国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 2 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2025/11/20 3.156 -0.28% 13.32% 14.38% 2025/11/21 3.101 -1.74% 15.17% 15.50% 2025/11/24 3.094 -0.23% 12.79% 14.13% 2025年11月24日 24.50% 近1年 次月IV分位数 32.90% 50.20% 28.20% 近2年 次月IV分位数 39.10% 55.60% 34.80% 当月合约距离到期还剩 32.30% 57.40% 【50ETF】 近1年 当月IV分位数 28.90% 56.30% 22.40% 近2年 当月IV分位数 金融期权波动率 0% 20% 40% 60% 80% 2.00 2.50 3.00 3.50 2022/11/22 2023/4/20 2023/9/14 2024/2/20 2024/7/17 2024/12/13 2025/5/19 2025/10/15 50ETF价格、隐波近三年走势 左轴50ETF 当月IV 数据来源： ...

国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 6 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2025/11/14 3.183 -1.18% 13.10% 14.83% 2025/11/17 3.159 -0.75% 13.46% 14.73% 2025/11/18 3.150 -0.28% 14.82% 15.39% 2025年11月18日 52.50% 近1年 次月IV分位数 38.30% 34.50% 47.20% 近2年 次月IV分位数 46.30% 43.50% 53.90% 当月合约距离到期还剩 29.40% 34.10% 【50ETF】 近1年 当月IV分位数 26.50% 29.70% 50.60% 近2年 当月IV分位数 金融期权波动率 0% 5% 10% 15% 20% ATM IV(M1) ATM IV(M2) ATM IV(Q1) ATM IV(Q2) ATM IV期限结构 今日 昨日 0% 20% 40% 60% 80% 2.00 2.50 3.00 3.50 2022/11/16 2023/4/14 2023/9/8 2024/2/6 ...

1. Report Industry Investment Rating - No information provided in the given content. 2. Report's Core View - No explicit core view is presented in the provided documents. 3. Summary by Related Catalogs 3.1 50ETF - **Price and Volatility Data**: From November 5 - 7, 2025, the 50ETF price was 3.150, 3.19, and 3.186 respectively, with corresponding daily changes of -0.19%, 1.27%, and -0.13%. The corresponding monthly implied volatility (IV) was 14.25%, 12.80%, and 12.51%, and the next - month IV was 15.56%, 14.89%, and 14.78% [1]. - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles were 36.30% and 43.50% respectively, and the 1 - year and 2 - year next - month IV quantiles were 45.90% and 56.40% respectively [1]. - **Skew Index**: The skew index on November 7, 2025, was 102.82, compared to 97.67 the previous day [2]. 3.2 Shanghai 300ETF - **Price and Volatility Data**: From November 5 - 7, 2025, the Shanghai 300ETF price was 4.735, 4.805, and 4.795 respectively, with daily changes of 0.13%, 1.48%, and -0.21%. The monthly IV was 15.25%, 14.53%, and 14.37%, and the next - month IV was 16.91%, 16.18%, and 15.94% [3]. - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles were 37.50% and 48.60% respectively, and the 1 - year and 2 - year next - month IV quantiles were 52.30% and 63.80% respectively [3]. - **Skew Index**: The skew index on November 7, 2025, was 104.72 [5]. 3.3 Shenzhen 300ETF - **Price and Volatility Data**: From November 5 - 7, 2025, the Shenzhen 300ETF price was 4.881, 4.956, and 4.941 respectively, with daily changes of 0.00%, 1.54%, and -0.30%. The monthly IV was 15.63%, 14.78%, and 14.95%, and the next - month IV was 16.90%, 16.44%, and 16.41% [6]. - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles were 40.80% and 53.50% respectively, and the 1 - year and 2 - year next - month IV quantiles were 50.40% and 62.80% respectively [6]. - **Skew Index**: The skew index on November 7, 2025, was 104.41 [12]. 3.4 Shanghai CSI 500ETF - **Price and Volatility Data**: From November 5 - 7, 2025, the Shanghai CSI 500ETF price was 7.330, 7.451, and 7.440 respectively, with daily changes of -1.47%, 1.89%, and -0.15%. The monthly IV was 19.64%, 18.71%, and 18.55%, and the next - month IV was 21.04%, 20.07%, and 19.92% [14]. - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles were 44.80% and 50.90% respectively, and the 1 - year and 2 - year next - month IV quantiles were 56.10% and 64.20% respectively [14]. - **Skew Index**: The skew index on November 7, 2025, was 106.34 [17]. 3.5 Shenzhen CSI 500ETF - **Price and Volatility Data**: From November 5 - 7, 2025, the Shenzhen CSI 500ETF price was 2.930, 2.979, and 2.968 respectively, with daily changes of 0.21%, 1.67%, and -0.37%. The monthly IV was 20.46%, 18.68%, and 18.65%, and the next - month IV was 21.16%, 20.31%, and 20.12% [21]. - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles were 52.20% and 59.30% respectively, and the 1 - year and 2 - year next - month IV quantiles were 52.70% and 62.30% respectively [21]. - **Skew Index**: The skew index on November 7, 2025, was 104.65 [26]. 3.6 ChiNext ETF - **Price and Volatility Data**: From November 5 - 7, 2025, the ChiNext ETF price was 3.142, 3.201, and 3.185 respectively, with daily changes of 0.96%, 1.88%, and -0.50%. The monthly IV was 31.34%, 29.04%, and 28.86%, and the next - month IV was 31.85%, 30.61%, and 30.16% [27]. - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles were 65.70% and 76.20% respectively, and the 1 - year and 2 - year next - month IV quantiles were 75.60% and 77.80% respectively [27]. - **Skew Index**: The skew index on November 7, 2025, was 102.10 [33]. 3.7 Shenzhen 100ETF - **Price and Volatility Data**: From November 5 - 7, 2025, the Shenzhen 100ETF price was 3.526, 3.590, and 3.567 respectively, with daily changes of 0.20%, 1.82%, and -0.64%. The monthly IV was 21.53%, 20.26%, and 20.37%, and the next - month IV was 22.04%, 21.33%, and 22.06% [38]. - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles were 57.50% and 67.60% respectively, and the 1 - year and 2 - year next - month IV quantiles were 54.00% and 68.40% respectively [38]. - **Skew Index**: The skew index on November 7, 2025, was 104.78 [41]. 3.8 Science and Technology Innovation 50ETF - **Price and Volatility Data**: From November 5 - 7, 2025, the Science and Technology Innovation 50ETF price was 1.460, 1.509, and 1.487 respectively, with daily changes of 0.34%, 3.36%, and -1.46%. The monthly IV was 34.35%, 32.60%, and 32.24%, and the next - month IV was 35.61%, 34.03%, and 33.27% [47]. - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles were 61.20% and 73.00% respectively, and the 1 - year and 2 - year next - month IV quantiles were 52.20% and 67.40% respectively [47]. - **Skew Index**: The skew index on November 7, 2025, was 96.47 [49]. 3.9 Star 50ETF - **Price and Volatility Data**: From November 5 - 7, 2025, the Star 50ETF price was 1.414, 1.462, and 1.442 respectively, with daily changes of 0.21%, 3.39%, and -1.37%. The monthly IV was 34.74%, 32.95%, and 32.12%, and the next - month IV was 34.81%, 34.12%, and 32.71% [52]. - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles were 57.50% and 70.10% respectively, and the 1 - year and 2 - year next - month IV quantiles were 66.10% and 75.60% respectively [52]. - **Skew Index**: The skew index on November 7, 2025, was 97.75 [55]. 3.10 300 Index - **Price and Volatility Data**: From November 5 - 7, 2025, the 300 Index price was 4627.257, 4693.403, and 4678.794 respectively, with daily changes of 0.19%, 1.43%, and -0.31%. The monthly IV was 14.89%, 13.87%, and 13.35%, and the next - month IV was 17.03%, 16.43%, and 16.42% [61]. - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles were 38.30% and 43.70% respectively, and the 1 - year and 2 - year next - month IV quantiles were 50.20% and 61.30% respectively [61]. - **Skew Index**: The skew index on November 7, 2025, was 107.07 [65]. 3.11 1000 Index - **Price and Volatility Data**: From November 5 - 7, 2025, the 1000 Index price was 7464.863, 7551.830, and 7541.878 respectively, with daily changes of 0.39%, 1.17%, and -0.13%. The monthly IV was 19.37%, 17.89%, and 17.98%, and the next - month IV was 21.34%, 19.98%, and 20.15% [66]. - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles were 25.70% and 24.70% respectively, and the 1 - year and 2 - year next - month IV quantiles were 31.40% and 29.00% respectively [66]. - **Skew Index**: The skew index on November 7, 2025, was 117.24 [70]. 3.12 SSE 50 Index - **Price and Volatility Data**: From November 5 - 7, 2025, the SSE 50 Index price was 3007.970, 3044.742, and 3038.346 respectively, with daily changes of -0.17%, 1.22%, and -0.21%. The monthly IV was 13.86%, 13.00%, and 13.21%, and the next - month IV was 56.53%, 61.58%, and 62.00% [71]. - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles were 24.00% and 30.80% respectively, and the 1 - year and 2 - year next - month IV quantiles were 77.50% and 88.30% respectively [71]. - **Skew Index**: The skew index on November 7, 2025, was 101.00 [76].

Group 1 - Central Huijin Investment heavily invested in 21 ETFs, with a total net inflow of 11.3 billion yuan on a recent Friday, accounting for half of the net inflow in the stock ETF market that day [2] - The Huatai CSI 300 ETF attracted a significant net inflow of 5 billion yuan, while the Huaxia SSE 50 ETF, Southern CSI 1000 ETF, and Southern CSI 500 ETF saw net inflows of 1.535 billion yuan, 934 million yuan, and 731 million yuan respectively [2][4] - As of September 30, Central Huijin Investment and its asset management plans held a total of 1.55 trillion yuan in ETFs, an increase of over 200 billion yuan compared to the end of the second quarter [6] Group 2 - Central Huijin Investment held 15 ETF products with a holding ratio exceeding 20%, with a total market value of 777.8 billion yuan, maintaining the same holding shares compared to Q2 [6] - Central Huijin Asset Management also had 12 ETF products with a holding ratio exceeding 20%, totaling 695.9 billion yuan in market value, with unchanged holding shares [7] - The investment behavior of the two asset management plans from Central Huijin is more market-oriented compared to Central Huijin Investment [8] Group 3 - The Huaxia Huijin Asset Management plan completely liquidated its holdings in the Hang Seng Dividend ETF in July, selling all 8.059 million shares held in Q2, and also reduced its stake in the Automotive ETF by 800,000 shares [9] - In the first half of the year, the asset management plan also reduced its holdings in the Automotive ETF by 0.09 million shares while increasing its position in the Huaxia CSI 500 ETF and the Chip ETF [9][11] - The E Fund Huijin Asset Management plan did not have any ETF products with a holding ratio exceeding 20% in Q3, making it difficult to ascertain its quarterly operations [10]

1. Report Industry Investment Rating No relevant information provided in the content. 2. Core Viewpoints of the Report No clear core viewpoints are presented in the content. It mainly provides data on various ETFs and indices, including price, volatility, and related quantile information. 3. Summary by Different ETFs and Indices 3.1 50ETF - The underlying asset price increased from 3.148 on October 22, 2025, to 3.192 on October 24, 2025, with cumulative increases of 0.13%, 0.60%, and 0.79% respectively [1]. - The current month IV was 15.10% on October 22, 15.20% on October 23, and 15.01% on October 24; the next month IV was 16.64%, 16.68%, and 16.45% respectively [1]. - The 1 - year and 2 - year IV quantiles of the current and next months are presented [1]. 3.2 Shanghai 300ETF - The underlying asset price rose from 4.695 on October 22, 2025, to 4.770 on October 24, 2025, with cumulative increases of - 0.32%, 0.38%, and 1.21% respectively [3]. - The current month IV was 16.69% on October 22, 16.91% on October 23, and 16.03% on October 24; the next month IV was 18.05%, 17.95%, and 17.30% respectively [3]. - The 1 - year and 2 - year IV quantiles of the current and next months are provided [3]. 3.3 Shenzhen 300ETF - The underlying asset price increased from 4.844 on October 22, 2025, to 4.916 on October 24, 2025, with cumulative increases of - 0.29%, 0.23%, and 1.26% respectively [6]. - The current month IV was 17.22% on October 22, 17.05% on October 23, and 16.44% on October 24; the next month IV was 18.42%, 18.38%, and 17.76% respectively [6]. - The 1 - year and 2 - year IV quantiles of the current and next months are shown [6]. 3.4 Shanghai CSI 500ETF - The underlying asset price went from 7.224 on October 22, 2025, to 7.369 on October 24, 2025, with cumulative increases of 0.89%, - 0.43%, and 2.01% respectively [15]. - The current month IV was 21.02% on October 22, 21.46% on October 23, and 19.79% on October 24; the next month IV was 21.87%, 22.49%, and 21.25% respectively [15]. - The 1 - year and 2 - year IV quantiles of the current and next months are available [15]. 3.5 Shenzhen CSI 500ETF - The underlying asset price increased from 2.886 on October 22, 2025, to 2.940 on October 24, 2025, with cumulative increases of - 0.69%, 0.24%, and 1.62% respectively [22]. - The current month IV was 21.33% on October 22, 21.72% on October 23, and 20.76% on October 24; the next month IV was 22.15%, 22.53%, and 21.73% respectively [22]. - The 1 - year and 2 - year IV quantiles of the current and next months are given [22]. 3.6 GEM ETF - The underlying asset price rose from 3.039 on October 22, 2025, to 3.147 on October 24, 2025, with cumulative increases of - 0.75%, - 0.03%, and 3.59% respectively [28]. - The current month IV was 29.28% on October 22, 29.10% on October 23, and 28.54% on October 24; the next month IV was 30.07%, 30.00%, and 29.61% respectively [28]. - The 1 - year and 2 - year IV quantiles of the current and next months are presented [28]. 3.7 Shenzhen 100ETF - The underlying asset price increased from 3.493 on October 22, 2025, to 3.569 on October 24, 2025, with cumulative increases of - 0.54%, 0.14%, and 2.03% respectively [37]. - The current month IV was 23.33% on October 22, 23.50% on October 23, and 22.71% on October 24; the next month IV was 24.22%, 23.78%, and 23.80% respectively [37]. - The 1 - year and 2 - year IV quantiles of the current and next months are provided [37]. 3.8 Science and Technology Innovation 50ETF - The underlying asset price went from 1.476 on October 22, 2025, to 1.535 on October 24, 2025, with cumulative increases of - 0.07%, - 0.20%, and 4.21% respectively [46]. - The current month IV was 34.06% on October 22, 34.89% on October 23, and 32.68% on October 24; the next month IV was 35.20%, 35.20%, and 34.18% respectively [46]. - The 1 - year and 2 - year IV quantiles of the current and next months are shown [46]. 3.9 Science and Technology Innovation Board 50ETF - The underlying asset price increased from 1.429 on October 22, 2025, to 1.487 on October 24, 2025, with cumulative increases of - 0.07%, - 0.35%, and 4.42% respectively [51]. - The current month IV was 34.31% on October 22, 34.55% on October 23, and 33.01% on October 24; the next month IV was 34.37%, 34.55%, and 34.64% respectively [51]. - The 1 - year and 2 - year IV quantiles of the current and next months are given [51]. 3.10 300 Index - The underlying asset price rose from 4592.570 on October 22, 2025, to 4660.684 on October 24, 2025, with cumulative increases of - 0.33%, 0.30%, and 1.18% respectively [59]. - The current month IV was 17.00% on October 22, 17.30% on October 23, and 15.88% on October 24; the next month IV was 18.00%, 18.22%, and 17.55% respectively [59]. - The 1 - year and 2 - year IV quantiles of the current and next months are presented [59]. 3.11 1000 Index - The underlying asset price increased from 7312.210 on October 22, 2025, to 7419.235 on October 24, 2025, with cumulative increases of - 0.43%, - 0.06%, and 1.52% respectively [64]. - The current month IV was 22.42% on October 22, 21.95% on October 23, and 20.58% on October 24; the next month IV was 23.26%, 23.33%, and 22.38% respectively [64]. - The 1 - year and 2 - year IV quantiles of the current and next months are provided [64]. 3.12 Shanghai Composite 50 Index - The underlying asset price rose from 3010.095 on October 22, 2025, to 3045.816 on October 24, 2025, with cumulative increases of 0.09%, 0.56%, and 0.62% respectively [73]. - The current month IV was 14.88% on October 22, 15.86% on October 23, and 15.82% on October 24; the next month IV was 52.31%, 54.67%, and 57.72% respectively [73]. - The 1 - year and 2 - year IV quantiles of the current and next months are shown [73].

1. Report Industry Investment Rating No relevant content provided. 2. Report's Core View No clear core view is presented in the provided reports. The documents mainly offer detailed data on various financial products, including price movements, implied volatility (IV), and skew indices. 3. Summary by Related Catalogs 3.1 General Information - Multiple financial products are covered, including 50ETF, various 300ETF (Shanghai, Shenzhen), various CSI 500ETF (Shanghai, Shenzhen),创业板ETF, 深证100ETF, 科创50ETF, 科创板50ETF, 300指数, 1000指数, and 上证50指数 [1][3][8][18][27][33][44][53][59][69][73][77] 3.2 Price and Volatility Data 3.2.1 50ETF - From Oct 16 - 20, 2025, the price ranged from 3.11 - 3.159, with a maximum increase of 0.67% and a maximum decrease of 1.55%. The monthly IV ranged from 14.20% - 17.52%, and the next - month IV from 15.90% - 16.91% [1] 3.2.2 Shanghai 300ETF - From Oct 16 - 20, 2025, the price ranged from 4.624 - 4.721, with a maximum increase of 0.35% and a maximum decrease of 2.05%. The monthly IV ranged from 17.12% - 20.10%, and the next - month IV from 17.49% - 18.81% [3] 3.2.3 Shenzhen 300ETF - From Oct 16 - 20, 2025, the price ranged from 4.768 - 4.872, with a maximum increase of 0.38% and a maximum decrease of 2.13%. The monthly IV ranged from 15.73% - 19.51%, and the next - month IV from 17.75% - 18.99% [8] 3.2.4 Shanghai CSI 500ETF - From Oct 16 - 20, 2025, the price ranged from 7.114 - 7.336, with a maximum increase of 0.64% and a maximum decrease of 3.77%. The monthly IV ranged from 22.63% - 24.66%, and the next - month IV from 22.62% - 23.23% [18] 3.2.5 Shenzhen CSI 500ETF - From Oct 16 - 20, 2025, the price ranged from 2.844 - 2.927, with a maximum increase of 0.56% and a maximum decrease of 2.84%. The monthly IV ranged from 22.99% - 26.35%, and the next - month IV from 22.78% - 23.71% [27] 3.2.6 创业板ETF - From Oct 16 - 20, 2025, the price ranged from 2.915 - 3.014, with a maximum increase of 1.92% and a maximum decrease of 3.28%. The monthly IV ranged from 30.26% - 35.56%, and the next - month IV from 30.49% - 34.02% [33] 3.2.7 Shenzhen 100ETF - From Oct 16 - 20, 2025, the price ranged from 3.393 - 3.495, with a maximum increase of 0.94% and a maximum decrease of 2.92%. The monthly IV ranged from 24.39% - 26.27%, and the next - month IV from 24.78% - 26.40% [44] 3.2.8 科创50ETF - From Oct 16 - 20, 2025, the price ranged from 1.433 - 1.487, with a maximum increase of 0.28% and a maximum decrease of 3.63%. The monthly IV ranged from 31.85% - 41.33%, and the next - month IV from 34.74% - 39.93% [53] 3.2.9 科创板50ETF - From Oct 16 - 20, 2025, the price ranged from 1.388 - 1.441, with a maximum increase of 0.36% and a maximum decrease of 3.68%. The monthly IV ranged from 33.05% - 42.72%, and the next - month IV from 36.91% - 39.33% [59] 3.2.10 300指数 - From Oct 15 - 17, 2025, the price ranged from 4514.235 - 4618.422, with a maximum increase of 1.48% and a maximum decrease of 2.26%. The monthly IV ranged from 14.69% - 18.96%, and the next - month IV from 17.27% - 20.44% [69] 3.2.11 1000指数 - From Oct 15 - 17, 2025, the price ranged from 7185.478 - 7483.449, with a maximum increase of 1.50% and a maximum decrease of 2.92%. The monthly IV ranged from 19.06% - 25.42%, and the next - month IV from 21.47% - 25.34% [73] 3.2.12 Shanghai 50指数 - From Oct 15 - 17, 2025, the price ranged from 2967.775 - 3019.197, with a maximum increase of 1.36% and a maximum decrease of 1.70%. The monthly IV ranged from 14.57% - 16.99%, and the next - month IV from 48.66% - 62.00% [77] 3.3 IV Quantile Data - IV quantiles for different products over the past 1 - 2 years are provided, such as for 50ETF, 300ETF, etc [1][3][8] 3.4 Skew Index Data - Skew indices for different products and different time points (today, yesterday, etc.) are presented, including calculation methods [2][7][15] 3.5 Other Data - Price, IV, and volume trends over the past 1 - 3 years are shown for various products, as well as IV term structures and intraday IV trends for different months [1][3][8]

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report No clear core view is presented in the given text. The report mainly provides detailed data on various financial products, including price, volatility, and related quantile information. 3. Summary by Product 3.1 50ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price fluctuated with a -0.35% decline on Oct 13, -0.03% on Oct 14, and a 1.23% increase on Oct 15. The current IV was 16.92%, 17.38%, and 16.01% respectively, and the next - month IV was 17.65%, 17.48%, and 16.36% [1]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are provided, with current IV 1 - year quantiles at 60.40%, 63.20%, 54.20% and 2 - year quantiles at 70.70%, 72.80%, 64.80% [1]. 3.2 Shanghai 300ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price had a -0.57% decline on Oct 13, -1.00% on Oct 14, and a 1.31% increase on Oct 15. The current IV was 18.05%, 19.49%, and 16.89% respectively, and the next - month IV was 18.39%, 19.07%, and 17.46% [4]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are given, such as 1 - year current IV quantiles at 53.00%, 64.80%, 53.50% [4]. 3.3 Shenzhen 300ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price dropped by -0.47% on Oct 13, -1.09% on Oct 14, and rose by 1.48% on Oct 15. The current IV was 19.05%, 19.67%, and 17.39% respectively, and the next - month IV was 18.74%, 19.37%, and 17.49% [8]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are provided, like 1 - year current IV quantiles at 66.50%, 70.60%, 57.90% [8]. 3.4 Shanghai CSI 500ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price decreased by -2.35% on Oct 13, -2.88% on Oct 14, and -1.02% on Oct 15. The current IV was 20.93%, 22.86%, and 20.55% respectively, and the next - month IV was 21.72%, 22.50%, and 20.87% [17]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are presented, for example, 1 - year current IV quantiles at 52.20%, 62.80%, 50.20% [17]. 3.5 Shenzhen CSI 500ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price fell by -0.50% on Oct 13, -2.25% on Oct 14, and rose by 1.27% on Oct 15. The current IV was 21.37%, 23.72%, and 20.26% respectively, and the next - month IV was 22.50%, 23.06%, and 21.36% [27]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are given, such as 1 - year current IV quantiles at 55.10%, 65.30% [27]. 3.6 ChiNext ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price dropped by -1.32% on Oct 13, -3.93% on Oct 14, and rose by 2.35% on Oct 15. The current IV was 38.89%, 40.15%, and 35.12% respectively, and the next - month IV was 36.71%, 38.08%, and 34.84% [33]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are provided, with 1 - year current IV quantiles at 85.70%, 87.70%, 74.60% [33]. 3.7 Shenzhen 100ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price decreased by -1.27% on Oct 13, -2.54% on Oct 14, and rose by 2.14% on Oct 15. The current IV was 25.76%, 27.59%, and 23.56% respectively, and the next - month IV was 26.30%, 26.40%, and 25.03% [43]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are presented, for example, 1 - year current IV quantiles at 74.60%, 83.20%, 64.00% [43]. 3.8 Science and Technology Innovation 50ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price rose by 1.18% on Oct 13, dropped by -4.20% on Oct 14, and rose by 1.35% on Oct 15. The current IV was 47.39%, 46.66%, and 40.73% respectively, and the next - month IV was 42.65%, 43.07%, and 40.10% [52]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are given, such as 1 - year current IV quantiles at 85.70%, 91.40%, 79.70% [52]. 3.9 STAR 50ETF - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price rose by 1.00% on Oct 13, dropped by -4.10% on Oct 14, and rose by 1.10% on Oct 15. The current IV was 45.79%, 45.71%, and 41.44% respectively, and the next - month IV was 42.36%, 43.16%, and 40.76% [57]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are provided, with 1 - year current IV quantiles at 82.80%, 89.90%, 81.80% [57]. 3.10 300 Index - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price decreased by -0.50% on Oct 13, -1.20% on Oct 14, and rose by 1.48% on Oct 15. The current IV was 16.88%, 18.26%, and 15.19% respectively, and the next - month IV was 18.72%, 19.78%, and 17.40% [65]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are presented, for example, 1 - year current IV quantiles at 56.30%, 64.40%, 38.30% [65]. 3.11 1000 Index - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price dropped by -0.19% on Oct 13, -1.95% on Oct 14, and rose by 1.50% on Oct 15. The current IV was 21.41%, 22.86%, and 19.06% respectively, and the next - month IV was 22.57%, 22.55%, and 21.47% [69]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are given, such as 1 - year current IV quantiles at 34.60%, 49.70%, 22.00% [69]. 3.12 SSE 50 Index - **Price and Volatility Data**: From Oct 13 - 15, 2025, the price decreased by -0.26% on Oct 13, -0.21% on Oct 14, and rose by 1.36% on Oct 15. The current IV was 15.76%, 17.52%, and 14.57% respectively, and the next - month IV was 53.26%, 53.17%, and 57.64% [73]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of current and next - month IV are provided, with 1 - year current IV quantiles at 46.50%, 58.70% [73].

1. Report Industry Investment Rating - Not provided in the content 2. Report Core Viewpoints - Not provided in the content 3. Summary by Related Catalogs 3.1 50ETF - From September 19 - 23, 2025, the price changed from 3.045 to 3.054, with a 0.30% increase on the 22nd and 0.00% on the 23rd; the monthly IV increased from 18.07% to 21.49%, and the next - month IV decreased from 18.96% to 18.43% [1] - The monthly IV quantiles in the past 1 - year and 2 - year periods were relatively high, with the 1 - year monthly IV quantile reaching up to 84.80% and the 2 - year reaching up to 91.00% [1] - The skew index of the main contract month on September 23 was 85.59 [2] 3.2 Shanghai 300ETF - From September 19 - 23, 2025, the price changed from 4.604 to 4.622, with a 0.33% increase on the 22nd and 0.06% on the 23rd; the monthly IV decreased from 18.21% to 16.03%, and the next - month IV decreased slightly from 19.78% to 19.51% [3] - The monthly IV quantiles in the past 1 - year and 2 - year periods were relatively high, with the 1 - year monthly IV quantile reaching up to 63.70% and the 2 - year reaching up to 75.20% [3] - The skew index of the main contract month on September 23 was 96.85 [5] 3.3 Shenzhen 300ETF - From September 19 - 23, 2025, the price changed from 4.747 to 4.762, with a 0.36% increase on the 22nd and - 0.04% on the 23rd; the monthly IV decreased from 19.54% to 17.19%, and the next - month IV decreased from 20.66% to 20.39% [9] - The monthly IV quantiles in the past 1 - year and 2 - year periods were relatively high, with the 1 - year monthly IV quantile reaching up to 68.50% and the 2 - year reaching up to 81.70% [9] - The skew index of the main contract month on September 23 was 94.82 [11] 3.4 Shanghai CSI 500ETF - From September 19 - 23, 2025, the price changed from 7.261 to 7.277, with a - 1.30% decrease on the 19th, 0.36% increase on the 22nd, and 0.22% on the 23rd; the monthly IV decreased from 24.13% to 16.69%, and the next - month IV increased from 25.49% to 25.99% [13] - The monthly IV quantiles in the past 1 - year and 2 - year periods were relatively high, with the 1 - year monthly IV quantile reaching up to 70.60% and the 2 - year reaching up to 80.10% [13] - The skew index of the main contract month on September 23 was 106.94 [16] 3.5 Shenzhen CSI 500ETF - From September 19 - 23, 2025, the price changed from 2.903 to 2.906, with a - 0.34% decrease on the 19th, 0.69% increase on the 22nd, and - 0.58% on the 23rd; the monthly IV decreased from 23.80% to 16.57%, and the next - month IV decreased from 26.02% to 25.31% [21] - The monthly IV quantiles in the past 1 - year and 2 - year periods were relatively high, with the 1 - year monthly IV quantile reaching up to 65.70% and the 2 - year reaching up to 77.00% [21] - The skew index of the main contract month on September 23 was 102.72 [24] 3.6 ChiNext ETF - From September 19 - 23, 2025, the price changed from 3.062 to 3.093, with a - 0.16% decrease on the 19th, 0.65% increase on the 22nd, and 0.36% on the 23rd; the monthly IV decreased from 37.86% to 30.72%, and the next - month IV decreased from 42.49% to 41.28% [25] - The monthly IV quantiles in the past 1 - year and 2 - year periods were relatively high, with the 1 - year monthly IV quantile reaching up to 91.50% and the 2 - year reaching up to 95.70% [25] - The skew index of the main contract month on September 23 was 97.74 [29] 3.7 Shenzhen 100ETF - From September 19 - 23, 2025, the price changed from 3.475 to 3.494, with a 0.38% increase on the 19th, 0.55% on the 22nd, and 0.00% on the 23rd; the monthly IV increased from 24.53% to 25.27%, and the next - month IV increased from 27.03% to 28.34% [35] - The monthly IV quantiles in the past 1 - year and 2 - year periods were relatively high, with the 1 - year monthly IV quantile reaching up to 70.60% and the 2 - year reaching up to 83.20% [35] - The skew index of the main contract month on September 23 was 96.93 [38] 3.8 Science and Technology Innovation 50ETF - From September 19 - 23, 2025, the price changed from 1.431 to 1.475, with a - 1.31% decrease on the 19th, 3.35% increase on the 22nd, and - 0.27% on the 23rd; the monthly IV decreased from 44.82% to 41.63%, and the next - month IV decreased from 49.19% to 48.22% [42] - The monthly IV quantiles in the past 1 - year and 2 - year periods were relatively high, with the 1 - year monthly IV quantile reaching up to 90.30% and the 2 - year reaching up to 94.20% [42] - The skew index of the main contract month on September 23 was 94.59 [45] 3.9 STAR 50ETF - From September 19 - 23, 2025, the price changed from 1.398 to 1.442, with a - 1.20% decrease on the 19th, 3.51% increase on the 22nd, and - 0.35% on the 23rd; the monthly IV decreased from 46.57% to 41.58%, and the next - month IV decreased from 50.41% to 47.52% [49] - The monthly IV quantiles in the past 1 - year and 2 - year periods were relatively high, with the 1 - year monthly IV quantile reaching up to 87.30% and the 2 - year reaching up to 94.20% [49] - The skew index of the main contract month on September 23 was 93.04 [52] 3.10 300 Index - From September 19 - 23, 2025, the price changed from 4501.920 to 4519.778, with a 0.08% increase on the 19th, 0.46% on the 22nd, and - 0.06% on the 23rd; the monthly IV decreased from 21.19% to 20.20%, and the next - month IV increased from 20.05% to 20.54% [56] - The monthly IV quantiles in the past 1 - year and 2 - year periods were relatively high, with the 1 - year monthly IV quantile reaching up to 83.00% and the 2 - year reaching up to 86.90% [56] - The skew index of the main contract month on September 23 was 95.20 [63] 3.11 1000 Index - From September 19 - 23, 2025, the price changed from 7438.189 to 7408.069, with a - 0.51% decrease on the 19th, 0.69% increase on the 22nd, and - 1.09% on the 23rd; the monthly IV decreased slightly from 27.67% to 27.93%, and the next - month IV increased from 25.77% to 26.92% [64] - The monthly IV quantiles in the past 1 - year and 2 - year periods were relatively high, with the 1 - year monthly IV quantile reaching up to 74.20% and the 2 - year reaching up to 80.50% [64] - The skew index of the main contract month on September 23 was 106.39 [67] 3.12 Shanghai 50 Index - From September 19 - 23, 2025, the price changed from 2909.744 to 2919.515, with a - 0.11% decrease on the 19th, 0.43% increase on the 22nd, and - 0.09% on the 23rd; the monthly IV decreased from 20.74% to 19.89%, and the next - month IV increased from 57.44% to 58.30% [68] - The monthly IV quantiles in the past 1 - year and 2 - year periods were relatively high, with the 1 - year monthly IV quantile reaching up to 83.60% and the 2 - year reaching up to 92.40% [68] - The skew index of the main contract month on September 23 was 92.99 [74]

Market Overview - Major stock indices showed a mixed performance, with Shenzhen ETFs significantly outperforming Shanghai ETFs. The Shanghai Composite 50 ETF fell by 1.9%, while the CSI 300 ETF declined by 0.37%. In contrast, the CSI 500 ETF and ChiNext ETF rose by 0.26% and 2.24%, respectively [1] - As of September 18, the financing balance of the Shanghai and Shenzhen stock markets reached 2.38576 trillion yuan, an increase of 2.18% from the previous week. The margin balance also rose to 16.706 billion yuan, up by 0.59% [1] - Implied volatility for several major ETFs increased, indicating rising investor expectations for future market fluctuations. The implied volatility for the Shanghai Composite 50 ETF was 19.06%, for the CSI 300 ETF it was 19.68%, and for the ChiNext ETF it reached 38.75% [1] Economic Indicators - In the first eight months of the year, China's general public budget revenue reached 14.82 trillion yuan, a year-on-year increase of 0.3%. Tax revenue was 12.11 trillion yuan, showing a slight increase of 0.02%, marking the first positive growth in tax revenue this year [2] - Industrial value-added in August grew by 5.2% year-on-year, while the service production index increased by 5.6%. Retail sales of consumer goods rose by 3.4% year-on-year [2] - Fixed asset investment from January to August grew by 0.5%, with manufacturing investment increasing by 5.1%, while real estate development investment saw a decline of 12.9% [2] Policy Developments - Nine departments jointly released policies aimed at expanding service consumption, proposing 19 specific measures, with 8 focused on enhancing "high-quality service supply" [2] - The government plans to select 50 pilot cities for new consumption formats and models, promoting the integration of accommodation, railways, and tourism, while also enhancing the application of artificial intelligence in service consumption [2] International Context - The Federal Reserve lowered the benchmark interest rate by 25 basis points, bringing the current rate to a range of 4.00%-4.25%. This marks the first rate cut of the year and comes after a nine-month hiatus [3] - Initial jobless claims in the U.S. fell to 231,000, marking the largest decline in nearly four years, with market expectations set at 240,000 [3] Market Outlook - Following last week's pullback, the A-share market is showing an upward trend, with optimistic market sentiment. However, the volatility index for major ETF options has generally declined, indicating potential adjustment risks [4] - Domestic CPI and PPI growth rates improved month-on-month, but year-on-year growth remains in negative territory, suggesting ongoing deflationary pressures [4] - The expectation of more proactive fiscal and monetary policies is anticipated to support the economy, especially in light of the Fed's confirmed rate cut [4]

Quantitative Models and Construction Methods 1. Model Name: Wantushi AI Model - **Model Construction Idea**: The Wantushi AI model evaluates indices based on their potential upward probability and selects ETFs with favorable characteristics for investment[6] - **Model Construction Process**: 1. The model assigns a score to indices based on their upward probability. Indices with scores above 0.8 are selected[6] 2. For each selected index, the corresponding ETFs are identified[6] 3. Among these ETFs, those with a 30-day average daily trading volume exceeding 30 million RMB are retained[6] 4. Finally, the ETF with the lowest IOPV premium rate for each index is chosen[6] - **Model Evaluation**: The model systematically filters ETFs based on liquidity and valuation metrics, ensuring a focus on high-quality investment options[6] --- Backtesting Results of Models 1. Wantushi AI Model - **Index Code: 932000 (CSI)** - Upward Probability: 93.52% - Selected ETF: 159552 (CSI 2000 Enhanced ETF)[7] - **Index Code: 399006 (SZ)** - Upward Probability: 93.37% - Selected ETF: 159977 (Tianhong ChiNext ETF)[7] - **Index Code: 399673 (SZ)** - Upward Probability: 92.49% - Selected ETF: 159682 (ChiNext 50 ETF)[7] - **Index Code: 399850 (SZ)** - Upward Probability: 90.15% - Selected ETF: 159350 (Shenzhen 50 ETF by Fuguo)[7] - **Index Code: 000852 (SH)** - Upward Probability: 85.86% - Selected ETF: 159680 (1000 Enhanced ETF)[7] - **Index Code: 399303 (SZ)** - Upward Probability: 85.82% - Selected ETF: 159628 (Guozheng 2000 ETF)[7] - **Index Code: 399293 (SZ)** - Upward Probability: 85.03% - Selected ETF: 159814 (ChiNext Large Cap ETF)[7] - **Index Code: 399330 (SZ)** - Upward Probability: 84.81% - Selected ETF: 159901 (Shenzhen 100 ETF)[7] - **Index Code: 399296 (SZ)** - Upward Probability: 84.46% - Selected ETF: 159967 (ChiNext Growth ETF)[7] - **Index Code: 000905 (SH)** - Upward Probability: 83.23% - Selected ETF: 510580 (CSI 500 ETF by E Fund)[7] - **Index Code: 000906 (SH)** - Upward Probability: 81.05% - Selected ETF: 515800 (800 ETF)[7]