1. Report Overview - Report Title: Pioneer Futures Option Daily Report - Report Date: April 3, 2025 [1] 2. Option Volatility Ranking 2.1 Volatility Data Table - The report provides the implied volatility, historical volatility, and true range of various option targets, along with their rankings [3][5]. - For example, sn2505 has an implied volatility of 2.3% (ranked 1st), a 30 - day historical volatility of 2.2% (ranked 1st), and a true range of 4.0% (ranked 3rd) [3]. 2.2 Volatility Interpretation - The implied volatility reflects the market's expectation of future fluctuations, and higher values indicate a greater possibility of significant market movements. - The 30 - day historical volatility shows the actual past market size. A smaller value than the implied volatility may suggest that the option price is relatively high. - The true range reflects the intraday market size of the target [6]. 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 805,815 contracts, the open interest is 907,998 contracts, the volume ratio of call to put options is 1.07, and the weighted average implied volatility is 14.49% [19][22]. - **Volatility Trading**: Different months: sell options in months with higher volatility curves and buy in months with lower curves; for the same month, sell options with points above the curve and buy those below [25]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.5% at the settlement price and 3.21% at the counter - price [28][30]. 3.1.2 Huatai - Baoying CSI 300ETF - **Basic Information**: The trading volume of the main Huatai - Baoying CSI 300ETF options is 769,534 contracts, the open interest is 806,155 contracts, the volume ratio of call to put options is 1.02, and the weighted average implied volatility is 14.79% [30][33]. - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF [37]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 1.70% at the settlement price and 0.53% at the counter - price [40][41]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options is 1,141,238 contracts, the open interest is 621,033 contracts, the volume ratio of call to put options is 0.93, and the weighted average implied volatility is 19.44% [42][44]. - **Volatility Trading**: Similar trading suggestions as above [46]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 34.7% at the settlement price and 8.07% at the counter - price [50][52]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main Huaxia Shanghai Science and Technology Innovation Board 50ETF options is 521,429 contracts, the open interest is 1,050,117 contracts, the volume ratio of call to put options is 1.2, and the weighted average implied volatility is 26.8% [53][55]. - **Volatility Trading**: Similar trading suggestions as above [57]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.8% at the settlement price and 1.36% at the counter - price [61][63]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main E Fund Shanghai Science and Technology Innovation Board 50ETF options is 102,909 contracts, the open interest is 238,951 contracts, the volume ratio of call to put options is 1.44, and the weighted average implied volatility is 27.77% [64][65]. - **Volatility Trading**: Similar trading suggestions as above [68]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.1% at the settlement price and 1.70% at the counter - price [72][74]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Harvest CSI 300ETF options is 114,179 contracts, the open interest is 158,152 contracts, the volume ratio of call to put options is 0.92, and the weighted average implied volatility is 15.31% [75][77]. - **Volatility Trading**: Similar trading suggestions as above [79]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.9% at the settlement price and 0.98% at the counter - price [83][84]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options is 1,112,769 contracts, the open interest is 958,928 contracts, the volume ratio of call to put options is 0.96, and the weighted average implied volatility is 22.64% [85][87]. - **Volatility Trading**: Similar trading suggestions as above [89]. - **Risk - Free Arbitrage**: No specific data provided in the given text.

1. Report Information - Report Name: Pioneer Futures Options Daily Report - Report Date: April 2, 2025 [1] 2. Options Volatility Ranking - The report provides a ranking of options based on at-the-money implied volatility, 30-day historical volatility, and daily real volatility for various underlying assets, including sn2505, fg505, sc2505, etc. [3][5] - At-the-money implied volatility reflects the market's expectation of future price fluctuations, historical volatility shows past price movements, and daily real volatility indicates intraday price changes. [6] 3. Exchange Options 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 was 421,338 contracts, with an open interest of 876,755 contracts. The trading volume ratio of call to put options was 1.19, and the weighted average implied volatility was 14.76%. [19][22] - Volatility Trading: Suggestions include selling options in months with higher implied volatility curves and buying those in months with lower curves, and selling options with higher points on the curve and buying those with lower points within the same month. [24] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 9.25% at the settlement price and 2.27% at the counterparty price. [28][30] 3.1.2 Huatai-PineBridge CSI 300 ETF Options - Basic Information: The trading volume of the main Huatai-PineBridge CSI 300 ETF options was 391,108 contracts, with an open interest of 763,503 contracts. The trading volume ratio of call to put options was 1.18, and the weighted average implied volatility was 14.66%. [31][33] - Volatility Trading: Similar trading suggestions as for SSE 50 ETF options. [35] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 4.38% at the settlement price and 1.28% at the counterparty price. [41][42] 3.1.3 Southern CSI 500 ETF Options - Basic Information: The trading volume of the main Southern CSI 500 ETF options was 685,199 contracts, with an open interest of 558,955 contracts. The trading volume ratio of call to put options was 1.07, and the weighted average implied volatility was 18.47%. [43][46] - Volatility Trading: Similar trading suggestions as above. [50] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 40.8% at the settlement price and 9.41% at the counterparty price. [53][55] 3.1.4 Huaxia SSE STAR 50 ETF Options - Basic Information: The trading volume of the main Huaxia SSE STAR 50 ETF options was 347,121 contracts, with an open interest of 1,022,065 contracts. The trading volume ratio of call to put options was 1.16, and the weighted average implied volatility was 27.48%. [56][58] - Volatility Trading: Similar trading suggestions as above. [62] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 19.0% at the settlement price and 0.43% at the counterparty 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 was 53,245 contracts, with an open interest of 225,816 contracts. The trading volume ratio of call to put options was 1.55, and the weighted average implied volatility was 28.05%. [68][69] - Volatility Trading: Similar trading suggestions as above. [76] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 13.4% at the settlement price and 0.15% at the counterparty price. [78][80] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF Options - Basic Information: The trading volume of the main Harvest CSI 300 ETF options was 63,905 contracts, with an open interest of 154,109 contracts. The trading volume ratio of call to put options was 1.1, and the weighted average implied volatility was 15.27%. [81][84] - Volatility Trading: Similar trading suggestions as above. [86]

1. Report Information - Report Name: Pioneer Futures Options Daily Report - Date: March 31, 2025 [1] 2. Option Target Volatility Ranking 2.1 Ranking Table | Target | At - the - money Option Implied Volatility | Ranking | 30 - day Historical Volatility of the Target | Ranking | Target's Daily True Range | Ranking | | --- | --- | --- | --- | --- | --- | --- | | fg505 | 2.4% | 1 | 1.9% | 3 | 2.4% | 4 | | sn2505 | 2.1% | 2 | 2.1% | 2 | 1.4% | 17 | | ni2505 | 1.8% | 3 | 1.2% | 16 | 1.3% | 22 | |... |... |... |... |... |... |... | | cf505 | 0.5% | 63 | 0.4% | 63 | 0.9% | 41 | [3][5] 2.2 Volatility Explanation - At - the - money option implied volatility reflects the market's expectation of the future volatility of the variety. A larger value indicates a higher possibility of a major market trend. Trend traders can focus on the top - ranked varieties. - The 30 - day historical volatility of the target reflects the actual past market size of the variety. If the value is smaller than the implied volatility, it means the option price may be relatively expensive. Option sellers can focus on the difference in rankings between the two. - The target's daily true range reflects the intraday market size of the variety. Intraday traders can focus on the top - ranked varieties. [6] 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 910,019 lots, the open interest was 818,514 lots, the trading volume ratio of call options to put options was 1.2, and the weighted average implied volatility was 15.05%. [19][22] - **Volatility Trading**: Different months - sell the month with the curve on top and buy the month with the curve below; same month - sell the option with the point on the curve above and buy the option with the point below. [24] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.1%; at the counter - price, it is 2.54%. [28][30] 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry CSI 300ETF on the day was 787,730 lots, the open interest was 714,267 lots, the trading volume ratio of call options to put options was 1.1, and the weighted average implied volatility was 15.16%. [31][33] - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF. [35] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.64%; at the counter - price, it is 0.42%. [39][40] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,080,768 lots, the open interest was 553,079 lots, the trading volume ratio of call options to put options was 0.98, and the weighted average implied volatility was 20.03%. [41][43] - **Volatility Trading**: Similar trading suggestions as above. [47] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 50.8%; at the counter - price, it is 11.7%. [50][52] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of Huaxia Shanghai Science and Technology Innovation 50ETF on the day was 636,923 lots, the open interest was 959,353 lots, the trading volume ratio of call options to put options was 1.04, and the weighted average implied volatility was 27.97%. [54][55] - **Volatility Trading**: Similar trading suggestions as above. [59] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.5%; at the counter - price, there is no return. [62][64] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of E Fund Shanghai Science and Technology Innovation 50ETF on the day was 130,922 lots, the open interest was 204,826 lots, the trading volume ratio of call options to put options was 1.16, and the weighted average implied volatility was 28.75%. [66][67] - **Volatility Trading**: Similar trading suggestions as above. [69] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.34%; at the counter - price, there is no return. [73][75] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 122,134 lots, the open interest was 139,468 lots, the trading volume ratio of call options to put options was 1.11, and the weighted average implied volatility was 15.6%. [76][78] - **Volatility Trading**: Similar trading suggestions as above. [80] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.26%; at the counter - price, it is 0.56%. [84][87] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options of E Fund ChiNext ETF on the day was 1,001,761 lots, the open interest was 814,456 lots, the trading volume ratio of call options to put options was 1.05, and the weighted average implied volatility was 22.58%. [88][90] - **Volatility Trading**: Similar trading suggestions as above. [92] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.64%; at the counter - price, it is 0.68%. [96][98] 3.2.3 Harvest CSI 500ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 500ETF on the day was 154,290 lots, the open interest was 154,269 lots, the trading volume ratio of call options to put options was 0.85, and the weighted average implied volatility was 20.18%. [99][102] - **Volatility Trading**: Similar trading suggestions as above. [103]

先锋期货期权日报 2025-3-27 风险揭示 期权标的行情波动龙虎榜： | b2505 | 1.3% | 21 | 1.3% | 14 | 1.2% | 25 | | --- | --- | --- | --- | --- | --- | --- | | 创业板etf4月 | 1.3% | 22 | 1.3% | 9 | 2.3% | 5 | | br2505 | 1.3% | 23 | 1.1% | 20 | 1.7% | 14 | | si2505 | 1.3% | 24 | 0.8% | 42 | 1.8% | 12 | | ps2506 | 1.2% | 25 | 0.7% | 49 | 0.7% | 50 | | oi505 | 1.2% | 26 | 1.3% | 13 | 1.0% | 38 | | eb2505 | 1.2% | 27 | 1.0% | 25 | 1.5% | 16 | | cu2505 | 1.2% | 28 | 0.7% | 47 | 1.1% | 36 | | lg2507 | 1.2% | 29 | 0.8% | 45 | 0.8% | 44 | | 中证500etf ...

先锋期货期权日报 2025-3-25 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 | | | 科创50etf3月 | 2.5% | 1 | 1.7% | 5 | 2.1% | 5 | | fg505 | 2.4% | 2 | 1.9% | 3 | 3.1% | 1 | | 科创板50etf6月 | 1.9% | 3 | 1.7% | 4 | 2.0% | 6 | | 创业板etf3月 | 1.8% | 4 | 1.4% | 12 | ...

Investment Rating - The report does not explicitly state an investment rating for the industry or specific companies [1]. Core Insights - The report provides detailed analysis on various options in the market, including implied volatility and historical volatility, which are crucial for understanding market expectations and pricing [6][22]. - The implied volatility for the main options of the Shanghai Stock Exchange 50 ETF is reported at 18.47%, indicating market expectations for future price movements [22]. Summary by Sections 1. Shanghai Stock Exchange Options - The report includes detailed information on the Shanghai 50 ETF options, including call and put option prices across different expiration months [19][20]. - The trading volume for the main options of the Shanghai 50 ETF reached 652,249 contracts, with an open interest of 1,101,732 contracts, reflecting active market participation [22]. 2. Volatility Trading - The report discusses strategies for volatility trading, suggesting to sell options in months where the implied volatility curve is higher and buy in months where it is lower [25]. - It also highlights the importance of understanding the implied volatility curve for different strike prices, which can guide trading decisions [26][27]. 3. Risk Management Strategies - The report outlines risk management strategies, including risk-free arbitrage opportunities that can be identified through the analysis of implied and historical volatility [8][9].

先锋期货期权日报 2025-3-17 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 | | | sn2504 | 3.4% | 1 | 2.2% | 4 | 2.7% | 4 | | ni2504 | 2.4% | 2 | 1.0% | 31 | 1.5% | 24 | | 科创板50etf6月 | 2.1% | 3 | 2.3% | 1 | 1.5% | 22 | | ag2504 | 2.0% | 4 | 1.1% | 22 ...

先锋期货期权日报 2025-3-13 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。 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 | | | fg505 | 2.0% | 1 | 1.5% | 8 | 2.8% | 5 | | 科创板50etf6月 | 1.9% | 2 | 2.2% | 1 | 2.9% | 3 | | 科创50etf3月 | 1.9% | 3 | 2.2% | 2 | 2.9% | 2 | | sc2505 | 1.8% | 4 | 1.5% | 7 | ...