Report Information - Report Name: Pioneer Futures Options Daily Report - Date: May 21, 2025 [1] Core Data Options Volatility Ranking - The table shows the implied volatility, historical volatility, and true range of various option targets, along with their rankings [3][5] Shanghai Stock Exchange Options Shanghai 50ETF - The trading volume of the main options is 648,739 lots, the open interest is 795,306 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 13% [22] Huatai-PineBridge CSI 300ETF - The trading volume of the main options is 473,954 lots, the open interest is 613,367 lots, the trading volume ratio of call options to put options is 1.1, and the weighted average implied volatility is 13.51% [33] Southern CSI 500ETF - The trading volume of the main options is 683,791 lots, the open interest is 644,131 lots, the trading volume ratio of call options to put options is 1.14, and the weighted average implied volatility is 17.11% [45] Huaxia SSE STAR Market 50ETF - The trading volume of the main options is 220,040 lots, the open interest is 821,906 lots, the trading volume ratio of call options to put options is 1.57, and the weighted average implied volatility is 25.02% [57] E Fund SSE STAR Market 50ETF - The trading volume of the main options is 34,798 lots, the open interest is 220,760 lots, the trading volume ratio of call options to put options is 1.54, and the weighted average implied volatility is 25.82% [69] Shenzhen Stock Exchange Options Harvest CSI 300ETF - The trading volume of the main options is 88,831 lots, the open interest is 141,426 lots, the trading volume ratio of call options to put options is 0.71, and the weighted average implied volatility is 17.47% [81] E Fund ChiNext ETF - The basic information table shows the call and put option prices at different strike prices [89] Volatility Trading Recommendations - Different months: Sell the month with the curve on top, buy the month with the curve below - Same month: Sell the option with the point on the curve above, buy the option with the point on the curve below [24][37][50] Risk-Free Arbitrage Returns Shanghai Stock Exchange Options Shanghai 50ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 14.7% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 1.67% [28][30] Huatai-PineBridge CSI 300ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 10.9% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 1.39% [40][41] Southern CSI 500ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 52.1% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 11.0% [52][54] Huaxia SSE STAR Market 50ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 35.3% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 3.12% [64][66] E Fund SSE STAR Market 50ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 34.0% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.79% [75][77] Shenzhen Stock Exchange Options Harvest CSI 300ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 19.0% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 0.11% [87][88]

Group 1: Report Summary - The report is the Pioneer Futures Options Daily Report dated May 20, 2025, presenting option data and analysis for various underlying assets [1] Group 2: Option Volatility Ranking - The table shows the implied volatility, 30 - day historical volatility, and daily true volatility of multiple option underlying assets, along with their rankings. For example, ao2506 has an implied volatility of 3.1% (ranked 1st), a 30 - day historical volatility of 2.3% (ranked 1st), and a daily true volatility of 3.8% (ranked 1st) [3] - Implied volatility reflects market expectations of future price fluctuations, historical volatility shows past price movements, and daily true volatility represents intraday price changes [6] Group 3: Shanghai Stock Exchange Options - General Information 1.1 Shanghai 50ETF - The T - type quotation table shows the call and put option prices at different strike prices and expiration months. The trading volume of the main contract is 631,377 lots, the open interest is 834,777 lots, the call - put trading volume ratio is 1.47, and the weighted average implied volatility is 12.68% [19][22] - For volatility trading, different months: sell the month with the higher curve and buy the month with the lower curve; same month: sell options above the curve and buy options below the curve [27] - For risk - free arbitrage, the optimal arbitrage portfolio held to maturity has a minimum annualized yield of 36.2% at the settlement price and 2.49% at the counter - party price [31][33] 1.2 Huatai - Berry SSE 300ETF - The T - type quotation table shows option prices. The trading volume of the main contract is 491,205 lots, the open interest is 648,081 lots, the call - put trading volume ratio is 1.19, and the weighted average implied volatility is 13.25% [34][36] - Volatility trading suggestions are the same as for the Shanghai 50ETF [41] - For risk - free arbitrage, the minimum annualized yield is 16.5% at the settlement price and 1.70% at the counter - party price [43][45] 1.3 Southern CSI 500ETF - The T - type quotation table shows option prices. The trading volume of the main contract is 868,316 lots, the open interest is 681,119 lots, the call - put trading volume ratio is 1.13, and the weighted average implied volatility is 16.76% [46][49] - Volatility trading suggestions are consistent with the previous ones [54] - For risk - free arbitrage, the minimum annualized yield is 48.6% at the settlement price and 9.01% at the counter - party price [56][58] 1.4 Huaxia SSE STAR Market 50ETF - The T - type quotation table shows option prices. The trading volume of the main contract is 209,169 lots, the open interest is 832,998 lots, the call - put trading volume ratio is 1.82, and the weighted average implied volatility is 23.96% [59][61] - Volatility trading suggestions remain the same [66] - For risk - free arbitrage, the minimum annualized yield is 47.0% at the settlement price and 5.83% at the counter - party price [68][70] 1.5 E Fund SSE STAR Market 50ETF - The T - type quotation table shows option prices. The trading volume of the main contract is 135,221 lots, the open interest is 77,858 lots, the call - put trading volume ratio is 0.31, and the weighted average implied volatility is 28.53% [71][73] - Volatility trading suggestions are as before [77] - The report does not provide risk - free arbitrage data for this ETF

先锋期货期权日报 2025-5-19 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。 | 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 | | | ao2506 | 3.4% | 1 | 2.4% | 1 | 8.8% | 1 | | sn2506 | 2.4% | 2 | 1.0% | 31 | 1.4% | 26 | | eb2506 | 2.4% | 3 | 1.8% | 7 | 1.9% | 13 | | ps2507 | 2.4% | 4 | 1.9% | 6 | 2. ...

先锋期货期权日报 2025-5-15 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。 | 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 | | | ao2506 | 2.2% | 1 | 1.6% | 9 | 4.1% | 2 | | sn2506 | 2.2% | 2 | 1.1% | 27 | 1.2% | 44 | | ps2507 | 2.2% | 3 | 2.1% | 2 | 2.5% | 10 | | eb2506 | 2.2% | 4 | 1.8% | 6 | 2. ...

先锋期货期权日报 2025-5-14 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。 | 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 | | | ps2507 | 2.4% | 1 | 2.1% | 1 | 3.3% | 11 | | sn2506 | 2.4% | 2 | 1.2% | 24 | 1.5% | 44 | | eb2506 | 2.2% | 3 | 1.8% | 6 | 4.1% | 4 | | br2506 | 2.2% | 4 | 1.9% | 5 | 2. ...

先锋期货期权日报 2025-5-13 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。 数据来源：IfinD、先锋期货投资咨询部 注：本表波动率均为日化波动率，单位已统一，相互可直接比较和做差 平值期权隐含波动率反映了市场对该品种未来波动的预期，数值越大越可能有大行情 （趋势交易者可以关注排名靠前的品种）；标的 30 天历史波动率则反映了该品种过去实际 的行情大小，数值比前者小意味着期权价格可能偏贵（期权卖方可以关注与前者排名的差 异）；而标的当日真实波幅则反映了该品种当日日内行情的大小（日内交易者可以关注排名 靠前的品种）。 期市有风险,投资需谨慎 目录 | 1.上交所期权 | | --- | | 1.1 上证 50ETF . | | 1.1.1 基本信息 ……………………………………………………………………………………１ | | 1.1.2 波动率交易 …………………………………………………………………………………………2 | | 1.1.3 无风险套利 ...

先锋期货期权日报 2025-5-12 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。 | 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 | | | sc2506 | 3.3% | 1 | 2.0% | 2 | 2.7% | 19 | | fg506 | 2.5% | 2 | 1.5% | 10 | 2.7% | 17 | | ps2507 | 2.4% | 3 | 2.2% | 1 | 5.5% | 2 | | sn2506 | 2.3% | 4 | 1.2% | 21 | 1. ...

先锋期货期权日报 2025-5-7 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。 | 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 | | | sc2506 | 2.7% | 1 | 2.9% | 3 | 2.3% | 20 | | ps2506 | 2.4% | 2 | 1.7% | 27 | 4.7% | 1 | | sn2506 | 2.3% | 3 | 2.2% | 13 | 1.7% | 39 | | br2506 | 2.1% | 4 | 2.5% | 6 | 2. ...

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents a comprehensive analysis of various options, including those from different exchanges such as the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc., with a focus on their basic information, volatility trading, and risk - free arbitrage opportunities. It offers data on option prices, trading volumes, open interests, implied volatilities, and provides trading suggestions based on volatility curves. 3. Summary by Directory 3.1. Shanghai Stock Exchange Options - **1.1. Shanghai 50ETF** - **Basic Information**: The trading volume of the main options of Shanghai 50ETF is 621,333 lots, the open interest is 781,208 lots, the trading volume ratio of call and put options is 1.11, and the weighted - average implied volatility is 13.58% [19][22]. - **Volatility Trading**: Suggestions are to sell the options in the month with the upper curve and buy those in the month with the lower curve for different months; and sell the options with points above the curve and buy those below the curve for the same month [24]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.69% at the settlement price and no return is available at the counter - price [28][30]. - **1.2. Huatai - Berich CSI 300ETF** - **Basic Information**: The trading volume of the main options is 593,133 lots, the open interest is 609,330 lots, the trading volume ratio of call and put options is 0.96, and the weighted - average implied volatility is 14.66% [31][33]. - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF based on volatility curves [36]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.53% at the settlement price and 1.46% at the counter - price [40][41]. - **1.3. Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 861,064 lots, the open interest is 630,035 lots, the trading volume ratio of call and put options is 0.95, and the weighted - average implied volatility is 17.81% [42][45]. - **Volatility Trading**: Trading suggestions based on volatility curves are the same as above [47]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 43.4% at the settlement price and 9.39% at the counter - price [51][53]. - **1.4. Huaxia Shanghai Science and Technology Innovation 50ETF** - **Basic Information**: The trading volume of the main options is 416,662 lots, the open interest is 684,440 lots, the trading volume ratio of call and put options is 1.01, and the weighted - average implied volatility is 25.54% [54][56]. - **Volatility Trading**: Similar trading suggestions according to volatility curves [58]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 29.6% at the settlement price and 5.96% at the counter - price [62][64]. - **1.5. E Fund Shanghai Science and Technology Innovation 50ETF** - **Basic Information**: The trading volume of the main options is 73,929 lots, the open interest is 157,824 lots, the trading volume ratio of call and put options is 1.23, and the weighted - average implied volatility is 26.36% [65][66]. - **Volatility Trading**: Trading suggestions based on volatility curves are consistent [70]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.2% at the settlement price and 7.46% at the counter - price [73][75]. 3.2. Shenzhen Stock Exchange Options - **2.1. Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main options is 88,481 lots, the open interest is 143,169 lots, the trading volume ratio of call and put options is 0.81, and the weighted - average implied volatility is 16.65% [76][79]. - **Volatility Trading**: Suggestions are to sell the options in the month with the upper curve and buy those in the month with the lower curve for different months; and sell the options with points above the curve and buy those below the curve for the same month [83][84]. - **Risk - free Arbitrage**: No risk - free arbitrage data is provided in the given text. 3.3. Option Volatility Ranking The report provides a ranking of the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time volatility of various underlying assets, which can help different types of traders (trend traders, option sellers, intraday traders) identify potential trading opportunities [3][5][6].

1. Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: April 28, 2025 [1] 2. Core Data 2.1 Option Volatility Ranking - The report provides the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of the day for various option targets, along with their rankings [3][5] 2.2 Exchange - Specific Option Data - **Shanghai Stock Exchange Options**: - **SSE 50 ETF**: The trading volume of the main options is 445,784 lots, the open interest is 673,060 lots, the trading volume ratio of call and put options is 1, and the weighted average implied volatility is 14.62% [22] - **Huatai - Berich SSE 300 ETF**: The trading volume of the main options is 377,724 lots, the open interest is 562,154 lots, the trading volume ratio of call and put options is 0.97, and the weighted average implied volatility is 15.66% [34] - **Southern CSI 500 ETF**: The trading volume of the main options is 603,625 lots, the open interest is 562,720 lots, the trading volume ratio of call and put options is 0.94, and the weighted average implied volatility is 20.84% [47] - **China AMC SSE STAR 50 ETF**: The trading volume of the main options is 236,372 lots, the open interest is 614,878 lots, the trading volume ratio of call and put options is 1.13, and the weighted average implied volatility is 26.56% [57] - **E Fund SSE STAR 50 ETF**: The trading volume of the main options is 46,927 lots, the open interest is 143,584 lots, the trading volume ratio of call and put options is 1.3, and the weighted average implied volatility is 28.05% [69] - **Shenzhen Stock Exchange Options**: - **Harvest SZSE 300 ETF**: The trading volume of the main options is 44,659 lots, the open interest is 118,204 lots, the trading volume ratio of call and put options is 1.05, and the weighted average implied volatility is 16.65% [82] 3. Core Views 3.1 Volatility Trading - For different months, sell the options of the month with the curve above and buy the options of the month with the curve below; for the same month, sell the options with points above the curve and buy the options with points below the curve [25][38][48] 3.2 Risk - Free Arbitrage - Different ETF options have different minimum annualized yields for the optimal arbitrage portfolio held to maturity when trading at the settlement price and the counter - party price [29][31][41] 4. Directory Summary 4.1 Shanghai Stock Exchange Options - **SSE 50 ETF**: Includes basic information (T - type quotation table, trading volume, open interest, etc.), volatility trading (implied volatility curve analysis), and risk - free arbitrage (optimal arbitrage portfolio yield) [19][22][23] - **Huatai - Berich SSE 300 ETF**: Similar to SSE 50 ETF, with its own basic information, volatility trading, and risk - free arbitrage analysis [32][35][41] - **Southern CSI 500 ETF**: Covers basic information, volatility trading, and risk - free arbitrage [44][48][52] - **China AMC SSE STAR 50 ETF**: Contains basic information, volatility trading, and risk - free arbitrage [55][58][64] - **E Fund SSE STAR 50 ETF**: Includes basic information, volatility trading, and risk - free arbitrage [67][70][76] 4.2 Shenzhen Stock Exchange Options - **Harvest SZSE 300 ETF**: Comprises basic information, volatility trading, and risk - free arbitrage [79][83]