Report Summary 1. Report Industry Investment Rating No information provided in the report. 2. Core View of the Report ETF options are approaching expiration, and the implied volatility of near - month contracts is rising [2]. 3. Summary by Related Catalogs 3.1 Market Data Statistics - **Underlying Market Statistics**: The closing prices of the Shanghai Composite 50 Index, CSI 300 Index, and CSI 1000 Index increased by 17.64, 42.36, and 93.54 respectively. The trading volumes of the Shanghai Composite 50 Index and CSI 300 Index decreased by 8.40 billion and 16.26 billion hands, while that of the CSI 1000 Index increased by 4.77 billion hands. For ETFs, the trading volume of some decreased, while others increased [3]. - **Option Market Statistics**: The trading volumes of some option contracts decreased, such as the Shanghai Composite 50 Index Option and Shanghai Composite 50 ETF Option, while others increased, like the CSI 1000 Index Option and Southern CSI 500 ETF Option. The open - interest also showed different trends of increase or decrease [3]. - **Option Volatility Statistics**: In the near - month contracts, the ATM - IV of most option contracts decreased, except for the Southern CSI 500 ETF Option and Huaxia Science and Technology Innovation 50 ETF Option which increased. The same - term HV of some contracts increased, and the Skew also had different changes [6]. 3.2 Option Index Data Statistics - **PCR and Maximum Positions**: The VL - PCR and OI - PCR of different option contracts varied. For example, the VL - PCR of the Shanghai Composite 50 Index Option was 54.85%, and the OI - PCR was 69.94%. The maximum positions of call and put options in the near - month contracts also differed for each option [3]. 3.3 Option Charts - For each type of option (e.g., Shanghai Composite 50 Index Option, CSI 300 Index Option), there are charts showing the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure, which visually present the historical and current option data [10][14][24]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoint of the Report The market is fluctuating weakly, implied volatility is rising. Consider timing to buy put options for protection [1]. 3. Summary by Relevant Catalogs 3.1 Option Market Trading Overview - The total daily average trading volume of all options is 13.5785 million lots, with a total open interest of 10.3924 million lots and a total turnover of 12.963624 billion yuan [1]. 3.2 Option Volatility - The ATM - IV, IV weekly change, 20HV, HV weekly change, Skew, Skew weekly change, VIX, and VIX change of various options are presented in Table 2. For example, the ATM - IV of SSE 50 Index Option is 17.54%, with an IV weekly change of 2.29% [3]. 3.3 Option Liquidity - There are multiple charts showing 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][7][8]. 3.4 Option Volatility Level - Last week, there was a divergence between at - the - money implied volatility and historical volatility for various options. The current at - the - money implied volatility and the correlation coefficient between the underlying asset and at - the - money implied volatility of each option are provided. For instance, for SSE 50 Index Option, the current at - the - money implied volatility is 17.54%, and the correlation coefficient is - 79.60% [9]. 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of options can reflect market bull - bear sentiment. There are multiple charts showing the PCR trends and daily环比 incremental percentages of various options [35][36]. 3.6 Market Support and Resistance Level Information - The key support and resistance levels of various option underlying assets are provided. For example, the key support level of SSE 50 Index is 3000, and the resistance level is 3000; the key support level of CSI 1000 Index is 7300, and the resistance level is 7500 [50].

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]

1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - The volatility trends of near - and far - month options are diverging. It is advisable to consider building a protective put position for the next month when prices are low [1] 3. Summary by Relevant Catalogs 3.1 Option Market Trading Overview - The daily average trading volume, open interest, and turnover of various financial options are presented. For example, the total daily average trading volume of all options is 1242.50 million lots, with a total open interest of 1169.28 million lots and a total turnover of 13.2349519 billion yuan [1] 3.2 Option Volatility Statistics - The implied volatility (IV), historical volatility (HV), skew, and VIX of various options on the last trading day of the week are provided. For instance, the ATM - IV of SSE 50 Index Options is 21.01% with a - 2.19% change [3] 3.3 Option Liquidity - Multiple charts show the changes in total trading volume, open interest, turnover, trading value, and the proportion of trading volume and open interest of each option variety [4][6][10] 3.4 Option Volatility Level - Comparing the at - the - money implied volatility (ATM - IV) and historical volatility (HV) of various options, there were signs of convergence last week. The current ATM - IVs of different options range from 18.21% to 46.36%. The relationship between the underlying asset and ATM - IV varies, with correlation coefficients ranging from - 44.74% to 95.63% [11][13][15] 3.5 Option Market Bull - Bear Sentiment - The Put - Call - Ratio (PCR) indicator of various options is used to reflect market bull - bear sentiment, and the PCR trends and daily环比increment percentages of different options are presented through charts [39][40] 3.6 Market Support and Resistance Levels - The key support and resistance levels of various option underlying assets are given. For example, the key support level of the SSE 50 Index is 2850, and the resistance level is 3000 [53]

Report Date - The report is dated September 18, 2025 [1] Core Viewpoint - The stock index options show a downward volatility trend, with sentiment回调, and the index options are approaching maturity [2] Market Data Summary Underlying Market Statistics - The Shanghai Composite 50 Index closed at 2912.83, down 39.95, with a trading volume of 74.86 billion hands and a change of 18.19 billion hands. The synthetic futures for the current month and next month were 2908.93 and 2912.20 respectively, with basis of -3.89 and -0.63 [3] - The CSI 300 Index closed at 4498.11, down 52.91, with a trading volume of 309.86 billion hands and a change of 74.14 billion hands. The synthetic futures for the current month and next month were 4484.13 and 4473.80 respectively, with basis of -13.98 and -24.31 [3] - The CSI 1000 Index closed at 7476.40, down 78.41, with a trading volume of 398.60 billion hands and a change of 96.89 billion hands. The synthetic futures for the current month and next month were 7449.93 and 7366.20 respectively, with basis of -26.47 and -110.20 [3] Option Market Statistics - The trading volume of Shanghai Composite 50 Index options was 118,589, an increase of 60,763, and the open interest was 103,897, a decrease of 1580. The VL-PCR was 56.08% and the OI-PCR was 60.46%. The maximum call and put open interests (near - month) were at strike prices of 3000 and 2900 respectively [3] - The trading volume of CSI 300 Index options was 304,276, an increase of 123,482, and the open interest was 238,898, a decrease of 4051. The VL-PCR was 67.07% and the OI-PCR was 81.48%. The maximum call and put open interests (near - month) were at strike prices of 4500 and 4550 respectively [3] - The trading volume of CSI 1000 Index options was 708,257, an increase of 271,637, and the open interest was 344,711, a decrease of 10,505. The VL-PCR was 84.96% and the OI-PCR was 110.83%. The maximum call and put open interests (near - month) were at strike prices of 7500 and 7000 respectively [3] Option Volatility Statistics - For near - month options, the ATM - IV of Shanghai Composite 50 Index options was 20.14%, down 1.81%, and the VIX was 21.88, down 0.199 [6] - The ATM - IV of CSI 300 Index options was 17.44%, down 2.84%, and the VIX was 21.55, down 1.142 [6] - The ATM - IV of CSI 1000 Index options was 19.87%, down 6.08%, and the VIX was 27.20, down 0.716 [6] Graphical Analysis - The report includes various graphs for different types of options, such as PCR graphs,主力合约偏度 graphs, volatility cone graphs, and volatility term structure graphs for Shanghai Composite 50 Index options, CSI 300 Index options, CSI 1000 Index options, and multiple ETF options [10][14][17]

Report Date - The report is dated September 17, 2025 [1] Investment Rating - Not provided in the report Core Viewpoint - Stock index options are experiencing an upward volatility trend, with implied volatility rising to a medium-high level. It is advisable to consider building long option positions on dips for protection [1] Key Data Summaries 1. Underlying Market Statistics - **Indices**: The closing prices of the Shanghai 50 Index, CSI 300 Index, and CSI 1000 Index were 2952.78, 4551.02, and 7554.81 respectively, with increases of 4.96, 27.69, and 71.18. Their trading volumes were 56.67 billion, 235.72 billion, and 301.71 billion shares respectively, showing decreases of 0.97 billion, 13.55 billion, and 7.30 billion shares [2] - **ETFs**: The closing prices of various ETFs such as SSE 50 ETF, Huatai-PineBridge CSI 300 ETF, and Southern CSI 500 ETF showed different degrees of increase, and their trading volumes also had corresponding changes [2] 2. Option Market Statistics - **Trading Volume and Open Interest**: The trading volumes and open interests of various stock index options and ETF options showed different degrees of increase or decrease. For example, the trading volume of SSE 50 Index Options increased by 11,756 to 57,826, and the open interest increased by 4,820 to 105,477 [2] - **PCR Indicators**: The VL-PCR and OI-PCR of different options also varied. For instance, the VL-PCR of SSE 50 Index Options was 48.38%, and the OI-PCR was 63.55% [2] 3. Option Volatility Statistics - **ATM-IV and HV**: The at-the-money implied volatility (ATM-IV) and historical volatility (HV) of different options showed different trends. For example, the ATM-IV of SSE 50 Index Options (near - month) was 21.94%, with an increase of 2.39%, and the HV was 7.38%, with an increase of 4.06% [5] - **Skew and VIX**: The skew and VIX of different options also had corresponding changes. For example, the skew of SSE 50 Index Options (near - month) was 14.02%, with an increase of 9.46%, and the VIX was 22.08, with an increase of 0.874 [5] Option - Specific Charts - For each type of option (SSE 50 Index Options, CSI 300 Index Options, etc.), there are charts showing full - contract PCR,主力 contract volatility,主力 contract skew, volatility cone, and volatility term structure [9][13][16]

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].

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

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Not provided in the given content Summary by Related Catalogs Option Market Data Statistics - **Underlying Market Statistics**: The closing prices, price changes, trading volumes, and other data of various indexes and ETFs are presented, including the Shanghai Composite 50 Index, CSI 300 Index, and others. For example, the Shanghai Composite 50 Index closed at 2728.43, up 11.80, with a trading volume of 31.43 billion lots [1]. - **Option Market Statistics**: The trading volumes, changes, open interests, and other data of various index options and ETF options are provided. For instance, the trading volume of Shanghai Composite 50 Index options was 20,579, a decrease of 3,760, and the open interest was 54,113, an increase of 1,521 [1]. Option Indicator Data Statistics - **Option Volatility Statistics (Near - Month)**: Data such as ATM - IV, IV changes, same - term HV, HV changes, Skew, Skew changes, and VIX are given for different options. For example, the ATM - IV of Shanghai Composite 50 Index options was 13.21%, with an IV change of 0.31% [4]. - **Option Volatility Statistics (Next - Month)**: Similar data for the next - month options are presented, including ATM - IV, IV changes, same - term HV, HV changes, Skew, and Skew changes [4]. Option Charts - **Index Option Charts**: For each index option (e.g., Shanghai Composite 50 Index options, CSI 300 Index options, and CSI 1000 Index options), there are charts showing the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [6][10][15]. - **ETF Option Charts**: For each ETF option (e.g., Shanghai Composite 50 ETF options, Huatai - Baorui 300 ETF options), there are charts presenting the main - contract volatility trend, the full - contract PCR, the main - contract skewness trend, the volatility cone, and the volatility term structure [22][24][26].

Investment Rating - The report provides a positive outlook on the stock index options market, indicating a significant boost in market sentiment [2]. Core Insights - The report highlights a substantial increase in trading volumes and open interest across various stock index options, reflecting heightened market activity and investor interest [4][5]. - The volatility statistics for different index options suggest a mixed but generally stable outlook, with some options showing increased implied volatility, indicating potential for future price movements [5][6]. Summary by Sections Stock Index Options - The Shanghai Stock Exchange 50 Index option closed at 2740.51, with a trading volume of 106,706 and an open interest of 75,838, reflecting a 41.84% increase in volume [4]. - The CSI 300 Index option showed a trading volume of 229,347 and an open interest of 132,647, with a volume change of -1,970, indicating a 47.84% increase [4]. - The CSI 1000 Index option had a trading volume of 344,717 and an open interest of 33,040, with a significant volume increase of 75.27% [4]. Volatility Statistics - The ATM implied volatility for the SSE 50 Index option is reported at 18.54%, with a 4.80% increase, while the historical volatility shows a 15.32% increase [5]. - The CSI 300 Index option has an ATM implied volatility of 17.96%, with a 4.08% increase, and a historical volatility of 18.81% [5]. - The CSI 1000 Index option shows a higher ATM implied volatility of 22.23%, with a slight decrease of 0.36% [5]. ETF Options - The SSE 50 ETF option has an ATM implied volatility of 16.78%, with a 3.03% increase, and a historical volatility of 18.05% [5]. - The Huatai-PineBridge 300 ETF option shows an ATM implied volatility of 16.40%, with a 1.98% increase [5]. - The Southern 500 ETF option has a higher ATM implied volatility of 20.40%, with a 0.71% increase [5]. Market Trends - The report indicates a general upward trend in market sentiment, with various options experiencing increased trading volumes and open interest, suggesting a bullish outlook among investors [2][4]. - The volatility trends indicate that while some options are stabilizing, others are experiencing fluctuations that could present trading opportunities [5][6].