| 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | zc511 | 10.1% | 1 | 0.0% | 66 | 0.0% | 66 | | ps2511 | 2.9% | 2 | 1.4% | 14 | 4.2% | 5 | | 科创板50etf10月 | 2.8% | 3 | 2.4% | 2 | 6.5% | 2 | | 科创50etf10月 | 2.8% | 4 | 2.4% | 1 | 6.7% | 1 | | lc2511 | 2.6% | 5 | 1.4% | 17 | 1.8% | 35 | | 创业板etf10月 | 2.2% | 6 | 2.2% | 3 | 5.3% | 3 | | fg511 | 2.2% | 7 | 1.9% | 5 | 2.5% | 13 | | ag2511 | 2.2% | 8 | 1.5% | 11 | 4.7% | 4 | | sn2511 | 2.0% | ...

投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2025 年 9 月 30 日 金融期权 专业研究·创造价值 制造业 PMI 继续修复，股指震荡上涨 核心观点 今日各股指均震荡上涨。沪深京三市全天成交额 21972 亿元，较上日 放量 191 亿元。9 月制造业 PMI 继续修复，表明国内宏观经济的韧性较强， 叠加 10 月重磅会议政策利好预期，市场风险偏好持续回升。不过短期来看， 由于股票估值端显著上升，特别是指数反弹至前期高点附近，获利资金止盈 需求仍存，需要关注后续资金止盈节奏与政策预期发酵的博弈情况。总的来 说，由于指数接近前期高点，短期内股指预计以宽幅震荡为主。 目前期权隐含波动率有所回升，考虑到股指中长线向上，可以继续持 有牛市价差或比例价差。 投资咨询证号：Z0014648 电话：0571-87006873 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本人承诺以勤勉的职业态度， 独立、客观地出具本报告。本 报告清晰准确地反映了本人的 研究观点。本人不会因本报告 中的具体推荐意见或观点 ...

1. Report Industry Investment Rating - There is no information provided in the report regarding the industry investment rating. 2. Core Viewpoints of the Report - All stock indices oscillated and pulled back on the day, with the total trading volume of the Shanghai, Shenzhen, and Beijing stock markets reaching 2166.1 billion yuan, a decrease of 225.7 billion yuan from the previous day [3]. - Trump's recent announcement of a new round of high - tariffs on various imported products has led to an increase in market risk - aversion sentiment [3]. - As the valuation has risen significantly, especially when the index rebounded near the previous high, the profit - taking demand of profitable funds has increased. Additionally, with the approaching National Day holiday, investors' desire to secure profits has grown [3]. - In the medium - to - long term, the expectation of policy benefits and the long - term net inflow trend of funds constitute the medium - to - long - term driving force for the upward movement of stock indices [3]. - In the future, the focus will be on the game between the rhythm of profit - taking by funds and the fermentation of policy expectations. In general, due to the index approaching the previous high and the approaching holiday, the stock index is expected to fluctuate widely in the short term [3]. - Currently, the implied volatility of options has declined. Considering the medium - to - long - term upward trend of the stock index, investors can continue to hold bull spreads or ratio spreads [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On September 26, 2025, the 50ETF fell 0.32% to close at 3.077; the 300ETF (Shanghai Stock Exchange) fell 0.94% to close at 4.651; the 300ETF (Shenzhen Stock Exchange) fell 0.91% to close at 4.800; the CSI 300 Index fell 0.95% to close at 4550.05; the CSI 1000 Index fell 1.45% to close at 7397.59; the 500ETF (Shanghai Stock Exchange) fell 1.41% to close at 7.336; the 500ETF (Shenzhen Stock Exchange) fell 1.21% to close at 2.934; the ChiNext ETF fell 2.55% to close at 3.129; the Shenzhen 100ETF fell 1.84% to close at 3.529; the SSE 50 Index fell 0.40% to close at 2941.02; the Science and Technology Innovation 50ETF fell 1.55% to close at 1.52; and the E Fund Science and Technology Innovation 50ETF fell 1.32% to close at 1.49 [5]. - The trading volume PCR and open - interest PCR of various options changed compared to the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 91.14 (85.45 the previous day), and the open - interest PCR was 78.68 (77.23 the previous day) [6]. - The implied volatility of the at - the - money options in October 2025 and the 30 - trading - day historical volatility of the underlying assets of various options were provided. For instance, the implied volatility of the at - the - money options of SSE 50ETF options in October 2025 was 14.64%, and the 30 - trading - day historical volatility of the underlying asset was 15.75% [7]. 3.2 Relevant Charts - **SSE 50ETF Options**: Charts include the SSE 50ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [9][11][13][17]. - **SSE 300ETF Options**: Charts cover the SSE 300ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [20][22][24][30]. - **SZSE 300ETF Options**: Charts involve the SZSE 300ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [33][34]. - **CSI 300 Index Options**: Charts include the CSI 300 index trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [36][38][40][42][46]. - **CSI 1000 Index Options**: Charts cover the CSI 1000 index trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [49][51][53][55][59]. - **SSE 500ETF Options**: Charts involve the SSE 500ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [62][64][65][71]. - **SZSE 500ETF Options**: Charts include the SZSE 500ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [75][79][80][82][87]. - **ChiNext ETF Options**: Charts cover the ChiNext ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [90][92][93][98]. - **Shenzhen 100ETF Options**: Charts involve the Shenzhen 100ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [103][105][107][113]. - **SSE 50 Index Options**: Charts include the SSE 50 index trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [116][118][120][126]. - **Science and Technology Innovation 50ETF Options**: Charts cover the Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [129][131][133]. - **E Fund Science and Technology Innovation 50ETF Options**: Charts involve the E Fund Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of various tenors [137][139][141][147].

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

Core Insights - The article discusses the integration of a volatility timing straddle option strategy into common stock-bond asset allocation portfolios, resulting in a reduction of maximum drawdown by approximately 5% and an increase in the Calmar ratio by over 0.1 [1][2] Group 1: Volatility Timing Strategy - The article highlights that the performance of long-term option buying strategies, such as directly purchasing put protection options, has been subpar in both domestic and international markets [1] - It emphasizes that while the A-share market lacks direct trading tools based on volatility indices, investors can still construct equivalent volatility strategies using existing ETF options [1][2] - The article notes that single-leg strategies involving 300ETF options exhibit high volatility and drawdown, making them unsuitable for risk-averse allocation funds [1] Group 2: Straddle Option Strategy - The straddle strategy is found to have lower volatility and drawdown compared to single-leg strategies, with annualized volatility generally below 0.1 [2] - Selling straddle options can provide relatively stable excess returns, while buying options does not yield long-term excess returns due to high premiums and infrequent large market movements [2] - The article suggests that extreme volatility often follows periods of historically low volatility, indicating a potential "coiling" effect before significant market movements [2] Group 3: Implementation and Results - The article proposes a timing mechanism where buying straddle options is preferred when volatility drops to historically low levels (thresholds of 5%, 10%, 15%) to mitigate the risk of sudden volatility spikes [2] - The implementation of the volatility timing straddle option strategy into a common stock-bond asset allocation portfolio, allocating 10% of stock weight to the option strategy, results in a reduction of maximum drawdown from 21.4% to 13.5% and an increase in annualized return from 3.5% to 5.8% [2]

Group 1 - The report introduces a volatility timing strategy using straddle options in the A-share market, which can reduce the maximum drawdown of asset allocation by approximately 5% and improve the Calmar ratio by over 0.1 [1][67]. - The report emphasizes that while the A-share market lacks direct volatility index derivatives, investors can construct equivalent volatility strategies using existing ETF options, enhancing risk management and opportunity capture [6][20]. - The analysis indicates that extreme volatility spikes often occur after volatility has dropped to historically low levels, suggesting a potential "coiling" effect before significant market movements [60][68]. Group 2 - The report details that single-leg strategies for trading 300ETF options exhibit high volatility and drawdown, making them unsuitable for risk-averse funds [24][44]. - In contrast, straddle strategies show lower volatility and drawdown, with annualized volatility generally below 0.1, making them more stable for investors [48][45]. - The report finds that selling straddle options can provide stable excess returns, while buying options tends to be less effective due to high premiums and infrequent large market movements [57][59]. Group 3 - The report proposes a volatility timing approach where selling straddle options is switched to buying when volatility falls to historical low thresholds (5%, 10%, 15%), effectively reducing drawdown from 21.4% to 13.5% and increasing annualized returns from 3.5% to 5.8% [63][66]. - Incorporating the volatility timing straddle strategy into traditional stock-bond portfolios can significantly enhance performance metrics, including a reduction in maximum drawdown and an increase in the Calmar ratio [67][1].

1. Report Industry Investment Rating - No relevant content provided. 2. Core View of the Report - Today, all stock indices rebounded unilaterally. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 2.4646 trillion yuan, an increase of 460.6 billion yuan compared to the previous day. Since early September, due to the significant increase in the prices of some individual stocks and a notable rise in the valuation, some investors' willingness to chase the market has weakened, and the profit - taking of profitable funds has led to a technical adjustment of the stock indices. However, the positive policy expectations and the continuous inflow of funds into the stock market still provide long - term support for the stock indices. The Minister of Finance pointed out that "in the next step, more efforts will be made to strengthen the domestic cycle, and more proactive and effective macro - policies will be implemented in a timely manner." Combined with the weak inflation data in August, it means that policies to boost the demand side will continue to be introduced, and the expectation of policy benefits is rising. On the other hand, incremental funds continue to flow into the stock market. The balance of margin trading has exceeded 2.3 trillion yuan and remains at a high level. The significant increase in non - bank deposits in July indicates that the trend of residents' maturing time deposits shifting to equity market allocation is gradually taking shape. The increasing expectation of the Fed's interest rate cut is conducive to driving the flow of the US dollar to emerging economies. Therefore, the trend of net inflow of incremental funds into the A - share market remains unchanged, which is expected to promote the repair of the stock market valuation. However, attention should still be paid to the intensity of profit - taking at the current position, and the subsequent market trend depends on the game between profit - taking and the fermentation of policy expectations. In general, the stock indices are expected to fluctuate widely in the short term [3]. - Currently, the implied volatility of options is within the normal range. Considering the long - term upward trend of the stock indices, investors can continue to hold bull spreads or ratio spreads [4]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On September 11, 2025, the 50ETF rose 1.63% to close at 3.122; the 300ETF (Shanghai Stock Exchange) rose 2.69% to close at 4.660; the 300ETF (Shenzhen Stock Exchange) rose 2.56% to close at 4.800; the CSI 300 Index rose 2.31% to close at 4548.03; the CSI 1000 Index rose 2.35% to close at 7399.89; the 500ETF (Shanghai Stock Exchange) rose 3.16% to close at 7.224; the 500ETF (Shenzhen Stock Exchange) rose 3.14% to close at 2.891; the ChiNext ETF rose 5.22% to close at 3.025; the Shenzhen 100ETF rose 3.82% to close at 3.451; the SSE 50 Index rose 1.48% to close at 2983.08; the Science and Technology Innovation 50ETF rose 5.45% to close at 1.39; the E Fund Science and Technology Innovation 50ETF rose 5.50% to close at 1.36 [6]. - The trading volume PCR and position PCR of various options changed compared with the previous trading day. For example, the trading volume PCR of the SSE 50ETF option was 74.33, and the previous trading day was 98.65; the position PCR was 90.71, and the previous trading day was 83.10 [7]. - The implied volatility of at - the - money options in September 2025 and the 30 - day historical volatility of the underlying for various options are provided. For example, the implied volatility of at - the - money options of the SSE 50ETF option in September 2025 was 15.17%, and the 30 - day historical volatility of the underlying was 15.60% [8]. 3.2 Relevant Charts - The report includes a series of charts for different options, such as the SSE 50ETF option, SSE 300ETF option, etc. These charts show the trends, volatilities, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatilities of the underlying assets of the options [10][20][33].

1. Report Information - Report Name: Pioneer Futures Option Daily Report [1] - Report Date: September 2, 2025 [1] 2. Option Underlying Volatility Ranking 2.1 Ranking Explanation - The table shows the ranking of option underlying based on at-the-money implied volatility, 30-day historical volatility, and daily true range [3]. - The at-the-money implied volatility reflects the market's expectation of future price movement of the underlying, with higher values indicating a greater likelihood of significant price changes [5]. - The 30-day historical volatility shows the actual historical price movements of the underlying, and a lower value compared to the implied volatility may suggest that the option price is relatively expensive [5]. - The daily true range represents the intraday price movement of the underlying on the day [5]. 2.2 Top Rankings - **At-the-money Implied Volatility**: ps2510 ranks first with 4.5% [3]. - **30-day Historical Volatility**: lc2510 ranks first with 3.3% [3]. - **Daily True Range**: The创业板etf9月 ranks first with 4.9% [3]. 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 1,076,227 lots, the open interest is 1,248,294 lots, the trading volume ratio of call to put options is 1.62, and the weighted average implied volatility is 22.37% [20]. - **Volatility Trading**: Sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [23]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.60% at the settlement price and 1.41% at the counterparty price [26][28]. 3.1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main Huatai-PineBridge CSI 300ETF options is 1,169,972 lots, the open interest is 985,481 lots, the trading volume ratio of call to put options is 1.33, and the weighted average implied volatility is 21.71% [31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [34]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 29.7% at the settlement price and 2.01% at the counterparty price [38][39]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options is 1,979,658 lots, the open interest is 981,865 lots, the trading volume ratio of call to put options is 1.04, and the weighted average implied volatility is 25.75% [42]. - **Volatility Trading**: Follow the same strategy as above, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [45]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 66.8% at the settlement price and 15.6% at the counterparty price [50][52]. 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50 ETF options is 1,657,235 lots, the open interest is 1,550,085 lots, the trading volume ratio of call to put options is 1.53, and the weighted average implied volatility is 50.24% [55]. - **Volatility Trading**: Adopt the same volatility trading strategy, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [59]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.7% at the settlement price and 2.42% at the counterparty price [63][64]. 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50 ETF options is 360,178 lots, the open interest is 430,779 lots, the trading volume ratio of call to put options is 1.58, and the weighted average implied volatility is 50.98% [67]. - **Volatility Trading**: Use the same volatility trading approach, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [69]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 27.2% at the settlement price and 6.03% at the counterparty price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Harvest CSI 300ETF options is 225,860 lots, the open interest is 217,157 lots, the trading volume ratio of call to put options is 1.31, and the weighted average implied volatility is 24.33% [80]. - **Volatility Trading**: Apply the same volatility trading strategy, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [83]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.3% at the settlement price and 2.19% at the counterparty price [86][88].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Today, all stock indices fluctuated and consolidated. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 2777.6 billion yuan, a decrease of 52.5 billion yuan compared to the previous day. Currently, the trading volume of the stock market remains at a high level, indicating that the overall market sentiment is still relatively optimistic. In the short term, due to the significant increase in some stocks, there is a risk of technical adjustment caused by profit - taking of profitable funds, and there is a need for funds to rotate between high - and low - valued stocks. The main driving forces for this round of stock index rebound are the positive policy expectations and the loose liquidity in the capital market. Anti - involution policies and consumption - promotion policies promote the optimization of the supply - demand structure from both the supply and demand sides, leading to a moderate recovery of the price index and the repair of corporate profits. In terms of the capital market, the margin trading balance has risen rapidly, non - bank deposits have increased sharply, and long - term funds have continued to enter the market. The continuous inflow of incremental funds into the stock market has boosted the logic of stock valuation repair. Overall, the current market sentiment is generally positive, and the upward trend remains unchanged. However, there are some differences in the short - term market, and the stock index is expected to maintain a loose and volatile trend in the short term. - Currently, the implied volatility of options continues to rise. Considering the long - and medium - term upward trend of the stock index, investors can continue to hold bull spreads or ratio spreads for a moderate bullish view [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On September 1, 2025, the 50ETF rose 0.03% to close at 3.113; the 300ETF (Shanghai Stock Exchange) rose 0.33% to close at 4.616; the 300ETF (Shenzhen Stock Exchange) rose 0.34% to close at 4.762; the CSI 300 Index rose 0.60% to close at 4523.71; the CSI 1000 Index rose 0.84% to close at 7501.15; the 500ETF (Shanghai Stock Exchange) rose 0.91% to close at 7.206; the 500ETF (Shenzhen Stock Exchange) rose 0.59% to close at 2.875; the GEM ETF rose 2.16% to close at 2.927; the Shenzhen 100ETF rose 0.92% to close at 3.396; the SSE 50 Index rose 0.16% to close at 2981.20; the STAR 50ETF rose 1.35% to close at 1.43; the E Fund STAR 50ETF rose 1.23% to close at 1.40 [5]. - The trading volume PCR and position PCR of various options changed compared to the previous trading day. For example, the trading volume PCR of the 50ETF option was 79.83 (previous day: 66.32), and the position PCR was 94.29 (previous day: 95.41) [6]. - The implied volatility of at - the - money options in September 2025 and the 30 - trading - day historical volatility of the underlying assets of various options are provided. For instance, the implied volatility of the at - the - money 50ETF option in September 2025 was 21.45%, and the 30 - trading - day historical volatility of the underlying asset was 13.99% [7]. 3.2 Relevant Charts - **50ETF Option**: The report includes charts of the 50ETF option, such as the 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [9][11][13]. - **Shanghai Stock Exchange 300ETF Option**: There are charts showing the 300ETF (Shanghai Stock Exchange) option, including the 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [21][23][25]. - **Shenzhen Stock Exchange 300ETF Option**: Charts for the 300ETF (Shenzhen Stock Exchange) option are presented, including the 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [33][34]. - **CSI 300 Index Option**: Charts related to the CSI 300 index option are provided, including the CSI 300 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [35][36]. - **CSI 1000 Index Option**: There are charts for the CSI 1000 index option, such as the CSI 1000 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [37][38]. - **Shanghai Stock Exchange 500ETF Option**: The report contains charts of the 500ETF (Shanghai Stock Exchange) option, including the 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [51][53][55]. - **Shenzhen Stock Exchange 500ETF Option**: Charts for the 500ETF (Shenzhen Stock Exchange) option are shown, including the 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [64][66][68]. - **GEM ETF Option**: There are charts of the GEM ETF option, including the GEM ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [77][79][81]. - **Shenzhen 100ETF Option**: The report provides charts of the Shenzhen 100ETF option, including the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [90][92][94]. - **SSE 50 Index Option**: Charts related to the SSE 50 index option are included, such as the SSE 50 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [103][105][107]. - **STAR 50ETF Option**: There are charts of the STAR 50ETF option, including the STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [114][115][116]. - **E Fund STAR 50ETF Option**: The report presents charts of the E Fund STAR 50ETF option, including the E Fund STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and the at - the - money implied volatility of different tenors [120][122][124].

Report Summary 1. Report Industry Investment Rating The provided text does not mention the report industry investment rating. 2. Core Viewpoints - The A-share market showed strong performance on August 28, with over 2800 stocks rising and the trading volume exceeding 3 trillion yuan for two consecutive days. The market is in a bullish trend in the medium term, but short-term fluctuations are inevitable due to the accumulation of risks and the need to digest profit-taking chips. [2][3] - Different commodities have different market trends and investment suggestions. For example, aluminum prices may maintain high-level consolidation; coking coal and coke may fluctuate repeatedly; urea may continue to consolidate within a certain range; steel prices may continue to oscillate at the bottom; egg futures can be shorted on rebounds; live pig prices may maintain range-bound fluctuations; and cotton may be slightly bearish in the short term but bullish in the medium to long term. [3][4][5] 3. Summary by Related Catalogs Options - On August 28, the three major A-share indexes strengthened collectively. The trading volume of A-shares exceeded 3 trillion yuan for two consecutive days, reaching 3.0004 trillion yuan. Most industry sectors rose, with semiconductor, communication equipment, and other sectors leading the gains, while automobile service, real estate service, and brewing industries declined. [2] - The IF weighted index of CSI 300 stock index futures increased in volume and price, with the basis of the current-month contract widening and the basis of the next-month contract narrowing. The trading volume PCR and option holding volume PCR of two 300ETF options both increased, and the weighted implied volatility rose. [2] - The IH weighted index of SSE 50 stock index futures decreased in position and increased in volume. The current-month contract changed to a discount to the underlying, and the next-month contract changed to a premium to the current-month contract. The trading volume PCR and option holding volume PCR of CFFEX SSE 50 stock index options decreased, while those of Huaxia 50ETF increased, and the weighted implied volatility rose. [2] - The IM weighted index of CSI 1000 stock index futures increased in position and volume. The basis of the current-month contract and the next-month contract both widened, the trading volume PCR increased, the option trading volume PCR decreased but remained above 1.09, and the weighted implied volatility rose. The option MO holding volume reached a new high since listing. [2] - Trend investors are advised to focus on the strength and weakness arbitrage opportunities between varieties, and volatility investors are advised to go long on volatility when the underlying index rises and short on volatility when it falls. [2] Stock Index - On August 28, the three major A-share indexes closed higher. Concept sectors such as copper cable high-speed connection, CPO, lithography machine, and storage chips were active, while grain concept, animal vaccine, and weight-loss drug sectors performed poorly. The Shanghai Composite Index rose 1.14%, the Shenzhen Component Index rose 2.25%, and the ChiNext Index rose 3.82%. [3] - On Thursday, most European and American stock markets closed higher, with the Dow Jones and S&P 500 indexes hitting new closing highs. Technology stocks mostly rose, and the US GDP growth rate in the second quarter was revised up to 3.3%, exceeding expectations, which boosted market sentiment. [3] - The market showed a rebound and repair trend on Thursday. The short-term fluctuations of the market are due to the accumulation of risks after the rapid rise of the index and the need to digest profit-taking chips, but the overall strong pattern remains unchanged. [3] - It is recommended to reduce positions on rallies for previous profit-taking positions and use the 10-day moving average as the mid-term trend watershed. [3] Aluminum - The market continues to bet on the Fed's interest rate cut expectation in September. Fundamentally, due to the release of supply increments and the off-season of consumption, the expectation of inventory accumulation is still strong. Aluminum prices may maintain high-level consolidation in the short term, with a reference range of 20,000 - 21,000 yuan/ton. [3] Coking Coal and Coke - The weekly average daily output of raw coal was 188,600 tons, a decrease of 2,600 tons compared with the previous week, and the raw coal inventory was 472,600 tons, an increase of 1,000 tons. The average daily output of clean coal was 75,300 tons, a decrease of 1,800 tons, and the clean coal inventory was 283,600 tons, an increase of 8,000 tons. [4] - Due to stricter safety inspections in mines and the supply contraction of downstream coke enterprises and steel mills, the short-term raw material support still exists, and coking coal and coke prices may fluctuate repeatedly. [4] Urea - The domestic urea spot market price remained stable over the weekend, with the mainstream ex-factory quotation at around 1,670 - 1,680 yuan/ton. Recently, many urea enterprises have overhauled their equipment, resulting in a significant decrease in daily output, but the overall supply is still relatively sufficient. [4] - Affected by the weak downstream demand, the inventory of upstream urea enterprises continued to accumulate. The operating rate of compound fertilizer enterprises decreased slightly, but the downstream pick-up improved gradually. The UR2601 contract may continue to consolidate within the range of 1,700 - 1,820 yuan/ton, and the subsequent focus is on the Indian tender opening. [4] Steel (Rebar and Hot Rolled Coil) - The five major steel products continued to accumulate inventory in the off-season. Rebar production and demand both increased, and the apparent demand rebounded slightly faster. The total inventory increase slowed down, the factory inventory decreased, and the social inventory continued to increase, indicating an accelerated transfer from factory inventory to social inventory. Terminal procurement was relatively cautious due to the off-season. [4] - Hot-rolled coil production and demand both decreased slightly, and the total inventory continued to rise slightly. The overall inventory accumulation pressure was not large, with the factory inventory at a historical low and the social inventory lower than the same period last year. The spot market trading was weak over the weekend, and the quotation was partially reduced by 10 - 30 yuan/ton. The basis was at a high level, and the manufacturing PMI in August rebounded slightly by 0.1 to 49.4%. Steel prices may continue to oscillate at the bottom in the short term. [4] Eggs - The national egg spot price fell steadily last week and stabilized again over the weekend. The current spot price at the benchmark location is 2.6 yuan/jin, a weekly decline of 0.08 yuan/jin. After the callback in the north, the price tried to rise slightly but failed, and the high-price area in the south began to decline. The出库 of cold storage eggs suppressed the market, and the supply of large-sized eggs was short, while the supply of medium and small-sized eggs was relatively sufficient. The terminal's acceptance of the rapid rise in egg prices was limited, and the sales slowed down. It is expected that the spot price is unlikely to fall significantly further due to the support of Mid-Autumn Festival stocking. Egg futures can be shorted on rebounds. [4] Live Pigs - The live pig spot price remained stable last week, with the national average price at 14.00 yuan/kg. The overall supply is sufficient, and the demand is constantly recovering, so the price is stable. Although the存栏 of medium and large pigs has decreased, the actual supply is still sufficient. With the decrease of high-temperature weather, the demand has rebounded, and the acquisition enthusiasm of slaughtering enterprises has increased, which further supports the price. The futures market showed general performance, maintaining a volatile trend, and the current discount is slight, with limited room for a deep decline. The near-term contract reflects the reality of oversupply, while the far-term contract reflects the expectation of capacity reduction. Live pig prices may maintain range-bound fluctuations, with a weak near-term and a strong far-term, and it is advisable to conduct reverse arbitrage. [5] Cotton - In the previous trading session, ICE cotton rebounded significantly, with the December contract closing at 67.3 cents/pound, up 62 points, or 0.93%. Zhengzhou cotton rose sharply on Friday. Internationally, India extended the duty-free period for cotton imports until December 31, 2025, which boosted market sentiment. However, currently, US cotton exports to India only account for about 1.5% of its total exports, so the overall positive impact is limited. [5] - The main drivers of Zhengzhou cotton's rise are the rise of ICE cotton, the tight supply of cotton commercial inventory as of August 22, and the market's expectation of the start of orders during the "Golden September and Silver October" period. However, from the fundamental perspective, the cotton destocking speed and the operating rates of spinning and weaving mills have not improved significantly compared with the previous two weeks, and the increase in downstream cotton yarn prices is limited, indicating that the terminal demand is still weak. Overall, Zhengzhou cotton may be slightly bearish in the short term, with an expected decline next week, and the focus is on the range of 14,000 - 14,500 yuan/ton, but it may be bullish in the medium to long term. [5]