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

Report Information - Report Name: Pioneer Futures Options Daily Report - Report Date: October 9, 2025 [1] Option Underlying Market Volatility Ranking | Underlying | Implied Volatility of At-the-Money Options | Ranking | 30-Day Historical Volatility of Underlying | Ranking | Realized Volatility of Underlying on the Day | Ranking | | --- | --- | --- | --- | --- | --- | --- | | ps2511 | 3.3% | 1 | 1.5% | 12 | 4.3% | 10 | | lc2511 | 3.3% | 2 | 1.5% | 10 | 3.6% | 12 | | Science and Technology Innovation Board 50 ETF (October) | 2.7% | 3 | 1.9% | 5 | 5.9% | 4 | | Science and Technology Innovation 50 ETF (October) | 2.7% | 4 | 1.9% | 2 | 6.0% | 3 | | si2511 | 2.4% | 5 | 2.0% | 1 | 2.4% | 22 | | sn2511 | 2.3% | 6 | 1.3% | 22 | 4.7% | 7 | | sc2511 | 2.2% | 7 | 1.7% | 7 | 3.0% | 16 | | ChiNext ETF (October) | 2.2% | 8 | 1.9% | 3 | 2.5% | 20 | | ag2511 | 2.2% | 9 | 1.5% | 11 | 3.5% | 13 | | fg511 | 1.9% | 10 | 1.9% | 4 | 2.3% | 24 | | ao2511 | 1.9% | 11 | 1.0% | 37 | 1.9% | 44 | | br2511 | 1.8% | 12 | 1.2% | 28 | 2.1% | 35 | | ni2511 | 1.7% | 13 | 1.0% | 34 | 3.0% | 15 | | cj601 | 1.7% | 14 | 1.6% | 8 | 2.4% | 21 | | jd2511 | 1.6% | 15 | 1.9% | 6 | 6.9% | 2 | | lh2511 | 1.6% | 16 | 1.6% | 9 | 7.1% | 1 | | cu2511 | 1.5% | 17 | 1.4% | 15 | 4.5% | 9 | | au2512 | 1.5% | 18 | 1.3% | 18 | 4.9% | 5 | | ru2601 | 1.5% | 19 | 1.2% | 26 | 2.7% | 17 | | p2511 | 1.4% | 20 | 1.4% | 14 | 3.4% | 14 | | ap601 | 1.4% | 21 | 1.3% | 21 | 2.6% | 19 | | Shenzhen 100 ETF (October) | 1.4% | 22 | 1.4% | 13 | 2.2% | 28 | | sa511 | 1.3% | 23 | 1.4% | 17 | 2.2% | 26 | | i2511 | 1.3% | 24 | 0.8% | 39 | 2.0% | 38 | | sh511 | 1.3% | 25 | 1.4% | 16 | 4.7% | 6 | | mo2510 | 1.2% | 26 | 1.1% | 29 | 1.3% | 58 | | CSI 500 ETF (October) | 1.2% | 27 | 1.2% | 23 | 2.2% | 29 | | pg2511 | 1.2% | 28 | 1.3% | 19 | 4.6% | 8 | | 500 ETF (October) | 1.2% | 29 | 1.2% | 24 | 2.1% | 34 | | eb2511 | 1.2% | 30 | 0.8% | 42 | 1.6% | 48 | | lg2511 | 1.1% | 31 | 0.6% | 59 | 1.9% | 41 | | rb2601 | 1.1% | 32 | 0.8% | 43 | 0.9% | 65 | | ad2511 | 1.0% | 33 | 0.6% | 54 | 1.9% | 43 | | pb2511 | 1.0% | 34 | 0.6% | 53 | 1.5% | 52 | | zn2511 | 1.0% | 35 | 0.8% | 41 | 2.3% | 23 | | v2511 | 1.0% | 36 | 0.7% | 46 | 2.6% | 18 | | rm511 | 1.0% | 37 | 1.1% | 31 | 2.1% | 31 | | 50 ETF (October) | 1.0% | 38 | 0.7% | 48 | 1.5% | 50 | | SSE 50 ETF (October) | 1.0% | 39 | 1.0% | 35 | 1.9% | 42 | | bz2603 | 1.0% | 40 | 0.6% | 52 | 2.0% | 37 | | eg2511 | 0.9% | 41 | 0.5% | 62 | 1.8% | 46 | | io2510 | 0.9% | 42 | 0.9% | 38 | 1.8% | 45 | | 300 ETF (October) | 0.9% | 43 | 1.0% | 36 | 2.0% | 39 | | ho2510 | 0.9% | 44 | 0.7% | 49 | 1.5% | 49 | | cs2511 | 0.9% | 45 | 0.7% | 47 | 2.1% | 32 | | sf511 | 0.9% | 46 | 1.1% | 30 | 1.4% | 55 | | al2511 | 0.9% | 47 | 0.6% | 56 | 2.0% | 40 | | c2511 | 0.8% | 48 | 0.6% | 58 | 1.2% | 60 | | ta511 | 0.8% | 49 | 0.8% | 40 | 1.5% | 51 | | y2511 | 0.8% | 50 | 1.2% | 25 | 2.2% | 25 | | m2511 | 0.8% | 51 | 1.2% | 27 | 1.3% | 57 | | l2511 | 0.8% | 52 | 0.4% | 64 | 1.4% | 56 | | ur511 | 0.8% | 53 | 1.0% | 32 | 3.9% | 11 | | ma511 | 0.7% | 54 | 0.7% | 50 | 2.1% | 36 | | b2511 | 0.7% | 55 | 1.3% | 20 | 1.4% | 54 | | sm511 | 0.7% | 56 | 0.7% | 45 | 0.9% | 64 | | pk511 | 0.7% | 57 | 0.5% | 61 | 2.2% | 30 | | oi511 | 0.7% | 58 | 1.0% | 33 | 2.1% | 33 | | a2511 | 0.6% | 59 | 0.7% | 51 | 1.4% | 53 | | pf511 | 0.6% | 60 | 0.6% | 55 | 1.2% | 62 | | pp2601 | 0.6% | 61 | 0.5% | 60 | 2.2% | 27 | | cf601 | 0.6% | 62 | 0.5% | 63 | 1.2% | 59 | | pr511 | 0.5% | 63 | 0.6% | 57 | 1.1% | 63 | [3][4] Volatility Explanation - The implied volatility of at-the-money options reflects the market's expectation of the future volatility of the underlying asset. A higher value indicates a greater likelihood of significant market movements. Trend traders may focus on the top-ranked varieties [5]. - The 30-day historical volatility of the underlying asset reflects the actual historical market movements of the underlying asset. If this value is smaller than the implied volatility, it may suggest that the option price is relatively high. Option sellers can pay attention to the difference in rankings between the two [5]. - The realized volatility of the underlying asset on the day reflects the intraday market movements of the underlying asset. Intraday traders may focus on the top-ranked varieties [5]. Exchange Option Analysis Shanghai Stock Exchange Options SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options was 1,080,033 contracts, and the open interest was 935,204 contracts. The trading volume ratio of call options to put options was 1.69, and the weighted average implied volatility was 17.64% [18][20]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [22]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 15.6%; when trading at the counterparty price, it is 3.79% [26][28]. Huatai-PineBridge SSE 300 ETF - **Basic Information**: The trading volume of the Huatai-PineBridge SSE 300 ETF's main options was 1,103,712 contracts, and the open interest was 724,243 contracts. The trading volume ratio of call options to put options was 1.37, and the weighted average implied volatility was 16.67% [29][31]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [35]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.52%; when trading at the counterparty price, it is 1.00% [38][40]. Southern CSI 500 ETF - **Basic Information**: The trading volume of the Southern CSI 500 ETF's main options was 1,342,230 contracts, and the open interest was 659,034 contracts. The trading volume ratio of call options to put options was 1.08, and the weighted average implied volatility was 19.54% [41][43]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [45]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 34.8%; when trading at the counterparty price, it is 7.72% [49][51]. Huaxia SSE Science and Technology Innovation Board 50 ETF - **Basic Information**: The trading volume of the Huaxia SSE Science and Technology Innovation Board 50 ETF's main options was 1,844,940 contracts, and the open interest was 1,034,741 contracts. The trading volume ratio of call options to put options was 1.43, and the weighted average implied volatility was 41.82% [52][54]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [59]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 64.0%; when trading at the counterparty price, it is 12.4% [61][63]. E Fund SSE Science and Technology Innovation Board 50 ETF - **Basic Information**: The trading volume of the E Fund SSE Science and Technology Innovation Board 50 ETF's main options was 409,101 contracts, and the open interest was 277,356 contracts. The trading volume ratio of call options to put options was 1.65, and the weighted average implied volatility was 42.64% [64][66]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [68]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 40.0%; when trading at the counterparty price, it is 8.65% [72][74]. Shenzhen Stock Exchange Options Harvest SSE 300 ETF - **Basic Information**: The trading volume of the Harvest SSE 300 ETF's main options was 184,080 contracts, and the open interest was 185,103 contracts. The trading volume ratio of call options to put options was 1.41, and the weighted average implied volatility was 18.39% [75][77]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [79].

先锋期货期权日报 2025-9-30 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 期权标的行情波动龙虎榜： | | --- | | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | lc2511 | 2.9% | 1 | 1.7% | 8 | 1.7% | 22 | | ps2511 | 2.7% | 2 | 2.7% | 1 | 2.7% | 6 | | 科创50etf10月 | 2.6% | 3 | 2.5% | 4 | 2.4% | 11 | | 科创板50 ...

Report Summary 1. Option Underlying Volatility Ranking - The report presents a ranking of option underlying assets based on implied volatility, 30 - day historical volatility, and daily true range. For example, lc2511 ranks 1st in implied volatility with 3.0%, ps2511 ranks 1st in 30 - day historical volatility with 2.7%, and cj601 ranks 1st in daily true range with 4.8% [3]. 2. Shanghai Stock Exchange Options 2.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - contract options of Shanghai 50ETF on the day is 1,169,164 lots, the open interest is 879,616 lots, the trading volume ratio of call options to put options is 1.95, and the weighted - average implied volatility is 18.18% [18][20]. - **Volatility Trading**: Suggestions include selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling the options with points above the curve and buying those with points below the curve for the same month [23]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.80%; when trading at the counter - offer price, it is 2.63% [26][28]. 2.2 Huatai -柏瑞 CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Huatai -柏瑞 CSI 300ETF on the day is 1,058,849 lots, the open interest is 707,790 lots, the trading volume ratio of call options to put options is 1.59, and the weighted - average implied volatility is 18.52% [29][31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those with points below the curve for the same month [36]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.14%; when trading at the counter - offer price, it is 0.45% [39][41]. 2.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - contract options of Southern CSI 500ETF on the day is 1,205,915 lots, the open interest is 616,631 lots, the trading volume ratio of call options to put options is 1.28, and the weighted - average implied volatility is 22.3% [42][44]. - **Volatility Trading**: The trading suggestions are the same as above [48]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 20.2%; when trading at the counter - offer price, it is 3.59% [51][53]. 2.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main - contract options of Huaxia Shanghai Science and Technology Innovation 50ETF on the day is 1,082,103 lots, the open interest is 969,460 lots, the trading volume ratio of call options to put options is 1.56, and the weighted - average implied volatility is 44.22% [54][56]. - **Volatility Trading**: The trading suggestions remain consistent [58]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5%; when trading at the counter - offer price, it is 2.25% [62][64]. 2.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main - contract options of E Fund Shanghai Science and Technology Innovation 50ETF on the day is 222,896 lots, the open interest is 257,534 lots, the trading volume ratio of call options to put options is 1.83, and the weighted - average implied volatility is 44.53% [65][67]. - **Volatility Trading**: The trading suggestions are unchanged [69]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.4%; when trading at the counter - offer price, it is 1.63% [73][75]. 3. Shenzhen Stock Exchange Options 3.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Harvest CSI 300ETF on the day is 215,662 lots, the open interest is 173,644 lots, the trading volume ratio of call options to put options is 1.31, and the weighted - average implied volatility is 19.84% [76][78]. - **Volatility Trading**: The trading suggestions are to sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those with points below the curve for the same month [80].

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints The report presents a comprehensive analysis of various option targets in the futures market, including their implied volatility, historical volatility, and real - time amplitude rankings, as well as detailed information on different ETF options such as basic data, volatility trading suggestions, and risk - free arbitrage opportunities [3][19][22]. 3. Summary by Directory 3.1 Upper - Shanghai Stock Exchange Options - **Shanghai 50ETF** - **Basic Information**: The trading volume of the main options on September 26, 2025, was 564,290 lots, the open interest was 840,751 lots, the trading volume ratio of call options to put options was 1.54, and the weighted average implied volatility was 16.8% [19][21]. - **Volatility Trading**: Suggest selling options in months with higher curves and buying those in months with lower curves for different months; for the same month, sell options with points above the curve and buy those below [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.79% at the settlement price and 2.88% at the counter - price [27][29]. - **Huatai - Berry CSI 300ETF** - **Basic Information**: On September 26, 2025, the trading volume of the main options was 642,519 lots, the open interest was 686,985 lots, the trading volume ratio of call options to put options was 1.2, and the weighted average implied volatility was 16.99% [30][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options and buy low - curve options [38]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.71% at the settlement price and 0.40% at the counter - price [41][43]. - **Southern CSI 500ETF** - **Basic Information**: On September 26, 2025, the trading volume of the main options was 1,110,246 lots, the open interest was 603,748 lots, the trading volume ratio of call options to put options was 0.99, and the weighted average implied volatility was 23.13% [44][46]. - **Volatility Trading**: Follow the rule of selling high - curve and buying low - curve options [50]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.4% at the settlement price and 5.74% at the counter - price [53][55]. - **Huaxia Shanghai - Science and Technology Innovation Board 50ETF** - **Basic Information**: On September 26, 2025, the trading volume of the main options was 980,477 lots, the open interest was 914,652 lots, the trading volume ratio of call options to put options was 1.47, and the weighted average implied volatility was 43.79% [56][58]. - **Volatility Trading**: Adopt the strategy of selling high - curve and buying low - curve options [60]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.1% at the settlement price and 3.90% at the counter - price [64][66]. - **E Fund Shanghai - Science and Technology Innovation Board 50ETF** - **Basic Information**: On September 26, 2025, the trading volume of the main options was 208,170 lots, the open interest was 240,816 lots, the trading volume ratio of call options to put options was 1.72, and the weighted average implied volatility was 44.42% [67][69]. - **Volatility Trading**: Use the method of selling high - curve and buying low - curve options [71]. - **Risk - free Arbitrage**: No specific numerical results provided in the text. 3.2 Shenzhen Stock Exchange Options The report lists options such as Harvest CSI 300ETF, E Fund ChiNext ETF, Harvest CSI 500ETF, and E Fund Shenzhen 100ETF, but no detailed data is provided in the current text. 3.3 China Financial Futures Exchange Options Options on CSI 300, CSI 1000, and Shanghai 50 are mentioned, but no detailed data is provided in the current text. 3.4 Zhengzhou Commodity Exchange Options Options on various products like sugar, cotton, and methanol are listed, but no detailed data is provided in the current text. 3.5 Dalian Commodity Exchange Options Options on products such as soybean meal, corn, and iron ore are mentioned, but no detailed data is provided in the current text. 3.6 Shanghai Futures Exchange Options Options on copper, rubber, and gold are listed, but no detailed data is provided in the current text. 3.7 Shanghai International Energy Exchange Options Options on crude oil are mentioned, but no detailed data is provided in the current text. 3.8 Guangzhou Futures Exchange Options Options on industrial silicon, lithium carbonate, and polysilicon are listed, but no detailed data is provided in the current text.

1. Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: September 25, 2025 [1] 2. Option Volatility Ranking - The report provides a ranking of option underlying assets based on at-the-money option implied volatility, 30-day historical volatility, and daily true range [3][4]. - The top 5 underlying assets in terms of at-the-money option implied volatility are ps2511 (2.8%), lc2511 (2.8%), 科创板50etf10月 (2.7%), 科创50etf10月 (2.7%), and fg511 (2.4%) [3]. - The top 5 underlying assets in terms of daily true range are fg511 (3.9%), cu2511 (3.7%), 创业板etf10月 (3.3%), eg2511 (3.3%), and cj601 (3.1%) [3][4]. 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF Options - **Basic Information**: The trading volume of the main SSE 50 ETF options on the day was 611,884 lots, the open interest was 789,870 lots, the trading volume ratio of call options to put options was 1.64, and the weighted average implied volatility was 16.8% [20]. - **Volatility Trading**: Different months - sell the month with the upper curve and buy the month with the lower curve; same month - sell the option with the upper point on the curve and buy the option with the lower point [24]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 2.42% at the settlement price and 1.71% at the counter - price [26][29]. 3.1.2 Huatai - Berry SSE CSI 300 ETF Options - **Basic Information**: The trading volume of the main Huatai - Berry SSE CSI 300 ETF options on the day was 799,889 lots, the open interest was 662,979 lots, the trading volume ratio of call options to put options was 1.5, and the weighted average implied volatility was 16.7% [33]. - **Volatility Trading**: Similar trading suggestions as SSE 50 ETF options [40]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 2.99% at the settlement price and 0.92% at the counter - price [42][44]. 3.1.3 Southern CSI 500 ETF Options - **Basic Information**: The trading volume of the main Southern CSI 500 ETF options on the day was 1,128,399 lots, the open interest was 565,282 lots, the trading volume ratio of call options to put options was 1.16, and the weighted average implied volatility was 22.04% [47]. - **Volatility Trading**: Similar trading suggestions as above [50]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 38.2% at the settlement price and 8.18% at the counter - price [54][56]. 3.1.4 Huaxia SSE STAR 50 ETF Options - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50 ETF options on the day was 1,182,457 lots, the open interest was 855,724 lots, the trading volume ratio of call options to put options was 1.8, and the weighted average implied volatility was 41.28% [59]. - **Volatility Trading**: Similar trading suggestions as above [61]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 39.8% at the settlement price and 8.38% at the counter - price [65][67]. 3.1.5 E Fund SSE STAR 50 ETF Options - **Basic Information**: The trading volume of the main E Fund SSE STAR 50 ETF options on the day was 250,934 lots, the open interest was 228,226 lots, the trading volume ratio of call options to put options was 2.61, and the weighted average implied volatility was 41.03% [70]. - **Volatility Trading**: Similar trading suggestions as above [74]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 45.0% at the settlement price and 11.0% at the counter - price [77][79].

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 19, 2025 [1] Option Underlying Volatility Ranking - The table shows the rankings of options underlying based on implied volatility, 30 - day historical volatility, and daily true volatility. For example, ps2511 ranks 1st in implied volatility with 2.8%, 3rd in 30 - day historical volatility with 2.7%, and 2nd in daily true volatility with 4.1% [3]. - Different types of volatility have different implications. Implied volatility reflects market expectations of future fluctuations, historical volatility shows past actual fluctuations, and daily true volatility reflects intraday fluctuations [5]. Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 716,056 lots, the open interest is 1,102,732 lots, the volume ratio of call to put options is 1.48, and the weighted average implied volatility is 20.23% [18][20]. - **Volatility Trading**: Suggest selling options with curves or points above and buying those below, both for different months and the same month [22]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 27.0% at the settlement price and 3.21% at the counter - price [27][29]. 1.2 Huatai - Baoying CSI 300ETF - **Basic Information**: The trading volume of the main options is 825,706 lots, the open interest is 820,000 lots, the volume ratio of call to put options is 1.07, and the weighted average implied volatility is 18.79% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options with curves or points above and buy those below [34]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 38.2% at the settlement price and 9.20% at the counter - price [38][39]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,397,764 lots, the open interest is 804,791 lots, the volume ratio of call to put options is 1.16, and the weighted average implied volatility is 24.57% [40][42]. - **Volatility Trading**: Follow the rule of selling options with curves or points above and buying those below [46]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 66.2% at the settlement price and 7.81% at the counter - price [49][51]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 1,352,162 lots, the open interest is 1,423,629 lots, the volume ratio of call to put options is 1.39, and the weighted average implied volatility is 45.76% [52][54]. - **Volatility Trading**: Adopt the strategy of selling options with curves or points above and buying those below [57]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 50.4% at the settlement price and 18.4% at the counter - price [61][62]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 265,534 lots, the open interest is 407,239 lots, the volume ratio of call to put options is 1.62, and the weighted average implied volatility is 47.01% [63][65]. - **Volatility Trading**: Sell options with curves or points above and buy those below [67]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 82.0% at the settlement price and 19.7% at the counter - price [71][73]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options is 186,149 lots, the open interest is 221,074 lots, the volume ratio of call to put options is 1.39, and the weighted average implied volatility is 21.04% [74][77]. - **Volatility Trading**: Sell options with curves or points above and buy those below [79]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.2% at the settlement price and 3.92% at the counter - price [83][85]. 2.2 E Fund ChiNext ETF - **Basic Information**: The document provides detailed option prices at different strike prices, but specific overall trading volume, open interest, etc. are not further summarized here [86]. - **Volatility Trading**: There is no additional information provided in the given text. - **Risk - free Arbitrage**: There is no relevant information provided in the given text.

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 18, 2025 [1] Options Market Volatility Ranking - The ranking table shows the at - the - money option implied volatility, 30 - day historical volatility, and the real - time volatility of various options on September 18, 2025 [3][4] - The top 3 in at - the - money option implied volatility are "Science and Technology Innovation Board 50 ETF September" (3.2%), "Science and Technology Innovation 50 ETF September" (2.9%), and "ps2511" (2.8%) [3] - The top 3 in 30 - day historical volatility are "Science and Technology Innovation Board 50 ETF September" (3.4%), "Science and Technology Innovation 50 ETF September" (3.3%), and "Gem ETF September" (2.6%) [3] - The top 3 in real - time volatility are "Science and Technology Innovation 50 ETF September" (6.4%), "Science and Technology Innovation Board 50 ETF September" (6.1%), and "sa511" (3.9%) [3] Volatility Analysis and Trading Suggestions - At - the - money option implied volatility reflects the market's expectation of future fluctuations; 30 - day historical volatility reflects past actual fluctuations; real - time volatility reflects intraday fluctuations [5] - Trend traders can focus on options with high at - the - money option implied volatility rankings; option sellers can focus on the difference between the rankings of at - the - money option implied volatility and 30 - day historical volatility; intraday traders can focus on options with high real - time volatility rankings [5] Exchange - Specific Option Analysis Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: On September 18, 2025, the trading volume of the main Shanghai 50ETF options was 1,379,707 lots, the open interest was 1,178,533 lots, the trading volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 21.98% [20] - Volatility Trading: Sell options from months with higher volatility curves and buy those from months with lower curves; for the same month, sell options with points above the curve and buy those below [22] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.3% at the settlement price and 6.40% at the counter - party price [26][28] 1.2 Huatai - Berry SSE 300ETF - Basic Information: On September 18, 2025, the trading volume of the main Huatai - Berry SSE 300ETF options was 1,295,776 lots, the open interest was 868,339 lots, the trading volume ratio of call options to put options was 1.3, and the weighted average implied volatility was 20.02% [31] - Volatility Trading: Similar to Shanghai 50ETF, sell high - curve options and buy low - curve options [34] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 55.1% at the settlement price and 11.2% at the counter - party price [37][38] 1.3 Southern CSI 500ETF - Basic Information: On September 18, 2025, the trading volume of the main Southern CSI 500ETF options was 1,996,066 lots, the open interest was 835,021 lots, the trading volume ratio of call options to put options was 1.32, and the weighted average implied volatility was 24.84% [41] - Volatility Trading: Follow the same principle of selling high - curve and buying low - curve options [46] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 131% at the settlement price and 25.8% at the counter - party price [48][50] 1.4 Huaxia SSE Science and Technology Innovation Board 50ETF - Basic Information: On September 18, 2025, the trading volume of the main Huaxia SSE Science and Technology Innovation Board 50ETF options was 2,490,037 lots, the open interest was 1,523,915 lots, the trading volume ratio of call options to put options was 1.62, and the weighted average implied volatility was 49.29% [53] - Volatility Trading: Adopt the strategy of selling high - curve and buying low - curve options [55] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 320% at the settlement price and 47.4% at the counter - party price [60][62] 1.5 E Fund SSE Science and Technology Innovation Board 50ETF - Basic Information: On September 18, 2025, the trading volume of the main E Fund SSE Science and Technology Innovation Board 50ETF options was 496,770 lots, the open interest was 418,892 lots, the trading volume ratio of call options to put options was 1.81, and the weighted average implied volatility was 51.32% [65] - Volatility Trading: Use the strategy of selling high - curve and buying low - curve options [67] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 173% at the settlement price and 38.2% at the counter - party price [71][73] Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - Basic Information: On September 18, 2025, the trading volume of the main Harvest SSE 300ETF options was 233,057 lots, the open interest was 238,099 lots, the trading volume ratio of call options to put options was 1.43, and the weighted average implied volatility was 22.11% [77] - Volatility Trading: Apply the strategy of selling high - curve and buying low - curve options [81] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 34.3% at the settlement price and 2.64% at the counter - party price [84][85] 2.2 E Fund GEM ETF - Basic Information: On September 18, 2025, the trading volume of the main E Fund GEM ETF options was 2,505,591 lots, the open interest was 1,417,432 lots, the trading volume ratio of call options to put options was 1.19, and the weighted average implied volatility was 42.91% [88] - Volatility Trading: Follow the strategy of selling high - curve and buying low - curve options [91]

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 17, 2025 1. Option Underlying Volatility Ranking - The report provides a ranking of option underlying volatility, including the implied volatility of at-the-money options, 30-day historical volatility, and the true range of the underlying on the day [3][4]. - The top-ranked underlying in terms of implied volatility of at-the-money options are the September contracts of Science and Technology Innovation Board 50 ETF and the September contract of Science and Technology Innovation 50 ETF, with values of 3.5% and 3.4% respectively [3]. - The top-ranked underlying in terms of 30-day historical volatility are also the September contracts of Science and Technology Innovation Board 50 ETF and the September contract of Science and Technology Innovation 50 ETF, with values of 3.4% and 3.3% respectively [3]. - The top-ranked underlying in terms of the true range of the underlying on the day are the September contract of Science and Technology Innovation 50 ETF and the September contract of Science and Technology Innovation 50 ETF, with values of 3.1% and 3.0% respectively [3]. 2. Exchange Options Analysis 2.1 Shanghai Stock Exchange Options 2.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 605,762 lots, the open interest was 1,273,240 lots, the volume ratio of call options to put options was 1.66, and the weighted average implied volatility was 23.84% [20]. - **Volatility Trading**: The report provides implied volatility curves for different strike prices and deltas of Shanghai 50ETF call options, and suggests selling options with higher implied volatility and buying options with lower implied volatility [23]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 18.8% when traded at the settlement price and 3.26% when traded at the counterparty price [27][29]. 2.1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main options of Huatai-PineBridge CSI 300ETF on the day was 771,046 lots, the open interest was 943,234 lots, the volume ratio of call options to put options was 1.57, and the weighted average implied volatility was 22.76% [32]. - **Volatility Trading**: Similar to Shanghai 50ETF, the report provides implied volatility curves and trading suggestions [37]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 9.34% when traded at the settlement price and 3.92% when traded at the counterparty price [39][41]. 2.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,513,052 lots, the open interest was 904,760 lots, the volume ratio of call options to put options was 1.37, and the weighted average implied volatility was 26.98% [44]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [48]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 50.9% when traded at the settlement price and 12.5% when traded at the counterparty price [51][53]. 2.1.4 ChinaAMC Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options of ChinaAMC Shanghai Science and Technology Innovation Board 50ETF on the day was 1,178,321 lots, the open interest was 1,635,232 lots, the volume ratio of call options to put options was 1.83, and the weighted average implied volatility was 55.29% [56]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [59]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 25.6% when traded at the settlement price and 5.62% when traded at the counterparty price [63][64]. 2.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options of E Fund Shanghai Science and Technology Innovation Board 50ETF on the day was 268,348 lots, the open interest was 452,951 lots, the volume ratio of call options to put options was 1.93, and the weighted average implied volatility was 53.79% [67]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [70]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 41.0% when traded at the settlement price and 12.3% when traded at the counterparty price [74][76]. 2.2 Shenzhen Stock Exchange Options 2.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 132,683 lots, the open interest was 226,327 lots, the volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 24.19% [80]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [82].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents a comprehensive analysis of various options, including their basic information, trading volumes, open interests, implied volatilities, and provides volatility trading suggestions and risk - free arbitrage returns. It offers a reference for investors in the options market [3][19][21]. 3. Summary According to the Table of Contents 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the main SSE 50 ETF options on the day was 578,280 lots, the open interest was 1,251,325 lots, the trading volume ratio of call options to put options was 1.32, and the weighted - average implied volatility was 21.5% [21]. - **Volatility Trading**: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 24.4% at the settlement price and 2.77% at the counter - price [27][29]. 3.1.2 Huatai - Peregrine CSI 300 ETF - **Basic Information**: The trading volume of the main Huatai - Peregrine CSI 300 ETF options on the day was 720,991 lots, the open interest was 959,003 lots, the trading volume ratio of call options to put options was 1.15, and the weighted - average implied volatility was 21.61% [32]. - **Volatility Trading**: Similar to SSE 50 ETF, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 20.1% at the settlement price and 1.32% at the counter - price [39][42]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main Southern CSI 500 ETF options on the day was 1,295,375 lots, the open interest was 931,223 lots, the trading volume ratio of call options to put options was 1.31, and the weighted - average implied volatility was 24.86% [45]. - **Volatility Trading**: The same trading suggestions as above [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 76.0% at the settlement price and 17.6% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR Market 50 ETF options on the day was 1,112,259 lots, the open interest was 1,644,909 lots, the trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 51.67% [57]. - **Volatility Trading**: Follow the general volatility trading suggestions [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 35.6% at the settlement price and 16.0% at the counter - price [63][64]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR Market 50 ETF options on the day was 208,001 lots, the open interest was 464,253 lots, the trading volume ratio of call options to put options was 2.06, and the weighted - average implied volatility was 50.94% [67]. - **Volatility Trading**: Adopt the same volatility trading strategies [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 56.3% at the settlement price and 10.6% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF - **Basic Information**: The trading volume of the main Harvest CSI 300 ETF options on the day was 141,658 lots, the open interest was 234,347 lots, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 24.79% [80]. - **Volatility Trading**: Use the common volatility trading advice [82]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 14.1% at the settlement price and 0.94% at the counter - price [86][88]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on the day was 1,754,047 lots, the open interest was 1,461,858 lots, the trading volume ratio of call options to put options was 1.13, and the weighted - average implied volatility was 48.5% [91]. - **Volatility Trading**: Follow the general volatility trading rules [94]. - **Risk - Free Arbitrage**: No relevant risk - free arbitrage content provided.