Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoint No relevant information provided. 3. Summary by Directory Option Trading Volume - On January 8, 2026, the trading volume of SSE 50 ETF options was 1.0683 million contracts; CSI 300 ETF options (Shanghai) was 1.1011 million contracts; CSI 500 ETF options (Shanghai) was 1.6205 million contracts; Shenzhen 100 ETF options was 48,200 contracts; ChiNext ETF options was 1.4152 million contracts; SSE 50 index options was 46,800 contracts; CSI 300 index options was 151,200 contracts; and CSI 1000 options was 356,600 contracts [1]. Option PCR - The SSE 50 ETF options' turnover PCR was reported at 0.71, with a month - on - month change of +0.17; the position PCR was reported at 0.96, with a month - on - month change of -0.06. Similar data was presented for other options, such as CSI 300 ETF options (Shanghai), CSI 500 ETF options (Shanghai), etc. [2]. Option VIX - The SSE 50 ETF options' VIX was reported at 17.30%, with a month - on - month change of -0.58%. Other options also had their respective VIX values and month - on - month changes reported, like CSI 300 ETF options (Shanghai) and so on [3].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints - No explicit core viewpoints presented in the given content 3. Summary by Directory Option Trading Volume - On January 7, 2026, the trading volume of SSE 50 ETF options was 1.4844 million contracts; the trading volume of CSI 300 ETF options (Shanghai market) was 1.5256 million contracts; the trading volume of CSI 500 ETF options (Shanghai market) was 1.9431 million contracts; the trading volume of Shenzhen 100 ETF options was 0.0828 million contracts; the trading volume of ChiNext ETF options was 1.6736 million contracts; the trading volume of SSE 50 index options was 0.0533 million contracts; the trading volume of CSI 300 index options was 0.2043 million contracts; the total trading volume of CSI 1000 options was 0.3391 million contracts [1] - The detailed breakdown of call and put trading volumes and total trading volumes for various index ETF options on the same day is as follows: for SSE 50 ETF options, call volume was 0.6178 million contracts, put volume was 0.4505 million contracts, and total volume was 1.0683 million contracts; for CSI 300 ETF options (Shanghai market), call volume was 0.6514 million contracts, put volume was 0.4497 million contracts, and total volume was 1.1011 million contracts; for CSI 500 ETF options (Shanghai market), call volume was 0.9397 million contracts, put volume was 0.6809 million contracts, and total volume was 1.6205 million contracts; for Shenzhen 100 ETF options, call volume was 0.0294 million contracts, put volume was 0.0188 million contracts, and total volume was 0.0482 million contracts; for ChiNext ETF options, call volume was 0.9337 million contracts, put volume was 0.7399 million contracts, and total volume was 1.6736 million contracts; for SSE 50 index options, call volume was 0.0146 million contracts, put volume was 0.0387 million contracts, and total volume was 0.0533 million contracts; for CSI 300 index options, call volume was 0.0923 million contracts, put volume was 0.0523 million contracts, and total volume was 0.1512 million contracts; for CSI 1000 index options, call volume was 0.2031 million contracts, put volume was 0.1360 million contracts, and total volume was 0.3391 million contracts [19] Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.54, with a month - on - month change of +0.18; the open interest PCR was reported at 1.01, with a month - on - month change of - 0.06; for CSI 300 ETF options (Shanghai market), the turnover PCR was 0.48, with a month - on - month change of +0.01; the open interest PCR was 1.05, with a month - on - month change of - 0.09; for CSI 500 ETF options (Shanghai market), the turnover PCR was 0.37, with a month - on - month change of +0.02; the open interest PCR was 1.30, with a month - on - month change of - 0.02; for Shenzhen 100 ETF options, the turnover PCR was 0.39, with a month - on - month change of +0.14; the open interest PCR was 1.46, with a month - on - month change of - 0.14; for ChiNext ETF options, the turnover PCR was 0.52, with a month - on - month change of +0.02; the open interest PCR was 1.16, with a month - on - month change of +0.00; for SSE 50 index options, the turnover PCR was 0.23, with a month - on - month change of +0.00; the open interest PCR was 0.76, with a month - on - month change of +0.00; for CSI 300 index options, the turnover PCR was 0.33, with a month - on - month change of +0.08; the open interest PCR was 0.83, with a month - on - month change of +0.01; for CSI 1000 index options, the turnover PCR was 0.36, with a month - on - month change of +0.01; the open interest PCR was 1.12, with a month - on - month change of +0.02 [2][33] Option VIX - The VIX of SSE 50 ETF options was reported at 17.88%, with a month - on - month change of - 0.71%; the VIX of CSI 300 ETF options (Shanghai market) was 18.28%, with a month - on - month change of +0.11%; the VIX of CSI 500 ETF options (Shanghai market) was 23.02%, with a month - on - month change of +0.18%; the VIX of Shenzhen 100 ETF options was 21.43%, with a month - on - month change of +0.59%; the VIX of ChiNext ETF options was 27.75%, with a month - on - month change of - 0.41%; the VIX of SSE 50 index options was 18.19%, with a month - on - month change of - 0.28%; the VIX of CSI 300 index options was 17.99%, with a month - on - month change of +0.14%; the VIX of CSI 1000 index options was 21.63%, with a month - on - month change of - 0.66% [3][48]

Report Industry Investment Rating - No relevant content provided Core Viewpoints - No core viewpoints are explicitly stated in the provided content Summary by Directory Option Trading Volume - On January 6, 2026, the trading volumes of various index options were as follows: Shanghai Stock Exchange 50 ETF option was 1145600 contracts; Shanghai Stock Exchange CSI 300 ETF option was 1190100 contracts; Shanghai Stock Exchange CSI 500 ETF option was 1462800 contracts; Shenzhen Stock Exchange 100 ETF option was 65800 contracts; ChiNext ETF option was 2065000 contracts; Shanghai Stock Exchange 50 index option was 81200 contracts; CSI 300 index option was 153900 contracts; and CSI 1000 option was 364200 contracts [1] - The detailed breakdown of call, put, and total trading volumes for different index ETF options on the same day is presented in Table 1, including Shanghai Stock Exchange 50 ETF option with call volume of 934300 contracts, put volume of 550100 contracts, and total volume of 1484400 contracts; Shanghai Stock Exchange CSI 300 ETF option with call volume of 855100 contracts, put volume of 670500 contracts, and total volume of 1525600 contracts; etc [18] Option PCR - The PCR data of various index options on January 6, 2026, are as follows: For Shanghai Stock Exchange 50 ETF option, the turnover PCR was 0.36 with a -0.22 monthly change, and the open - interest PCR was 1.07 with a -0.02 monthly change; For Shanghai Stock Exchange CSI 300 ETF option, the turnover PCR was 0.47 with a -0.14 monthly change, and the open - interest PCR was 1.14 with a +0.06 monthly change; etc [2][34] Option VIX - The VIX data of various index options on January 6, 2026, are as follows: Shanghai Stock Exchange 50 ETF option VIX was 18.59% with a +3.80% monthly change; Shanghai Stock Exchange CSI 300 ETF option VIX was 18.17% with a +1.70% monthly change; etc [3][49]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The report presents the trading data of various stock index options on January 5, 2026, including trading volume, PCR, and VIX, to reflect the market situation of stock index options [1][2][3] Summary by Directory 1. Option Trading Volume - On January 5, 2026, the trading volumes of various options were as follows: Shanghai - Shenzhen 300ETF option (Shanghai) was 78.90 million contracts; CSI 500ETF option (Shanghai) was 105.32 million contracts; Shenzhen 100ETF option was 3.50 million contracts; ChiNext ETF option was 169.50 million contracts; SSE 50 stock index option was 5.11 million contracts; Shanghai - Shenzhen 300 stock index option was 10.32 million contracts; and CSI 1000 option was 31.41 million contracts [1] - The detailed breakdown of call, put, and total trading volumes of each option is shown in Table 1 [19] 2. Option PCR - The PCR data of various options and their changes are presented. For example, the turnover PCR of SSE 50ETF option was 0.58, with a month - on - month change of - 0.23; the position PCR was 1.10, with a month - on - month change of + 0.18. Similar data for other options are also provided [2][34] 3. Option VIX - The VIX data of various options and their changes are given. For instance, the VIX of SSE 50ETF option was 14.79%, with a month - on - month change of + 0.35%. The data for other options are also included [3][49]

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints - No clear core viewpoints presented in the given content 3. Summary by Directory Option Trading Volume - On December 31, 2025, the trading volume of SSE 50 ETF options was 581,500 contracts; CSI 300 ETF options (Shanghai market) was 696,100 contracts; CSI 500 ETF options (Shanghai market) was 1,105,100 contracts; Shenzhen 100 ETF options was 36,000 contracts; ChiNext ETF options was 1,264,700 contracts; SSE 50 index options was 26,500 contracts; CSI 300 index options was 98,000 contracts; and CSI 1000 options was 221,900 contracts [1]. - The near - day trading volume details of index ETF options on another table show that the total trading volume of SSE 50 ETF options was 600,100 contracts, CSI 300 ETF options (Shanghai market) was 789,000 contracts, CSI 500 ETF options (Shanghai market) was 1,053,200 contracts, Shenzhen 100 ETF options was 35,000 contracts, ChiNext ETF options was 1,264,700 contracts, SSE 50 index options was 26,500 contracts, CSI 300 index options was 103,200 contracts, and CSI 1000 index options was 221,900 contracts [19]. Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.80 with a month - on - month change of - 0.01; the position PCR was reported at 0.92 with a month - on - month change of - 0.03. Similar data is provided for other options including CSI 300 ETF options (Shanghai market), CSI 500 ETF options (Shanghai market), Shenzhen 100 ETF options, ChiNext ETF options, SSE 50 index options, CSI 300 index options, and CSI 1000 index options [2][34]. Option VIX - The VIX of SSE 50 ETF options was reported at 14.43% with a month - on - month change of - 0.37%; the VIX of CSI 300 ETF options (Shanghai market) was reported at 16.34% with a month - on - month change of - 0.17%. Similar data is provided for other options including CSI 500 ETF options (Shanghai market), Shenzhen 100 ETF options, ChiNext ETF options, SSE 50 index options, CSI 300 index options, and CSI 1000 index options [3][47].

| 张雪慧 | 投资咨询从业资格号：Z0015363 | zhangxuehui@gtht.com | | --- | --- | --- | | 张银 | 投资咨询从业资格号：Z0018397 | zhangyin2@gtht.com | 报告导读： 二 〇 二 六 年 度 本周沪深 300 股指期权策略表现中，卖跨式策略领跑期权策略，本周录得 0.21%的收益。 本周上证 50ETF 期权策略表现中，跨式统计套利策略领跑期权策略，本周录得 0.28%的收益。 本周中证 1000 股指期权策略表现中，跨式统计套利策略领跑期权策略，本周录得 0.25%的收益。 注释 1：累计收益为自 2025 年 1 月 1 日至今的表现； 2026 年 1 月 4 日 注释 2：每个策略中的每份仓位本金均为 2025 年 1 月 1 日与基准等市值的金额，即所有策略都不加 杠杆，也不考虑组合保证金。 卖跨式策略领跑期权策略 请务必阅读正文之后的免责条款部分 1 期货研究 国 泰 君 安 期 货 研 究 所 期货研究 （正文） 1. 本周行情回顾 1.1 沪深 300 股指期权策略回顾 以下策略基于沪深 300 股指、沪深 ...

Report Industry Investment Rating - Not provided Core Viewpoints - Not provided Summary by Relevant Catalogs Option Trading Volume - On December 30, 2025, the trading volume of SSE 50 ETF options was 621,100 contracts; CSI 300 ETF options (Shanghai market) was 780,100 contracts; CSI 500 ETF options (Shanghai market) was 1,033,100 contracts; Shenzhen 100 ETF options was 44,300 contracts; ChiNext ETF options was 1,312,900 contracts; SSE 50 index options was 25,100 contracts; CSI 300 index options was 94,800 contracts; and CSI 1000 options was 211,400 contracts [1] - The table shows the call, put, and total trading volumes of various index ETF options on a recent day, such as the total trading volume of SSE 50 ETF options was 581,500 contracts [20] Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.74, with a month - on - month change of +0.10; the position PCR was reported at 0.94, with a month - on - month change of - 0.07. Similar data for other options are also provided [2] - The table presents the turnover PCR, month - on - month change, position PCR, and month - on - month change of various index ETF options on a recent day [34] Option VIX - The VIX of SSE 50 ETF options was reported at 14.23%, with a month - on - month change of +0.34%. Similar data for other options are also provided [3] - The table shows the VIX and month - on - month change values of various index ETF options on a recent day [51]

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoint No information provided. 3. Summary by Directory I. Option Trading Volume - On December 29, 2025, the trading volume of SSE 50 ETF options was 904,600 contracts; CSI 300 ETF options (Shanghai market) was 1,151,700 contracts; CSI 500 ETF options (Shanghai market) was 1,599,100 contracts; Shenzhen 100 ETF options was 44,800 contracts; ChiNext ETF options was 1,150,700 contracts; SSE 50 index options was 23,500 contracts; CSI 300 index options was 135,800 contracts; and CSI 1000 options was 202,700 contracts [1]. - The table shows the call, put, and total trading volumes of various index ETF options on the same day, such as 317,200 call and 303,900 put contracts for SSE 50 ETF options, with a total of 621,100 contracts [19]. II. Option PCR - The turnover PCR of SSE 50 ETF options was reported at 0.74, with a month - on - month change of +0.10; the open interest PCR was 0.94, with a month - on - month change of - 0.07. Similar data for other options are also provided, like CSI 300 ETF options (Shanghai market) with a turnover PCR of 0.79 (+0.27) and an open interest PCR of 0.92 (-0.02) [2]. - The table presents the turnover PCR, its month - on - month change, open interest PCR, and its month - on - month change for different index ETF options [34]. III. Option VIX - The VIX of SSE 50 ETF options was reported at 14.23%, with a month - on - month change of +0.34%. For other options, such as CSI 300 ETF options (Shanghai market), the VIX was 16.05% (+0.35%). Similar data for other index options are also given [3]. - The table shows the VIX and its month - on - month change for various index ETF options [50].

Report Industry Investment Rating - Not provided Core View - The report provides a daily overview of the stock index options market, including option trading volume, PCR, and VIX data for various types of options on December 26, 2025 [1][2][3] Summary by Directory Option Trading Volume - On December 26, 2025, the trading volume of Shanghai Stock Exchange 50ETF options was 553,000 contracts; the trading volume of CSI 300ETF options (Shanghai market) was 683,500 contracts; the trading volume of CSI 500ETF options (Shanghai market) was 1,265,000 contracts; the trading volume of Shenzhen 100ETF options was 58,500 contracts; the trading volume of ChiNext ETF options was 1,441,900 contracts; the trading volume of Shanghai Stock Exchange 50 stock index options was 35,400 contracts; the trading volume of CSI 300 stock index options was 83,900 contracts; and the total trading volume of CSI 1000 options was 321,200 contracts [1] - The table also shows the call, put, and total trading volumes of different index ETF options on the same day [20] Option PCR - The turnover PCR of Shanghai Stock Exchange 50ETF options was reported at 0.65, with a month - on - month change of - 0.10; the position PCR was reported at 1.01, with a month - on - month change of + 0.02. Similar data are provided for other types of options [2] - A table presents the turnover PCR, month - on - month change, position PCR, and month - on - month change of different index ETF options [36] Option VIX - The VIX of Shanghai Stock Exchange 50ETF options was reported at 13.89%, with a month - on - month change of + 0.48%. Similar data for other types of options are also given [3] - A table shows the VIX and month - on - month change values of different index ETF options [52]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - The implied volatility has risen, and the market has seen a significant increase [1] Summary by Relevant Catalogs Option Market Data - Financial Options - 50ETF options had an average daily trading volume of 771,000 contracts this week, a -0.47% decrease from the previous week. The put - call trading ratio was 0.88, higher than the historical average, and the put - call holding ratio last week was 1.01, also higher than the historical average [1] - Huatai - Baorui 300ETF options had an average daily trading volume of 952,900 contracts and an average daily open interest of 1,334,700 contracts [1] - Southern China CSI 500ETF options had an average daily trading volume of 1,366,300 contracts and an average daily open interest of 1,283,900 contracts [1] - Huaxia SSE STAR 50ETF options had an average daily trading volume of 1,210,800 contracts and an average daily open interest of 2,298,000 contracts [1] - Shenzhen 100ETF options had an average daily trading volume of 61,100 contracts and an average daily open interest of 117,100 contracts [1] - GEM ETF options had an average daily trading volume of 1,774,600 contracts and an average daily open interest of 1,807,500 contracts [1] - CSI 300 index options had an average daily trading volume of 91,900 lots and an average daily open interest of 197,700 lots [1] - CSI 1000 index options had an average daily trading volume of 226,500 lots and an average daily open interest of 332,900 lots [1] Option Market Data - Volatility - As of the close on Friday, the implied volatility of CSI 300 index options was 15.33%, a 0.23% increase from a week ago; the implied volatility of 50ETF options was 12.47%, a 0.14% decrease from a week ago; the implied volatility of CSI 1000 index options was 18.88%, a 1.47% increase from a week ago [2] - In commodity options, the implied volatility of crude oil options was 15.53%, a 0.12% increase from a week ago; the implied volatility of lithium carbonate options was 52.67%, an 11.30% increase from a week ago; the implied volatility of rebar options was 25.43%, a 3.86% increase from a week ago; the implied volatility of soda ash options was 24.79%, a 1.26% increase from a week ago; the implied volatility of gold options was 25.43%, a 3.86% increase from a week ago; the implied volatility of silver options was 57.34%, a 13.60% increase from a week ago; the implied volatility of palm oil options was 16.62%, a -0.17% decrease from a week ago; the implied volatility of soybean oil options was 10.43%, a -0.52% decrease from a week ago; the implied volatility of rapeseed oil options was 15.26%, a 0.33% increase from a week ago; the implied volatility of rubber options was 18.83%, a 2.62% increase from a week ago [2]