国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 16 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2026/3/26 2.897 -1.13% 16.58% 16.70% 2026/3/27 2.909 0.41% 16.16% 16.52% 2026/3/30 2.905 -0.14% 16.66% 16.90% 2026年3月30日 68.70% 近1年 次月IV分位数 72.80% 69.40% 75.10% 近2年 次月IV分位数 69.00% 67.30% 70.50% 当月合约距离到期还剩 68.00% 65.60% 【50ETF】 近1年 当月IV分位数 70.20% 67.70% 71.00% 近2年 当月IV分位数 金融期权波动率 0% 10% 20% ATM IV(M1) ATM IV(M2) ATM IV(Q1) ATM IV(Q2) ATM IV期限结构 今日 昨日 0% 50% 100% 2.00 2.50 3.00 3.50 2023/3/24 2023/8/21 2024/1/17 2024/6/21 2024/11/19 2025/ ...

Group 1: Volatility Index Explanation - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [2] - The difference between the implied volatility index and historical volatility: a larger difference indicates that the implied volatility is relatively higher than historical volatility, while a smaller difference means the opposite [2] Group 2: Volatility Data Visualization - The document presents multiple charts showing the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various financial and commodity options, including 300股指, 50ETF, 1000股指, 500ETF, corn, cotton, methanol, rubber, iron ore, PTA, crude oil, PVC, rebar, urea, rapeseed, and palm oil [3] Group 3: Implied Volatility Quantile and Volatility Spread - The implied volatility quantile represents the current level of the implied volatility of a variety in history. A high quantile indicates that the current implied volatility is relatively high, and a low quantile means it is relatively low [4] - The volatility spread is related to the implied volatility index and historical volatility [4]

Group 1: Volatility Index Explanation - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - strike options above and below the at - the - money option of the main contract, reflecting the implied volatility change trend of the main contract [1] - The difference between the implied volatility index and historical volatility: a larger difference indicates that the implied volatility is relatively higher than historical volatility, while a smaller difference means the opposite [1] Group 2: Volatility Graphs - There are multiple graphs showing the implied volatility (IV), historical volatility (HV), and the difference between them (IV - HV) for various financial and commodity options, including 300 stock index, 50ETF, 1000 stock index, 500ETF, corn, cotton, methanol, rubber, iron ore, PTA, crude oil, aluminum, PVC, rebar, urea, rapeseed, and palm oil [2] Group 3: Implied Volatility Quantile - Implied volatility quantiles represent the current level of a variety's implied volatility in history. A high quantile means the current implied volatility is high, and a low quantile means it is low [3] - Volatility spread is defined as the implied volatility index minus historical volatility [3]

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Report's Core View There is no clear core view presented in the provided content. The report mainly provides a large amount of data on various financial products' prices, price changes, implied volatility (IV), and related statistics. 3. Summary by Related Catalogs 3.1 50ETF - **Price and IV Data**: From March 16 - 18, 2026, the 50ETF price was 3.028, 3.039, and 3.035 respectively, with corresponding price changes of -0.23%, 0.36%, and -0.13%. The corresponding monthly IVs were 14.45%, 15.58%, and 14.44%, and the next - month IVs were 14.71%, 14.79%, and 14.29% [1]. - **IV Quantiles**: The monthly IV quantiles in the past 1 - year were 47.70%, 64.40%, and 47.30%, and in the past 2 - year were 49.80%, 63.10%, and 49.20%. The next - month IV quantiles in the past 1 - year were 46.40%, 47.20%, and 40.90%, and in the past 2 - year were 47.70%, 49.40%, and 41.40% [1]. - **Skew Index**: The skew index of the main contract month was 106.41 today, 112.32 yesterday, 107.13 two days ago, 117.10 three days ago, and 107.20 four days ago [2]. 3.2 Shanghai 300ETF - **Price and IV Data**: From March 13 - 18, 2026, the Shanghai 300ETF price and price changes, monthly IV, and next - month IV are provided. For example, on March 16, the price was 4.680 with a 0.06% increase, monthly IV of 16.09%, and next - month IV of 15.74% [5]. - **IV Quantiles**: The monthly IV quantiles in the past 1 - year and 2 - year, as well as the next - month IV quantiles in the past 1 - year and 2 - year, are presented [5]. - **Skew Index**: The skew index of the main contract month today is 108.94, and other historical data is also provided [8]. 3.3 Shenzhen 300ETF - **Price and IV Data**: From March 16 - 18, 2026, the Shenzhen 300ETF price and price changes, monthly IV, and next - month IV are shown. For example, on March 16, the price was 4.879 with a 0.06% increase, monthly IV of 14.83%, and next - month IV of 15.28% [10]. - **IV Quantiles**: The monthly IV quantiles in the past 1 - year and 2 - year, and the next - month IV quantiles in the past 1 - year and 2 - year are given [10]. - **Skew Index**: The skew index of the main contract month today is 112.17, and historical data is also available [13]. 3.4 Shanghai CSI 500ETF - **Price and IV Data**: From March 16 - 18, 2026, the Shanghai CSI 500ETF price and price changes, monthly IV, and next - month IV are provided. For example, on March 16, the price was 8.259 with a - 1.98% decrease, monthly IV of 22.08%, and next - month IV of 23.14% [16]. - **IV Quantiles**: The monthly IV quantiles in the past 1 - year and 2 - year, and the next - month IV quantiles in the past 1 - year and 2 - year are presented [16]. - **Skew Index**: The skew index of the main contract month today is 114.79, and historical data is also provided [18]. 3.5 Shenzhen CSI 500ETF - **Price and IV Data**: From March 16 - 18, 2026, the Shenzhen CSI 500ETF price and price changes, monthly IV, and next - month IV are shown. For example, on March 16, the price was 3.282 with a - 0.76% decrease, monthly IV of 22.10%, and next - month IV of 23.22% [19]. - **IV Quantiles**: The monthly IV quantiles in the past 1 - year and 2 - year, and the next - month IV quantiles in the past 1 - year and 2 - year are given [19]. - **Skew Index**: The skew index of the main contract month today is 130.43, and historical data is also available [21]. 3.6 ChiNext ETF - **Price and IV Data**: From March 16 - 18, 2026, the ChiNext ETF price and price changes, monthly IV, and next - month IV are provided. For example, on March 16, the price was 3.349 with a 1.48% increase, monthly IV of 23.45%, and next - month IV of 24.47% [22]. - **IV Quantiles**: The monthly IV quantiles in the past 1 - year and 2 - year, and the next - month IV quantiles in the past 1 - year and 2 - year are presented [22]. - **Skew Index**: The skew index of the main contract month today is 125.46, and historical data is also provided [24]. 3.7 Shenzhen 100ETF - **Price and IV Data**: From March 16 - 18, 2026, the Shenzhen 100ETF price and price changes, monthly IV, and next - month IV are shown. For example, on March 16, the price was 3.541 with a 0.45% increase, monthly IV of 19.59%, and next - month IV of 19.96% [25]. - **IV Quantiles**: The monthly IV quantiles in the past 1 - year and 2 - year, and the next - month IV quantiles in the past 1 - year and 2 - year are given [25]. - **Skew Index**: The skew index of the main contract month today is 117.33, and historical data is also available [28]. 3.8 Science and Technology Innovation 50ETF - **Price and IV Data**: From March 16 - 18, 2026, the Science and Technology Innovation 50ETF price and price changes, monthly IV, and next - month IV are provided. For example, on March 16, the price was 1.458 with a 0.55% increase, monthly IV of 27.48%, and next - month IV of 27.40% [32]. - **IV Quantiles**: The monthly IV quantiles in the past 1 - year and 2 - year, and the next - month IV quantiles in the past 1 - year and 2 - year are presented [32]. - **Skew Index**: The skew index of the main contract month today is 102.71, and historical data is also provided [35]. 3.9 STAR 50ETF - **Price and IV Data**: From March 16 - 18, 2026, the STAR 50ETF price and price changes, monthly IV, and next - month IV are shown. For example, on March 16, the price was 1.413 with a 0.50% increase, monthly IV of 27.35%, and next - month IV of 27.09% [38]. - **IV Quantiles**: The monthly IV quantiles in the past 1 - year and 2 - year, and the next - month IV quantiles in the past 1 - year and 2 - year are given [38]. - **Skew Index**: The skew index of the main contract month today is 101.18, and historical data is also available [40]. 3.10 300 Index - **Price and IV Data**: From March 16 - 18, 2026, the 300 Index price and price changes, monthly IV, and next - month IV are provided. For example, on March 16, the price was 4671.559 with a 0.05% increase, monthly IV of 13.76%, and next - month IV of 14.72% [45]. - **IV Quantiles**: The monthly IV quantiles in the past 1 - year and 2 - year, and the next - month IV quantiles in the past 1 - year and 2 - year are presented [45]. - **Skew Index**: The skew index of the main contract month today is 127.74, and historical data is also provided [47]. 3.11 1000 Index - **Price and IV Data**: From March 16 - 18, 2026, the 1000 Index price and price changes, monthly IV, and next - month IV are shown. For example, on March 16, the price was 8211.352 with a - 0.04% decrease, monthly IV of 19.38%, and next - month IV of 22.86% [50]. - **IV Quantiles**: The monthly IV quantiles in the past 1 - year and 2 - year, and the next - month IV quantiles in the past 1 - year and 2 - year are given [50]. - **Skew Index**: The skew index of the main contract month today is 112.02, and historical data is also available [54]. 3.12 Shanghai 50 Index - **Price and IV Data**: From March 16 - 18, 2026, the Shanghai 50 Index price and price changes, monthly IV, and next - month IV are provided. For example, on March 16, the price was 2954.089 with a - 0.09% decrease, monthly IV of 14.79%, and next - month IV of 59.09% [55]. - **IV Quantiles**: The monthly IV quantiles in the past 1 - year and 2 - year, and the next - month IV quantiles in the past 1 - year and 2 - year are presented [55]. - **Skew Index**: The skew index of the main contract month today is 98.95, and historical data is also provided [57].

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - No clear overall core viewpoints presented, but detailed data on various financial products are provided 3. Summary by Related Contents 3.1 50ETF - From February 26 to March 2, 2026, the 50ETF price fluctuated slightly, with a -0.61% decline on February 26, a 0.26% increase on February 27, and a 0.06% increase on March 2 [1] - The current month's IV was 12.57% on February 26, 12.03% on February 27, and 12.60% on March 2; the next month's IV was 13.31%, 13.14%, and 13.57% respectively [1] - The current month's IV quantiles in the past 1 - year and 2 - year were 14.20% - 15.90% and 17.70% - 18.80% respectively; the next month's IV quantiles in the past 1 - year and 2 - year were 23.30% - 28.60% and 25.40% - 30.70% respectively [1] - The skew index of the main contract was 107.16 today, 97.77 yesterday, 100.43 two days ago, 100.67 three days ago, and 100.00 four days ago [3] 3.2 Shanghai 300ETF - From February 25 to February 27, 2026, the Shanghai 300ETF price decreased first and then increased slightly, with a 0.72% increase on February 25, a -0.32% decline on February 26, and a -0.21% decline on February 27 [4] - The current month's IV was 12.55% on February 25, 12.22% on February 26, and 12.69% on February 27; the next month's IV was 13.64%, 13.54%, and 13.76% respectively [4] - The current month's IV quantiles in the past 1 - year and 2 - year were 0.40% - 7.50% and 4.40% - 9.20% respectively; the next month's IV quantiles in the past 1 - year and 2 - year were 6.70% - 17.50% and 5.90% - 15.80% respectively [4] - The skew index of the main contract was 112.50 today, 100.07 yesterday, 104.51 two days ago, 103.33 three days ago, and 100.00 four days ago [6] 3.3 Shenzhen 300ETF - From February 26 to March 2, 2026, the Shenzhen 300ETF price decreased first and then increased, with a -0.28% decline on February 26, a -0.24% decline on February 27, and a 0.24% increase on March 2 [7] - The current month's IV was 12.86% on February 26, 12.57% on February 27, and 12.97% on March 2; the next month's IV was 13.73%, 13.65%, and 13.67% respectively [7] - The current month's IV quantiles in the past 1 - year and 2 - year were 4.80% - 12.20% and 7.50% - 13.40% respectively; the next month's IV quantiles in the past 1 - year and 2 - year were 14.00% - 15.30% and 17.80% - 19.10% respectively [7] - The skew index of the main contract was 107.05 today, 98.76 yesterday, 100.82 two days ago, 102.14 three days ago, and 74.20 four days ago [10] 3.4 Shanghai CSI 500ETF - From February 26 to March 2, 2026, the Shanghai CSI 500ETF price increased, with a 1.90% increase on February 26, a 1.57% increase on February 27, and a 1.19% increase on March 2 [12] - The current month's IV was 20.69% on February 26, 20.22% on February 27, and 20.37% on March 2; the next month's IV was 21.01%, 20.91%, and 21.20% respectively [12] - The current month's IV quantiles in the past 1 - year and 2 - year were 66.90% - 71.40% and 55.60% - 59.70% respectively; the next month's IV quantiles in the past 1 - year and 2 - year were 66.50% - 68.30% and 59.90% - 62.00% respectively [12] - The skew index of the main contract was 110.69 today, 109.76 yesterday, 116.18 two days ago, 105.53 three days ago, and 100.00 four days ago [15] 3.5 Shenzhen CSI 500ETF - From February 26 to March 2, 2026, the Shenzhen CSI 500ETF price increased slightly, with a 0.29% increase on February 26, a 1.20% increase on February 27, and a 0.03% increase on March 2 [18] - The current month's IV was 20.97% on February 26, 20.57% on February 27, and 20.33% on March 2; the next month's IV was 21.25%, 21.19%, and 21.19% respectively [18] - The current month's IV quantiles in the past 1 - year and 2 - year were 65.70% - 70.20% and 56.00% - 63.20% respectively; the next month's IV quantiles in the past 1 - year and 2 - year were 64.50% - 65.60% and 59.10% - 59.30% respectively [18] - The skew index of the main contract was 113.04 today, 114.78 yesterday, 105.89 two days ago, 100.00 three days ago, and 100.00 four days ago [20] 3.6 GEM ETF - From February 26 to March 2, 2026, the GEM ETF price decreased, with a -0.24% decline on February 26, a -1.05% decline on February 27, and a -0.58% decline on March 2 [21] - The current month's IV was 20.49% on February 26, 20.07% on February 27, and 20.43% on March 2; the next month's IV was 22.61%, 22.20%, and 22.00% respectively [21] - The current month's IV quantiles in the past 1 - year and 2 - year were 11.80% - 26.20% and 12.20% - 32.80% respectively; the next month's IV quantiles in the past 1 - year and 2 - year were 15.50% - 30.00% and 15.90% - 32.80% respectively [21] - The skew index of the main contract was 99.44 today, 100.00 yesterday, 108.81 two days ago, 100.45 three days ago, and 102.04 four days ago [23] 3.7 Shenzhen 100ETF - From February 26 to March 2, 2026, the Shenzhen 100ETF price decreased first and then remained stable, with a 0.09% increase on February 26, a -0.99% decline on February 27, and a -0.03% decline on March 2 [25] - The current month's IV was 16.49% on February 26, 15.91% on February 27, and 16.48% on March 2; the next month's IV was 17.70%, 17.84%, and 17.74% respectively [25] - The current month's IV quantiles in the past 1 - year and 2 - year were 13.80% - 22.00% and 11.60% - 20.20% respectively; the next month's IV quantiles in the past 1 - year and 2 - year were 28.80% - 30.50% and 31.50% - 33.40% respectively [25] - The skew index of the main contract was 109.68 today, 101.21 yesterday, 104.39 two days ago, 102.56 three days ago, and 100.00 four days ago [28] 3.8 Science and Technology Innovation 50ETF - From February 26 to March 2, 2026, the Science and Technology Innovation 50ETF price increased first and then decreased, with a 0.77% increase on February 26, a 0.13% increase on February 27, and a -1.40% decline on March 2 [34] - The current month's IV was 24.86% on February 26, 24.26% on February 27, and 24.13% on March 2; the next month's IV was 25.50%, 24.72%, and 24.19% respectively [34] - The current month's IV quantiles in the past 1 - year and 2 - year were 22.70% - 39.10% and 25.30% - 34.70% respectively; the next month's IV quantiles in the past 1 - year and 2 - year were 24.40% - 31.10% and 25.70% - 31.10% respectively [34] - The skew index of the main contract was 96.92 today, 87.73 yesterday, 92.93 two days ago, 101.59 three days ago, and 109.50 four days ago [36] 3.9 STAR 50ETF - From February 26 to March 2, 2026, the STAR 50ETF price increased first and then decreased, with a 0.86% increase on February 26, a 0.20% increase on February 27, and a -1.51% decline on March 2 [39] - The current month's IV was 24.13% on February 26, 23.36% on February 27, and 24.55% on March 2; the next month's IV was 25.91%, 24.97%, and 24.84% respectively [39] - The current month's IV quantiles in the past 1 - year and 2 - year were 23.90% - 37.20% and 30.20% - 36.40% respectively; the next month's IV quantiles in the past 1 - year and 2 - year were 27.30% - 41.30% and 28.40% - 41.30% respectively [39] - The skew index of the main contract was 106.85 today, 97.60 yesterday, 99.58 two days ago, 99.63 three days ago, and 100.00 four days ago [40] 3.10 300 Index - From February 26 to March 2, 2026, the 300 Index price decreased first and then increased, with a -0.19% decline on February 26, a -0.34% decline on February 27, and a 0.38% increase on March 2 [42] - The current month's IV was 12.33% on February 26, 12.57% on February 27, and 12.40% on March 2; the next month's IV was 13.65%, 13.49%, and 13.52% respectively [42] - The current month's IV quantiles in the past 1 - year and 2 - year were 14.60% - 17.50% and 11.00% - 13.20% respectively; the next month's IV quantiles in the past 1 - year and 2 - year were 8.90% - 10.60% and 11.60% - 13.90% respectively [42] - The skew index of the main contract was 116.87 today, 107.83 yesterday, 99.03 two days ago, 103.02 three days ago, and 101.03 four days ago [44] 3.11 1000 Index - From February 26 to March 2, 2026, the 1000 Index price increased first and then decreased, with a 0.76% increase on February 26, a 0.83% increase on February 27, and a -0.98% decline on March 2 [47] - The current month's IV was 20.80% on February 26, 20.73% on February 27, and 20.34% on March 2; the next month's IV was 21.62%, 21.68%, and 21.54% respectively [47] - The current month's IV quantiles in the past 1 - year and 2 - year were 28.40% - 53.00% and 28.40% - 31.90% respectively; the next month's IV quantiles in the past 1 - year and 2 - year were 48.90% - 51.40% and 29.60% - 49.70% respectively [47] - The skew index of the main contract was 118.99 today, 108.08 yesterday, 114.41 two days ago, 112.69 three days ago, and 116.12 four days ago [51] 3.12 Shanghai 50 Index - From February 26 to March 2, 2026, the Shanghai 50 Index price increased slightly, with a -0.65% decline on February 26, a 0.14% increase on February 27, and a 0.23% increase on March 2 [53] - The current month's IV was 13.04% on February 26, 12.95% on February 27, and 13.25% on March 2; the next month's IV was 62.01%, 64.95%, and 65.31% respectively [53] - The current month's IV quantiles in the past 1 - year and 2 - year were 20.40% - 26.50% and 22.20% - 25.30% respectively; the next month's IV quantiles in the past 1 - year and 2 - year were 78.30% - 93.80% and 29.70% - 93.80% respectively [5

Summary of Conference Call Records Industry Overview - The conference call primarily discusses the A-share market in China, focusing on market trends, sector performance, and investment opportunities post-Chinese New Year [1][2][3]. Key Points and Arguments Market Performance and Trends - The A-share market exhibited a strong oscillation pattern before the Chinese New Year, with the Shanghai Composite Index peaking at 4,142 points, aligning with the expected range of 4,000 to 4,150 points [2][3]. - Major indices failed to break above the 5-week moving average due to large funds suppressing market movements, indicating a preference for maintaining a range-bound market rather than a rapid upward trend [3][5]. - The market is currently in an ABC adjustment structure, with the B phase ongoing, suggesting that a clear upward movement is unlikely until the C phase is completed [9][14]. Sector Performance - Sectors that performed well before the holiday include technology growth, computing, electronics, media, and telecommunications, which are closely related to the mainstream market trends since September 24, 2022 [4]. - The consumer sector, particularly retail and general consumption, saw significant capital outflows, reflecting a lack of investor confidence in economic recovery [7]. - The food and beverage sector is not expected to experience a major upward trend, with a clear bearish pattern observed [8]. Investment Opportunities - Short-term investment strategies are recommended, focusing on sectors with lower price levels and potential for quick gains, such as brokers, building materials, and banks [20]. - The technology growth sector, including AI applications and robotics, may present localized investment opportunities, but significant upward trends are not anticipated [18]. - The first quarter of 2026 may see the non-ferrous metals sector forming a significant bottom, with a notable increase in the index by 97.5 points in 2025 [21]. Market Sentiment and Future Outlook - The market is expected to maintain a high-risk preference in the short term, with potential for continued focus on technology growth sectors, although caution is advised due to the last trading day before the holiday [6][15]. - New funds are advised to wait for clearer investment opportunities post-March, as the current environment does not favor long-term investments [19][16]. - The overall market structure is likely to remain balanced, with a mix of growth and value styles emerging [30]. Other Important Insights - The recent appreciation of the RMB, surpassing 6.89, is seen as beneficial for the A-share market, supporting a positive outlook for capital markets [11]. - The upcoming political events, such as the two sessions in March, are anticipated to provide clearer investment signals [16]. - The historical context of spring market movements suggests a potential for short-term volatility, but with a cautious approach to avoid chasing high prices [28][31]. This summary encapsulates the key insights from the conference call, providing a comprehensive overview of the current state and future outlook of the A-share market and relevant sectors.

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Report's Core View There is no clear core view presented in the provided content. The report mainly presents data on various financial products such as ETFs and indices, including their prices, price changes, implied volatility (IV), IV quantiles, skew indices, and related trends over different time periods. 3. Summary by Related Catalogs 3.1 50ETF - **Price and IV Data**: From February 9 - 11, 2026, the 50ETF price changed from 3.161 to 3.170, with corresponding daily price changes of 1.48%, 0.28%, and 0.00%. The corresponding monthly IVs were 17.21%, 16.27%, and 17.51%, and the next - month IVs were 17.34%, 16.57%, and 16.75% [1]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are provided, with the 1 - year current - month IV quantiles being 77.90%, 69.70%, and 80.40% [1]. - **Skew Index**: The skew index on February 11, 2026, was 91.85, with previous values of 94.71 (yesterday), 92.27 (two days ago), 99.29 (three days ago), and 98.62 (four days ago) [2]. 3.2 Shanghai 300ETF - **Price and IV Data**: From February 6 - 11, 2026, the Shanghai 300ETF price changed, with the price on February 11 being 4.733. The daily price changes and corresponding monthly and next - month IVs are provided. For example, on February 9, the price was 4.727, with a 1.68% change, monthly IV of 16.56%, and next - month IV of 17.06% [3]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are presented, such as the 1 - year current - month IV quantiles being 68.90%, 54.20%, etc. [3]. - **Skew Index**: The skew index on February 6, 2026, was 111.30, with previous values also provided [5]. 3.3 Shenzhen 300ETF - **Price and IV Data**: From February 9 - 11, 2026, the Shenzhen 300ETF price changed from 4.928 to 4.920, with corresponding daily price changes and monthly and next - month IVs. For instance, on February 9, the price change was 1.61%, monthly IV was 18.23%, and next - month IV was 17.91% [6]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are given, like the 1 - year current - month IV quantiles being 78.70%, 69.70%, etc. [6]. - **Skew Index**: The skew index on February 9, 2026, was 107.99, with previous values available [10]. 3.4 Shanghai CSI 500ETF - **Price and IV Data**: From February 9 - 11, 2026, the Shanghai CSI 500ETF price changed from 8.395 to 8.411, with corresponding daily price changes and monthly and next - month IVs. For example, on February 9, the price change was 2.17%, monthly IV was 27.08%, and next - month IV was 26.47% [12]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are provided, such as the 1 - year current - month IV quantiles being 93.40%, 88.50%, etc. [12]. - **Skew Index**: The skew index on February 11, 2026, was 108.27, with previous values also presented [15]. 3.5 Shenzhen CSI 500ETF - **Price and IV Data**: From February 10 - 12, 2026, the Shenzhen CSI 500ETF price changed, with the price on February 12 being 3.338. The daily price changes and corresponding monthly and next - month IVs are shown. For example, on February 10, the price change was - 0.24%, monthly IV was 27.32%, and next - month IV was 26.88% [20]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are given, like the 1 - year current - month IV quantiles being 94.20%, 88.10%, etc. [20]. - **Skew Index**: The skew index on February 10, 2026, was 113.89, with previous values available [27]. 3.6 ChiNext ETF - **Price and IV Data**: From February 9 - 11, 2026, the ChiNext ETF price changed from 3.321 to 3.273, with corresponding daily price changes and monthly and next - month IVs. For instance, on February 9, the price change was 2.85%, monthly IV was 27.90%, and next - month IV was 28.10% [28]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are presented, such as the 1 - year current - month IV quantiles being 66.50%, 64.00%, etc. [28]. - **Skew Index**: The skew index on February 11, 2026, was 97.50, with previous values also provided [34]. 3.7 Shenzhen 100ETF - **Price and IV Data**: From February 9 - 11, 2026, the Shenzhen 100ETF price changed from 3.494 to 3.462, with corresponding daily price changes and monthly and next - month IVs. For example, on February 9, the price change was 1.96%, monthly IV was 22.64%, and next - month IV was 22.48% [38]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are given, like the 1 - year current - month IV quantiles being 75.10%, 68.10%, etc. [38]. - **Skew Index**: The skew index on February 11, 2026, was 106.18, with previous values available [42]. 3.8 Science and Technology Innovation 50ETF - **Price and IV Data**: From February 9 - 11, 2026, the Science and Technology Innovation 50ETF price changed from 1.535 to 1.533, with corresponding daily price changes and monthly and next - month IVs. For instance, on February 9, the price change was 2.40%, monthly IV was 33.05%, and next - month IV was 32.07% [48]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are presented, such as the 1 - year current - month IV quantiles being 67.30%, 67.60%, etc. [48]. - **Skew Index**: The skew index on February 11, 2026, was 95.49, with previous values also provided [50]. 3.9 STAR 50ETF - **Price and IV Data**: From February 9 - 11, 2026, the STAR 50ETF price changed from 1.486 to 1.486, with corresponding daily price changes and monthly and next - month IVs. For example, on February 9, the price change was 2.48%, monthly IV was 34.38%, and next - month IV was 32.88% [54]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are given, like the 1 - year current - month IV quantiles being 62.80%, 62.70%, etc. [54]. - **Skew Index**: The skew index on February 11, 2026, was 92.95, with previous values available [61]. 3.10 300 Index - **Price and IV Data**: From February 9 - 11, 2026, the 300 Index price changed from 4719.056 to 4713.819, with corresponding daily price changes and monthly and next - month IVs. For instance, on February 9, the price change was 1.63%, monthly IV was 18.70%, and next - month IV was 18.21% [66]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are presented, such as the 1 - year current - month IV quantiles being 86.50%, 73.80%, etc. [66]. - **Skew Index**: The skew index on February 11, 2026, was 100.38, with previous values also provided [69]. 3.11 1000 Index - **Price and IV Data**: From February 9 - 11, 2026, the 1000 Index price changed from 8233.778 to 8239.513, with corresponding daily price changes and monthly and next - month IVs. For example, on February 9, the price change was 2.26%, monthly IV was 27.20%, and next - month IV was 26.14% [70]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are given, like the 1 - year current - month IV quantiles being 91.80%, 78.70%, etc. [70]. - **Skew Index**: The skew index on February 11, 2026, was 113.30, with previous values available [75]. 3.12 Shanghai Composite 50 Index - **Price and IV Data**: From February 9 - 11, 2026, the Shanghai Composite 50 Index price changed from 3081.779 to 3088.457, with corresponding daily price changes and monthly and next - month IVs. For instance, on February 9, the price change was 1.45%, monthly IV was 17.74%, and next - month IV was 66.58% [80]. - **IV Quantiles**: The 1 - year and 2 - year quantiles of the current - month IV and next - month IV are presented, such as the 1 - year current - month IV quantiles being 82.00%, 77.10%, etc. [80]. - **Skew Index**: The skew index on February 11, 2026, was 100.49, with previous values also provided [86].

Report Summary 1. Report Industry Investment Rating - Not provided in the content 2. Core View - The report presents daily volatility data including implied volatility indices, historical volatility, and their spreads for various financial and commodity options. It also shows the implied volatility quantile data and historical volatility quantile ranking for some products [3][5][6]. 3. Summary by Related Content Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The commodity option implied volatility index is obtained by weighted average of the IVs of the two - strike options above and below the at - the - money option of the main contract, reflecting the IV change trend of the main contract [3]. - The difference between the implied volatility index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means IV is relatively higher than HV, and a smaller difference means IV is relatively lower [3]. Implied Volatility Quantile and Volatility Spread Quantile - The implied volatility quantile represents the current level of a product's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low [5]. - The volatility spread is related to the implied volatility index and historical volatility [5]. Data Display - There are charts showing the trends of IV, HV, and IV - HV spreads for various products such as 300股指, 50ETF, 1000股指, etc., from 2024 to 2026. Also, there is a chart presenting the implied volatility quantile data and historical volatility quantile ranking for products like PTA, 500ETF, 50ETF, etc [4][6][7].

1. Report Industry Investment Rating No relevant information provided. 2. Report's Core View No clear core view is presented in the provided text. It mainly contains detailed data and charts about various financial products' price, volatility, and related indices. 3. Summary by Related Catalogs A. 50ETF - 10 - day data: From 2026/1/30 to 2/3, the price changed from 3.147 to 3.108 with corresponding fluctuations in monthly and next - month IV [1] - IV quantiles: High quantiles for both monthly and next - month IV in the past 1 and 2 years [1] - Skew index: Today's skew index is 103.65, showing changes compared to previous days [2] B. Shanghai 300ETF - 10 - day data: From 2026/1/29 to 2/3, the price changed from 4.768 to 4.600 (on 2/2) and 4.660107 (on 2/3), with corresponding IV changes [3] - IV quantiles: High quantiles for both monthly and next - month IV in the past 1 and 2 years [3] - Skew index: Today's skew index is 97.50, with variations from previous days [6] C. Shenzhen 300ETF - 10 - day data: From 2026/1/30 to 2/3, the price changed from 4.912 to 4.864, and IV also fluctuated [8] - IV quantiles: High quantiles for both monthly and next - month IV in the past 1 and 2 years [8] - Skew index: Today's skew index is 96.50, different from previous days [10] D. Shanghai CSI 500ETF - 10 - day data: From 2026/1/30 to 2/3, the price changed from 8.440 to 8.366, and IV had corresponding changes [12] - IV quantiles: High quantiles for both monthly and next - month IV in the past 1 and 2 years [12] - Skew index: Today's skew index is 100.80, varying from previous days [15] E. Shenzhen CSI 500ETF - 10 - day data: From 2026/1/30 to 2/3, the price changed from 3.350 to 3.324, and IV fluctuated [21] - IV quantiles: High quantiles for both monthly and next - month IV in the past 1 and 2 years [21] - Skew index: Today's skew index is 101.30, different from previous days [25] F. ChiNext ETF - 10 - day data: From 2026/1/30 to 2/3, the price changed from 3.335 to 3.313, and IV had corresponding changes [26] - IV quantiles: High quantiles for both monthly and next - month IV in the past 1 and 2 years [26] - Skew index: Today's skew index is 95.19, varying from previous days [31] G. Shenzhen 100ETF - 10 - day data: From 2026/1/30 to 2/3, the price changed from 3.478 to 3.463, and IV fluctuated [35] - IV quantiles: High quantiles for both monthly and next - month IV in the past 1 and 2 years [35] - Skew index: Today's skew index is 93.78, different from previous days [38] H. Science and Technology Innovation 50ETF - 10 - day data: From 2026/1/30 to 2/3, the price changed from 1.588 to 1.548, and IV had corresponding changes [44] - IV quantiles: High quantiles for both monthly and next - month IV in the past 1 and 2 years [44] - Skew index: Today's skew index is 88.58, varying from previous days [46] I. STAR 50ETF - 10 - day data: From 2026/1/30 to 2/3, the price changed from 1.538 to 1.499, and IV fluctuated [50] - IV quantiles: High quantiles for both monthly and next - month IV in the past 1 and 2 years [50] - Skew index: Today's skew index is 88.25, different from previous days [56] J. 300 Index - 9 - day data: From 2026/1/30 to 2/3, the price changed from 4706.340 to 4660.107, and IV had corresponding changes [61] - IV quantiles: High quantiles for both monthly and next - month IV in the past 1 and 2 years [61] - Skew index: Today's skew index is 82.13, varying from previous days [65] K. 1000 Index - 9 - day data: From 2026/1/30 to 2/3, the price changed from 8254.860 to 8209.101, and IV fluctuated [66] - IV quantiles: High quantiles for both monthly and next - month IV in the past 1 and 2 years [66] - Skew index: Today's skew index is 104.03, different from previous days [71] L. Shanghai Composite 50 Index - 9 - day data: From 2026/1/30 to 2/3, the price changed from 3066.496 to 3034.580, and IV had corresponding changes [79] - IV quantiles: High quantiles for both monthly and next - month IV in the past 1 and 2 years [79] - Skew index: Today's skew index is 95.93, varying from previous days [81]

1. Report Industry Investment Rating There is no information provided in the content regarding the industry investment rating. 2. Core Viewpoints There is no explicit core view presented in the given content. 3. Summary by Related Catalogs 3.1 50ETF - The price, daily change, and implied volatility (IV) of 50ETF from January 28 - 30, 2026 are presented, with the price rising on January 29 and falling on January 30 [1]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided, showing relatively high IV quantiles [1]. - Graphs display the price, IV, skew index, and other indicators' trends over different time periods [1][2]. 3.2 Shanghai 300ETF - The price, daily change, and IV of Shanghai 300ETF from January 27 - 30, 2026 are shown, with price fluctuations during this period [3]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are given, with high IV quantiles [3]. - Various graphs illustrate the price, IV, skew index, and other trends [3][6]. 3.3 Shenzhen 300ETF - The price, daily change, and IV of Shenzhen 300ETF from January 28 - 30, 2026 are presented, with price changes and IV fluctuations [7]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided, indicating high IV quantiles [7]. - Graphs show the price, IV, skew index, and other trends [7][12]. 3.4 Shanghai CSI 500ETF - The price, daily change, and IV of Shanghai CSI 500ETF from January 28 - 30, 2026 are given, with significant price drops on January 30 [14]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are very high [14]. - Graphs display the price, IV, skew index, and other trends [14][20]. 3.5 Shenzhen CSI 500ETF - The price, daily change, and IV of Shenzhen CSI 500ETF from January 28 - 30, 2026 are shown, with price declines on January 29 and 30 [22]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are high [22]. - Graphs illustrate the price, IV, skew index, and other trends [22][28]. 3.6 ChiNext ETF - The price, daily change, and IV of ChiNext ETF from January 28 - 30, 2026 are presented, with a price increase on January 30 [29]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [29]. - Graphs show the price, IV, skew index, and other trends [29][39]. 3.7 Shenzhen 100ETF - The price, daily change, and IV of Shenzhen 100ETF from January 28 - 30, 2026 are given, with minor price changes [40]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [40]. - Graphs display the price, IV, skew index, and other trends [40][47]. 3.8 Science and Technology Innovation 50ETF - The price, daily change, and IV of Science and Technology Innovation 50ETF from January 28 - 30, 2026 are shown, with price drops on January 29 [49]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [49]. - Graphs illustrate the price, IV, skew index, and other trends [49][54]. 3.9 STAR 50ETF - The price, daily change, and IV of STAR 50ETF from January 28 - 30, 2026 are presented, with price declines on January 29 and 30 [57]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [57]. - Graphs show the price, IV, skew index, and other trends [57][68]. 3.10 300 Index - The price, daily change, and IV of the 300 Index from January 28 - 30, 2026 are given, with a price drop on January 30 [69]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [69]. - Graphs display the price, IV, skew index, and other trends [69][73]. 3.11 1000 Index - The price, daily change, and IV of the 1000 Index from January 28 - 30, 2026 are shown, with price drops on January 29 and 30 [74]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [74]. - Graphs illustrate the price, IV, skew index, and other trends [74][83]. 3.12 Shanghai 50 Index - The price, daily change, and IV of the Shanghai 50 Index from January 28 - 30, 2026 are presented, with a price drop on January 30 [85]. - The IV quantiles of the current - month and next - month contracts in the past 1 and 2 years are provided [85]. - Graphs show the price, IV, skew index, and other trends [85][92].