隐波指教分位教与波动率价差分位数排名图 1、隐皮分位数代表当前品种隐波在历史上的水平 · 分位数高代表当前隐波偏高 · 分位数低代表隐皮偏低 · 2 、波动率 价差书急疫指数十历史皮 动率。 隐含波动率分位数据 历史波动率分位数排名 波动率数据日报 永安期货期权总部 更新时间: 2026/2/6 隐含波动率指数、历史波动率及其价差走势图 1、金融期权隐含波动率指数反映截止上一交易日的30日隐波走势,商品期权隐含波动 率指数通过主力月平值期权上下两档隐波加权所得,反映主力合约的隐波变化趋势。2 隐波指数与历史波动率的差值,差值越大反映隐波相对历史波动率越高,差值越小代 表隐波相对历史波动率越低。 300股指 IV 300股指HV IV-HV IV-HV美 50ETF IV FOETF HV 025/2/5 025/5/5 024/10/5 024/11/5 024/12/5 2025/1/5 025/3/5 025/4/5 025/6/5 025/7/5 025/8/5 025/9/5 025/10/5 025/11/5 026/1/5 024/10/5 025/2/5 025/3/5 025/4/5 025/ ...

国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 10 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2026/1/30 3.147 -1.53% 18.80% 19.78% 2026/2/2 3.08 -2.13% 24.54% 23.15% 2026/2/3 3.108 0.91% 19.27% 19.89% 【50ETF】 近1年 当月IV分位数 88.90% 98.30% 90.60% 近2年 当月IV分位数 当月合约距离到期还剩 81.50% 95.00% 83.40% 近1年 次月IV分位数 93.60% 98.70% 93.20% 近2年 次月IV分位数 85.20% 95.10% 84.90% 2026年2月3日 金融期权波动率 0% 10% 20% 30% 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 2023/2/7 2023/7/5 2023/11/30 2024/5/6 2024/9/26 2 ...

本报告版权属于国投期货有限公司 1 不可作为投资依据，转载请标明出处 本报告版权属于国投期货有限公司 2 不可作为投资依据，转载请标明出处 国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 12 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2026/1/28 3.138 0.22% 17.63% 19.54% 2026/1/29 3.196 1.85% 18.52% 19.90% 2026/1/30 3.147 -1.53% 18.80% 19.78% 【50ETF】 近1年 当月IV分位数 82.80% 86.90% 88.90% 近2年 当月IV分位数 当月合约距离到期还剩 74.00% 79.30% 81.50% 近1年 次月IV分位数 94.00% 94.00% 93.60% 近2年 次月IV分位数 84.30% 85.40% 85.20% 2026年1月30日 金融期权波动率 0% 10% 20% 30% 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% ...

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 2026/1/22 3.131 -0.45% 17.66% 15.19% 2026/1/23 3.106 -0.80% 17.81% 17.09% 2026/1/26 3.129 0.74% 19.92% 17.95% 【50ETF】 近1年 当月IV分位数 83.60% 83.60% 93.00% 近2年 当月IV分位数 当月合约距离到期还剩 74.40% 75.20% 87.10% 近1年 次月IV分位数 53.50% 81.40% 84.80% 近2年 次月IV分位数 52.40% 69.90% 73.50% 2026年1月26日 金融期权波动率 0% 10% 20% 30% 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 2023/1/30 2023/6/27 2023/11/22 2024/4/23 2024/ ...

1. Report Industry Investment Rating - No information provided in the content 2. Report's Core View - No clear core view is presented in the given content 3. Summary by Related Catalogs 3.1 ETFs and Indexes Information - For 50ETF, from January 15 - 19, 2026, the price decreased from 3.180 to 3.153 with corresponding fluctuations in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 13.34% to 11.85%, and the next - month IV decreased from 16.60% to 14.98%. The current - month IV quantile in the past 1 year was 24.00%, and 24.10% in the past 2 years [1]. - For沪300ETF, from January 14 - 19, 2026, the price fluctuated around 4.7, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 14.17% to 12.20%, and the next - month IV decreased from 18.13% to 15.66%. The current - month IV quantile in the past 1 year was 10.60%, and 24.30% in the past 2 years [3]. - For深300ETF, from January 15 - 19, 2026, the price fluctuated slightly around 4.9, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 14.15% to 12.62%, and the next - month IV decreased from 17.88% to 15.98%. The current - month IV quantile in the past 1 year was 27.30%, and 31.00% in the past 2 years [9]. - For沪中证500ETF, from January 15 - 19, 2026, the price increased from 8.277 to 8.348, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 25.69% to 19.87%, and the next - month IV decreased from 26.19% to 22.76%. The current - month IV quantile in the past 1 year was 90.60%, and 84.20% in the past 2 years [13]. - For深中证500ETF, from January 15 - 19, 2026, the price increased from 3.299 to 3.328, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 25.46% to 19.22%. The current - month IV quantile in the past 1 year was 89.30%, and 80.90% in the past 2 years [21]. - For创业板ETF, from January 15 - 19, 2026, the price decreased from 3.352 to 3.318, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 26.83% to 20.83%, and the next - month IV decreased from 31.25% to 26.13%. The current - month IV quantile in the past 1 year was 63.60%, and 37.10% in the past 2 years [27]. - For深证100ETF, from January 15 - 19, 2026, the price decreased from 3.543 to 3.531, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 18.75% to 16.10%, and the next - month IV decreased from 22.51% to 20.58%. The current - month IV quantile in the past 1 year was 44.00%, and 45.30% in the past 2 years [37]. - For科创50ETF, from January 15 - 19, 2026, the price fluctuated around 1.5, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 32.94% to 25.92%, and the next - month IV decreased from 37.63% to 32.41%. The current - month IV quantile in the past 1 year was 36.30%, and 41.50% in the past 2 years [46]. - For科创板50ETF, from January 15 - 19, 2026, the price fluctuated around 1.5, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 32.08% to 23.99%, and the next - month IV decreased from 35.34% to 31.32%. The current - month IV quantile in the past 1 year was 65.30%, and 59.50% in the past 2 years [51]. - For 300指数, from January 15 - 19, 2026, the price fluctuated around 4700, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 15.16% to 16.20%, and the next - month IV decreased from 19.21% to 18.42%. The current - month IV quantile in the past 1 year was 56.30%, and 49.80% in the past 2 years [59]. - For 1000指数, from January 15 - 19, 2026, the price increased from 8240.775 to 8265.646, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 25.40% to 23.17%, and the next - month IV decreased from 26.06% to 24.15%. The current - month IV quantile in the past 1 year was 65.40%, and 68.30% in the past 2 years [64]. - For上证50指数, from January 15 - 19, 2026, the price decreased from 3105.575 to 3075.936, with corresponding changes in the underlying asset's price change rate, current - month IV, and next - month IV; the current - month IV decreased from 13.95% to 15.52%, and the next - month IV decreased from 67.66% to 55.03%. The current - month IV quantile in the past 1 year was 40.80%, and 36.60% in the past 2 years [70]. 3.2 Skew Index Information - The skew index of 50ETF's main contract month was 94.83 today [2]. - The skew index of沪300ETF's main contract month was 92.10 today [5]. - The skew index of深300ETF's main contract month was 98.93 today [11]. - The skew index of沪中证500ETF's main contract month was 90.61 today [16]. - The skew index of深中证500ETF's main contract month was 100.00 today [26]. - The skew index of创业板ETF's main contract month was 96.29 today [33]. - The skew index of深证100ETF's main contract month was 92.08 today [40]. - The skew index of科创50ETF's main contract month was 89.48 today [48]. - The skew index of科创板50ETF's main contract month was 96.98 today [54]. - The skew index of 300指数's main contract month was 87.68 today [63]. - The skew index of 1000指数's main contract month was 88.56 today [69]. - The skew index of上证50指数's main contract month was 85.85 today [76]. 3.3 Other Information - The expiration of the current - month contracts for 50ETF,沪300ETF,深300ETF,沪中证500ETF,深中证500ETF,创业板ETF,深证100ETF,科创50ETF, and科创板50ETF was 7 days away; the expiration of the current - month contracts for 300指数, 1000指数, and上证50指数 was 20 days away [1][3][9]

1. Report Industry Investment Rating No relevant content provided. 2. Report Core Viewpoints No clear core viewpoints are presented in the provided text. The document mainly offers detailed data and charts regarding various financial products such as ETFs and indices, including price, implied volatility, and skew index information. 3. Summary by Related Catalogs a. 50ETF - 8 - day price, daily change, and implied volatility data from January 14 - 16, 2026, with the price dropping from 3.187 to 3.160, and the implied volatility of the current and next months showing a downward trend [1] - The current - month implied volatility quantiles are 58.30%, 24.00%, and 19.10% for the past year, and 54.30%, 29.20%, 24.10% for the past two years; the next - month implied volatility quantiles are 84.80%, 74.60%, 78.90% for the past year, and 75.60%, 65.70%, 68.90% for the past two years [1] - The skew index of the main contract month is 92.27 today [2] b. Shanghai 300ETF - 8 - day price, daily change, and implied volatility data from January 13 - 16, 2026, with the price fluctuating around 4.8 - 4.9, and the implied volatility of the current and next months also changing [3] - The current - month implied volatility quantiles are 73.40%, 32.20%, etc., and the next - month implied volatility quantiles are 90.70%, 82.40%, etc., for different time frames [3] - The skew index of the main contract month is 94.92 today [5] c. Shenzhen 300ETF - 8 - day price, daily change, and implied volatility data from January 14 - 16, 2026, with the price around 4.9, and the implied volatility of the current and next months changing [6] - The current - month implied volatility quantiles are 52.60%, 27.30%, etc., and the next - month implied volatility quantiles are 87.70%, 76.40%, etc., for different time frames [6] - The skew index of the main contract month is 93.04 today [11] d. Shanghai CSI 500ETF - 8 - day price, daily change, and implied volatility data from January 14 - 16, 2026, with the price around 8.3, and the implied volatility of the current and next months showing a downward trend [13] - The current - month implied volatility quantiles are 95.90%, 90.60%, etc., and the next - month implied volatility quantiles are 98.30%, 93.20%, etc., for different time frames [13] - The skew index of the main contract month is 90.61 today [17] e. Shenzhen CSI 500ETF - 8 - day price, daily change, and implied volatility data from January 14 - 16, 2026, with the price around 3.3, and the implied volatility of the current and next months changing [23] - The current - month implied volatility quantiles are 94.60%, 89.30%, etc., and the next - month implied volatility quantiles are 98.30%, 93.60%, etc., for different time frames [23] - The skew index of the main contract month is 87.84 today [28] f. ChiNext ETF - 8 - day price, daily change, and implied volatility data from January 14 - 16, 2026, with the price around 3.3, and the implied volatility of the current and next months showing a downward trend [29] - The current - month implied volatility quantiles are 64.80%, 63.60%, etc., and the next - month implied volatility quantiles are 75.90%, 75.10%, etc., for different time frames [29] - The skew index of the main contract month is 89.89 today [35] g. Shenzhen 100ETF - 8 - day price, daily change, and implied volatility data from January 14 - 16, 2026, with the price around 3.5, and the implied volatility of the current and next months showing a downward trend [39] - The current - month implied volatility quantiles are 62.00%, 44.00%, etc., and the next - month implied volatility quantiles are 73.80%, 72.90%, etc., for different time frames [39] - The skew index of the main contract month is 89.29 today [42] h. Science and Technology Innovation 50ETF - 8 - day price, daily change, and implied volatility data from January 14 - 16, 2026, with the price around 1.5 - 1.6, and the implied volatility of the current and next months changing [48] - The current - month implied volatility quantiles are 80.80%, 76.80%, etc., and the next - month implied volatility quantiles are 84.80%, 84.30%, etc., for different time frames [48] - The skew index of the main contract month is 26.92 today [50] i. STAR 50ETF - 8 - day price, daily change, and implied volatility data from January 14 - 16, 2026, with the price around 1.5 - 1.6, and the implied volatility of the current and next months changing [53] - The current - month implied volatility quantiles are 65.30%, 65.20%, etc., and the next - month implied volatility quantiles are 77.60%, 78.40%, etc., for different time frames [53] - The skew index of the main contract month is 71.44 today [59] j. 300 Index - 21 - day price, daily change, and implied volatility data from January 14 - 16, 2026, with the price around 4700 - 4800, and the implied volatility of the current and next months changing [64] - The current - month implied volatility quantiles are 52.20%, 56.30%, etc., and the next - month implied volatility quantiles are 88.10%, 80.40%, etc., for different time frames [64] - The skew index of the main contract month is 89.05 today [67] k. 1000 Index - 21 - day price, daily change, and implied volatility data from January 14 - 16, 2026, with the price around 8200 - 8300, and the implied volatility of the current and next months changing [68] - The current - month implied volatility quantiles are 77.50%, 82.80%, etc., and the next - month implied volatility quantiles are 88.10%, 82.40%, etc., for different time frames [68] - The skew index of the main contract month is 90.85 today [72] l. SSE 50 Index - 21 - day price, daily change, and implied volatility data from January 14 - 16, 2026, with the price around 3000 - 3100, and the implied volatility of the current and next months changing [78] - The current - month implied volatility quantiles are 65.70%, 40.80%, etc., and the next - month implied volatility quantiles are 97.10%, 94.20%, etc., for different time frames [78] - The skew index of the main contract month is 90.69 today [83]

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - Not provided in the given content Summary by Related Catalogs 1. 50ETF - From January 13 - 15, 2026, the price decreased from 3.214 to 3.180 with a cumulative decline of about 1.06%, and both the current - month IV and next - month IV decreased [1] - The next - month IV quantiles in the past 1 and 2 years were relatively high, at 86.40% and 77.30% respectively on January 15, 2026 [1] 2. Shanghai 300ETF - From January 12 - 15, 2026, the price fluctuated slightly, and the current - month IV and next - month IV generally decreased [3] - The next - month IV quantiles in the past 1 and 2 years were relatively high, and the current - month IV quantiles also showed certain characteristics [3] 3. Shenzhen 300ETF - From January 13 - 15, 2026, the price first decreased and then increased slightly, and the current - month IV and next - month IV decreased [7] - The next - month IV quantiles in the past 1 and 2 years were relatively high, and the current - month IV quantiles had different levels [7] 4. Shanghai CSI 500ETF - From January 13 - 15, 2026, the price fluctuated, and the current - month IV and next - month IV decreased [15] - The current - month and next - month IV quantiles in the past 1 and 2 years were relatively high [15] 5. Shenzhen CSI 500ETF - From January 13 - 15, 2026, the price fluctuated slightly, and the current - month IV and next - month IV decreased [22] - The current - month and next - month IV quantiles in the past 1 and 2 years were relatively high [22] 6. ChiNext ETF - From January 13 - 15, 2026, the price increased slightly, and the current - month IV and next - month IV decreased [28] - The current - month and next - month IV quantiles in the past 1 and 2 years showed certain levels [28] 7. Shenzhen 100ETF - From January 13 - 15, 2026, the price increased slightly, and the current - month IV and next - month IV decreased [38] - The current - month and next - month IV quantiles in the past 1 and 2 years were at different levels [38] 8. Science and Technology Innovation 50ETF - From January 13 - 15, 2026, the price fluctuated, and the current - month IV and next - month IV showed certain changes [47] - The current - month and next - month IV quantiles in the past 1 and 2 years were relatively high [47] 9. Science and Technology Innovation Board 50ETF - From January 13 - 15, 2026, the price decreased slightly, and the current - month IV and next - month IV decreased [53] - The current - month and next - month IV quantiles in the past 1 and 2 years were relatively high [53] 10. 300 Index - From January 13 - 15, 2026, the price first decreased and then increased slightly, and the current - month IV and next - month IV changed accordingly [65] - The current - month and next - month IV quantiles in the past 1 and 2 years were at different levels [65] 11. 1000 Index - From January 13 - 15, 2026, the price fluctuated, and the current - month IV and next - month IV showed certain trends [70] - The current - month and next - month IV quantiles in the past 1 and 2 years were at different levels [70] 12. Shanghai Composite 50 Index - From January 13 - 15, 2026, the price decreased slightly, and the current - month IV and next - month IV decreased [80] - The current - month and next - month IV quantiles in the past 1 and 2 years were at different levels [80]

1. Report Industry Investment Rating - No relevant information provided. 2. Core Viewpoints - The report is a daily report on volatility data, including the calculation methods of implied volatility indices and the meaning of the difference between implied volatility and historical volatility [3]. 3. Summary by Related Catalogs Implied Volatility Index, Historical Volatility and Their Spread Chart - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day, and the implied volatility index of commodity options is weighted by 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 [3]. - The difference between the implied volatility index and historical volatility indicates that a larger difference means the implied volatility is relatively higher than historical volatility, and a smaller difference means the implied volatility is relatively lower [3]. Implied Volatility Quantile and Volatility Spread Quantile Ranking Chart - Implied volatility quantile represents the current level of the implied volatility of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means the implied volatility is low [5]. - The volatility spread is related to the implied volatility index and historical volatility [5].

Quantitative Models and Construction - **Model Name**: Timing Radar Six-Dimensional Framework **Model Construction Idea**: The model integrates multi-dimensional indicators to assess equity market performance, categorizing them into four major dimensions: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Funds & Trends," and "Crowdedness & Reversal," generating a composite timing score within [-1,1] range [1][6][9] **Model Construction Process**: 1. Select 21 indicators across liquidity, economic fundamentals, valuation, funds, technical trends, and crowdedness dimensions [1][6] 2. Aggregate these indicators into four categories: "Valuation Cost-Effectiveness," "Macro Fundamentals," "Funds & Trends," and "Crowdedness & Reversal" [1][6] 3. Calculate a composite timing score within the range [-1,1] based on the aggregated indicators [1][6] **Model Evaluation**: Provides a comprehensive view of market conditions, but its effectiveness depends on stable market environments [1][6] Quantitative Factors and Construction Liquidity Factors - **Factor Name**: Monetary Direction Factor **Factor Construction Idea**: Measures the direction of monetary policy based on changes in policy rates and short-term market rates [12] **Factor Construction Process**: 1. Calculate the average change in policy rates and short-term market rates over the past 90 days 2. If the factor > 0, monetary policy is considered loose; if < 0, monetary policy is considered tight [12] **Factor Evaluation**: Effectively captures monetary policy trends [12] - **Factor Name**: Monetary Strength Factor **Factor Construction Idea**: Represents the deviation of short-term market rates from policy rates using the "interest rate corridor" concept [15] **Factor Construction Process**: 1. Compute deviation = DR007/7-year reverse repo rate - 1 2. Smooth and standardize the deviation using z-score 3. Assign scores: <-1.5 SD = 1 (loose environment), >1.5 SD = -1 (tight environment) [15] **Factor Evaluation**: Captures short-term liquidity deviations effectively [15] - **Factor Name**: Credit Direction Factor **Factor Construction Idea**: Reflects the transmission of credit from banks to the real economy [18] **Factor Construction Process**: 1. Use monthly long-term loan data 2. Calculate past 12-month increments and year-over-year changes 3. Compare with three months prior: upward trend = 1, downward trend = -1 [18] **Factor Evaluation**: Provides insights into credit transmission trends [18] - **Factor Name**: Credit Strength Factor **Factor Construction Idea**: Measures whether credit indicators significantly exceed or fall short of expectations [21] **Factor Construction Process**: 1. Compute deviation = (new RMB loans - median forecast)/forecast SD 2. Assign scores: >1.5 SD = 1 (credit exceeds expectations), <-1.5 SD = -1 (credit falls short) [21] **Factor Evaluation**: Captures unexpected credit changes effectively [21] Economic Factors - **Factor Name**: Growth Direction Factor **Factor Construction Idea**: Based on PMI data to assess economic growth trends [23] **Factor Construction Process**: 1. Use PMI data (manufacturing, non-manufacturing, Caixin manufacturing) 2. Calculate past 12-month averages and year-over-year changes 3. Compare with three months prior: upward trend = 1, downward trend = -1 [23] **Factor Evaluation**: Reflects economic growth trends effectively [23] - **Factor Name**: Growth Strength Factor **Factor Construction Idea**: Measures whether economic growth indicators significantly exceed or fall short of expectations [26] **Factor Construction Process**: 1. Compute deviation = (PMI - median forecast)/forecast SD 2. Assign scores: >1.5 SD = 1 (growth exceeds expectations), <-1.5 SD = -1 (growth falls short) [26] **Factor Evaluation**: Captures unexpected economic growth changes effectively [26] - **Factor Name**: Inflation Direction Factor **Factor Construction Idea**: Assesses inflation trends based on CPI and PPI data [28] **Factor Construction Process**: 1. Compute inflation direction = 0.5 × smoothed CPI YoY + 0.5 × raw PPI YoY 2. Compare with three months prior: downward trend = 1, upward trend = -1 [28] **Factor Evaluation**: Reflects inflation trends effectively [28] - **Factor Name**: Inflation Strength Factor **Factor Construction Idea**: Measures whether inflation indicators significantly exceed or fall short of expectations [30] **Factor Construction Process**: 1. Compute deviation = (CPI/PPI - median forecast)/forecast SD 2. Assign scores: <-1.5 SD = 1 (inflation falls short), >1.5 SD = -1 (inflation exceeds expectations) [30] **Factor Evaluation**: Captures unexpected inflation changes effectively [30] Valuation Factors - **Factor Name**: Shiller ERP **Factor Construction Idea**: Adjusts earnings for inflation to assess market valuation [31] **Factor Construction Process**: 1. Compute Shiller PE = average inflation-adjusted earnings over the past six years 2. Calculate Shiller ERP = 1/Shiller PE - 10-year bond yield 3. Standardize using z-score over the past six years [31] **Factor Evaluation**: Provides a robust valuation metric [31] - **Factor Name**: PB **Factor Construction Idea**: Standardizes PB to assess market valuation [35] **Factor Construction Process**: 1. Compute PB × (-1) 2. Standardize using z-score over the past six years 3. Truncate at ±1.5 SD and normalize to ±1 range [35] **Factor Evaluation**: Effectively captures valuation trends [35] - **Factor Name**: AIAE **Factor Construction Idea**: Reflects market-wide equity allocation and risk appetite [37] **Factor Construction Process**: 1. Compute AIAE = total equity market cap/(total equity market cap + total debt) 2. Multiply by (-1) and standardize using z-score over the past six years [37] **Factor Evaluation**: Captures market risk appetite effectively [37] Funds Factors - **Factor Name**: Margin Trading Increment **Factor Construction Idea**: Measures market leverage trends [40] **Factor Construction Process**: 1. Compute margin balance - short balance 2. Compare 120-day average increment with 240-day average increment: upward trend = 1, downward trend = -1 [40] **Factor Evaluation**: Reflects leverage trends effectively [40] - **Factor Name**: Turnover Trend **Factor Construction Idea**: Measures market activity and liquidity [43] **Factor Construction Process**: 1. Compute log turnover moving average distance = ma120/ma240 - 1 2. Assign scores: max(10/30/60) = 1, min(10/30/60) = -1 [43] **Factor Evaluation**: Captures market activity effectively [43] - **Factor Name**: China Sovereign CDS Spread **Factor Construction Idea**: Reflects foreign investors' sentiment toward China's credit risk [47] **Factor Construction Process**: 1. Compute smoothed CDS spread 20-day difference 2. Assign scores: <0 = 1 (positive sentiment), >0 = -1 (negative sentiment) [47] **Factor Evaluation**: Captures foreign sentiment effectively [47] - **Factor Name**: Overseas Risk Aversion Index **Factor Construction Idea**: Reflects global market risk appetite [49] **Factor Construction Process**: 1. Compute smoothed risk aversion index 20-day difference 2. Assign scores: <0 = 1 (positive sentiment), >0 = -1 (negative sentiment) [49] **Factor Evaluation**: Captures global risk appetite effectively [49] Technical Factors - **Factor Name**: Price Trend **Factor Construction Idea**: Measures market trend direction and strength [52] **Factor Construction Process**: 1. Compute moving average distance = ma120/ma240 - 1 2. Assign scores: >0 = 1 (upward trend), <0 = -1 (downward trend) 3. Combine trend direction and strength scores [52] **Factor Evaluation**: Captures market trends effectively [52] - **Factor Name**: New Highs and Lows **Factor Construction Idea**: Reflects reversal signals based on constituent stocks' highs and lows [54] **Factor Construction Process**: 1. Compute smoothed new lows - new highs

1. Report Industry Investment Rating - No information provided in the given content 2. Report Core Viewpoints - No clear core viewpoints are presented in the provided text. The content mainly consists of data on various financial products such as ETFs and indices, including their prices, price changes, implied volatility (IV), IV quantiles, skew indices, and related historical trends. 3. Summary by Related Catalogs 3.1 50ETF - **15 - day Data**: From 2026/1/5 to 2026/1/7, the 50ETF price increased from 3.174 to 3.220 with corresponding daily price increases of 2.22%, 1.92%, and - 0.46%. The monthly IV increased from 12.81% to 15.24%, and the next - month IV from 14.41% to 16.87% [1] - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles are 16.30%, 64.80%, 60.00% and 21.40%, 60.70%, 56.60% respectively. The 1 - year and 2 - year next - month IV quantiles are 42.60%, 76.70%, 76.30% and 41.80%, 68.70%, 67.80% respectively [1] - **Skew Index**: The skew index for the main contract month is 85.71 today, compared to 79.41 yesterday, 94.80 two days ago, 101.59 three days ago, and 92.86 four days ago [2] 3.2 Shanghai 300ETF - **15 - day Data**: From 2025/12/31 to 2026/1/7, the Shanghai 300ETF price changed from 4.753 to 4.977, with corresponding daily price changes of - 0.42%, 1.91%, 1.55%, and - 0.38%. The monthly IV increased from 13.69% to 15.90%, and the next - month IV from 15.44% to 17.35% [3] - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles are 28.10%, 46.90% and 29.00%, 47.00% respectively. The 1 - year and 2 - year next - month IV quantiles are 45.90% and 47.70%, 67.00%, 62.50% respectively [3] - **Skew Index**: The skew index for the main contract month is 92.17 today, compared to 88.31 yesterday, 98.98 two days ago, 103.24 three days ago, and 97.70 four days ago [5] 3.3 Shenzhen 300ETF - **15 - day Data**: From 2026/1/5 to 2026/1/7, the Shenzhen 300ETF price changed from 4.921 to 4.977, with corresponding daily price changes of 1.95%, 1.52%, and - 0.38%. The monthly IV increased from 13.82% to 15.90%, and the next - month IV from 15.40% to 17.35% [6] - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles are 22.40%, 44.80%, 55.50% and 26.30%, 47.40%, 54.60% respectively. The 1 - year and 2 - year next - month IV quantiles are 46.70%, 59.80%, 69.40% and 45.80%, 58.20%, 64.30% respectively [6] - **Skew Index**: The skew index for the main contract month is 92.95 today, compared to 84.27 yesterday, 96.64 two days ago, 97.26 three days ago, and 97.01 four days ago [11] 3.4 Shanghai CSI 500ETF - **15 - day Data**: From 2026/1/5 to 2026/1/7, the Shanghai CSI 500ETF price increased from 7.792 to 7.999, with corresponding daily price increases of 2.78%, 4.92%, and 2.66%. The monthly IV increased from 18.07% to 21.09%, and the next - month IV from 19.10% to 21.53% [13] - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles are 40.00%, 69.70%, 74.60% and 29.80%, 58.00%, 62.70% respectively. The 1 - year and 2 - year next - month IV quantiles are 46.40%, 72.90%, 74.20% and 41.40%, 64.90%, 66.30% respectively [13] - **Skew Index**: The skew index for the main contract month is 95.76 today, compared to 91.41 yesterday, 97.43 two days ago, 103.65 three days ago, and 99.36 four days ago [16] 3.5 Shenzhen CSI 500ETF - **15 - day Data**: From 2026/1/5 to 2026/1/7, the Shenzhen CSI 500ETF price increased from 3.075 to 3.157, with corresponding daily price increases of 2.74%, 2.15%, and 0.51%. The monthly IV increased from 18.47% to 21.22%, and the next - month IV from 19.61% to 22.17% [20] - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles are 42.00%, 68.50% and 33.90%, 60.30%, 74.60%, 63.50% respectively. The 1 - year and 2 - year next - month IV quantiles are 49.70%, 72.10%, 74.60%, 68.00% and 45.00%, 65.70% respectively [20] - **Skew Index**: The skew index for the main contract month is 103.24 today, compared to 96.54 yesterday, 89.04 two days ago, 86.53 three days ago, and 94.69 four days ago [25] 3.6 ChiNext ETF - **15 - day Data**: From 2026/1/5 to 2026/1/7, the ChiNext ETF price increased from 3.281 to 3.311, with corresponding daily price increases of 2.98%, 0.67%, and 0.24%. The monthly IV increased from 24.55% to 26.32%, and the next - month IV from 26.88% to 28.42% [26] - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles are 43.60%, 59.50%, 59.10% and 48.00%, 60.70%, 60.30% respectively. The 1 - year and 2 - year next - month IV quantiles are 57.80%, 65.80%, 69.10% and 64.90%, 68.40%, 63.00% respectively [26] - **Skew Index**: The skew index for the main contract month is 92.31 today, compared to 90.34 yesterday, 96.58 two days ago, 95.66 three days ago, and 95.52 four days ago [32] 3.7 Shenzhen 100ETF - **15 - day Data**: From 2026/1/5 to 2026/1/7, the Shenzhen 100ETF price changed from 3.515 to 3.542, with corresponding daily price changes of 1.83%, 1.08%, and - 0.31%. The monthly IV increased from 17.73% to 19.45%, and the next - month IV from 19.06% to 21.47% [36] - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles are 31.80%, 49.70%, 57.50% and 34.10%, 50.50%, 55.20% respectively. The 1 - year and 2 - year next - month IV quantiles are 44.70%, 56.50%, 67.00% and 48.40%, 56.60%, 65.70% respectively [36] - **Skew Index**: The skew index for the main contract month is 92.01 today, compared to 92.19 yesterday, 97.30 two days ago, 101.19 three days ago, and 101.65 four days ago [39] 3.8 Science and Technology Innovation 50ETF - **15 - day Data**: From 2026/1/5 to 2026/1/7, the Science and Technology Innovation 50ETF price increased from 1.479 to 1.520, with corresponding daily price increases of 4.38%, 1.76%, and 1.00%. The monthly IV increased from 27.09% to 28.95%, and the next - month IV from 29.59% to 32.00% [45] - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles are 44.40%, 49.20%, 52.70%, 60.60% and 55.50%, 59.50%, 64.50%, 69.30% respectively. The 1 - year and 2 - year next - month IV quantiles are 52.60%, 55.60%, 63.70%, 68.00% [45] - **Skew Index**: The skew index for the main contract month is 84.76 today, compared to 81.12 yesterday, 91.56 two days ago, 96.21 three days ago, and 97.41 four days ago [47] 3.9 STAR 50ETF - **15 - day Data**: From 2026/1/5 to 2026/1/7, the STAR 50ETF price increased from 1.430 to 1.471, with corresponding daily price increases of 4.23%, 1.89%, and 0.96%. The monthly IV increased from 27.66% to 30.50%, and the next - month IV from 29.05% to 33.31% [50] - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles are 47.70%, 51.70%, 51.00%, 59.10% and 62.80%, 65.00%, 64.90%, 70.10% respectively. The 1 - year and 2 - year next - month IV quantiles are 57.50%, 60.10%, 70.00%, 73.50% [50] - **Skew Index**: The skew index for the main contract month is 90.94 today, compared to 86.62 yesterday, 97.19 two days ago, 96.99 three days ago, and 96.38 four days ago [57] 3.10 300 Index - **7 - day Data**: From 2026/1/5 to 2026/1/7, the 300 Index price changed from 4717.746 to 4776.666, with corresponding daily price changes of 1.90%, 1.55%, and - 0.29%. The monthly IV increased from 13.52% to 15.34%, and the next - month IV from 15.84% to 17.73% [63] - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles are 31.40%, 63.60%, 57.50% and 25.90%, 56.40% respectively. The 1 - year and 2 - year next - month IV quantiles are 45.30%, 66.10%, 73.00% and 46.60%, 61.70%, 51.30%, 65.60% respectively [63] - **Skew Index**: The skew index for the main contract month is 103.84 today, compared to 89.05 yesterday, 73.68 two days ago, 97.40 three days ago, and 105.72 four days ago [67] 3.11 1000 Index - **7 - day Data**: From 2026/1/5 to 2026/1/7, the 1000 Index price increased from 7753.880 to 7906.420, with corresponding daily price increases of 2.09%, 1.43%, and 0.53%. The monthly IV increased from 19.14% to 20.60%, and the next - month IV from 21.08% to 21.92% [68] - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles are 36.30%, 54.60%, 52.60% and 21.20%, 34.90%, 31.00% respectively. The 1 - year and 2 - year next - month IV quantiles are 44.80%, 63.20%, 55.10% and 26.50%, 46.80%, 35.50% respectively [68] - **Skew Index**: The skew index for the main contract month is 98.78 today, compared to 90.94 yesterday, 95.62 two days ago, 111.32 three days ago, and 102.69 four days ago [72] 3.12 Shanghai Composite 50 Index - **7 - day Data**: From 2026/1/5 to 2026/1/7, the Shanghai Composite 50 Index price changed from 3099.746 to 3145.120, with corresponding daily price changes of 2.26%, 1.90%, and - 0.43%. The monthly IV increased from 12.42% to 15.54%, and the next - month IV from 56.52% to 68.21% [76] - **IV Quantiles**: The 1 - year and 2 - year monthly IV quantiles are 19.10%, 84.40% and 15.90%, 74.40%, 56.60% respectively. The 1 - year and 2 - year next - month IV quantiles are 69.30%, 68.50%, 64.40% and 84.20%, 83.40%, 97.10%, 98.50% respectively [76] - **Skew Index**: The skew index for the main contract month is