Group 1: Report Overview - Report Date: February 13, 2026 [2] - Report Type: Financial Options Daily Report - Report Theme: Market sentiment weakens, stock indexes fluctuate and decline Group 2: Investment Rating - No investment rating information is provided in the report. Group 3: Core Views - Today, all stock indexes opened low and closed sharply lower. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 199.89 billion yuan, a decrease of 16.18 billion yuan from the previous day [3]. - Due to the approaching holiday, the demand for cash during the holiday is large, and the capital market has tightened. Coupled with concerns about the uncertainty of non - trading during the holiday, investors' willingness to leave the market temporarily has increased, resulting in a decline in trading volume [3]. - Today, silver prices dropped sharply, and overnight U.S. technology stocks corrected significantly, which led to a further weakening of market sentiment. Investors' risk appetite tends to be cautious and wait - and - see [3]. - However, the positive policy expectations and the continuous net inflow of incremental funds into the stock market remain unchanged. The core logic for the medium - to - long - term upward movement of stock indexes is still relatively solid [3]. - After the Spring Festival holiday, it will be close to the policy window period of the Two Sessions, and it is expected that positive policy expectations will increase [3]. - In general, stock indexes will mainly fluctuate within a range in the short term [3]. - For options, since the medium - to - long - term upward logic of stock indexes is relatively solid, a bull spread strategy can be maintained [3]. Group 4: Option Indicators Index and ETF Performance - On February 13, 2026, the 50ETF fell 1.49% to close at 3.114; the 300ETF (Shanghai Stock Exchange) fell 1.18% to close at 4.671; the 300ETF (Shenzhen Stock Exchange) fell 1.28% to close at 4.866; the CSI 300 Index fell 1.25% to close at 4660.41; the CSI 1000 Index fell 1.32% to close at 8204.83; the 500ETF (Shanghai Stock Exchange) fell 1.66% to close at 8.373; the 500ETF (Shenzhen Stock Exchange) fell 1.54% to close at 3.328; the ChiNext ETF fell 1.63% to close at 3.265; the Shenzhen 100ETF fell 1.12% to close at 3.443; the SSE 50 Index fell 1.47% to close at 3034.35; the STAR 50ETF fell 0.71% to close at 1.55; the E Fund STAR 50ETF fell 0.66% to close at 1.50 [5]. PCR Data - The trading volume PCR and position PCR data of various options on February 13, 2026, and the comparison with the previous trading day are provided, including 50ETF options, 300ETF options (Shanghai and Shenzhen), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen), ChiNext ETF options, Shenzhen 100ETF options, SSE 50 Index options, STAR 50ETF options, and E Fund STAR 50ETF options [6]. Implied Volatility and Historical Volatility - The implied volatility of at - the - money options in February 2026 and the 30 - day historical volatility of the underlying assets of various options are provided, including 50ETF options, 300ETF options (Shanghai and Shenzhen), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen), ChiNext ETF options, Shenzhen 100ETF options, SSE 50 Index options, STAR 50ETF options, and E Fund STAR 50ETF options [7][8]. Group 5: Related Charts - The report includes a series of charts related to various options, such as the trend, volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different terms of 50ETF options, 300ETF options (Shanghai and Shenzhen), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen), ChiNext ETF options, Shenzhen 100ETF options, SSE 50 Index options, STAR 50ETF options, and E Fund STAR 50ETF options [9][20][24][38][44][58][71][84][97][110][123][134].

1. Report Industry Investment Rating - No relevant content found 2. Core Viewpoints of the Report - Today, the trends of various stock indices have diverged. Among them, the CSI 500 and CSI 1000 have oscillated and slightly increased, while the SSE 50 and SSE 300 have oscillated and sorted within a narrow range. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets is 2.1608 trillion yuan, with an increase of 159.7 billion yuan compared to the previous day. In terms of industry sectors, the industry sectors related to AI infrastructure construction have led the gains. As the holiday approaches, considering the cash demand during the holiday and the uncertain risks during the holiday, investors' willingness to participate in stock market trading is relatively weak. In the long - term, the positive policy expectations and the continuous net inflow of incremental funds into the stock market remain unchanged, and the core logic for the long - term upward movement of the stock indices is relatively solid. Generally speaking, the risk preference of the stock market before the holiday is cautiously optimistic, and the stock indices will mainly oscillate and sort within a range. For options, the implied volatility of at - the - money options has rebounded recently. Since the long - term upward logic of the stock indices is relatively solid, the bull spread strategy is maintained [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On February 12, 2026, the 50ETF fell 0.28% to close at 3.161; the 300ETF (SSE) rose 0.08% to close at 4.727; the 300ETF (SZSE) rose 0.18% to close at 4.929; the SSE 300 Index rose 0.12% to close at 4719.58; the CSI 1000 Index rose 0.91% to close at 8314.83; the 500ETF (SSE) rose 1.22% to close at 8.514; the 500ETF (SZSE) rose 1.26% to close at 3.380; the ChiNext ETF rose 1.41% to close at 3.319; the Shenzhen 100ETF rose 0.58% to close at 3.482; the SSE 50 Index fell 0.28% to close at 3079.73; the STAR 50ETF rose 1.70% to close at 1.56; the E Fund STAR 50ETF rose 1.62% to close at 1.51 [5]. - The trading volume PCR and position PCR of various options have changed compared to the previous trading day. For example, the trading volume PCR of SSE 50ETF options is 90.97, and the previous trading day's trading volume PCR was 114.09; the position PCR is 75.88, and the previous trading day's position PCR was 78.18 [6]. - The implied volatility of at - the - money options and the 30 - trading - day historical volatility of the underlying assets of various options are provided. For example, the implied volatility of at - the - money options of SSE 50ETF options in February 2026 is 11.12%, and the 30 - trading - day historical volatility of the underlying asset is 15.00% [7]. 3.2 Related Charts - **SSE 50ETF Options**: Include charts of the SSE 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [9][11][13][16]. - **SSE 300ETF Options**: Include charts of the SSE 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [20][22][29][33]. - **SZSE 300ETF Options**: Include charts of the SZSE 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [23][25][27][33]. - **SSE 300 Index Options**: Include charts of the SSE 300 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [37][39][43]. - **CSI 1000 Index Options**: Include charts of the CSI 1000 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [46][48][50][56]. - **SSE 500ETF Options**: Include charts of the SSE 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [59][61][63][70]. - **SZSE 500ETF Options**: Include charts of the SZSE 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [71][73][75][80]. - **ChiNext ETF Options**: Include charts of the ChiNext ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [84][86][88][91]. - **Shenzhen 100ETF Options**: Include charts of the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [95][97][99][105]. - **SSE 50 Index Options**: Include charts of the SSE 50 index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [108][110][112][118]. - **STAR 50ETF Options**: Include charts of the STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [121][123][124][126]. - **E Fund STAR 50ETF Options**: Include charts of the E Fund STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [129][130][131].

1. Report Industry Investment Rating - No information provided in the content 2. Core Viewpoints of the Report - Today, all stock indices fluctuated within a narrow range. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2001.0 billion - 2037.0 billion yuan. Due to the approaching holiday, investors' trading willingness was relatively weak. The inflation data for January showed that CPI continued to grow year - on - year, and the year - on - year decline of PPI narrowed. The repair of inflation expectations promoted the repair of corporate profit expectations, and the macro expectations improved. In the long - term, the positive policy expectations and the continuous net inflow of incremental funds into the stock market remained unchanged, and the core logic for the long - term upward movement of stock indices was relatively solid. Overall, the risk appetite of the stock market was cautious before the holiday, and stock indices mainly fluctuated within a range. For options, the implied volatility of at - the - money options has rebounded recently. Given the relatively solid long - term upward logic of stock indices, the bull spread strategy is maintained [4]. 3. Summary of Each Section 3.1 Option Indicators - **Index Performance**: On February 11, 2026, the 50ETF remained unchanged at 3.105, the SSE 300ETF fell 0.21% to 4.920, the CSI 300 Index fell 0.22% to 4713.82, the CSI 1000 Index fell 0.13% to 8239.51, the SSE 500ETF rose 0.41% to 8.411, the SZSE 500ETF rose 0.24% to 3.338, the ChiNext ETF fell 1.15% to 3.273, the Shenzhen 100ETF fell 0.97% to 3.462, the SSE 50 Index rose 0.03% to 3088.46, the STAR 50ETF fell 1.10% to 1.53, and the E Fund STAR 50ETF fell 0.93% to 1.49 [6]. - **Volume and Open Interest PCR**: The volume and open interest PCR of various options showed different changes compared with the previous trading day. For example, the volume PCR of SSE 50ETF options was 114.09 (previous day: 100.99), and the open interest PCR was 78.18 (previous day: 79.57) [7]. - **Implied Volatility and Historical Volatility**: The implied volatility of at - the - money options and the 30 - day historical volatility of the underlying assets of various options were provided. For instance, the implied volatility of at - the - money SSE 50ETF options in February 2026 was 11.14%, and the 30 - day historical volatility of the underlying asset was 15.06% [8]. 3.2 Related Charts - **SSE 50ETF Options**: Included charts of the SSE 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility of at - the - money options for different tenors [10][11][12]. - **SSE 300ETF Options**: Included charts of the SSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility of at - the - money options for different tenors [21][22]. - **SZSE 300ETF Options**: Included charts of the SZSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility of at - the - money options for different tenors [24][25]. - **CSI 300 Index Options**: Included charts of the CSI 300 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility of at - the - money options for different tenors [37][38]. - **CSI 1000 Index Options**: Included charts of the CSI 1000 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility of at - the - money options for different tenors [43][44]. - **SSE 500ETF Options**: Included charts of the SSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility of at - the - money options for different tenors [58][59]. - **SZSE 500ETF Options**: Included charts of the SZSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility of at - the - money options for different tenors [71][72]. - **ChiNext ETF Options**: Included charts of the ChiNext ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility of at - the - money options for different tenors [83][84]. - **Shenzhen 100ETF Options**: Included charts of the Shenzhen 100ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility of at - the - money options for different tenors [93][94]. - **SSE 50 Index Options**: Included charts of the SSE 50 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility of at - the - money options for different tenors [106][107]. - **STAR 50ETF Options**: Included charts of the STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility of at - the - money options for different tenors [119][120]. - **E Fund STAR 50ETF Options**: Included charts of the E Fund STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility of at - the - money options for different tenors [127][128].

1. Report Industry Investment Rating - No information provided in the report 2. Core Views - Today, all stock indices fluctuated within a narrow range. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2.1247 trillion yuan, a decrease of 145.4 billion yuan compared to the previous day. As silver stopped falling and rebounded, market sentiment improved, and the stock index's operation logic returned to its fundamental factors. However, due to the approaching holiday, the demand for cash during the holiday and concerns about uncertainties, the willingness of funds to trade was relatively weak, and the trading volume of the stock market remained around 2 trillion yuan. In the medium to long term, the positive policy expectations and the continuous net inflow of incremental funds into the stock market remain unchanged, and the core logic for the medium to long - term upward movement of the stock index is relatively solid. Overall, the risk appetite of the stock market before the holiday is cautious, and the stock index mainly fluctuates within a range [4]. - Regarding options, the implied volatility of at - the - money options has recently rebounded. Since the logic for the medium to long - term upward movement of the stock index is relatively solid, the bull spread strategy is maintained [4]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On February 10, 2026, the 50ETF rose 0.28% to close at 3.170; the 300ETF (Shanghai Stock Exchange) rose 0.13% to close at 4.733; the 300ETF (Shenzhen Stock Exchange) rose 0.06% to close at 4.931; the CSI 300 Index rose 0.11% to close at 4724.30; the CSI 1000 Index rose 0.20% to close at 8250.30; the 500ETF (Shanghai Stock Exchange) fell 0.21% to close at 8.377; the 500ETF (Shenzhen Stock Exchange) fell 0.24% to close at 3.330; the ChiNext ETF fell 0.30% to close at 3.311; the Shenzhen 100ETF rose 0.06% to close at 3.496; the SSE 50 Index rose 0.18% to close at 3087.41; the Science and Technology Innovation 50ETF rose 0.98% to close at 1.55; the E Fund Science and Technology Innovation 50ETF rose 0.94% to close at 1.50 [6]. - The trading volume PCR and position PCR of various options on February 10, 2026, and the previous trading day are provided, including 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 index options, CSI 1000 index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), ChiNext ETF options, Shenzhen 100ETF options, SSE 50 index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [7]. - The implied volatility of at - the - money options in February 2026 and the 30 - day historical volatility of the underlying assets for various options are provided, including 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 index options, CSI 1000 index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), ChiNext ETF options, Shenzhen 100ETF options, SSE 50 index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [8][9]. 3.2 Related Charts - Multiple charts are provided for different types of options, including the trend, volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility of 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 index options, CSI 1000 index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), ChiNext ETF options, Shenzhen 100ETF options, SSE 50 index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [10][19][22][35][43][56][69][82][92][105][118][126]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - On February 6, 2026, the stock indices oscillated with slight declines, and the trading volume of the Shanghai, Shenzhen, and Beijing stock exchanges was 2.1635 trillion yuan, a decrease of 30.8 billion yuan from the previous day [3]. - The sharp fluctuations in silver disturbed market sentiment, increasing the willingness of funds to take profits and exit, leading to a continuous contraction in stock market trading volume [3]. - In the short - term, macroeconomic indicators have weakened, and the "weak reality" pressure has increased. Coupled with the decline in risk appetite caused by silver and the clear signal from regulators to control risks, the stock market sentiment is cautious [3]. - The sharp fluctuations in precious metals are short - term disturbances from external factors. The restoration of the stock market's risk appetite will ultimately return to its own fundamentals. The positive expectations of the policy side and the continuous net inflow of incremental funds into the stock market remain unchanged, which constitute the core logic for the medium - and long - term upward movement of the stock indices [3]. - In the short - term, the stock market risk is cautious, and the stock indices will mainly oscillate and consolidate [3]. - In the options market, the implied volatility at the money has recently rebounded. Since the medium - and long - term upward logic of the stock indices is relatively firm, the bull spread strategy is maintained [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - **Index and ETF Performance**: On February 6, 2026, the 50ETF fell 0.70% to 3.115; the 300ETF (Shanghai Stock Exchange) fell 0.64% to 4.649; the 300ETF (Shenzhen Stock Exchange) fell 0.55% to 4.850; the CSI 300 Index fell 0.57% to 4643.60; the CSI 1000 Index fell 0.20% to 8051.57; the 500ETF (Shanghai Stock Exchange) fell 0.05% to 8.213; the 500ETF (Shenzhen Stock Exchange) fell 0.03% to 3.266; the GEM ETF fell 0.28% to 3.229; the Shenzhen 100ETF fell 0.67% to 3.427; the SSE 50 Index fell 0.69% to 3037.86; the STAR 50ETF fell 0.60% to 1.50; the E Fund STAR 50ETF fell 0.75% to 1.45 [5]. - **Volume PCR and Open Interest PCR**: The volume PCR and open interest PCR of various options showed different changes compared with the previous trading day. For example, the volume PCR of SSE 50ETF options was 96.30 (previous day: 96.08), and the open interest PCR was 73.63 (previous day: 73.59) [6]. - **Implied Volatility and Historical Volatility**: The implied volatility at the money and the 30 - day historical volatility of the underlying assets of various options were provided. For example, the implied volatility at the money of SSE 50ETF options in February 2026 was 13.26%, and the 30 - day historical volatility of the underlying asset was 14.41% [7]. 3.2 Related Charts - **SSE 50ETF Options**: Charts include the SSE 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility at the money for different tenors [9][11][13][15][17]. - **SSE 300ETF Options**: Charts cover the SSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility at the money for different tenors [19]. - **SZSE 300ETF Options**: Charts involve the SZSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility at the money for different tenors [22]. - **CSI 300 Index Options**: Charts include the CSI 300 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility at the money for different tenors [25]. - **CSI 1000 Index Options**: Charts cover the CSI 1000 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility at the money for different tenors [34]. - **SSE 500ETF Options**: Charts involve the SSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility at the money for different tenors [47]. - **SZSE 500ETF Options**: Charts include the SZSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility at the money for different tenors [59]. - **GEM ETF Options**: Charts cover the GEM ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility at the money for different tenors [72]. - **Shenzhen 100ETF Options**: Charts involve the Shenzhen 100ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility at the money for different tenors [83]. - **SSE 50 Index Options**: Charts include the SSE 50 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility at the money for different tenors [96]. - **STAR 50ETF Options**: Charts cover the STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility at the money for different tenors [108]. - **E Fund STAR 50ETF Options**: Charts involve the E Fund STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and implied volatility at the money for different tenors [118].

Group 1: Implied Volatility Index and Historical Volatility - The financial option implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day, and the commodity option implied volatility index is obtained by weighting the implied volatility of the two - level options above and below the at - the - money option of the main contract month, reflecting the implied volatility change trend of the main contract [3] - The difference between the implied volatility index and historical volatility indicates the relative level of implied volatility to historical volatility. A larger difference means the implied volatility is relatively higher, and a smaller difference means it is relatively lower [3] Group 2: 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 means the current implied volatility is high, and a low quantile means it is low [5] - The volatility spread is related to the implied volatility index and historical volatility [5] Group 3: Implied Volatility Quantile Data - Implied volatility quantile data is presented for various items such as 500E, 50E, 1000 ta za, 300 index, and rebar [7]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - On February 3, 2026, all stock indices fluctuated and rose. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2.5656 trillion yuan, a decrease of 41 billion yuan from the previous day. As gold and commodity prices stabilized, the resource cycle sector rebounded, and the risk appetite of the stock market recovered. This rebound was a technical correction of the previous over - decline caused by the weakening of risk appetite in the stock market due to the sharp correction in the commodity market. Currently, the trading volume in the stock market remains in a shrinking state, indicating that the upward driving force of the stock market is still weak. Due to the weakening of macro - economic indicators and the fact that the increase in this stock rebound is mainly contributed by the valuation side, the willingness of investors in the capital market to take profits has increased, and it is difficult for the capital side to form a consistent force in the short term. However, in the long - term, the positive policy expectations and the continuous net inflow of incremental funds into the stock market remain unchanged, and the logic of the long - term upward movement of stock indices is relatively solid. In general, the risk appetite of the stock market is cautiously optimistic in the short term, and stock indices will mainly fluctuate and consolidate. For options, considering the relatively solid long - term upward logic of stock indices, a bull spread strategy can be adopted [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - **ETF and Index Performance**: On February 3, 2026, the 50ETF rose 0.91% to close at 3.108; the 300ETF (Shanghai Stock Exchange) rose 1.39% to close at 4.664; the 300ETF (Shenzhen Stock Exchange) rose 1.25% to close at 4.864; the CSI 300 Index rose 1.18% to close at 4660.11; the CSI 1000 Index rose 2.93% to close at 8209.10; the 500ETF (Shanghai Stock Exchange) rose 3.94% to close at 8.366; the 500ETF (Shenzhen Stock Exchange) rose 3.07% to close at 3.324; the GEM ETF rose 1.88% to close at 3.313; the Shenzhen 100ETF rose 1.41% to close at 3.463; the SSE 50 Index rose 1.05% to close at 3034.58; the STAR 50ETF rose 1.31% to close at 1.55; the E Fund STAR 50ETF rose 1.22% to close at 1.50 [5]. - **Volume PCR and Open Interest PCR**: The report provides the volume PCR and open interest PCR of various options on February 3, 2026, and their values on the previous trading day. For example, the volume PCR of SSE 50ETF options was 98.31 (previous day: 104.47), and the open interest PCR was 68.38 (previous day: 67.34) [6]. - **Implied Volatility and Historical Volatility**: The report presents the implied volatility of at - the - money options in February 2026 and the 30 - trading - day historical volatility of the underlying assets for various options. For instance, the implied volatility of at - the - money SSE 50ETF options in February 2026 was 20.31%, and the 30 - trading - day historical volatility of the underlying asset was 13.81% [7]. 3.2 Related Charts The report includes a series of charts for different types of options, such as the SSE 50ETF options, SSE 300ETF options, etc. These charts show the trends, volatility, volume PCR, open interest PCR, implied volatility curves, and at - the - money implied volatility of different terms of the underlying assets of each option [9][18][21].

- The "Timing Radar Six-Facet Chart" model is constructed based on multi-dimensional indicators including liquidity, economic fundamentals, valuation, capital flow, technical trends, and crowding sentiment. It aggregates 21 indicators into four categories: "Valuation Cost-Effectiveness," "Macroeconomic Fundamentals," "Capital & Trend," and "Crowding & Reversal," generating a comprehensive timing score ranging from [-1, 1] to assess market conditions [1][6][9] - **Liquidity Factors**: - **Monetary Direction Factor**: Calculated using the average change in central bank monetary policy tool rates and short-term market rates over the past 90 days. If the factor > 0, monetary policy is deemed expansionary; if < 0, it is deemed contractionary. Current score: 1 [12][14] - **Monetary Strength Factor**: Based on the "interest rate corridor" concept, calculated as deviation = DR007/7-year reverse repo rate - 1, smoothed and standardized using z-score. If the factor < -1.5 standard deviations, it indicates a 120-day future easing environment, scoring 1; if > 1.5 standard deviations, scoring -1. Current score: 0 [15][16] - **Credit Direction Factor**: Derived from monthly long-term loan data, calculated as the year-on-year change in the past 12 months' increment. If the factor rises compared to three months ago, it scores 1; otherwise, -1. Current score: 1 [18][20] - **Credit Strength Factor**: Captures whether credit metrics significantly exceed or fall short of expectations, calculated as (new RMB loans - median forecast)/forecast standard deviation. If the factor > 1.5 standard deviations, it scores 1; if < -1.5 standard deviations, it scores -1. Current score: -1 [22][23] - **Economic Factors**: - **Growth Direction Factor**: Based on PMI data (manufacturing, non-manufacturing, and Caixin manufacturing PMI), calculated as the year-on-year change in the 12-month average. If the factor rises compared to three months ago, it scores 1; otherwise, -1. Current score: -1 [26][28] - **Growth Strength Factor**: Captures whether growth metrics significantly exceed or fall short of expectations, calculated as (PMI - median forecast)/forecast standard deviation. If the factor > 1.5 standard deviations, it scores 1; if < -1.5 standard deviations, it scores -1. Current score: 1 [29][31] - **Inflation Direction Factor**: Calculated as 0.5 × smoothed CPI year-on-year + 0.5 × raw PPI year-on-year. If the factor decreases compared to three months ago, it scores 1; otherwise, -1. Current score: -1 [32][33] - **Inflation Strength Factor**: Captures whether inflation metrics significantly exceed or fall short of expectations, calculated as the average of CPI and PPI forecast deviations. If the factor < -1.5, it scores 1; if > 1.5 standard deviations, it scores -1. Current score: -1 [35][37] - **Valuation Factors**: - **Shiller ERP**: Calculated as 1/Shiller PE - 10-year government bond yield, standardized using z-score over the past six years. Current score: -0.10 [38][42] - **PB**: Processed as PB × (-1), standardized using z-score over the past six years, truncated at ±1.5 standard deviations. Current score: -0.75 [40][41] - **AIAE**: Represents aggregate investor allocation to equities, calculated as total market cap/(total market cap + total debt), standardized using z-score over the past six years. Current score: -1.00 [43][44] - **Capital Flow Factors**: - **Margin Financing Increment**: Calculated as the difference between 120-day average increment and 240-day average increment of margin financing balance. If the short-term increment exceeds the long-term increment, it scores 1; otherwise, -1. Current score: 1 [46][48] - **Turnover Trend**: Calculated as log turnover moving average distance = ma120/ma240 - 1. If the maximum distance of 10, 30, and 60 days is positive, it scores 1; if the minimum distance is negative, it scores -1. Current score: 1 [49][50] - **China Sovereign CDS Spread**: Represents overseas investors' pricing of China's economic and sovereign credit risk. If the smoothed 20-day difference of CDS spread < 0, it scores 1; otherwise, -1. Current score: 1 [52][54] - **Overseas Risk Aversion Index**: Captures overseas market risk preference using Citi RAI Index. If the smoothed 20-day difference < 0, it scores 1; otherwise, -1. Current score: -1 [55][56] - **Technical Factors**: - **Price Trend**: Calculated as moving average distance (ma120/ma240 - 1). Trend direction scores 1 if > 0, otherwise -1. Trend strength scores 1 if max(20) = max(60), otherwise -1. Comprehensive score = (direction score + strength score)/2. Current score: 1 [57][59] - **New Highs and Lows**: Calculated as the moving average of the difference between new lows and new highs among index constituents over the past year. If the smoothed difference > 0, it scores -1; otherwise, 1. Current score: -1 [60][62] - **Crowding Sentiment Factors**: - **Option Implied Premium**: Derived from the implied premium of options based on put-call parity. If 50ETF 5-day return > 0 and percentile > 70%, it scores -1; otherwise, 1. Current score: -1 [64][68] - **Option VIX**: Reflects expected volatility of options. If 50ETF 5-day return > 0 and percentile > 70%, it scores -1; otherwise, 1. Current score: -1 [65][67] - **Option SKEW**: Reflects expected skewness of options. If 50ETF 5-day return > 0 and percentile < 30%, it scores -1; otherwise, 1. Current score: -1 [69][70] - **Convertible Bond Pricing Deviation**: Calculated as (convertible bond price/model price - 1), standardized using z-score over the past three years. Higher deviation indicates higher crowding sentiment, scoring lower. Current score: -1 [71][72] - **Factor Testing Results**: - Liquidity factors: Monetary direction (1), Monetary strength (0), Credit direction (1), Credit strength (-1) [12][15][18][22] - Economic factors: Growth direction (-1), Growth strength (1), Inflation direction (-1), Inflation strength (-1) [26][29][32][35] - Valuation factors: Shiller ERP (-0.10), PB (-0.75), AIAE (-1.00) [38][40][43] - Capital flow factors: Margin financing increment (1), Turnover trend (1), China Sovereign CDS spread (1), Overseas risk aversion index (-1) [46][49][52][55] - Technical factors: Price trend (1), New highs and lows (-1) [57][60] - Crowding sentiment factors: Option implied premium (-1), Option VIX (-1), Option SKEW (-1), Convertible bond pricing deviation (-1) [64][65][69][71]

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints - On January 29, 2026, stock indices showed volatile differentiation. The SSE 50 Index led the gains, while the CSI 500 and CSI 1000 Indices rose first and then fell. The total trading volume of the Shanghai, Shenzhen, and Beijing stock exchanges was 325.94 billion yuan, an increase of 26.71 billion yuan from the previous day. In the short term, the driving force for the upward movement of stock indices has weakened, and there is a high demand for the CSI 500 and CSI 1000 Indices, which have had large previous gains, to consolidate through fluctuations. The defensive nature of the SSE 50 Index has attracted capital attention. In the medium to long term, positive policy expectations and the continuous net inflow of incremental funds into the stock market are the main supporting forces for the upward movement of stock indices. Overall, stock indices are likely to fluctuate and consolidate in the short term. For options, considering the relatively solid medium - to long - term upward logic of stock indices, a bull spread strategy can be adopted [4]. 3. Summary by Relevant Catalogs 3.1 Option Indicators - **Index and ETF Performance**: On January 29, 2026, the 50ETF rose 1.85% to 3.196; the 300ETF (SSE) rose 0.91% to 4.768; the 300ETF (SZSE) rose 0.87% to 4.974; the CSI 300 Index rose 0.76% to 4753.87; the CSI 1000 Index fell 0.80% to 8332.21; the 500ETF (SSE) fell 1.15% to 8.591; the 500ETF (SZSE) fell 1.19% to 3.411; the ChiNext ETF fell 0.45% to 3.292; the Shenzhen 100ETF rose 0.17% to 3.476; the SSE 50 Index rose 1.65% to 3110.91; the STAR 50ETF fell 2.81% to 1.59; and the E Fund STAR 50ETF fell 2.72% to 1.54 [6]. - **Volume and Open Interest PCR**: The report provides the volume and open interest PCR data of various options, including the 50ETF option, SSE 300ETF option, SZSE 300ETF option, CSI 300 Index option, CSI 1000 Index option, SSE 500ETF option, SZSE 500ETF option, ChiNext ETF option, Shenzhen 100ETF option, SSE 50 Index option, STAR 50ETF option, and E Fund STAR 50ETF option, and compares them with the previous trading day [7]. - **Implied and Historical Volatility**: The report presents the 2026 February at - the - money implied volatility and 30 - trading - day historical volatility of various options, such as the 50ETF option, SSE 300ETF option, SZSE 300ETF option, CSI 300 Index option, CSI 1000 Index option, SSE 500ETF option, SZSE 500ETF option, ChiNext ETF option, Shenzhen 100ETF option, SSE 50 Index option, STAR 50ETF option, and E Fund STAR 50ETF option [8][9]. 3.2 Relevant Charts - **SSE 50ETF Option**: The report includes charts of the SSE 50ETF option, such as the trend chart, volatility chart, volume PCR chart, open interest PCR chart, implied volatility curve chart, and at - the - money implied volatility chart for different tenors [10][11][12][13][14][15][16][17][18]. - **SSE 300ETF Option**: It contains charts of the SSE 300ETF option, including the trend chart, volatility chart, volume PCR chart, open interest PCR chart, implied volatility curve chart, and at - the - money implied volatility chart for different tenors [19][20][21]. - **SZSE 300ETF Option**: The report provides charts of the SZSE 300ETF option, such as the trend chart, volatility chart, volume PCR chart, open interest PCR chart, implied volatility curve chart, and at - the - money implied volatility chart for different tenors [22][23][25][27][29][31]. - **CSI 300 Index Option**: Charts of the CSI 300 Index option are presented, including the trend chart, volatility chart, volume PCR chart, open interest PCR chart, implied volatility curve chart, and at - the - money implied volatility chart for different tenors [33][34][36][35]. - **CSI 1000 Index Option**: It includes charts of the CSI 1000 Index option, such as the trend chart, volatility chart, volume PCR chart, open interest PCR chart, implied volatility curve chart, and at - the - money implied volatility chart for different tenors [37][38][40][42][44][46][48]. - **SSE 500ETF Option**: The report offers charts of the SSE 500ETF option, including the trend chart, volatility chart, volume PCR chart, open interest PCR chart, implied volatility curve chart, and at - the - money implied volatility chart for different tenors [50][51][53][55][57][59][60]. - **SZSE 500ETF Option**: Charts of the SZSE 500ETF option are provided, such as the trend chart, volatility chart, volume PCR chart, open interest PCR chart, implied volatility curve chart, and at - the - money implied volatility chart for different tenors [63][64][66][68][70][72][73]. - **ChiNext ETF Option**: The report contains charts of the ChiNext ETF option, including the trend chart, volatility chart, volume PCR chart, open interest PCR chart, implied volatility curve chart, and at - the - money implied volatility chart for different tenors [76][77][79][81][83][84]. - **Shenzhen 100ETF Option**: It includes charts of the Shenzhen 100ETF option, such as the trend chart, volatility chart, volume PCR chart, open interest PCR chart, implied volatility curve chart, and at - the - money implied volatility chart for different tenors [88][89][91][93][95][99]. - **SSE 50 Index Option**: The report provides charts of the SSE 50 Index option, including the trend chart, volatility chart, volume PCR chart, open interest PCR chart, implied volatility curve chart, and at - the - money implied volatility chart for different tenors [101][102][104][106][108][112]. - **STAR 50ETF Option**: Charts of the STAR 50ETF option are presented, including the trend chart, volatility chart, volume PCR chart, open interest PCR chart, implied volatility curve chart, and at - the - money implied volatility chart for different tenors [114][115][116][118][120][122]. - **E Fund STAR 50ETF Option**: The report offers charts of the E Fund STAR 50ETF option, including the trend chart, volatility chart, volume PCR chart, open interest PCR chart, implied volatility curve chart, and at - the - money implied volatility chart for different tenors [124][125].

1. Report Industry Investment Rating - No relevant content provided. 2. Core Viewpoints of the Report - The stock indexes fluctuated and consolidated today. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2992.3 billion yuan, a 70.8 - billion - yuan increase from the previous day. Currently, the stock market is in a consolidation phase, with a divergence in the capital market between chasing up and taking profits, leading to increased intraday volatility. In the short term, the upward drive of the stock index is weakening due to the regulatory authorities' clear intention to control risks and the fact that the recent stock price rebound is mainly driven by valuation. In the long term, positive policy expectations and the continuous inflow of incremental funds into the stock market are the main supporting forces for the upward movement of the stock index, and the risk appetite of the stock market remains positive. Overall, the stock index will mainly fluctuate and consolidate in the short term. For options, a bull - spread strategy can be considered due to the relatively reliable long - term upward trend of the stock index [4]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On January 28, 2026, the 50ETF rose 0.22% to close at 3.138; the 300ETF (Shanghai Stock Exchange) rose 0.32% to close at 4.725; the 300ETF (Shenzhen Stock Exchange) rose 0.43% to close at 4.931; the CSI 300 Index rose 0.26% to close at 4717.99; the CSI 1000 Index rose 0.21% to close at 8399.79; the 500ETF (Shanghai Stock Exchange) rose 0.84% to close at 8.691; the 500ETF (Shenzhen Stock Exchange) rose 0.58% to close at 3.452; the ChiNext ETF fell 0.60% to close at 3.307; the Shenzhen 100ETF fell 0.40% to close at 3.470; the SSE 50 Index rose 0.27% to close at 3060.56; the STAR 50ETF fell 0.30% to close at 1.64; the E Fund STAR 50ETF fell 0.25% to close at 1.58 [6]. - The trading volume PCR and open - interest PCR of various options showed different changes compared with the previous trading day. For example, the trading volume PCR of the 50ETF option was 86.52 (previous day: 76.09), and the open - interest PCR was 71.82 (previous day: 71.72) [7]. - The implied volatility of the at - the - money options in February 2026 and the 30 - trading - day historical volatility of the underlying assets of various options were also provided. For instance, the implied volatility of the at - the - money 50ETF option in February 2026 was 15.11%, and the 30 - trading - day historical volatility of the underlying asset was 11.57% [8]. 3.2 Related Charts - **SSE 50ETF Option**: Included charts of the SSE 50ETF's trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [10]. - **Shanghai Stock Exchange 300ETF Option**: Included charts of the Shanghai Stock Exchange 300ETF's trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [19]. - **Shenzhen Stock Exchange 300ETF Option**: Included charts of the Shenzhen Stock Exchange 300ETF's trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [22]. - **CSI 300 Index Option**: Included charts of the CSI 300 Index's trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [36]. - **CSI 1000 Index Option**: Included charts of the CSI 1000 Index's trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [39]. - **Shanghai Stock Exchange 500ETF Option**: Included charts of the Shanghai Stock Exchange 500ETF's trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [53]. - **Shenzhen Stock Exchange 500ETF Option**: Included charts of the Shenzhen Stock Exchange 500ETF's trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [66]. - **ChiNext ETF Option**: Included charts of the ChiNext ETF's trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [79]. - **Shenzhen 100ETF Option**: Included charts of the Shenzhen 100ETF's trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [91]. - **SSE 50 Index Option**: Included charts of the SSE 50 Index's trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [104]. - **STAR 50ETF Option**: Included charts of the STAR 50ETF's trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [117]. - **E Fund STAR 50ETF Option**: Included charts of the E Fund STAR 50ETF's trend, option volatility, trading volume PCR, open - interest PCR, implied volatility curve, and at - the - money implied volatility of different tenors [128].