Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report is a futures and options daily report from Pioneer Futures on August 12, 2025. It presents volatility data of various option underlying assets and offers trading suggestions for different types of options on multiple exchanges. 3. Summary by Directory 3.1 Options on the Shanghai Stock Exchange - **1.1 Shanghai 50ETF** - **Basic Information**: Provided the T - type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices. The trading volume of the main - contract options was 945,946 lots, the open interest was 956,178 lots, the trading volume ratio of call to put options was 1.55, and the weighted - average implied volatility was 13.46% [19][21]. - **Volatility Trading**: Suggested selling options in months with higher implied volatility curves and buying those in months with lower curves. For options in the same month, sell options above the curve and buy those below [25]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 6.30% at the settlement price and 0.74% at the counter - price [28][30]. - **1.2 Huatai - Ba瑞 CSI 300ETF** - **Basic Information**: Provided the T - type quotation table of Huatai - Ba瑞 CSI 300ETF options. The trading volume of the main - contract options was 694,870 lots, the open interest was 734,255 lots, the trading volume ratio of call to put options was 1.46, and the weighted - average implied volatility was 13.77% [31][34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in months with lower curves. For the same month, sell options above the curve and buy those below [37]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 8.46% at the settlement price and 0.66% at the counter - price [41][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: Provided the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main - contract options was 910,867 lots, the open interest was 793,757 lots, the trading volume ratio of call to put options was 1.37, and the weighted - average implied volatility was 15.05% [43][45]. - **Volatility Trading**: Similar trading suggestions as above [49]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 43.9% at the settlement price and 9.12% at the counter - price [52][54]. - **1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF** - **Basic Information**: Provided the T - type quotation table of Huaxia Shanghai Science and Technology Innovation Board 50ETF options. The trading volume of the main - contract options was 802,085 lots, the open interest was 893,215 lots, the trading volume ratio of call to put options was 1.78, and the weighted - average implied volatility was 24.87% [55][57]. - **Volatility Trading**: Similar trading suggestions as above [59]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 20.9% at the settlement price and 1.92% at the counter - price [64][66]. - **1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF** - **Basic Information**: Provided the T - type quotation table of E Fund Shanghai Science and Technology Innovation Board 50ETF options. The trading volume of the main - contract options was 167,234 lots, the open interest was 249,762 lots, the trading volume ratio of call to put options was 1.91, and the weighted - average implied volatility was 25.13% [67][68]. - **Volatility Trading**: Similar trading suggestions as above [72]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 7.11% at the settlement price and 0.99% at the counter - price [75][77]. 3.2 Options on the Shenzhen Stock Exchange - **2.1 Harvest CSI 300ETF** - **Basic Information**: Provided the T - type quotation table of Harvest CSI 300ETF options. The trading volume of the main - contract options was 125,214 lots, the open interest was 152,364 lots, the trading volume ratio of call to put options was 1.34, and the weighted - average implied volatility was 15.78% [78][81]. - **Volatility Trading**: Similar trading suggestions as above [87]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 16.0% at the settlement price and 0.74% at the counter - price [90][92].

Report Date - The report is dated August 11, 2025 [1] Option Volatility Ranking Implied Volatility Ranking - lc2510 ranks 1st with an implied volatility of 6.0% [3] - ps2510 ranks 2nd with an implied volatility of 4.0% [3] - si2510 ranks 3rd with an implied volatility of 3.9% [3] 30 - day Historical Volatility Ranking - ps2510 ranks 1st with a 30 - day historical volatility of 4.5% [3] - fg509 ranks 2nd with a 30 - day historical volatility of 4.3% [3] - lc2510 ranks 3rd with a 30 - day historical volatility of 4.2% [3] Realized Volatility Ranking - si2510 ranks 1st with a realized volatility of 6.6% [3] - ps2510 ranks 2nd with a realized volatility of 6.4% [3] - lc2510 ranks 3rd with a realized volatility of 5.0% [3] Exchange - specific Option Analysis Shanghai Stock Exchange Options Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 650,390 lots, the open interest is 966,547 lots, the trading volume ratio of call to put options is 1.4, and the weighted average implied volatility is 13.31% [21] - **Volatility Trading**: Sell options from months with higher implied volatility curves and buy those from months with lower curves; sell options above the curve and buy those below the curve within the same month [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.49% at the settlement price and 1.73% at the counter - price [27][29] Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options is 658,750 lots, the open interest is 744,639 lots, the trading volume ratio of call to put options is 1.25, and the weighted average implied volatility is 13.97% [33] - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF [35] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.35% at the settlement price and 0.48% at the counter - price [39][40] Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,100,668 lots, the open interest is 792,098 lots, the trading volume ratio of call to put options is 1.27, and the weighted average implied volatility is 15.48% [43] - **Volatility Trading**: Similar trading suggestions as above [47] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 48.1% at the settlement price and 10.5% at the counter - price [50][52] Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 312,393 lots, the open interest is 912,757 lots, the trading volume ratio of call to put options is 1.67, and the weighted average implied volatility is 24.48% [55] - **Volatility Trading**: Similar trading suggestions as above [58] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.1% at the settlement price and 0.36% at the counter - price [62][64] E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 69,812 lots, the open interest is 242,298 lots, the trading volume ratio of call to put options is 2.35, and the weighted average implied volatility is 25.7% [67] - **Volatility Trading**: Similar trading suggestions as above [71] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.9% at the settlement price, and there is no return at the counter - price [74][76] Shenzhen Stock Exchange Options Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options is 119,568 lots, the open interest is 152,124 lots, the trading volume ratio of call to put options is 1.51, and the weighted average implied volatility is 15.07% [80] - **Volatility Trading**: Similar trading suggestions as above [84] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.6% at the settlement price and 1.29% at the counter - price [88][90] E Fund ChiNext ETF - **Basic Information**: The report provides the T - type quotation table of call and put option prices at different strike prices [91] - **Volatility Trading**: Not provided in the current content - **Risk - free Arbitrage**: Not provided in the current content

Group 1: Report Information - Report title: Pioneer Futures Options Daily Report [1] - Report date: August 7, 2025 [1] Group 2: Options Volatility Ranking - The report provides the implied volatility, historical volatility, and true range of various option targets, along with their rankings [3][5] - For example, ps2510 has an implied volatility of 3.4% (ranked 1st), a 30 - day historical volatility of 4.4% (ranked 1st), and a true range of 3.8% (ranked 2nd) [3] Group 3: Volatility Analysis and Trading Suggestions - The implied volatility of at - the - money options reflects the market's expectation of future price fluctuations; the 30 - day historical volatility reflects past price movements; and the true range reflects the intraday price movement [6] - Volatility trading suggestions: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [23][37][47] Group 4: Exchange - Specific Option Analysis 4.1 Shanghai Stock Exchange Options 4.1.1 Shanghai 50ETF - Basic information: The trading volume of the main options is 691,988 lots, the open interest is 938,390 lots, the volume ratio of call to put options is 1.35, and the weighted average implied volatility is 13.25% [21] - Volatility trading: Based on the implied volatility curves [23][25][26] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.44% at the settlement price and 0.32% at the counter - price [27][29] 4.1.2 Huatai - Berry SSE 300ETF - Basic information: The trading volume of the main options is 592,003 lots, the open interest is 737,739 lots, the volume ratio of call to put options is 1.27, and the weighted average implied volatility is 14.27% [33] - Volatility trading: Based on the implied volatility curves [35][36][39] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.66% at the settlement price and 1.47% at the counter - price [40][42] 4.1.3 Southern CSI 500ETF - Basic information: The trading volume of the main options is 1,067,360 lots, the open interest is 765,766 lots, the volume ratio of call to put options is 1.18, and the weighted average implied volatility is 14.92% [45] - Volatility trading: Based on the implied volatility curves [48][49][50] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 63.5% at the settlement price and 13.7% at the counter - price [51][53] 4.1.4 Huaxia SSE STAR 50ETF - Basic information: The trading volume of the main options is 522,602 lots, the open interest is 919,347 lots, the volume ratio of call to put options is 1.75, and the weighted average implied volatility is 24.24% [56] - Volatility trading: Based on the implied volatility curves [58][61][62] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.67% at the settlement price and 0.87% at the counter - price [63][65] 4.1.5 E Fund SSE STAR 50ETF - Basic information: The trading volume of the main options is 132,102 lots, the open interest is 251,057 lots, the volume ratio of call to put options is 1.94, and the weighted average implied volatility is 25.02% [68] - Volatility trading: Based on the implied volatility curves [70][72][73] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.5% at the settlement price, and there is no return at the counter - price [74][76] 4.2 Shenzhen Stock Exchange Options 4.2.1 Harvest SSE 300ETF - Basic information: The trading volume of the main options is 118,126 lots, the open interest is 147,672 lots, the volume ratio of call to put options is 1.16, and the weighted average implied volatility is 15.7% [80] - Volatility trading: Based on the implied volatility curves [82][85][87]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents data on the volatility of various futures and ETF options, including implied volatility, historical volatility, and real - time volatility. It also provides T - type quotation tables for different ETF options, along with trading suggestions for volatility and potential returns from risk - free arbitrage [3][19][23]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50ETF - **Basic Information**: The trading volume of the main SSE 50ETF options on this day was 478,863 lots, the open interest was 929,034 lots, the volume ratio of call options to put options was 1.35, and the weighted average implied volatility was 13.56% [21]. - **Volatility Trading**: Suggestions are to 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 of the optimal arbitrage portfolio held to maturity is 4.45% at the settlement price and 1.00% at the counter - price [27][29]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options on this day was 420,997 lots, the open interest was 746,251 lots, the volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 14.13% [33]. - **Volatility Trading**: Similar to SSE 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 [35]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.20% at the settlement price and 0.18% at the counter - price [39][40]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options on this day was 898,356 lots, the open interest was 745,967 lots, the volume ratio of call options to put options was 1.33, and the weighted average implied volatility was 14.79% [43]. - **Volatility Trading**: The same trading suggestions as above, 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 [45]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.7% at the settlement price and 8.96% at the counter - price [49][51]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options on this day was 265,461 lots, the open interest was 931,593 lots, the volume ratio of call options to put options was 1.68, and the weighted average implied volatility was 24.28% [54]. - **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 [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.4% at the settlement price and 3.20% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options on this day was 50,678 lots, the open interest was 253,221 lots, the volume ratio of call options to put options was 1.6, and the weighted average implied volatility was 24.71% [67]. - **Volatility Trading**: Similar trading suggestions, 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 [69]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.59% at the settlement price and 0.43% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main Harvest SSE 300ETF options on this day was 87,577 lots, the open interest was 149,030 lots, the volume ratio of call options to put options was 1.28, and the weighted average implied volatility was 15.24% [79]. - **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 [81]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5% at the settlement price and 0.82% at the counter - price [85][87].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints 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 options on different ETFs from multiple exchanges [3][6]. 3. Summary by Directory 3.1 Upper - Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 651,474 lots, the open interest is 920,026 lots, the trading volume ratio of call to put options is 1.29, and the weighted average implied volatility is 13.88% [19][21]. - **Volatility Trading**: Suggest selling options with curves or points above and buying those below [23]. - **Risk - Free Arbitrage**: The minimum annualized return is 8.00% at the settlement price and 1.78% at the counter - price [27][29]. - **1.2 Huatai - Baorui CSI 300ETF** - **Basic Information**: The trading volume of the main options is 554,874 lots, the open interest is 734,306 lots, the trading volume ratio of call to put options is 1.32, and the weighted average implied volatility is 14.14% [30][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve or high - point options and buy low ones [37]. - **Risk - Free Arbitrage**: The minimum annualized return is 3.62% at the settlement price and 0.39% at the counter - price [40][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 816,723 lots, the open interest is 750,069 lots, the trading volume ratio of call to put options is 1.16, and the weighted average implied volatility is 15.33% [43][45]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [47]. - **Risk - Free Arbitrage**: The minimum annualized return is 51.6% at the settlement price and 10.8% at the counter - price [51][53]. - **1.4 Huaxia Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 269,625 lots, the open interest is 903,284 lots, the trading volume ratio of call to put options is 1.73, and the weighted average implied volatility is 24.47% [54][56]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [58]. - **Risk - Free Arbitrage**: The minimum annualized return is 7.30% at the settlement price and 2.13% at the counter - price [62][64]. - **1.5 E Fund Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 62,645 lots, the open interest is 252,359 lots, the trading volume ratio of call to put options is 1.76, and the weighted average implied volatility is 24.37% [65][67]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [69]. - **Risk - Free Arbitrage**: The minimum annualized return is 10.1% at the settlement price, and there is no return at the counter - price [73][75]. 3.2 Shenzhen - Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main options is 103,182 lots, the open interest is 146,512 lots, the trading volume ratio of call to put options is 1.13, and the weighted average implied volatility is 15.29% [76][79]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [84]. - **Risk - Free Arbitrage**: The minimum annualized return is 17.2% at the settlement price and 1.33% at the counter - price [86][88].

1. Report Industry Investment Rating - Not provided in the content 2. Report's Core View - The report presents the daily data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real daily amplitude. It also provides T - type quotes, trading volume, open interest, and implied volatility data of options on different ETFs and futures. Additionally, it offers volatility trading suggestions and calculates the minimum annualized return of the optimal arbitrage portfolio for different options [3][19][25] 3. Summary According to the Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options is 525,793 lots, the open interest is 951,075 lots, the trading volume ratio of call options to put options is 1.23, and the weighted average implied volatility is 14.27%. The T - type quotes of call and put options at different strike prices are provided [19][21] - **Volatility Trading**: Different months: sell the months with the curve on top and buy the months with the curve below; same month: sell the options with points on the curve above and buy the options with points on the curve below [25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.77% at the settlement price and 1.26% at the counter - party price [28][30] 3.1.2 Huatai - Berry SSE 300 ETF - **Basic Information**: The trading volume of the main options is 507,718 lots, the open interest is 739,326 lots, the trading volume ratio of call options to put options is 1.22, and the weighted average implied volatility is 14.55%. The T - type quotes of call and put options at different strike prices are provided [31][34] - **Volatility Trading**: Similar trading suggestions as SSE 50 ETF [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.98% at the settlement price and 2.27% at the counter - party price [41][43] 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main options is 974,072 lots, the open interest is 754,518 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 16.28%. The T - type quotes of call and put options at different strike prices are provided [44][46] - **Volatility Trading**: Similar trading suggestions as above [50] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.4% at the settlement price and 9.35% at the counter - party price [53][55] 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options is 375,872 lots, the open interest is 900,656 lots, the trading volume ratio of call options to put options is 1.52, and the weighted average implied volatility is 24.95%. The T - type quotes of call and put options at different strike prices are provided [56][58] - **Volatility Trading**: Similar trading suggestions as above [60] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.3% at the settlement price and 0.60% at the counter - party price [65][67] 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options is 80,703 lots, the open interest is 252,728 lots, the trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 25.38%. The T - type quotes of call and put options at different strike prices are provided [68][70] - **Volatility Trading**: Similar trading suggestions as above [72] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.10% at the settlement price, and there is no return at the counter - party price [76][78] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300 ETF - **Basic Information**: The trading volume of the main options is 96,931 lots, the open interest is 144,746 lots, the trading volume ratio of call options to put options is 1.3, and the weighted average implied volatility is 15.44%. The T - type quotes of call and put options at different strike prices are provided [79][82] - **Volatility Trading**: Similar trading suggestions as above [86] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.6% at the settlement price and 0.43% at the counter - party price [89][91]

1. Report Overview - Report Title: Pioneer Futures Option Daily Report - Report Date: August 1, 2025 [1] 2. Option Volatility Ranking 2.1 Overall Ranking - The report provides the ranking of options based on at - the - money implied volatility, 30 - day historical volatility, and daily true amplitude for various options such as ps2509, 1c2509, etc. [3][5] 2.2 Volatility Indicators - At - the - money implied volatility reflects the market's expectation of future fluctuations of the variety. Higher values indicate a greater possibility of large - scale market movements. - 30 - day historical volatility reflects the actual past market movements of the variety. If it is smaller than the implied volatility, the option price may be relatively expensive. - Daily true amplitude reflects the intraday market movement of the variety on that day [6]. 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 852,914 lots, the open interest is 935,948 lots, the trading volume ratio of call to put options is 1.27, and the weighted - average implied volatility is 14.58%. - **Volatility Trading**: Sell options in months with higher implied volatility curves and buy those in months with lower curves. For options in the same month, sell options with higher points on the curve and buy those with lower points. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.26% at the settlement price and 1.65% at the counter - price [19][21][23] 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options is 725,335 lots, the open interest is 719,107 lots, the trading volume ratio of call to put options is 1.29, and the weighted - average implied volatility is 14.99%. - **Volatility Trading**: Similar trading suggestions as for Shanghai 50ETF. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.37% at the settlement price and 1.56% at the counter - price [30][33][39] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 943,166 lots, the open interest is 741,695 lots, the trading volume ratio of call to put options is 1.12, and the weighted - average implied volatility is 16.89%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 48.2% at the settlement price and 10.5% at the counter - price [43][45][49] 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 643,615 lots, the open interest is 887,099 lots, the trading volume ratio of call to put options is 1.77, and the weighted - average implied volatility is 25.14%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.90% at the settlement price and 1.58% at the counter - price [55][57][61] 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 129,738 lots, the open interest is 251,183 lots, the trading volume ratio of call to put options is 1.59, and the weighted - average implied volatility is 26.54%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.99% at the settlement price, and there is no return at the counter - price [67][68][71] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options is 131,448 lots, the open interest is 143,587 lots, the trading volume ratio of call to put options is 1.29, and the weighted - average implied volatility is 15.85%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.3% at the settlement price and 1.31% at the counter - price [77][80][82] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options is 1,318,988 lots, the open interest is 923,304 lots, the trading volume ratio of call to put options is 1.09, and the weighted - average implied volatility is 23.81%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: Not mentioned in the provided content [89][91][93]

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The report presents the daily option data of various underlying assets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real amplitude of the day. It also provides T - type quotes, trading volume, open interest, and implied volatility data of major options for different ETFs, along with volatility trading suggestions and risk - free arbitrage information [3][19][21]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The settlement prices of call and put options with different strike prices are given. The trading volume of the main SSE 50 ETF options is 1,164,740 lots, the open interest is 874,482 lots, the trading volume ratio of call to put options is 1.39, and the weighted average implied volatility is 15.69% [19][21]. - **Volatility Trading**: Suggestions are to sell the options with curves or points 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 5.51% at the settlement price and 1.03% at the counter - price [27][29]. 3.1.2 Huatai - Peregrine CSI 300 ETF - **Basic Information**: The settlement prices of call and put options with different strike prices are provided. The trading volume of the main 300ETF options is 1,105,748 lots, the open interest is 687,327 lots, the trading volume ratio of call to put options is 1.14, and the weighted average implied volatility is 16.21% [30][33]. - **Volatility Trading**: Similar to SSE 50 ETF, sell options with curves or points above and buy those below [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.11% at the settlement price and 0.48% at the counter - price [40][42]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The settlement prices of call and put options with different strike prices are shown. The trading volume of the main 500ETF options is 1,436,251 lots, the open interest is 729,488 lots, the trading volume ratio of call to put options is 1, and the weighted average implied volatility is 18.4% [43][45]. - **Volatility Trading**: The same trading suggestions as above [49]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 43.0% at the settlement price and 9.76% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The settlement prices of call and put options with different strike prices are presented. The trading volume of the main STAR Market 50ETF options is 784,137 lots, the open interest is 887,492 lots, the trading volume ratio of call to put options is 1.72, and the weighted average implied volatility is 26.74% [55][57]. - **Volatility Trading**: Follow the general volatility trading suggestions [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.0% at the settlement price and 1.39% at the counter - price [63][65]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The settlement prices of call and put options with different strike prices are given. The trading volume of the main STAR Market 50ETF options is 169,681 lots, the open interest is 259,867 lots, the trading volume ratio of call to put options is 1.78, and the weighted average implied volatility is 27.69% [66][68]. - **Volatility Trading**: Adopt the same volatility trading strategies [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.56% at the settlement price and 0.53% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF - **Basic Information**: The settlement prices of call and put options with different strike prices are provided. The trading volume of the main Shenzhen 300ETF options is 162,970 lots, the open interest is 131,069 lots, the trading volume ratio of call to put options is 1.29, and the weighted average implied volatility is 17.14% [77][80]. - **Volatility Trading**: Use the common volatility trading suggestions [84][85]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.7% at the settlement price, and there is no return at the counter - price [89][91].

Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: July 30, 2025 [1] 1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints - The report presents the implied volatility, historical volatility, and real - time volatility of various option targets, and provides T - type quotes, volatility trading suggestions, and risk - free arbitrage information for multiple ETF options on different exchanges [3][19][22] 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on this day was 1,175,716 lots, the open interest was 785,819 lots, the volume ratio of call options to put options was 1.58, and the weighted average implied volatility was 16.12% [19][21] - **Volatility Trading**: Sell options in months with higher curves or points on the curve, and buy options in months with lower curves or points on the curve [23] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 2.90% at the settlement price and 1.33% at the counter - party price [27][29] 3.1.2 Huatai - Baoying CSI 300ETF - **Basic Information**: The trading volume of the main options of 300ETF on this day was 873,682 lots, the open interest was 633,506 lots, the volume ratio of call options to put options was 1.38, and the weighted average implied volatility was 16.14% [30][33] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options and buy low - curve options [36] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 2.67% at the settlement price and 0.30% at the counter - party price [40][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of 500ETF on this day was 1,199,087 lots, the open interest was 669,585 lots, the volume ratio of call options to put options was 1.07, and the weighted average implied volatility was 18.82% [43][45] - **Volatility Trading**: Sell high - curve options and buy low - curve options [49] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 37.8% at the settlement price and 8.15% at the counter - party price [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of Science and Technology Innovation 50ETF on this day was 695,552 lots, the open interest was 934,567 lots, the volume ratio of call options to put options was 1.89, and the weighted average implied volatility was 28.17% [55][57] - **Volatility Trading**: Sell high - curve options and buy low - curve options [59] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 8.66% at the settlement price and 2.79% at the counter - party price [63][65] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of Science and Technology Innovation 50ETF on this day was 156,459 lots, the open interest was 257,539 lots, the volume ratio of call options to put options was 2.18, and the weighted average implied volatility was 28.69% [66][68] - **Volatility Trading**: Sell high - curve options and buy low - curve options [70] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 6.12% at the settlement price and 1.16% at the counter - party price [74][76] 3.2 Shenzhen Stock Exchange Options - Specific option information for Shenzhen Stock Exchange is not fully presented in the provided text, only the headings are given 3.3 China Financial Futures Exchange Options - Specific option information for China Financial Futures Exchange is not fully presented in the provided text, only the headings are given 3.4 Zhengzhou Commodity Exchange Options - Specific option information for Zhengzhou Commodity Exchange is not fully presented in the provided text, only the headings are given 3.5 Dalian Commodity Exchange Options - Specific option information for Dalian Commodity Exchange is not fully presented in the provided text, only the headings are given 3.6 Shanghai Futures Exchange Options - Specific option information for Shanghai Futures Exchange is not fully presented in the provided text, only the headings are given 3.7 Shanghai International Energy Exchange Options - Specific option information for Shanghai International Energy Exchange is not fully presented in the provided text, only the headings are given 3.8 Guangzhou Futures Exchange Options - Specific option information for Guangzhou Futures Exchange is not fully presented in the provided text, only the headings are given

Report Information - Report Name: Pioneer Futures Options Daily Report - Report Date: July 29, 2025 - Data Sources: IfinD, Pioneer Futures Investment Consulting Department, Shanghai Stock Exchange, Shenzhen Stock Exchange [3][5][19][32][78] Core Data Option Volatility Data - The report provides the at-the-money option implied volatility, 30-day historical volatility, and the real daily amplitude of various option underlying assets, such as ps2509, 1c2509, si2509, etc. The at-the-money option implied volatility of fg509 ranks first at 4.4%, the 30-day historical volatility of fg509 ranks first at 4.4%, and the real daily amplitude of fg509 ranks first at 7.4% [3]. Option Trading Data - For Shanghai Stock Exchange options: - The trading volume of the main options of SSE 50ETF is 581,375 contracts, the open interest is 773,202 contracts, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 16.7% [21]. - The trading volume of the main options of Huatai-PineBridge CSI 300ETF is 548,486 contracts, the open interest is 628,301 contracts, the trading volume ratio of call options to put options is 1.4, and the weighted average implied volatility is 16.95% [33]. - The trading volume of the main options of Southern CSI 500ETF is 932,611 contracts, the open interest is 610,204 contracts, the trading volume ratio of call options to put options is 1.47, and the weighted average implied volatility is 18.65% [45]. - The trading volume of the main options of Huaxia SSE STAR 50 ETF is 605,611 contracts, the open interest is 890,446 contracts, the trading volume ratio of call options to put options is 1.79, and the weighted average implied volatility is 28.07% [57]. - The trading volume of the main options of E Fund SSE STAR 50 ETF is 133,499 contracts, the open interest is 249,375 contracts, the trading volume ratio of call options to put options is 2.07, and the weighted average implied volatility is 28.99% [68]. - For Shenzhen Stock Exchange options: - The trading volume of the main options of Harvest CSI 300ETF is 87,277 contracts, the open interest is 103,161 contracts, the trading volume ratio of call options to put options is 1.92, and the weighted average implied volatility is 17.9% [81]. Core Views - The at-the-money option implied volatility reflects the market's expectation of the future volatility of the underlying asset. A higher value indicates a greater possibility of significant market movements, which trend traders can focus on. - The 30-day historical volatility reflects the actual past market movements of the underlying asset. If this value is smaller than the implied volatility, it may suggest that the option price is relatively expensive, which option sellers can pay attention to. - The real daily amplitude reflects the intraday market movements of the underlying asset, which intraday traders can focus on [6]. Directory Summary 1. Shanghai Stock Exchange Options - **SSE 50ETF**: - **Basic Information**: The report provides the T - type quotation table of SSE 50ETF options, including call and put option prices at different strike prices and expiration months, as well as trading volume, open interest, and implied volatility data [19][21]. - **Volatility Trading**: Suggestions are to sell options in months with higher volatility curves and buy those in months with lower curves; sell options above the curve and buy those below the curve within the same month [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.84% at the settlement price and 1.71% at the counter - party price [27][29]. - **Huatai - PineBridge CSI 300ETF**: - **Basic Information**: The T - type quotation table of Huatai - PineBridge CSI 300ETF options is provided, along with trading volume, open interest, and implied volatility data [30][33]. - **Volatility Trading**: Similar trading suggestions as SSE 50ETF [36]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.91% at the settlement price and 0.47% at the counter - party price [40][42]. - **Southern CSI 500ETF**: - **Basic Information**: The T - type quotation table of Southern CSI 500ETF options is provided, along with trading volume, open interest, and implied volatility data [43][45]. - **Volatility Trading**: Similar trading suggestions as above [49]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.8% at the settlement price and 8.78% at the counter - party price [52][54]. - **Huaxia SSE STAR 50 ETF**: - **Basic Information**: The T - type quotation table of Huaxia SSE STAR 50 ETF options is provided, along with trading volume, open interest, and implied volatility data [55][57]. - **Volatility Trading**: Similar trading suggestions as above [59]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.21% at the settlement price and 1.28% at the counter - party price [63][65]. - **E Fund SSE STAR 50 ETF**: - **Basic Information**: The T - type quotation table of E Fund SSE STAR 50 ETF options is provided, along with trading volume, open interest, and implied volatility data [66][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 5.96% at the settlement price and 1.83% at the counter - party price [75][77]. 2. Shenzhen Stock Exchange Options - **Harvest CSI 300ETF**: - **Basic Information**: The T - type quotation table of Harvest CSI 300ETF options is provided, along with trading volume, open interest, and implied volatility data [78][81]. - **Volatility Trading**: Similar trading suggestions as above [85]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.69% at the settlement price and 0.15% at the counter - party price [89][91].