Report Information - Report Name: Pioneer Futures Option Daily Report - Date: September 15, 2025 [1] Option Volatility Ranking - The table shows the ranking of option underlying assets in terms of at-the-money option implied volatility, 30-day historical volatility, and daily true range. For example, jd2510 ranks 1st in at-the-money option implied volatility and daily true range, with values of 3.8% and 5.3% respectively, and 12th in 30-day historical volatility with a value of 1.5% [3]. - Notes on volatility: The at-the-money option implied volatility reflects the market's expectation of future fluctuations of the variety, the 30-day historical volatility reflects the actual past market size, and the daily true range reflects the intraday market size [5]. Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of the Shanghai 50ETF on this day is 547,658 lots, the open interest is 1,242,032 lots, the trading volume ratio of call options to put options is 1.52, and the weighted average implied volatility is 20.98% [18][20]. - **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 on the curve below [24]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.24%; at the counter - price, it is 2.33% [27][29]. 1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options of the Huatai - Berry CSI 300ETF on this day is 690,611 lots, the open interest is 986,453 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 20.59% [30][32]. - **Volatility Trading**: Similar trading suggestions as for the Shanghai 50ETF [39]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.7%; at the counter - price, it is 0.69% [40][43]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of the Southern CSI 500ETF on this day is 954,892 lots, the open interest is 927,890 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 23.83% [44][46]. - **Volatility Trading**: Similar trading suggestions as above [48]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 60.7%; at the counter - price, it is 10.6% [52][54]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the Huaxia Shanghai Science and Technology Innovation 50ETF on this day is 1,060,390 lots, the open interest is 1,618,164 lots, the trading volume ratio of call options to put options is 1.96, and the weighted average implied volatility is 52.16% [55][57]. - **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 26.3%; at the counter - price, it is 4.53% [63][64]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the E Fund Shanghai Science and Technology Innovation 50ETF on this day is 209,046 lots, the open interest is 459,663 lots, the trading volume ratio of call options to put options is 2.46, and the weighted average implied volatility is 51.25% [65][67]. - **Volatility Trading**: Similar trading suggestions as above [70]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 59.5%; at the counter - price, it is 6.44% [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of the Harvest CSI 300ETF on this day is 125,850 lots, the open interest is 228,920 lots, the trading volume ratio of call options to put options is 1.48, and the weighted average implied volatility is 22.5% [77][80]. - **Volatility Trading**: Similar trading suggestions as above [84]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.8%; at the counter - price, there is no minimum annualized return [87][89]. 2.2 E Fund ChiNext ETF - **Basic Information**: The document provides the T - type quotation table of the E Fund ChiNext ETF options but does not mention the trading volume, open interest, trading volume ratio, and weighted average implied volatility of the main options [90]. - **Volatility Trading**: Not mentioned in the provided content. - **Risk - Free Arbitrage**: Not mentioned in the provided content.

Report Summary 1. Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: September 8, 2025 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]. - At-the-money option implied volatility reflects the market's expectation of future price fluctuations, historical volatility reflects past price movements, and daily true range shows the intraday price movement [5]. 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options - **SSE 50 ETF**: The trading volume of the main options is 676,350 lots, the open interest is 1,332,605 lots, the call-to-put volume ratio is 1.51, and the weighted average implied volatility is 19.41%. Volatility trading and risk-free arbitrage strategies are provided, with minimum annualized yields of 8.29% (settlement price) and 1.65% (counterparty price) [18][20][26]. - **Huatai-PineBridge CSI 300 ETF**: The trading volume of the main options is 814,977 lots, the open interest is 1,051,269 lots, the call-to-put volume ratio is 1.6, and the weighted average implied volatility is 18.94%. Volatility trading and risk-free arbitrage strategies are provided, with minimum annualized yields of 8.40% (settlement price) and 0.75% (counterparty price) [29][31][38]. - **Southern CSI 500 ETF**: The trading volume of the main options is 1,285,214 lots, the open interest is 1,008,378 lots, the call-to-put volume ratio is 1.21, and the weighted average implied volatility is 21.99%. Volatility trading and risk-free arbitrage strategies are provided, with minimum annualized yields of 81.5% (settlement price) and 17.7% (counterparty price) [41][43][50]. - **Huaxia SSE STAR 50 ETF**: The trading volume of the main options is 1,023,215 lots, the open interest is 1,565,537 lots, the call-to-put volume ratio is 1.78, and the weighted average implied volatility is 43.33%. Volatility trading and risk-free arbitrage strategies are provided, with minimum annualized yields of 18.9% (settlement price) and 5.60% (counterparty price) [53][54][60]. - **E Fund SSE STAR 50 ETF**: The trading volume of the main options is 213,054 lots, the open interest is 473,296 lots, the call-to-put volume ratio is 2.02, and the weighted average implied volatility is 45.29%. Volatility trading and risk-free arbitrage strategies are provided, with minimum annualized yields of 15.0% (settlement price) and 5.64% (counterparty price) [62][64][70]. 3.2 Shenzhen Stock Exchange Options - **Harvest CSI 300 ETF**: The trading volume of the main options is 170,666 lots, the open interest is 243,602 lots, the call-to-put volume ratio is 1.27, and the weighted average implied volatility is 24.15%. Volatility trading and risk-free arbitrage strategies are provided [73][76].

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core View of the Report The report provides a comprehensive analysis of various options, including their basic information, volatility trading, and risk - free arbitrage opportunities. It also presents the trading data such as trading volume, open interest, and implied volatility of the main options of different underlying assets [18][30][42]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 1,047,333 lots, open interest is 1,300,702 lots, the trading volume ratio of call options to put options is 1.51, and the weighted - average implied volatility is 19.4% [18][20]. - **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 below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 5.70% at the settlement price and 1.34% at the counter - price [27][29]. 3.1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - **Basic Information**: The trading volume of the main options is 1,224,660 lots, open interest is 1,035,492 lots, the trading volume ratio of call options to put options is 1.34, and the weighted - average implied volatility is 19.18% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, 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 below for the same month [34]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 9.53% at the settlement price and 1.08% at the counter - price [38][41]. 3.1.3 Southern China Securities 500ETF - **Basic Information**: The trading volume of the main options is 1,843,623 lots, open interest is 983,733 lots, the trading volume ratio of call options to put options is 1.35, and the weighted - average implied volatility is 22.68% [42][44]. - **Volatility Trading**: The same trading suggestions as above [46]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 43.7% at the settlement price and 7.54% at the counter - price [51][53]. 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 1,652,693 lots, open interest is 1,542,108 lots, the trading volume ratio of call options to put options is 1.77, and the weighted - average implied volatility is 45% [54][56]. - **Volatility Trading**: Follow the general volatility trading suggestions [59]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 24.1% at the settlement price and 3.19% at the counter - price [62][63]. 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 387,485 lots, open interest is 465,269 lots, the trading volume ratio of call options to put options is 1.93, and the weighted - average implied volatility is 46.13% [64][66]. - **Volatility Trading**: Adopt the common volatility trading strategies [69]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 12.3% at the settlement price and 3.33% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest Shanghai - Shenzhen 300ETF - **Basic Information**: The trading volume of the main options is 225,037 lots, open interest is 243,935 lots, the trading volume ratio of call options to put options is 1.55, and the weighted - average implied volatility is 22.4% [76][79]. - **Volatility Trading**: Use the standard volatility trading methods [85]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 9.24% at the settlement price and 0.22% at the counter - price [87][89]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options is 3,025,900 lots, open interest is 1,444,931 lots, the trading volume ratio of call options to put options is 1.57, and the weighted - average implied volatility is 43.34% [90][92]. - **Volatility Trading**: Follow the general volatility trading rules [95]. - **No information about risk - free arbitrage is provided in the given text for this part.**

Report Information - The report is the Pioneer Futures Options Daily Report dated September 4, 2025 [1] Core Information Options Volatility Ranking - Presents the implied volatility, historical volatility for 30 days, and daily true volatility of multiple option targets, along with their rankings. For example, ps2510 has an implied volatility of 5.3% (ranked 1st), a 30 - day historical volatility of 2.3% (ranked 4th), and a daily true volatility of 1.5% (ranked 32nd) [3] Volatility Trading Insights - For different months, sell options from months with higher - ranking curves and buy those from months with lower - ranking curves; for the same month, sell options with points above the curve and buy those with points below the curve [23][34] Risk - free Arbitrage Returns - Provides the minimum annualized returns of optimal arbitrage portfolios for various ETF options when traded at settlement prices and counter - party prices. For instance, for the Huatai - Baoying CSI 300 ETF, the minimum annualized return is 22.9% at the settlement price and 5.17% at the counter - party price [38][41] Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 1,482,827 lots, the open interest is 1,345,622 lots, the volume ratio of call to put options is 1.22, and the weighted average implied volatility is 22.13% [19][21] - **Volatility Trading**: Offers volatility trading suggestions based on implied volatility curves [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 9.72% at the settlement price and 0.32% at the counter - party price [27][29] 1.2 Huatai - Baoying CSI 300 ETF - **Basic Information**: Shows the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 1,370,832 lots, the open interest is 1,047,558 lots, the volume ratio of call to put options is 1.14, and the weighted average implied volatility is 22.22% [30][32] - **Volatility Trading**: Provides volatility trading suggestions according to implied volatility curves [34] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 22.9% at the settlement price and 5.17% at the counter - party price [38][41] 1.3 Southern CSI 500 ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 2,102,038 lots, the open interest is 1,041,307 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 26.99% [42][44] - **Volatility Trading**: Gives volatility trading suggestions based on implied volatility curves [49] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 59.1% at the settlement price and 11.6% at the counter - party price [51][53] 1.4 Huaxia Shanghai Science and Technology Innovation 50 ETF - **Basic Information**: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 2,416,741 lots, the open interest is 1,547,127 lots, the volume ratio of call to put options is 0.99, and the weighted average implied volatility is 48.77% [54][56] - **Volatility Trading**: Offers volatility trading suggestions according to implied volatility curves [57] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 37.3% at the settlement price and 8.66% at the counter - party price [61][62] 1.5 E Fund Shanghai Science and Technology Innovation 50 ETF - **Basic Information**: Shows the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 519,143 lots, the open interest is 455,701 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 51.35% [63][65] - **Volatility Trading**: Provides volatility trading suggestions based on implied volatility curves [67] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 49.0% at the settlement price and 11.3% at the counter - party price [71][73] 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300 ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 232,909 lots, the open interest is 247,956 lots, the volume ratio of call to put options is 1.14, and the weighted average implied volatility is 23.66% [74][77] - **Volatility Trading**: Gives volatility trading suggestions according to implied volatility curves [81] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 20.9% at the settlement price and 2.41% at the counter - party price [84][85] 2.2 E Fund ChiNext ETF - **Basic Information**: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 3,181,923 lots, the open interest is 1,403,161 lots, the volume ratio of call to put options is 0.93, and the weighted average implied volatility is 42.06% [86][88] - **Volatility Trading**: Offers volatility trading suggestions based on implied volatility curves [90] - **Risk - free Arbitrage**: Not provided in the given content

Report Information - Report Name: Pioneer Futures Option Daily Report - Report Date: September 3, 2025 [1] 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. For example, ps2510 ranks 1st in at-the-money option implied volatility with a value of 4.5%, lc2510 ranks 1st in 30-day historical volatility with a value of 3.3%, and the ChiNext ETF in September ranks 1st in daily true range with a value of 4.9% [3]. Core Views - At-the-money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset. A higher value indicates a greater likelihood of significant price movements, which can be of interest to trend traders. - The 30-day historical volatility reflects the actual price movements of the underlying asset in the past. If it is lower than the implied volatility, the option price may be relatively high, which can be considered by option sellers. - The daily true range reflects the intraday price movements of the underlying asset, which can be of interest to intraday traders [5]. Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options (options with the largest trading volume in the month) of the Shanghai 50ETF on the day was 1,256,352 contracts, and the open interest was 1,304,707 contracts. The trading volume ratio of call options to put options was 1.43, and the weighted average implied volatility was 21.7% [18][20]. - **Volatility Trading**: The report provides implied volatility curves for different strike prices and deltas of call options, and suggests selling options with higher implied volatility and buying options with lower implied volatility, both across different months and within the same month [21][23]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 12.5% when trading at the settlement price and 3.23% when trading at the counterparty price [26][28]. 1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main options of the Huatai-PineBridge CSI 300ETF on the day was 1,170,627 contracts, and the open interest was 1,018,058 contracts. The trading volume ratio of call options to put options was 1.34, and the weighted average implied volatility was 20.43% [29][31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, the report provides implied volatility curves and trading suggestions [32][34]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 28.6% when trading at the settlement price and 5.62% when trading at the counterparty price [38][39]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of the Southern CSI 500ETF on the day was 1,840,252 contracts, and the open interest was 1,000,444 contracts. The trading volume ratio of call options to put options was 1.11, and the weighted average implied volatility was 25.61% [40][42]. - **Volatility Trading**: Implied volatility curves and trading suggestions are provided [43][45]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 65.6% when trading at the settlement price and 14.7% when trading at the counterparty price [50][52]. 1.4 Huaxia SSE STAR Market 50ETF - **Basic Information**: The trading volume of the main options of the Huaxia SSE STAR Market 50ETF on the day was 1,451,147 contracts, and the open interest was 1,589,690 contracts. The trading volume ratio of call options to put options was 1.73, and the weighted average implied volatility was 46.28% [53][55]. - **Volatility Trading**: Implied volatility curves and trading suggestions are provided [57][59]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 37.4% when trading at the settlement price and 8.08% when trading at the counterparty price [63][65]. 1.5 E Fund SSE STAR Market 50ETF - **Basic Information**: The trading volume of the main options of the E Fund SSE STAR Market 50ETF on the day was 293,795 contracts, and the open interest was 443,021 contracts. The trading volume ratio of call options to put options was 1.72, and the weighted average implied volatility was 48.1% [66][68]. - **Volatility Trading**: Implied volatility curves and trading suggestions are provided [69][70]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 45.4% when trading at the settlement price and 11.0% when trading at the counterparty price [75][77]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of the Harvest CSI 300ETF on the day was 195,933 contracts, and the open interest was 226,593 contracts. The trading volume ratio of call options to put options was 1.33, and the weighted average implied volatility was 23.19% [78][81]. - **Volatility Trading**: Implied volatility curves and trading suggestions are provided [82][84].

1. Report Information - Report Name: Pioneer Futures Option Daily Report [1] - Report Date: September 2, 2025 [1] 2. Option Underlying Volatility Ranking 2.1 Ranking Explanation - The table shows the ranking of option underlying based on at-the-money implied volatility, 30-day historical volatility, and daily true range [3]. - The at-the-money implied volatility reflects the market's expectation of future price movement of the underlying, with higher values indicating a greater likelihood of significant price changes [5]. - The 30-day historical volatility shows the actual historical price movements of the underlying, and a lower value compared to the implied volatility may suggest that the option price is relatively expensive [5]. - The daily true range represents the intraday price movement of the underlying on the day [5]. 2.2 Top Rankings - **At-the-money Implied Volatility**: ps2510 ranks first with 4.5% [3]. - **30-day Historical Volatility**: lc2510 ranks first with 3.3% [3]. - **Daily True Range**: The创业板etf9月 ranks first with 4.9% [3]. 3. Exchange 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 1,076,227 lots, the open interest is 1,248,294 lots, the trading volume ratio of call to put options is 1.62, and the weighted average implied volatility is 22.37% [20]. - **Volatility Trading**: Sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [23]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.60% at the settlement price and 1.41% at the counterparty price [26][28]. 3.1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main Huatai-PineBridge CSI 300ETF options is 1,169,972 lots, the open interest is 985,481 lots, the trading volume ratio of call to put options is 1.33, and the weighted average implied volatility is 21.71% [31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [34]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 29.7% at the settlement price and 2.01% at the counterparty price [38][39]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options is 1,979,658 lots, the open interest is 981,865 lots, the trading volume ratio of call to put options is 1.04, and the weighted average implied volatility is 25.75% [42]. - **Volatility Trading**: Follow the same strategy as above, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [45]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 66.8% at the settlement price and 15.6% at the counterparty price [50][52]. 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50 ETF options is 1,657,235 lots, the open interest is 1,550,085 lots, the trading volume ratio of call to put options is 1.53, and the weighted average implied volatility is 50.24% [55]. - **Volatility Trading**: Adopt the same volatility trading strategy, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [59]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.7% at the settlement price and 2.42% at the counterparty price [63][64]. 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50 ETF options is 360,178 lots, the open interest is 430,779 lots, the trading volume ratio of call to put options is 1.58, and the weighted average implied volatility is 50.98% [67]. - **Volatility Trading**: Use the same volatility trading approach, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [69]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 27.2% at the settlement price and 6.03% at the counterparty price [74][76]. 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 225,860 lots, the open interest is 217,157 lots, the trading volume ratio of call to put options is 1.31, and the weighted average implied volatility is 24.33% [80]. - **Volatility Trading**: Apply the same volatility trading strategy, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [83]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.3% at the settlement price and 2.19% at the counterparty price [86][88].

先锋期货期权日报 2025-9-1 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 | | | ps2509 | 4.9% | 1 | 4.3% | 1 | 4.1% | 3 | | lc2509 | 3.6% | 2 | 3.7% | 3 | 2.9% | 7 | | si2509 | 3.4% | 3 | 3.3% | 4 | 5.0% | 2 | | fg509 | 2.6% | 4 | 4.2% | 2 | 2.3% | ...

a 先锋期货期权日报 2025-8-27 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 | | | zn2510 | 32.0% | 1 | 0.0% | 65 | 0.0% | 65 | | ps2510 | 3.2% | 2 | 3.5% | 2 | 4.8% | 2 | | 科创板50etf9月 | 3.1% | 3 | 2.3% | 6 | 4.9% | 1 | | lc2510 | 3.1% | 4 | 3.8% | ...

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report The report presents a comprehensive analysis of various futures and ETF options, including their volatility and potential arbitrage opportunities. It offers data on option prices, trading volumes, open interest, and implied volatility for different products on multiple exchanges. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main - month options was 726,523 lots, with an open interest of 668,187 lots. The volume ratio of call to put options was 1.74, and the weighted - average implied volatility was 29.95% [19][21]. - **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 options above the curve and buying those below for the same month [25]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 72.2% at the settlement price and 8.23% at the counter - price [29][31]. 3.1.2 Huatai - Berry CSI 300 ETF - **Basic Information**: The trading volume of the main - month options was 653,651 lots, with an open interest of 410,000 lots. The volume ratio of call to put options was 1.97, and the weighted - average implied volatility was 33.46% [32][34]. - **Volatility Trading**: Similar to SSE 50 ETF, sell the upper - curve options and buy the lower - curve ones [38]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 143% at the settlement price and 7.88% at the counter - price [44][45]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main - month options was 1,163,681 lots, with an open interest of 501,305 lots. The volume ratio of call to put options was 1.47, and the weighted - average implied volatility was 34.16% [46][48]. - **Volatility Trading**: Follow the rule of selling upper - curve and buying lower - curve options [50]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 263% at the settlement price and 32.9% at the counter - price [54][56]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main - month options was 844,588 lots, with an open interest of 737,624 lots. The volume ratio of call to put options was 1.72, and the weighted - average implied volatility was 66.83% [57][59]. - **Volatility Trading**: Adopt the strategy of selling upper - curve and buying lower - curve options [64]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 328% at the settlement price and 110% at the counter - price [66][68]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main - month options was 218,684 lots, with an open interest of 259,621 lots. The volume ratio of call to put options was 1.8, and the weighted - average implied volatility was 70.49% [69][71]. - **Volatility Trading**: Use the method of selling upper - curve and buying lower - curve options [75]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 291% at the settlement price and 131% at the counter - price [78][80]. 3.2 Shenzhen Stock Exchange Options No detailed data analysis provided in the given text. 3.3 China Financial Futures Exchange Options No detailed data analysis provided in the given text. 3.4 Zhengzhou Commodity Exchange Options No detailed data analysis provided in the given text. 3.5 Dalian Commodity Exchange Options No detailed data analysis provided in the given text. 3.6 Shanghai Futures Exchange Options No detailed data analysis provided in the given text. 3.7 Shanghai International Energy Exchange Options No detailed data analysis provided in the given text. 3.8 Guangzhou Futures Exchange Options No detailed data analysis provided in the given text.

1. Report Information - Report Title: Pioneer Futures Options Daily Report [1] - Report Date: August 25, 2025 [1] 2. Option Volatility Ranking 2.1 Ranking Table | Target | At - the - money Option Implied Volatility | Rank | 30 - day Historical Volatility of the Target | Rank | Daily True Range of the Target | Rank | | --- | --- | --- | --- | --- | --- | --- | |科创50etf8月|5.0%|1|2.3%|7|5.3%|2| |科创板50etf8月|4.9%|2|2.4%|6|5.4%|1| |ps2510|3.7%|3|3.5%|2|3.4%|7| |lc2510|3.4%|4|4.0%|1|3.8%|3| |si2510|3.0%|5|3.0%|3|3.1%|8| |创业板etf8月|3.0%|6|1.6%|11|3.6%|5| |深证100etf8月|2.3%|7|1.1%|23|2.5%|11| |br2510|2.2%|8|1.5%|14|3.6%|4| |jd2510|2.1%|9|1.0%|31|1.5%|33| |fg510|2.1%|10|2.6%|4|3.5%|6| |ao2510|2.1%|11|2.0%|9|2.6%|10| |中证500etf8月|2.1%|12|1.1%|26|2.1%|16| |500etf8月|2.1%|13|1.0%|30|2.1%|17| |sh510|2.0%|14|1.5%|13|2.3%|13| |sa510|2.0%|15|2.5%|5|1.8%|25| |沪深300etf8月|2.0%|16|0.9%|35|2.1%|19| |sc2510|1.9%|17|1.3%|17|1.0%|52| |50etf8月|1.9%|18|0.9%|34|2.0%|22| |px510|1.8%|19|1.0%|29|1.3%|39| |mo2509|1.8%|20|1.0%|32|1.9%|24| |300etf8月|1.7%|21|0.9%|36|2.0%|21| |ho2509|1.7%|22|0.9%|37|2.0%|20| |cj601|1.7%|23|1.4%|15|2.3%|12| |ag2510|1.7%|24|1.1%|22|2.8%|9| |ni2510|1.6%|25|0.7%|47|1.0%|51| |sf510|1.6%|26|2.2%|8|1.4%|35| |ap510|1.6%|27|0.9%|39|1.6%|27| |io2509|1.6%|28|0.8%|40|2.1%|18| |sn2510|1.5%|29|0.6%|51|1.9%|23| |p2510|1.5%|30|1.0%|27|1.4%|37| |ur510|1.4%|31|1.3%|18|0.9%|56| |ru2601|1.4%|32|1.2%|19|2.2%|14| |sm510|1.4%|33|1.8%|10|1.4%|36| |rb2510|1.4%|34|1.4%|16|1.5%|31| |ta510|1.3%|35|1.0%|28|1.5%|30| |rm511|1.3%|36|1.5%|12|1.6%|26| |bz2603|1.2%|37|0.6%|52|0.6%|63| |pg2510|1.2%|38|0.9%|33|1.5%|32| |i2510|1.2%|39|1.1%|25|2.2%|15| |eb2510|1.2%|40|0.8%|42|1.6%|28| |lh2511|1.1%|41|0.8%|45|1.3%|40| |ma510|1.1%|42|1.2%|20|1.0%|50| |pf510|1.1%|43|0.9%|38|1.1%|47| |au2510|1.1%|44|0.5%|56|1.3%|41| |cu2510|1.0%|45|0.5%|58|1.5%|29| |b2510|1.0%|46|0.8%|44|0.9%|55| |oi511|1.0%|47|1.1%|24|1.0%|48| |v2510|0.9%|48|1.1%|21|1.2%|42| |lg2511|0.9%|49|0.8%|43|1.2%|45| |pr512|0.9%|50|0.7%|50|0.9%|53| |pb2510|0.9%|51|0.4%|62|0.8%|60| |m2511|0.9%|52|0.8%|41|1.4%|34| |zn2510|0.9%|53|0.6%|53|1.2%|43| |eg2510|0.8%|54|0.7%|46|0.8%|59| |pk510|0.8%|55|0.3%|65|1.2%|46| |y2511|0.8%|56|0.7%|48|1.2%|44| |al2510|0.7%|57|0.4%|63|0.9%|57| |ad2511|0.7%|58|0.3%|64|0.8%|58| |l2510|0.7%|59|0.5%|55|0.6%|64| |a2511|0.7%|60|0.7%|49|0.8%|61| |cf511|0.6%|61|0.5%|54|1.0%|49| |c2511|0.6%|62|0.4%|61|1.3%|38| |cs2511|0.6%|63|0.5%|57|0.9%|54| [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 probability of significant market movements. Trend traders can focus on the top - ranked varieties. - The 30 - day historical volatility of the target reflects the actual past market movements of the variety. If this 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 daily true range of the target reflects the intraday market movements of the variety. Intraday traders can focus on the top - ranked varieties [6] 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options on this day was 1,221,294 contracts, the open interest was 706,054 contracts, the trading volume ratio of call options to put options was 2.16, and the weighted average implied volatility was 38.23% [21] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [23] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 128%; when trading at the counter - price, it is 26.0% [27][29] 3.1.2 Huatai - Berry SSE 300 ETF - **Basic Information**: The trading volume of the Huatai - Berry SSE 300 ETF's main options on this day was 1,129,506 contracts, the open interest was 455,848 contracts, the trading volume ratio of call options to put options was 1.87, and the weighted average implied volatility was 29.67% [32] - **Volatility Trading**: Similar to the SSE 50 ETF, for different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [37] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 34.2%; when trading at the counter - price, it is 11.8% [39][41] 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the Southern CSI 500 ETF's main options on this day was 1,690,014 contracts, the open interest was 603,757 contracts, the trading volume ratio of call options to put options was 1.56, and the weighted average implied volatility was 32.05% [44] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [46] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 161%; when trading at the counter - price, it is 21.1% [50][52] 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the Huaxia SSE STAR 50 ETF's main options on this day was 1,815,057 contracts, the open interest was 750,981 contracts, the trading volume ratio of call options to put options was 2.11, and the weighted average implied volatility was 75.14% [55] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [58] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 351%; when trading at the counter - price, it is 63.6% [61][63] 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the E Fund SSE STAR 50 ETF's main options on this day was 429,587 contracts, the open interest was 249,455 contracts, the trading volume ratio of call options to put options was 2.27, and the weighted average implied volatility was 79.05% [66] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [71] - **Risk - free Arbitrage**: No specific data provided in the report 3.2 Shenzhen Stock Exchange Options - **Options Include**:嘉实沪深 300ETF, E Fund ChiNext ETF,嘉实中证 500ETF, E Fund SZSE 100 ETF. The report only provides the directory, and no detailed data is given for these options [8][9] 3.3 CFFEX Options - **Options Include**: SSE 300, CSI 1000, SSE 50. The report only provides the directory, and no detailed data is given for these options [9] 3.4 Zhengzhou Commodity Exchange Options - **Options Include**: Sugar, Cotton, PTA, Methanol, Rapeseed Meal, Steam - coal, Peanut, Rapeseed Oil, p - Xylene, Caustic Soda, Staple Fiber, Soda Ash, Urea, Manganese Silicon, Ferrosilicon, Apple, Red Date, Glass, Bottle Chip. The report only provides the directory, and no detailed data is given for these options [10][11][12] 3.5 Dalian Commodity Exchange Options - **Options Include**: Soybean Meal, Corn, Iron Ore, LPG, LLDPE, PVC, PP, Palm Oil, Soybean No.1, Soybean No.2, Soybean Oil, Ethylene Glycol, Styrene, Egg, Corn Starch, Live Pig, Log, Pure Benzene. The report only provides the directory, and no detailed data is given for these options [13][14][15] 3.6 Shanghai Futures Exchange Options - **Options Include**: Copper, Rubber, Gold, Aluminum, Zinc, Silver, Rebar, Synthetic Rubber, Lead, Tin, Alumina, Cast Aluminum Alloy. The report only provides the directory, and no detailed data is given for these options [16][17] 3.7 Shanghai International Energy Exchange Options - **Options Include**: Crude Oil. The report only provides the directory, and no detailed data is given for this option [17] 3.8 Guangzhou Futures Exchange Options - **Options Include**: Industrial Silicon, Lithium Carbonate, Polysilicon. The report only provides the directory, and no detailed data is given for these options [18]