先锋期货期权日报 2025-4-25 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 | | | sc2506 | 2.7% | 1 | 2.7% | 3 | 1.8% | 19 | | au2506 | 2.3% | 2 | 1.8% | 21 | 2.4% | 7 | | sn2506 | 2.3% | 3 | 2.4% | 7 | 1.6% | 21 | | ag2506 | 2.3% | 4 | 2.1% | 14 | 1 ...

| 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 | 2.7% | 3 | 4.0% | 1 | | au2506 | 2.3% | 2 | 1.8% | 21 | 3.8% | 2 | | ag2506 | 2.3% | 3 | 2.1% | 14 | 2.4% | 7 | | ps2506 | 2.1% | 4 | 1.5% | 30 | 3.4% | 3 | | sn2506 | 2.1% | 5 | 2.4% | 8 | 1.8% | 22 | | br2506 | 2.0% | 6 | 2.5% | 5 | 2.2% | 10 | | fg506 | 1.8% | 7 | 1.7% | 24 | 2.8% | 6 | | i2506 | 1.8% | 8 | 1.6% | 27 | 1.9% | 15 | | eb2506 | 1.7% | 9 | 2.3% | ...

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report presents a comprehensive analysis of various option products, including their basic information, volatility trading, and risk - free arbitrage opportunities. It also provides data on option trading volume, open interest, and implied volatility for different underlying assets, along with volatility trading suggestions based on implied volatility curves. 3. Summary by Directory 3.1 Upper - Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main options of Shanghai 50ETF is 371,702 lots, the open interest is 530,323 lots, the trading volume ratio of call options to put options is 1.2, and the weighted - average implied volatility is 14.54% [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; sell the options with points above the curve and buy those below for the same month [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.59% at the settlement price and 1.35% at the counter - price [28][30]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: The trading volume of the main options is 416,085 lots, the open interest is 466,123 lots, the trading volume ratio of call options to put options is 1.18, and the weighted - average implied volatility is 15.37% [31][33]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell the upper - curve options and buy the lower - curve ones [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.95% at the settlement price and 2.88% at the counter - price [39][41]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 549,037 lots, the open interest is 427,610 lots, the trading volume ratio of call options to put options is 1.15, and the weighted - average implied volatility is 20.7% [42][45]. - **Volatility Trading**: Follow the same volatility trading suggestions as above [49]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 35.2% at the settlement price and 9.12% at the counter - price [52][54]. - **1.4 Huaxia Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 277,714 lots, the open interest is 508,135 lots, the trading volume ratio of call options to put options is 1.16, and the weighted - average implied volatility is 26.67% [55][57]. - **Volatility Trading**: Adopt the same volatility trading rules [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.2% at the settlement price and 10.1% at the counter - price [63][65]. - **1.5 E Fund Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 63,563 lots, the open interest is 164,169 lots, the trading volume ratio of call options to put options is 1.68, and the weighted - average implied volatility is 32.5% [66][68]. - **Volatility Trading**: Apply the same volatility trading suggestions [70]. - **Risk - Free Arbitrage**: No specific risk - free arbitrage data is provided in the given content. 3.2 Option Volatility and Ranking - The report provides a list of option underlying assets' at - the - money implied volatility, 30 - day historical volatility, and daily true range, along with their rankings. At - the - money implied volatility reflects market expectations of future fluctuations, 30 - day historical volatility reflects past actual market movements, and daily true range reflects intraday market movements [3][6].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the daily data of futures and options, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of the day for various underlying assets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage analysis for options on different ETFs across multiple exchanges [3][19][24]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF is 407,440 lots, the open interest is 660,353 lots, the trading volume ratio of call options to put options is 1.46, and the weighted average implied volatility is 20.16% [19][22]. - **Volatility Trading**: Suggestions include selling options in months with higher implied volatility curves and buying those in months with lower curves; for the same month, sell options with points above the curve and buy those below [24]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 45.6% at the settlement price and 3.60% at the counter - party price [24][28][30]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry CSI 300ETF is 301,423 lots, the open interest is 424,838 lots, the trading volume ratio of call options to put options is 1.04, and the weighted average implied volatility is 15.91% [30][31][33]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell options in months with higher curves and buy those in lower - curve months; for the same month, follow the curve - point rule [40]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 7.33% at the settlement price and 2.25% at the counter - party price [40][41][43]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF is 453,489 lots, the open interest is 432,642 lots, the trading volume ratio of call options to put options is 0.98, and the weighted average implied volatility is 26.7% [44][47]. - **Volatility Trading**: Adopt the same strategy as above for different and same - month options [49]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 83.9% at the settlement price and 11.0% at the counter - party price [53][55]. 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 is 256,668 lots, the open interest is 851,491 lots, the trading volume ratio of call options to put options is 1.31, and the weighted average implied volatility is 45.31% [56][58]. - **Volatility Trading**: Follow the curve - based trading suggestions [60]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 656% at the settlement price and 144% at the counter - party price [64][65]. 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 is 84,166 lots, the open interest is 161,095 lots, the trading volume ratio of call options to put options is 1.64, and the weighted average implied volatility is 32.58% [66][68]. - **Volatility Trading**: Use the curve - based trading strategy [70]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 37.3% at the settlement price and 8.58% at the counter - party price [74][76]. 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 is 87,131 lots, the open interest is 154,861 lots, the trading volume ratio of call options to put options is 1.03, and the weighted average implied volatility is 28.97% [77][80]. - **Volatility Trading**: Sell options in months with higher implied volatility curves and buy those in lower - curve months; for the same month, follow the point - on - curve rule [84][85].

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, volatility trading, and risk - free arbitrage opportunities. It also provides data on the trading volume, open interest, volume ratio of call and put options, and weighted - average implied volatility of the underlying assets of these options. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: Presented the T - type quotation table of SSE 50 ETF options, including call and put option prices at different strike prices and expiration months. The trading volume of the main - contract options was 549,253 lots, the open interest was 746,563 lots, the volume ratio of call and put options was 1.32, and the weighted - average implied volatility was 19.95% [19][22]. - **Volatility Trading**: Provided implied volatility curves of call options at different strike prices and Deltas, and gave trading suggestions: sell options in months with higher curves and buy those in months with lower curves; sell options with points above the curve and buy those with points below the curve [26]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 67.2% at the settlement price and 4.81% at the counter - price [29][31]. 3.1.2 Huatai - Baoying CSI 300 ETF - **Basic Information**: Presented the T - type quotation table of Huatai - Baoying CSI 300 ETF options. The trading volume of the main - contract options was 452,760 lots, the open interest was 515,506 lots, the volume ratio of call and put options was 1.22, and the weighted - average implied volatility was 19.77% [32][34]. - **Volatility Trading**: Similar to SSE 50 ETF, provided implied volatility curves and trading suggestions [39]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 51.0% at the settlement price and 5.47% at the counter - price [41][42]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: Presented the T - type quotation table of Southern CSI 500 ETF options. The trading volume of the main - contract options was 779,457 lots, the open interest was 475,828 lots, the volume ratio of call and put options was 0.94, and the weighted - average implied volatility was 25.86% [43][46]. - **Volatility Trading**: Provided implied volatility curves and trading suggestions [48]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 153% at the settlement price and 25.8% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: Presented the T - type quotation table of Huaxia SSE STAR Market 50 ETF options. The trading volume of the main - contract options was 319,166 lots, the open interest was 903,715 lots, the volume ratio of call and put options was 1.25, and the weighted - average implied volatility was 39.03% [55][57]. - **Volatility Trading**: Provided implied volatility curves and trading suggestions [61]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 327% at the settlement price and 67.1% at the counter - price [66][67]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: Presented the T - type quotation table of E Fund SSE STAR Market 50 ETF options. The trading volume of the main - contract options was 88,580 lots, the open interest was 261,982 lots, the volume ratio of call and put options was 1.15, and the weighted - average implied volatility was 39.86% [68][70]. - **Volatility Trading**: Provided implied volatility curves and trading suggestions [72]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 263% at the settlement price and 42.2% at the counter - price [76][78]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF - **Basic Information**: Presented the T - type quotation table of Harvest CSI 300 ETF options. The trading volume of the main - contract options was 106,649 lots, the open interest was 180,426 lots, the volume ratio of call and put options was 1.13, and the weighted - average implied volatility was 30.19% [79][82]. - **Volatility Trading**: Provided implied volatility curves and trading suggestions [87]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 48.2% at the settlement price and 0.42% at the counter - price [89][90]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: Presented the T - type quotation table of E Fund ChiNext ETF options. The trading volume of the main - contract options was 898,179 lots, the open interest was 892,753 lots, the volume ratio of call and put options was 0.98, and the weighted - average implied volatility was 35% [91][93]. - **Volatility Trading**: Provided implied volatility curves and trading suggestions [97]. - **No content on risk - free arbitrage was provided.** 3.3 Other Exchanges' Options The report also listed options on CFFEX, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange, but detailed data and analysis were not provided in the given text. 3.4 Option Target Volatility Ranking The report provided a ranking of the implied volatility, 30 - day historical volatility, and daily true volatility of various option targets, which can assist different types of traders in making decisions. For example, trend traders can focus on targets with high implied volatility rankings, option sellers can pay attention to the difference between implied and historical volatility rankings, and intraday traders can focus on targets with high daily true volatility rankings [3][6].

先锋期货期权日报 2025-4-18 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 | | | sn2505 | 2.7% | 1 | 2.3% | 9 | 3.3% | 5 | | br2505 | 2.7% | 2 | 2.2% | 10 | 3.3% | 6 | | sc2506 | 2.4% | 3 | 2.7% | 3 | 2.9% | 8 | | ps2506 | 2.2% | 4 | 1.3% | 37 | 5.4 ...

先锋期货期权日报 2025-4-16 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 | | | sn2505 | 3.2% | 1 | 2.3% | 10 | 1.7% | 31 | | sc2506 | 2.5% | 2 | 2.6% | 3 | 3.0% | 5 | | br2505 | 2.5% | 3 | 2.3% | 8 | 4.9% | 1 | | jd2505 | 2.4% | 4 | 1.3% | 37 | 2. ...

先锋期货期权日报 2025-4-15 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 | | | sn2505 | 3.7% | 1 | 2.3% | 9 | 1.8% | 20 | | sc2506 | 2.7% | 2 | 2.6% | 3 | 2.0% | 11 | | br2505 | 2.5% | 3 | 2.3% | 11 | 2.9% | 2 | | ao2505 | 2.4% | 4 | 1.5% | 31 | 2 ...

先锋期货期权日报 2025-4-14 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 | | | sn2505 | 3.6% | 1 | 2.4% | 9 | 2.1% | 10 | | sc2506 | 2.9% | 2 | 2.7% | 3 | 2.5% | 8 | | br2505 | 2.8% | 3 | 2.3% | 11 | 1.7% | 23 | | ao2505 | 2.7% | 4 | 1.5% | 32 | 2 ...

先锋期货期权日报 2025-4-11 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 | | | sc2505 | 4.0% | 1 | 2.6% | 4 | 4.4% | 1 | | sn2505 | 3.4% | 2 | 2.9% | 1 | 2.6% | 16 | | br2505 | 2.9% | 3 | 2.2% | 11 | 2.5% | 18 | | ao2505 | 2.6% | 4 | 1.4% | 33 | 2 ...