was 16.75%; the 20 - day historical volatility was 15.07%, and the difference between implied and historical volatility was 2.56% [11]. - For the Shenzhen 500 ETF option, the at - the - money implied volatility was 17.84%, the weighted implied volatility was 19.44%, an increase of 1.21%; the annual average was 19.72%; the call implied volatility was 18.98%, the put implied volatility was 20.13%; the 20 - day historical volatility was 16.29%, and the difference between implied and historical volatility was 3.15% [11]. - For the Shenzhen 100 ETF option, the at - the - money implied volatility was 18.70%, the weighted implied volatility was 23.17%, an increase of 0.74%; the annual average was 20.69%; the call implied volatility was 21.60%, the put implied volatility was 24.70%; the 20 - day historical volatility was 18.93%, and the difference between implied and historical volatility was 4.24% [11]. - For the ChiNext ETF option, the at - the - money implied volatility was 26.28%, the weighted implied volatility was 28.17%, an increase of 0.

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

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

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

Report Overview - The report date is August 7, 2025, and it focuses on stock index options, suggesting that in a volatile and rising volatility environment with a change in implied volatility correlation, long - position investors can consider a protective put strategy [1] Market Data Statistics Underlying Market Statistics - The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index are 2798.31, 4114.67, and 6862.15 respectively, with changes of 0.89, 1.18, and 0.84. Their trading volumes are 42.34 billion, 198.64 billion, and 261.39 billion hands respectively, with changes of 1.16 billion, 21.97 billion, and 3.26 billion hands [2] - For various ETFs, such as Shanghai Composite 50 ETF, Huatai - Berich 300 ETF, etc., their closing prices, price changes, trading volumes, and volume changes are also presented in detail [2] Option Market Statistics - The trading volumes and changes, open interests and changes, VL - PCR, OI - PCR, and the strike prices with the largest call and put open interests (near - month) are provided for different index options and ETF options, like Shanghai Composite 50 Index Option, CSI 300 Index Option, etc. For example, the trading volume of Shanghai Composite 50 Index Option is 32374, with a change of 3863 [2] Option Volatility Statistics - The ATM - IV, IV changes, same - term HV, HV changes, Skew, Skew changes, and VIX and its changes are reported for near - month and next - month options of different types. For instance, the near - month ATM - IV of Shanghai Composite 50 Index Option is 11.75%, with an IV change of 0.21% [5] Option Types Analysis Shanghai Composite 50 Index Option - Multiple charts show the full - contract PCR,主力 contract skewness trend, volatility cone, and volatility term structure, providing a comprehensive view of its market performance [8][9] CSI 300 Index Option - Similar to the Shanghai Composite 50 Index Option, there are charts for full - contract PCR,主力 contract skewness trend, volatility cone, and volatility term structure to analyze its characteristics [12][13] CSI 1000 Index Option - The report presents relevant charts for this option type, including主力 contract volatility, full - contract PCR,主力 contract skewness, volatility cone, and volatility term structure [15][16] Various ETF Options - For Shanghai Composite 50 ETF Option, Huatai - Berich 300 ETF Option, and other ETF options, their respective主力 contract volatility, full - contract PCR,主力 contract skewness, volatility cone, and volatility term structure are analyzed through charts [18][22]

Report Summary Core View The stock index options showed an upward movement with a decreasing volatility, and the implied volatility premium narrowed [1]. Market Data Summary Underlying Market Statistics - **Indices**: The Shanghai Composite 50 Index closed at 2790.73, up 21.34 points, with a trading volume of 41.26 billion hands, a decrease of 0.70 billion hands. The CSI 300 Index closed at 4103.45, up 32.75 points, with a trading volume of 178.85 billion hands, an increase of 16.58 billion hands. The CSI 1000 Index closed at 6787.48, up 47.79 points, with a trading volume of 223.72 billion hands, an increase of 10.23 billion hands [2]. - **ETFs**: The Shanghai Composite 50 ETF closed at 2.912, up 0.022, with a trading volume of 7.24 billion hands, an increase of 2.44 billion hands. The Huatai-PB CSI 300 ETF closed at 4.183, up 0.031, with a trading volume of 5.48 billion hands, an increase of 1.13 billion hands [2]. Option Market Statistics - **Trading Volume and Open Interest**: The trading volume of Shanghai Composite 50 Index Options was 30,577, an increase of 280, and the open interest was 72,824, a decrease of 1,212. The trading volume of CSI 300 Index Options was 78,143, an increase of 5,831, and the open interest was 205,892, an increase of 668 [2]. - **Volatility and PCR**: The ATM-IV of Shanghai Composite 50 Index Options was 11.59%, a decrease of 0.57%, and the VL-PCR was 48.61%, and the OI-PCR was 57.04%. The ATM-IV of CSI 300 Index Options was 11.16%, a decrease of 1.41%, and the VL-PCR was 52.69%, and the OI-PCR was 70.72% [2][5]. Individual Option Analysis The report provides detailed analysis and charts for various options, including Shanghai Composite 50 Index Options, CSI 300 Index Options, CSI 1000 Index Options, and multiple ETF options, covering aspects such as PCR, skew, volatility cone, and volatility term structure [8][12][15].