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

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

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

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].

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 1, 2025 1. Industry Investment Rating - Not provided in the document 2. Core Viewpoints - The report provides a comprehensive analysis of various futures and options, including their volatility rankings and trading suggestions for different exchanges' options products [3][6] 3. Summary by Directory 3.1 Upper Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - month options is 739,635 lots, the open interest is 1,220,168 lots, the trading volume ratio of call to put options is 1.69, and the weighted - average implied volatility is 22.96% [19][21] - **Volatility Trading**: Sell the options or months with higher implied volatility curves and buy those with lower curves [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 5.75% at the settlement price and 2.84% at the counter - price [27][29] 3.1.2 Huatai - Baorui CSI 300ETF - **Basic Information**: The trading volume of the main - month options is 765,037 lots, the open interest is 967,481 lots, the trading volume ratio of call to put options is 1.5, and the weighted - average implied volatility is 21.99% [30][33] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options/months and buy low - curve ones [37] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 4.46% at the settlement price and 0.45% at the counter - price [40][41] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - month options is 1,011,151 lots, the open interest is 967,954 lots, the trading volume ratio of call to put options is 1.44, and the weighted - average implied volatility is 24.21% [42][44] - **Volatility Trading**: Follow the rule of selling high - curve and buying low - curve options/months [46] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 86.2% at the settlement price and 19.1% at the counter - price [50][52] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main - month options is 1,384,450 lots, the open interest is 1,477,817 lots, the trading volume ratio of call to put options is 1.94, and the weighted - average implied volatility is 54.1% [53][55] - **Volatility Trading**: Adopt the strategy of selling high - curve and buying low - curve options/months [60][61] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 15.7% at the settlement price and 3.23% at the counter - price [64][66] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main - month options is 317,372 lots, the open interest is 420,200 lots, the trading volume ratio of call to put options is 1.61, and the weighted - average implied volatility is 54.66% [67][69] - **Volatility Trading**: Sell high - curve options/months and buy low - curve ones [71] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 5.55% at the settlement price and 4.57% at the counter - price [75][77] 3.2 Shenzhen Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - month options is 156,778 lots, the open interest is 203,111 lots, the trading volume ratio of call to put options is 1.13, and the weighted - average implied volatility is 25.32% [78][81] - **Volatility Trading**: Sell high - curve options/months and buy low - curve ones [83] 3.3 Volatility Ranking - The report lists the at - the - money implied volatility, 30 - day historical volatility, and daily true range of multiple options, along with their rankings, providing references for different types of traders [3][5]