Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report The report presents the daily data of futures and options, including the implied volatility, historical volatility, and true range of various option targets. It also provides detailed information on the basic data, volatility trading, and risk - free arbitrage of options on different ETFs and commodities across multiple exchanges. Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on the day was 999,636 lots, the open interest was 816,864 lots, the volume ratio of call options to put options was 1.47, and the weighted - average implied volatility was 13.97% [19][21]. - **Volatility Trading**: Suggestions include selling the month with the curve on top and buying the month with the curve below for different months; selling options with points above the curve and buying those below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 20.1% at the settlement price and 1.35% at the counter - price [27][29]. 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main 300ETF options on the day was 785,928 lots, the open interest was 574,155 lots, the volume ratio of call options to put options was 1.43, and the weighted - average implied volatility was 14.48% [30][32]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell the month with the curve on top and buy the month with the curve below for different months; sell options with points above the curve and buy those below for the same month [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 27.5% at the settlement price and 3.30% at the counter - price [39][40]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on the day was 858,727 lots, the open interest was 566,098 lots, the volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 15.3% [41][43]. - **Volatility Trading**: The same trading suggestions as above for different and same - month options [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 21.8% at the settlement price and 5.60% at the counter - price [50][52]. 1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main STAR 50ETF options on the day was 958,790 lots, the open interest was 620,586 lots, the volume ratio of call options to put options was 1.07, and the weighted - average implied volatility was 32.23% [53][55]. - **Volatility Trading**: Follow the general volatility trading suggestions [62]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 7.94% at the settlement price and 0.63% at the counter - price [63][65]. 1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main STAR 50ETF options on the day was 94,808 lots, the open interest was 159,401 lots, the volume ratio of call options to put options was 1.43, and the weighted - average implied volatility was 30.06% [66][68]. - **Volatility Trading**: Adopt the common volatility trading strategies [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 3.51% at the settlement price and 0.05% at the counter - price [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main Shenzhen 300ETF options on the day was 173,124 lots, the open interest was 122,576 lots, the volume ratio of call options to put options was 0.92, and the weighted - average implied volatility was 20.52% [77][80]. - **Volatility Trading**: Use the standard volatility trading suggestions [82]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 41.3% at the settlement price and 2.28% at the counter - price [86][88].

1. Report Industry Investment Rating - No information provided in the report 2. Core Viewpoints - The report presents a comprehensive analysis of various options in multiple exchanges, including their basic information, trading volumes, open interests, volume ratios of call and put options, weighted average implied volatilities, and provides volatility trading suggestions and no - risk arbitrage opportunities [3][21][23] 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 696,475 lots, the open interest is 940,239 lots, the volume ratio of call and put options is 1.2, and the weighted average implied volatility is 14.65% [19][21] - **Volatility Trading**: Suggestions are to sell the month with the curve above and buy the month with the curve below for different months; sell the option with the point above the curve and buy the option with the point below the curve for the same month [23] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 20.6% at the settlement price and 1.63% at the counter - price [23][27][29] 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options is 749,160 lots, the open interest is 351,922 lots, the volume ratio of call and put options is 0.58, and the weighted average implied volatility is 19.26% [30][32] - **Volatility Trading**: Similar to Shanghai 50ETF, sell the curve - above month and buy the curve - below month for different months; sell the point - above option and buy the point - below option for the same month [36] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 2.87% at the settlement price and 0.52% at the counter - price [39][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,076,342 lots, the open interest is 679,205 lots, the volume ratio of call and put options is 1.09, and the weighted average implied volatility is 16.98% [43][45] - **Volatility Trading**: The same trading suggestions as above for different and same months [50] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 67.1% at the settlement price and 12.7% at the counter - price [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 577,910 lots, the open interest is 580,782 lots, the volume ratio of call and put options is 1.99, and the weighted average implied volatility is 32.7% [55][57] - **Volatility Trading**: Follow the same rules for different and same months [59] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 5.83% at the settlement price and 0.85% at the counter - price [63][65] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 92,944 lots, the open interest is 281,020 lots, the volume ratio of call and put options is 1.83, and the weighted average implied volatility is 24.49% [66][68] - **Volatility Trading**: Adopt the same trading suggestions [70] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 40.2% at the settlement price and 0.45% at the counter - price [74][76] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options is 93,508 lots, the open interest is 125,985 lots, the volume ratio of call and put options is 1.31, and the weighted average implied volatility is 16.25% [77][80] - **Volatility Trading**: Use the same trading rules [82] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 31.0% at the settlement price and 1.77% at the counter - price [86][88]

Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: July 15, 2025 [1] 1. Industry Investment Rating - Not provided in the report. 2. Core Viewpoints - The report provides a comprehensive analysis of various options, including their implied volatility, historical volatility, and real - time volatility. It also offers trading suggestions for volatility trading and presents potential arbitrage opportunities for different options [3][6]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - contract options of Shanghai 50ETF on this day was 1,032,437 lots, and the open interest was 974,357 lots. The trading volume ratio of call options to put options was 1.17, and the weighted - average implied volatility was 14.7% [19][21]. - **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 higher points on the curve and buy those with lower points [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 10.6% at the settlement price and 0.43% at the counter - price [27][29]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Huatai - Berry CSI 300ETF on this day was 903,006 lots, and the open interest was 702,634 lots. The trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 14.97% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher implied - volatility curves and buy those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [34]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 12.9% at the settlement price and 2.52% at the counter - price [40][41]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - contract options of Southern CSI 500ETF on this day was 1,134,302 lots, and the open interest was 735,143 lots. The trading volume ratio of call options to put options was 1.05, and the weighted - average implied volatility was 16.52% [42][44]. - **Volatility Trading**: The same trading suggestions as above for volatility trading [48]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 51.8% at the settlement price and 10.1% at the counter - price [51][53]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options of Huaxia Shanghai Science and Technology Innovation Board 50ETF on this day was 441,953 lots, and the open interest was 954,264 lots. The trading volume ratio of call options to put options was 2.19, and the weighted - average implied volatility was 26.28% [54][56]. - **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 19.7% at the settlement price and 1.92% at the counter - price [63][65]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options of E Fund Shanghai Science and Technology Innovation Board 50ETF on this day was 99,887 lots, and the open interest was 285,235 lots. The trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 26.25% [66][68]. - **Volatility Trading**: Adopt the common volatility - trading strategies [72]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 18.0% at the settlement price, and no return was provided at the counter - price [75][77]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Harvest CSI 300ETF on this day was 120,639 lots, and the open interest was 132,339 lots. The trading volume ratio of call options to put options was 1.36, and the weighted - average implied volatility was 15.78% [78][81]. - **Volatility Trading**: Use the standard volatility - trading suggestions [84][85]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 45.4% at the settlement price and 6.73% at the counter - price [89][91]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main - contract options of E Fund ChiNext ETF on this day was 1,570,381 lots, and the open interest was 1,030,150 lots. The trading volume ratio of call options to put options was 1.23, and the weighted - average implied volatility was 23.77% [92][94]. - **Volatility Trading**: Follow the general volatility - trading rules [97]. - **Risk - free Arbitrage**: Not provided in the report.

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents the daily data of various futures and ETF options, including the implied volatility, historical volatility, and real - time volatility of different underlying assets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for options on multiple exchanges, such as the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc. [3][19][30] 3. Summary According to the Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - month options is 654,893 lots, the open interest is 1,004,629 lots, the trading volume ratio of call to put options is 1.4, and the weighted - average implied volatility is 16.49% [19][21]. - **Volatility Trading**: Sell the options with the curve or point above and buy those below, both for different months and the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.9% at the settlement price and 1.39% at the counter - price [27][29]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main - month options is 482,950 lots, the open interest is 736,670 lots, the trading volume ratio of call to put options is 1.56, and the weighted - average implied volatility is 16.69% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high and buy low in terms of curves and points [35]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.66% at the settlement price and 0.80% at the counter - price [39][40]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - month options is 594,522 lots, the open interest is 767,733 lots, the trading volume ratio of call to put options is 1.27, and the weighted - average implied volatility is 17.88% [41][43]. - **Volatility Trading**: Follow the rule of selling high and buying low in volatility curves [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 27.1% at the settlement price and 6.18% at the counter - price [50][52]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - month options is 353,075 lots, the open interest is 964,667 lots, the trading volume ratio of call to put options is 2.15, and the weighted - average implied volatility is 27.88% [53][55]. - **Volatility Trading**: Adopt the strategy of selling high and buying low in volatility [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.3% at the settlement price, and there is no return at the counter - price [64][65]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - month options is 85,747 lots, the open interest is 283,652 lots, the trading volume ratio of call to put options is 1.77, and the weighted - average implied volatility is 28.34% [66][68]. - **Volatility Trading**: Sell high and buy low in volatility curves [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.4% at the settlement price and 3.53% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - month options is 59,722 lots, the open interest is 134,816 lots, the trading volume ratio of call to put options is 1.69, and the weighted - average implied volatility is 17.4% [77][80]. - **Volatility Trading**: Use the strategy of selling high and buying low in volatility [84]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 25.9% at the settlement price and 0.77% at the counter - price [88][90]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main - month options is 717,338 lots, the open interest is 1,015,077 lots, the trading volume ratio of call to put options is 1.38, and the weighted - average implied volatility is 24.81% [91][93]. - **Volatility Trading**: Sell high and buy low in volatility curves [96]. - **No relevant content provided for risk - free arbitrage**.

1. Report Information - Report Name: Pioneer Futures Options Daily Report - Date: July 11, 2025 [1] 2. Industry Investment Rating - No industry investment rating information is provided in the report. 3. Core Viewpoints - The report provides a comprehensive analysis of various options, including their implied volatility, historical volatility, and real - time volatility. It also offers trading suggestions for volatility trading and calculates the minimum annualized returns for risk - free arbitrage in different options [6][23]. 4. Summary by Directory 4.1 Shanghai Stock Exchange Options 4.1.1 Shanghai 50ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are presented. The trading volume of the main - contract options is 2,024,025 lots, the open interest is 984,937 lots, the trading volume ratio of call to put options is 1.57, and the weighted - average implied volatility is 15.85% [19][21]. - **Volatility Trading**: Suggestions are to sell the options in the month with a higher curve and buy those in the month with a lower curve for different months; sell the options with points above the curve and buy those below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5% at the settlement price and 7.38% at the counter - price [27][29]. 4.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are given. The trading volume of the main - contract options is 1,399,434 lots, the open interest is 748,062 lots, the trading volume ratio of call to put options is 1.87, and the weighted - average implied volatility is 16.27% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the options in the month with a higher curve and buy those in the month with a lower curve for different months; sell the options with points above the curve and buy those below for the same month [34]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.4% at the settlement price and 0.80% at the counter - price [38][39]. 4.1.3 Southern CSI 500ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are shown. The trading volume of the main - contract options is 1,440,316 lots, the open interest is 775,588 lots, the trading volume ratio of call to put options is 1.55, and the weighted - average implied volatility is 16.92% [40][42]. - **Volatility Trading**: The same trading suggestions as above are provided [46]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.7% at the settlement price and 7.42% at the counter - price [49][51]. 4.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are presented. The trading volume of the main - contract options is 716,688 lots, the open interest is 906,895 lots, the trading volume ratio of call to put options is 2.6, and the weighted - average implied volatility is 27.48% [52][54]. - **Volatility Trading**: The trading suggestions are consistent with the previous ones [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.9% at the settlement price and 0.26% at the counter - price [61][63]. 4.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are given. The trading volume of the main - contract options is 180,975 lots, the open interest is 263,862 lots, the trading volume ratio of call to put options is 2, and the weighted - average implied volatility is 29.64% [64][66]. - **Volatility Trading**: The same trading suggestions are provided [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.4% at the settlement price and 4.23% at the counter - price [73][75]. 4.2 Shenzhen Stock Exchange Options 4.2.1 Harvest SSE 300ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are shown. The trading volume of the main - contract options is 197,888 lots, the open interest is 140,185 lots, the trading volume ratio of call to put options is 2.05, and the weighted - average implied volatility is 16.67% [76][79]. - **Volatility Trading**: Similar trading suggestions are given [81]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.6% at the settlement price and 1.22% at the counter - price [85][86]. 4.2.2 E Fund ChiNext ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are presented. The trading volume of the main - contract options is 1,665,179 lots, the open interest is 1,005,995 lots, the trading volume ratio of call to put options is 1.55, and the weighted - average implied volatility is 23.58% [87][89]. - **Volatility Trading**: The same trading suggestions are provided [94]. - **Risk - Free Arbitrage**: No risk - free arbitrage information is provided in the report. 4.3 Other Exchanges - The report also lists the options of CFFEX, ZCE, DCE, SHFE, INE, and GEE, but no detailed data and analysis are provided in the given content.

1. Report Information - Report Name: Pioneer Futures Option Daily Report - Date: July 9, 2025 [1] 2. Option Volatility Ranking 2.1 Ranking by Different Volatility Metrics - The report presents rankings of various option targets based on three volatility metrics: at-the-money option implied volatility, 30-day historical volatility of the target, and the target's daily true range. For example, ps2509 ranks 1st in at-the-money option implied volatility with a value of 2.7%, and 2nd in 30-day historical volatility with a value of 2.6%, and 1st in daily true range with a value of 4.2% [3]. 2.2 Significance of Volatility Metrics - At-the-money option implied volatility reflects the market's expectation of the future volatility of the variety. A higher value indicates a greater likelihood of significant market movements, which can be of interest to trend traders. - The 30-day historical volatility reflects the actual past market movements of the variety. If this value is smaller than the implied volatility, it may suggest that the option price is relatively expensive, which can be a consideration for option sellers. - The target's daily true range reflects the intraday market movements of the variety, which can be useful for intraday traders [6]. 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 on the day is 724,006 lots, and the open interest is 897,219 lots. The trading volume ratio of call options to put options is 1.31, and the weighted average implied volatility is 13.88%. The report also provides the T-type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices [19][21]. - **Volatility Trading**: Volatility trading suggestions are provided based on the implied volatility curves of call and put options. For different months, sell the options of the month with the curve above and buy the options of the month with the curve below. For the same month, sell the options with points above the curve and buy the options with points below the curve [25]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 7.87% when traded at the settlement price and 1.31% when traded at the counterparty price [28][30]. 3.1.2 Huatai-PB CSI 300ETF - **Basic Information**: The trading volume of the main Huatai-PB CSI 300ETF options on the day is 642,271 lots, and the open interest is 756,822 lots. The trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 14.73%. The T-type quotation table of 300ETF options is also provided [30][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, volatility trading suggestions are given based on the implied volatility curves [37]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 11.1% when traded at the settlement price and 0.92% when traded at the counterparty price [40][41]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options on the day is 858,514 lots, and the open interest is 781,732 lots. The trading volume ratio of call options to put options is 1.35, and the weighted average implied volatility is 16.74%. The T-type quotation table of 500ETF options is presented [42][44]. - **Volatility Trading**: Volatility trading suggestions are provided according to the implied volatility curves [46]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 34.0% when traded at the settlement price and 7.14% when traded 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 on the day is 285,479 lots, and the open interest is 826,810 lots. The trading volume ratio of call options to put options is 2.21, and the weighted average implied volatility is 25.11%. The T-type quotation table of the STAR 50 ETF options is provided [53][55]. - **Volatility Trading**: Volatility trading suggestions are given based on the implied volatility curves [58][59]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 11.3% when traded at the settlement price and 0.22% when traded at the counterparty price [63][65]. 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50 ETF options on the day is 95,592 lots, and the open interest is 232,259 lots. The trading volume ratio of call options to put options is 1.61, and the weighted average implied volatility is 24.89%. The T-type quotation table of the STAR 50 ETF options is presented [66][68]. - **Volatility Trading**: Volatility trading suggestions are provided according to the implied volatility curves [72]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 7.16% when traded at the settlement price and 0.46% when traded at the counterparty price [75][77]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Harvest CSI 300ETF options on the day is 102,460 lots, and the open interest is 126,288 lots. The trading volume ratio of call options to put options is 1.59, and the weighted average implied volatility is 15.37%. The T-type quotation table of the Shenzhen 300ETF options is provided [78][81]. - **Volatility Trading**: Volatility trading suggestions are given based on the implied volatility curves [83]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 8.13% when traded at the settlement price and 1.33% when traded at the counterparty price [87][89]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on the day is 1,328,578 lots, and the open interest is 994,127 lots. The trading volume ratio of call options to put options is 1.53, and the weighted average implied volatility is 22.37%. The T-type quotation table of the ChiNext ETF options is presented [91][92]. - **Volatility Trading**: Volatility trading suggestions are provided according to the implied volatility curves [96].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents the daily data of futures and options, including the implied volatility, historical volatility, and real - time volatility of various option targets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for different exchange - listed options [3][19][22]. 3. Summary According to the Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 856,407 lots, the open interest was 879,208 lots, the trading volume ratio of call options to put options was 1.48, and the weighted average implied volatility was 14.44%. The T - type quotation table shows the prices of call and put options at different strike prices and expiration months [19][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 [25]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.57% at the settlement price and 0.53% at the counter - price [29][31]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day was 860,039 lots, the open interest was 775,674 lots, the trading volume ratio of call options to put options was 1.66, and the weighted average implied volatility was 14.49%. The T - type quotation table shows option prices [32][34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month or option with the curve or point above and buy the one below [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.88% at the settlement price and 0.86% at the counter - price [40][43]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,220,646 lots, the open interest was 746,418 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 16.57%. The T - type quotation table shows option prices [44][46]. - **Volatility Trading**: Follow the rule of selling high and buying low on the volatility curve [50]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.8% at the settlement price and 8.98% at the counter - price [53][55]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50ETF on the day was 410,981 lots, the open interest was 802,784 lots, the trading volume ratio of call options to put options was 2.09, and the weighted average implied volatility was 23.9%. The T - type quotation table shows option prices [56][58]. - **Volatility Trading**: Adopt the strategy of selling high and buying low on the volatility curve [60]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.3% at the settlement price and 1.66% at the counter - price [64][65]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50ETF on the day was 100,378 lots, the open interest was 227,343 lots, the trading volume ratio of call options to put options was 1.38, and the weighted average implied volatility was 24.63%. The T - type quotation table shows option prices [66][68]. - **Volatility Trading**: Use the strategy of selling high and buying low on the volatility curve [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.1% at the settlement price, and there is no return at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of Harvest SSE 300ETF on the day was 98,495 lots, the open interest was 118,936 lots, the trading volume ratio of call options to put options was 1.53, and the weighted average implied volatility was 15.62%. The T - type quotation table shows option prices [77][80]. - **Volatility Trading**: Sell the month or option with the curve or point above and buy the one below [85]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.2% at the settlement price and 0.36% at the counter - price [89][91]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options of E Fund ChiNext ETF on the day was 1,499,846 lots, the open interest was 958,887 lots, the trading volume ratio of call options to put options was 1.57, and the weighted average implied volatility was 22.06%. The T - type quotation table shows option prices [93][94]. - **Volatility Trading**: Follow the rule of selling high and buying low on the volatility curve [99]. - **Risk - Free Arbitrage**: No relevant content provided.

Group 1: Report Overview - Report Name: Pioneer Futures Options Daily Report [1] - Date: July 7, 2025 [1] Group 2: Option Underlying Volatility Ranking - A table presents the implied volatility, historical volatility, and true range of various option underlying assets, along with their rankings [3][5] - The implied volatility reflects the market's expectation of future price fluctuations of the underlying asset; the historical volatility reflects the actual price fluctuations in the past; and the true range reflects the intraday price fluctuations [6] Group 3: Exchange Option Analysis - Shanghai Stock Exchange 1.1 Shanghai 50ETF - **Basic Information**: Provides the call and put option prices at different strike prices and expiration months, as well as the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [19][21] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones, both for different months and within the same month [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.74% at the settlement price and none at the counter - price [27][29] 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [30][32] - **Volatility Trading**: Similar to the Shanghai 50ETF, it suggests selling options with higher implied volatility curves and buying those with lower ones [36] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 5.86% at the settlement price and 0.35% at the counter - price [41][42] 1.3 Southern CSI 500ETF - **Basic Information**: Provides the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [43][45] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones [47] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 55.3% at the settlement price and 11.8% at the counter - price [51][53] 1.4 Huaxia SSE STAR 50ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [54][56] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones [58] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 7.59% at the settlement price and 1.36% at the counter - price [62][64] 1.5 E Fund SSE STAR 50ETF - **Basic Information**: Provides the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [65][67] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones [69] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 16.0% at the settlement price and 1.22% at the counter - price [73][75] Group 4: Exchange Option Analysis - Shenzhen Stock Exchange 2.1 Harvest SSE 300ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [76][79] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones [83] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 18.6% at the settlement price and 0.83% at the counter - price [87][89] 2.2 E Fund ChiNext ETF - **Basic Information**: Provides the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [90][92] - **Volatility Trading**: Implied volatility curves are presented, but specific trading suggestions are similar to other sections [94]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the volatility data of various futures and ETF options, including at - the - money option implied volatility, 30 - day historical volatility, and the real - time volatility of the day. It also provides T - type quotation tables, volatility trading suggestions, and risk - free arbitrage information for different options on multiple exchanges such as the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc. [3][19][30] 3. Summary According to the Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options on July 4, 2025, was 1,330,270 lots, the open interest was 851,905 lots, the trading volume ratio of call options to put options was 1.39, and the weighted average implied volatility was 13.07% [19][21]. - **Volatility Trading**: Suggestions are to sell the options of the month with the curve on top and buy those of the month with the curve below for different months; sell the options with points on the curve above and buy those with points below for the same month [24]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 6.83% at the settlement price and 0.29% at the counter - price [27][29]. 3.1.2 Huatai - Baoying CSI 300ETF - **Basic Information**: On July 4, 2025, the trading volume of the main options was 1,157,968 lots, the open interest was 780,224 lots, the trading volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 13.39% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the options of the month with the curve on top and buy those of the month with the curve below for different months; sell the options with points on the curve above and buy those with points below for the same month [34][37]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 6.09% at the settlement price and none at the counter - price [39]. 3.1.3 Southern CSI 500ETF - **Basic Information**: On July 4, 2025, the trading volume of the main options was 1,286,809 lots, the open interest was 703,006 lots, the trading volume ratio of call options to put options was 1.22, and the weighted average implied volatility was 15.55% [42][44]. - **Volatility Trading**: The same trading suggestions as above, sell high - curve and buy low - curve options [46][49]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 45.6% at the settlement price and 9.60% at the counter - price [51][53]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: On July 4, 2025, the trading volume of the main options was 556,103 lots, the open interest was 765,477 lots, the trading volume ratio of call options to put options was 2.01, and the weighted average implied volatility was 23.13% [54][56]. - **Volatility Trading**: Follow the rule of selling high - curve and buying low - curve options [58]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.54% at the settlement price and 0.66% at the counter - price [62][63]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: On July 4, 2025, the trading volume of the main options was 148,636 lots, the open interest was 212,964 lots, the trading volume ratio of call options to put options was 1.95, and the weighted average implied volatility was 23.53% [64][66]. - **Volatility Trading**: Sell high - curve and buy low - curve options [70]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 10.5% at the settlement price and none at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: On July 4, 2025, the trading volume of the main options was 134,700 lots, the open interest was 120,646 lots, the trading volume ratio of call options to put options was 1.48, and the weighted average implied volatility was 14.06% [76][78]. - **Volatility Trading**: Adopt the strategy of selling high - curve and buying low - curve options [81][82]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.46% at the settlement price and 0.08% at the counter - price [86][89]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: On July 4, 2025, the trading volume of the main options was 1,376,882 lots, the open interest was 913,527 lots, the trading volume ratio of call options to put options was 1.55, and the weighted average implied volatility was 20.13% [90][92]. - **Volatility Trading**: Sell high - curve and buy low - curve options [94]. - **No relevant risk - free arbitrage content provided**.

1. Report Information - Report Name: Pioneer Futures Options Daily Report [1] - Report Date: July 3, 2025 [1] 2. Options Volatility Ranking 2.1 Options Volatility Ranking Table - The table shows the implied volatility of at - the - money options, 30 - day historical volatility of the underlying, and the true range of the underlying for various options, along with their rankings [3][5] - For example, ps2508 has an implied volatility of 3.2% (ranked 1st), a 30 - day historical volatility of 2.6% (ranked 2nd), and a true range of 3.2% (ranked 2nd) [3] 2.2 Volatility Interpretation - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety. A larger value indicates a higher probability of a significant market trend. Trend traders can focus on the top - ranked varieties [6] - The 30 - day historical volatility reflects the actual past market size of the variety. If the value is smaller than the implied volatility, it means the option price may be relatively expensive. Option sellers can pay attention to the difference in rankings between the two [6] - The true range of the underlying reflects the intraday market size of the variety on that day. Intraday traders can focus on the top - ranked varieties [6] 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF Options - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on this day was 524,811 contracts, the open interest was 836,672 contracts, the volume ratio of call options to put options was 1.17, and the weighted average implied volatility was 12.75% [21] - **Volatility Trading**: Suggestions include selling the month with the upper curve and buying the month with the lower curve for different months; selling options with points above the curve and buying options with points below the curve for the same month [23] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.89% at the settlement price and 0.89% at the counter - price [27][29] 3.1.2 Huatai - Berry SSE 300ETF Options - **Basic Information**: The trading volume of the main options of Huatai - Berry SSE 300ETF on this day was 578,227 contracts, the open interest was 766,667 contracts, the volume ratio of call options to put options was 1.26, and the weighted average implied volatility was 12.95% [32] - **Volatility Trading**: Similar trading suggestions as above [36] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.66% at the settlement price and 0.61% at the counter - price [39][42] 3.1.3 Southern CSI 500ETF Options - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on this day was 847,013 contracts, the open interest was 678,350 contracts, the volume ratio of call options to put options was 1.17, and the weighted average implied volatility was 15.02% [45] - **Volatility Trading**: Similar trading suggestions as above [47] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 52.2% at the settlement price and 11.8% at the counter - price [51][53] 3.1.4 Huaxia SSE STAR 50ETF Options - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50ETF on this day was 232,028 contracts, the open interest was 774,099 contracts, the volume ratio of call options to put options was 1.92, and the weighted average implied volatility was 22.81% [56] - **Volatility Trading**: Similar trading suggestions as above [58] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.8% at the settlement price and 3.13% at the counter - price [64][65] 3.1.5 E Fund SSE STAR 50ETF Options - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50ETF on this day was 57,265 contracts, the open interest was 203,830 contracts, the volume ratio of call options to put options was 1.97, and the weighted average implied volatility was 22.95% [68] - **Volatility Trading**: Similar trading suggestions as above [72] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.35% at the settlement price and 0.32% at the counter - price [75][77] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF Options - **Basic Information**: The trading volume of the main options of Harvest SSE 300ETF on this day was 64,844 contracts, the open interest was 107,574 contracts, the volume ratio of call options to put options was 1.32, and the weighted average implied volatility was 14.03% [81] - **Volatility Trading**: Similar trading suggestions as above [83] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.7% at the settlement price and 2.15% at the counter - price [87][88] 3.2.2 E Fund ChiNext ETF Options - **Basic Information**: The trading volume of the main options of E Fund ChiNext ETF on this day was 1,123,163 contracts, the open interest was 904,554 contracts, the volume ratio of call options to put options was 1.36, and the weighted average implied volatility was 19.45% [91] - **Volatility Trading**: Similar trading suggestions as above [95] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 54.8% at the settlement price and 9.68% at the counter - price [98][100] 3.2.3 Harvest CSI 500ETF Options - **Basic Information**: The trading volume of the main options of Harvest CSI 500ETF on this day was 69,836 contracts, the open interest was 118,935 contracts, the volume ratio of call options to put options was 1.15, and the weighted average implied volatility was 16.43% [103] - **Volatility Trading**: Similar trading suggestions as above [105] - **Risk - Free Arbitrage**: No specific data provided in the text 3.3 Other Exchanges' Options - The report also includes option analyses for China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange, covering basic information, volatility trading, and risk - free arbitrage for various underlying assets such as stocks, commodities, etc. However, detailed analysis for these exchanges is not fully presented in the given text, and only the directory structure is provided [8][9][10]