Report Information - Report Name: Pioneer Futures Option Daily Report - Date: July 2, 2025 [1] Key Points 1. Option Volatility Ranking - A table shows the at - the - money option implied volatility, 30 - day historical volatility, and daily true range of various option targets, along with their rankings [3][5]. - The at - the - money option implied volatility reflects the market's expectation of future fluctuations of the variety; the 30 - day historical volatility reflects the past actual market size; and the daily true range reflects the intraday market size [6]. 2. Exchange - Specific Option Analysis 2.1 Shanghai Stock Exchange Options - **1.1上证50ETF** - **Basic Information**: The trading volume of the main 50ETF options today is 538,148 lots, the open interest is 822,039 lots, the trading volume ratio of call options to put options is 1.2, and the weighted average implied volatility is 12.94% [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 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 5.01% at the settlement price and 0.27% at the counter - price [27][29]. - **1.2华泰柏瑞沪深300ETF** - **Basic Information**: The trading volume of the main 300ETF options today is 472,764 lots, the open interest is 746,004 lots, the trading volume ratio of call options to put options is 0.98, and the weighted average implied volatility is 12.79% [30][32]. - **Volatility Trading**: Similar trading suggestions as for 50ETF [34]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.68% at the settlement price and 1.28% at the counter - price [38][41]. - **1.3南方中证500ETF** - **Basic Information**: The trading volume of the main 500ETF options today is 682,332 lots, the open interest is 674,035 lots, the trading volume ratio of call options to put options is 1.21, and the weighted average implied volatility is 14.82% [42][44]. - **Volatility Trading**: Similar trading suggestions as above [46]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.2% at the settlement price and 8.87% at the counter - price [50][52]. - **1.4华夏上证科创板50ETF** - **Basic Information**: The trading volume of the main科创50ETF options today is 291,817 lots, the open interest is 747,753 lots, the trading volume ratio of call options to put options is 1.61, and the weighted average implied volatility is 22.64% [53][55]. - **Volatility Trading**: Similar trading suggestions as above [57]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.47% at the settlement price, and there is no minimum annualized return at the counter - price [61][63]. - **1.5易方达上证科创板50ETF** - **Basic Information**: The trading volume of the main科创板50ETF options today is 59,988 lots, the open interest is 194,155 lots, the trading volume ratio of call options to put options is 1.55, and the weighted average implied volatility is 24.4% [64][66]. - **Volatility Trading**: Similar trading suggestions as above [68]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.79% at the settlement price and 0.92% at the counter - price [72][74]. 2.2 Shenzhen Stock Exchange Options - **2.1嘉实沪深300ETF** - **Basic Information**: The trading volume of the main 300ETF options today is 54,104 lots, the open interest is 107,419 lots, the trading volume ratio of call options to put options is 0.91, and the weighted average implied volatility is 13.63% [75][78]. - **Volatility Trading**: Similar trading suggestions as above [80]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.0% at the settlement price and 0.30% at the counter - price [84][86].

Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: July 1, 2025 [1] Option Target Volatility Ranking - The report provides a ranking of option targets based on implied volatility, 30 - day historical volatility, and daily true volatility. For example, ps2508 has an implied volatility of 2.4% (ranked 1st), a 30 - day historical volatility of 2.2% (ranked 2nd), and a daily true volatility of 3.6% (ranked 2nd) [3]. Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: Presents the T - type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices, execution prices, and the trading volume, open interest, volume ratio of call to put options, and weighted average implied volatility of the main options. The main options' trading volume is 435,942 lots, open interest is 803,752 lots, the volume ratio of call to put options is 1.27, and the weighted average implied volatility is 13.16% [19][21]. - **Volatility Trading**: Suggests selling options in months with higher volatility curves and buying options in months with lower curves; for the same month, sell options with points above the curve and buy those below [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.69% at the settlement price and 0.96% at the counter - price [27][29]. 1.2 Huatai - Peregrine CSI 300ETF - **Basic Information**: Provides the T - type quotation table of Huatai - Peregrine CSI 300ETF options. The main options' trading volume is 433,833 lots, open interest is 735,719 lots, the volume ratio of call to put options is 1.15, and the weighted average implied volatility is 13.14% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, offers volatility trading suggestions based on volatility curves [39]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.4% at the settlement price and 2.26% at the counter - price [40][41]. 1.3 Southern CSI 500ETF - **Basic Information**: Displays the T - type quotation table of Southern CSI 500ETF options. The main options' trading volume is 716,704 lots, open interest is 656,400 lots, the volume ratio of call to put options is 1.17, and the weighted average implied volatility is 15.89% [42][44]. - **Volatility Trading**: Gives volatility trading suggestions according to volatility curves [46]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 63.4% at the settlement price and 13.8% at the counter - price [50][52]. 1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: Shows the T - type quotation table of Huaxia Shanghai Science and Technology Innovation Board 50ETF options. The main options' trading volume is 244,698 lots, open interest is 707,210 lots, the volume ratio of call to put options is 1.85, and the weighted average implied volatility is 23.39% [53][55]. - **Volatility Trading**: Provides volatility trading suggestions based on volatility curves [57]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.3% at the settlement price and 3.79% at the counter - price [61][63]. 1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: Presents the T - type quotation table of E Fund Shanghai Science and Technology Innovation Board 50ETF options. The main options' trading volume is 62,789 lots, open interest is 189,234 lots, the volume ratio of call to put options is 1.79, and the weighted average implied volatility is 24.19% [64][66]. - **Volatility Trading**: Offers volatility trading suggestions according to volatility curves [68]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.2% at the settlement price and 4.03% at the counter - price [72][74]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - **Basic Information**: Provides the T - type quotation table of Harvest CSI 300ETF options. The main options' trading volume is 42,252 lots, open interest is 96,984 lots, the volume ratio of call to put options is 1.16, and the weighted average implied volatility is 14.18% [75][78]. - **Volatility Trading**: Gives volatility trading suggestions based on volatility curves [80]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.7% at the settlement price and 2.40% at the counter - price [84][85]. 2.2 E Fund ChiNext ETF - **Basic Information**: Displays the T - type quotation table of E Fund ChiNext ETF options. The main options' trading volume is 653,471 lots, open interest is 825,480 lots, the volume ratio of call to put options is 1.31, and the weighted average implied volatility is 21.27% [86][88]. - **Volatility Trading**: Offers volatility trading suggestions according to volatility curves [93]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 55.4% at the settlement price and 10.6% at the counter - price [95][97]. 2.3 Harvest CSI 500ETF - **Basic Information**: Shows the T - type quotation table of Harvest CSI 500ETF options. The main options' trading volume is 57,279 lots, open interest is 111,457 lots, the volume ratio of call to put options is 1.3, and the weighted average implied volatility is 16.52% [98][100]. - **Volatility Trading**: Provides volatility trading suggestions based on volatility curves [101].

Report Overview - Report Name: Pioneer Futures Options Daily Report - Date: June 30, 2025 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints The report presents the volatility data of various option targets, including at - the - money option implied volatility, 30 - day historical volatility, and daily true volatility. It also offers volatility trading suggestions and analyzes the basic information, volatility trading, and risk - free arbitrage opportunities of options from different exchanges [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 options of the Shanghai 50ETF on the day was 552,929 lots, the open interest was 790,797 lots, the trading volume ratio of call options to put options was 1.31, and the weighted average implied volatility was 13.39% [19][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 on the curve below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 4.60% at the settlement price and 1.06% at the counter - price [27][29]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options of the Huatai - Berry CSI 300ETF on the day was 596,397 lots, the open interest was 707,805 lots, the trading volume ratio of call options to put options was 1.33, and the weighted average implied volatility was 13.87% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month or option with the curve or point on top and buy the one below [36]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 5.74% at the settlement price and 1.52% at the counter - price [40][43]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of the Southern CSI 500ETF on the day was 761,961 lots, the open interest was 642,410 lots, the trading volume ratio of call options to put options was 1.46, and the weighted average implied volatility was 16.11% [44][46]. - **Volatility Trading**: Follow the rule of selling high and buying low in terms of volatility curves [48]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 46.7% at the settlement price and 10.9% 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 of the Huaxia Shanghai Science and Technology Innovation 50ETF on the day was 349,421 lots, the open interest was 672,986 lots, the trading volume ratio of call options to put options was 1.65, and the weighted average implied volatility was 23.28% [55][57]. - **Volatility Trading**: Adopt the strategy of selling high - volatility months or options and buying low - volatility ones [59]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 28.2% at the settlement price and 2.12% at the counter - price [63][64]. 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the E Fund Shanghai Science and Technology Innovation 50ETF on the day was 69,050 lots, the open interest was 176,886 lots, the trading volume ratio of call options to put options was 1.62, and the weighted average implied volatility was 23.45% [65][67]. - **Volatility Trading**: Use the strategy of selling high - volatility and buying low - volatility [69]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 15.2% at the settlement price and 2.70% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of the Harvest CSI 300ETF on the day was 61,535 lots, the open interest was 94,785 lots, the trading volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 14.73% [76][79]. - **Volatility Trading**: Sell high - volatility months or options and buy low - volatility ones [81]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 19.5% at the settlement price and 1.29% at the counter - price [85][87]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options of the E Fund ChiNext ETF on the day was 912,102 lots, the open interest was 801,193 lots, the trading volume ratio of call options to put options was 1.44, and the weighted average implied volatility was 21.57% [88][90]. - **Volatility Trading**: Follow the high - sell and low - buy strategy for volatility [92]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 44.3% at the settlement price and 7.81% at the counter - price [96][98]. 3.2.3 Harvest CSI 500ETF - **Basic Information**: The trading volume of the main options of the Harvest CSI 500ETF on the day was 67,812 lots, the open interest was 109,167 lots, the trading volume ratio of call options to put options was 1.21, and the weighted average implied volatility was 16.61% [99][101]. - **Volatility Trading**: Sell high - volatility and buy low - volatility [102]. - **Risk - Free Arbitrage**: No detailed risk - free arbitrage data is provided in the given content.

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: June 27, 2025 1. Option Volatility Ranking 1.1 Volatility Data - The report provides data on the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of various option targets such as sc2508, ps2508, etc. For example, sc2508 has an implied volatility of 2.4%, a 30 - day historical volatility of 3.4%, and a true range of 2.0% [3]. 1.2 Volatility Significance - Implied volatility reflects market expectations of future price fluctuations, historical volatility shows past price movements, and the true range represents intraday price movements. Trend traders can focus on options with high implied volatility rankings, option sellers can compare the rankings of implied and historical volatility, and intraday traders can focus on options with high true - range rankings [6]. 2. Exchange - Specific Option Analysis 2.1 Shanghai Stock Exchange Options 2.1.1 Shanghai 50ETF - **Basic Information**: Presents call and put option prices at different strike prices and maturities. The trading volume of the main - contract options is 1,027,227 lots, the open interest is 766,910 lots, the call - to - put volume ratio is 1.59, and the weighted - average implied volatility is 14.61% [19][32]. - **Volatility Trading**: Suggests selling options in months with higher volatility curves and buying 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 [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.69% at the settlement price and 1.21% at the counter - party price [27][29]. 2.1.2 Huatai - Peregrine CSI 300ETF - **Basic Information**: Provides call and put option prices. The trading volume of the main - contract options is 875,848 lots, the open interest is 660,574 lots, the call - to - put volume ratio is 1.59, and the weighted - average implied volatility is 14.61% [30][32]. - **Volatility Trading**: Similar trading suggestions as for the Shanghai 50ETF [35]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.14% at the settlement price and 0.22% at the counter - party price [39][42]. 2.1.3 Southern CSI 500ETF - **Basic Information**: Gives call and put option prices. The trading volume of the main - contract options is 1,005,791 lots, the open interest is 622,669 lots, the call - to - put volume ratio is 1.87, and the weighted - average implied volatility is 17.08% [43][45]. - **Volatility Trading**: Follows the same volatility trading rules [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 28.3% at the settlement price and 6.30% at the counter - party price [51][53]. 2.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: Lists call and put option prices. The trading volume of the main - contract options is 405,690 lots, the open interest is 631,319 lots, the call - to - put volume ratio is 2.3, and the weighted - average implied volatility is 24.45% [54][56]. - **Volatility Trading**: Adheres to the general volatility trading suggestions [60]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.4% at the settlement price and 3.39% at the counter - party price [63][64]. 2.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: Provides call and put option prices. The trading volume of the main - contract options is 84,748 lots, the open interest is 168,445 lots, the call - to - put volume ratio is 2.32, and the weighted - average implied volatility is 25.78% [65][67]. - **Volatility Trading**: Follows the standard volatility trading rules [71]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.9% at the settlement price and 4.33% at the counter - party price [74][76]. 2.2 Shenzhen Stock Exchange Options 2.2.1 Harvest CSI 300ETF - **Basic Information**: Presents call and put option prices. The trading volume of the main - contract options is 83,486 lots, the open interest is 92,178 lots, the call - to - put volume ratio is 1.4, and the weighted - average implied volatility is 15.01% [77][80]. - **Volatility Trading**: Similar volatility trading advice [82]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.49% at the settlement price and 0.36% at the counter - party price [86][87]. 2.2.2 E Fund ChiNext ETF - **Basic Information**: Gives call and put option prices. The trading volume of the main - contract options is 1,147,176 lots, the open interest is 771,429 lots, the call - to - put volume ratio is 1.95, and the weighted - average implied volatility is 21.6% [88][90]. - **Volatility Trading**: Follows the common volatility trading rules [93]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 33.9% at the settlement price and 7.56% at the counter - party price [97][99]. 2.2.3 Harvest CSI 500ETF - **Basic Information**: Lists call and put option prices. The trading volume of the main - contract options is 104,737 lots, the open interest is 109,900 lots, the call - to - put volume ratio is 2.23, and the weighted - average implied volatility is 16.57% [100][102]. - **Volatility Trading**: Adheres to the general volatility trading suggestions [103].

Report Information - Report Name: Pioneer Futures Option Daily Report - Date: June 26, 2025 [1] Industry Investment Rating - Not provided in the report Core Viewpoints - The report presents the implied volatility, historical volatility, and real - time volatility of various option underlying assets, and provides volatility trading and risk - free arbitrage suggestions for different exchange - listed options [3][23][27] Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - contract options is 732,726 lots, the open interest is 716,707 lots, the trading volume ratio of call to put options is 1.5, and the weighted - average implied volatility is 14.94% [21] - **Volatility Trading**: Sell the options or months with higher volatility curves and buy those with lower ones [23] - **Risk - free Arbitrage**: The minimum annualized return is 3.72% at the settlement price and 1.02% at the counter - price [27][29] 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main - contract options is 694,225 lots, the open interest is 607,670 lots, the trading volume ratio of call to put options is 1.55, and the weighted - average implied volatility is 15.47% [32] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options/months and buy low - curve ones [34] - **Risk - free Arbitrage**: The minimum annualized return is 4.12% at the settlement price and 0.81% at the counter - price [38][39] 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - contract options is 888,423 lots, the open interest is 595,962 lots, the trading volume ratio of call to put options is 1.54, and the weighted - average implied volatility is 18.37% [42] - **Volatility Trading**: Follow the rule of selling high - curve and buying low - curve [46] - **Risk - free Arbitrage**: The minimum annualized return is 21.3% at the settlement price and 5.06% at the counter - price [49][51] 1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main - contract options is 558,208 lots, the open interest is 607,564 lots, the trading volume ratio of call to put options is 2.21, and the weighted - average implied volatility is 25.54% [54] - **Volatility Trading**: Sell high - curve and buy low - curve [56] - **Risk - free Arbitrage**: The minimum annualized return is 10.5% at the settlement price and 2.96% at the counter - price [60][61] 1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main - contract options is 146,482 lots, the open interest is 161,938 lots, the trading volume ratio of call to put options is 2.14, and the weighted - average implied volatility is 27.1% [64] - **Volatility Trading**: Similar trading rules as above [68] - **Risk - free Arbitrage**: The minimum annualized return is 24.1% at the settlement price and 5.11% at the counter - price [71][73] 2. Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main - contract options is 65,288 lots, the open interest is 87,062 lots, the trading volume ratio of call to put options is 1.41, and the weighted - average implied volatility is 15.86% [77] - **Volatility Trading**: Sell high - curve and buy low - curve [79] - **Risk - free Arbitrage**: The minimum annualized return is 7.89% at the settlement price and 0.29% at the counter - price [83][85] 2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main - contract options is 1,240,288 lots, the open interest is 754,948 lots, the trading volume ratio of call to put options is 1.69, and the weighted - average implied volatility is 22.51% [88] - **Volatility Trading**: Follow the high - sell and low - buy rule [90] - **Risk - free Arbitrage**: Not provided in the report Option Underlying Asset Volatility Ranking - The report lists the implied volatility, 30 - day historical volatility, and real - time volatility rankings of various option underlying assets such as sc2508, ps2508, etc. The implied volatility reflects the market's expectation of future fluctuations, the historical volatility reflects past actual fluctuations, and the real - time volatility reflects intraday fluctuations [3][5]

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents the daily option data of various futures and ETFs, including the implied volatility, historical volatility, and real - time volatility of the underlying assets. It also provides T - type quotes, trading volume, open interest, and implied volatility of major options for different ETFs on the Shanghai Stock Exchange. Additionally, it offers volatility trading suggestions and optimal arbitrage portfolio returns for different ETF options. 3. Summary by Directory 1.1 Shanghai Stock Exchange - SSE 50 ETF - **Basic Information**: The trading volume of the main SSE 50 ETF options on the day is 897,405 lots, the open interest is 616,936 lots, the volume ratio of call options to put options is 1.55, and the weighted average implied volatility is 16.36%. The T - type quote table shows the call and put option prices at different strike prices [19][22]. - **Volatility Trading**: Suggestions are to sell options in months with higher 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 [25]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.78% at the settlement price and 0.65% at the counter - party price [28][30]. 1.2 Huatai - Berry SSE 300 ETF - **Basic Information**: The trading volume of the main 300ETF options on the day is 839,695 lots, the open interest is 561,165 lots, the volume ratio of call options to put options is 1.66, and the weighted average implied volatility is 16.93%. The T - type quote table shows the call and put option prices at different strike prices [31][33]. - **Volatility Trading**: Similar to the SSE 50 ETF, sell options in months with higher 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 [37]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.04% at the settlement price and 0.23% at the counter - party price [41][43]. 1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main 500ETF options on the day is 1,024,843 lots, the open interest is 494,144 lots, the volume ratio of call options to put options is 1.45, and the weighted average implied volatility is 19.58%. The T - type quote table shows the call and put option prices at different strike prices [44][46]. - **Volatility Trading**: Sell options in months with higher 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 [49]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.0% at the settlement price and 4.48% at the counter - party price [52][54]. 1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main SSE STAR 50 ETF options on the day is 511,986 lots, the open interest is 493,626 lots, the volume ratio of call options to put options is 2.32, and the weighted average implied volatility is 27.08%. The T - type quote table shows the call and put option prices at different strike prices [55][57]. - **Volatility Trading**: Sell options in months with higher 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 [59]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.0% at the settlement price and 2.58% at the counter - party price [63]. 1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main SSE STAR 50 ETF options on the day is 134,073 lots, the open interest is 126,532 lots, the volume ratio of call options to put options is 1.93, and the weighted average implied volatility is 28.23%. The T - type quote table shows the call and put option prices at different strike prices [65][67]. - **Volatility Trading**: Sell options in months with higher 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 [69].

1. Report Information - Report Name: Pioneer Futures Options Daily Report - Date: June 24, 2025 [1] 2. Options Volatility Ranking 2.1 Ranking Table | Target | At - the - money Option Implied Volatility | Ranking | 30 - day Historical Volatility of the Target | Ranking | Target's Daily True Range | Ranking | | --- | --- | --- | --- | --- | --- | --- | | sc2508 | 3.3% | 1 | 3.4% | 1 | 10.8% | 1 | | ps2508 | 2.1% | 2 | 1.8% | 8 | 3.9% | 12 | |... |... |... |... |... |... |... | | c2509 | 0.7% | 62 | 0.4% | 64 | 1.2% | 46 | | cf509 | 0.6% | 63 | 0.4% | 63 | 1.4% | 42 | [3][5] 2.2 Volatility Explanation - At - the - money option implied volatility reflects the market's expectation of the future volatility of the variety. The larger the value, the more likely there will be a major market trend. Trend traders can focus on the top - ranked varieties. - The 30 - day historical volatility of the target reflects the actual past market size of the variety. If the value is smaller than the implied volatility, the option price may be relatively expensive. Option sellers can focus on the difference in rankings between the two. - The target's daily true range reflects the intraday market size of the variety. Intraday traders can focus on the top - ranked varieties. [6] 3. Options Analysis by Exchange 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 704,520 lots, the open interest was 522,779 lots, the trading volume ratio of call options to put options was 1.25, and the weighted - average implied volatility was 13.62%. [19][22] - **Volatility Trading**: The trading advice is 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 rate of return of the optimal arbitrage portfolio held until maturity is 1.83% at the settlement price and 1.16% at the counter - price. [28][30] 3.1.2 Huatai - Berry 300ETF - **Basic Information**: The trading volume of the main options of 300ETF on this day was 636,049 lots, the open interest was 487,538 lots, the trading volume ratio of call options to put options was 1.39, and the weighted - average implied volatility was 13.81%. [30][33] - **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. [36] - **Risk - free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held until maturity is 2.90% at the settlement price and 0.40% at the counter - price. [39][41] 3.1.3 Southern China Securities 500ETF - **Basic Information**: The trading volume of the main options of 500ETF on this day was 789,025 lots, the open interest was 537,243 lots, the trading volume ratio of call options to put options was 1.11, and the weighted - average implied volatility was 19.45%. [42][44] - **Volatility Trading**: The same volatility trading advice as above. [47] - **Risk - free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held until maturity is 76.8% at the settlement price and 6.74% at the counter - price. [52][53] 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options of the Science and Technology Innovation Board 50ETF on this day was 301,430 lots, the open interest was 392,363 lots, the trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 21.7%. [54][56] - **Volatility Trading**: The same volatility trading advice as above. [58] - **Risk - free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held until maturity is 17.1% at the settlement price and 4.68% at the counter - price. [62][63] 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options of the Science and Technology Innovation Board 50ETF on this day was 91,687 lots, the open interest was 258,212 lots, the trading volume ratio of call options to put options was 1.68, and the weighted - average implied volatility was 31.12%. [64][66] - **Volatility Trading**: The same volatility trading advice as above. [68] - **Risk - free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held until maturity is 288% at the settlement price and 20.3% at the counter - price. [72][74] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest 300ETF - **Basic Information**: The trading volume of the main options of Shenzhen 300ETF on this day was 72,152 lots, the open interest was 147,043 lots, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 24.14%. [75][78] - **Volatility Trading**: The same volatility trading advice as above. [81][82] - **Risk - free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held until maturity is 92.7% at the settlement price and 4.82% at the counter - price. [86][88]

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: June 23, 2025 [1] 1. Options Volatility Ranking 1.1 Volatility Data - The report provides data on the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of various options on June 23, 2025. For example, sc2508 has an implied volatility of 3.7% (ranked 1st), a 30 - day historical volatility of 2.4% (ranked 1st), and a true range of 5.4% (ranked 1st) [3]. 1.2 Trading Suggestions - For trend traders, they can focus on options with higher implied volatility rankings. For option sellers, they can pay attention to the difference between the rankings of implied volatility and 30 - day historical volatility. For intraday traders, they can focus on options with higher true - range rankings [6]. 2. Exchange - Specific Option Analysis 2.1 Shanghai Stock Exchange Options 2.1.1 Shanghai 50ETF Options - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 760,470 contracts, the open interest is 740,452 contracts, the volume ratio of call options to put options is 0.86, and the weighted - average implied volatility is 15.69% [19][22]. - **Volatility Trading**: Different months: sell the month with the curve on top and buy the month with the curve below; same month: sell the option with the point on the curve above and buy the option with the point on the curve below [28]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 47.2%; at the counter - party price, it is 1.77% [30][33]. 2.1.2 Huatai - Berry SSE 300ETF Options - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options is 513,758 contracts, the open interest is 544,793 contracts, the volume ratio of call options to put options is 0.95, and the weighted - average implied volatility is 15.85% [34][36]. - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF options [40]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 51.8%; at the counter - party price, there is no minimum annualized return [43][44]. 2.1.3 Southern CSI 500ETF Options - **Basic Information**: The trading volume of the main Southern CSI 500ETF options is 873,019 contracts, the open interest is 607,387 contracts, the volume ratio of call options to put options is 0.77, and the weighted - average implied volatility is 18.25% [45][48]. - **Volatility Trading**: Similar trading suggestions as above [51]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 51.2%; at the counter - party price, it is 1.14% [54][56]. 2.1.4 Huaxia SSE STAR Market 50ETF Options - **Basic Information**: The trading volume of the main Huaxia SSE STAR Market 50ETF options is 271,391 contracts, the open interest is 871,743 contracts, the volume ratio of call options to put options is 1.17, and the weighted - average implied volatility is 33.26% [57][59]. - **Volatility Trading**: Similar trading suggestions as above [63]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 158%; at the counter - party price, it is 20.8% [68][69]. 2.1.5 E Fund SSE STAR Market 50ETF Options - **Basic Information**: The trading volume of the main E Fund SSE STAR Market 50ETF options is 54,748 contracts, the open interest is 276,701 contracts, the volume ratio of call options to put options is 1.47, and the weighted - average implied volatility is 29.89% [70][72]. - **Volatility Trading**: Similar trading suggestions as above [74]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 108%; at the counter - party price, it is 16.5% [80][81]. 2.2 Shenzhen Stock Exchange Options 2.2.1 Harvest SSE 300ETF Options - **Basic Information**: The trading volume of the main Harvest SSE 300ETF options is 94,522 contracts, the open interest is 170,642 contracts, the volume ratio of call options to put options is 0.91, and the weighted - average implied volatility is 16.95% [82][85]. - **Volatility Trading**: Similar trading suggestions as above [90]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 206%; at the counter - party price, it is 24.7% [95][97]. 2.2.2 E Fund ChiNext ETF Options - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options is 706,710 contracts, the open interest is 826,922 contracts, the volume ratio of call options to put options is 1.07, and the weighted - average implied volatility is 25.78% [98][100]. - **Volatility Trading**: Similar trading suggestions as above [102].

1. Report Industry Investment Rating No relevant content provided. 2. Core View 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][31] 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 is 686,104 lots, the open interest is 859,749 lots, the trading volume ratio of call and put options is 0.93, and the weighted average implied volatility is 11.61%. The T - type quotation table shows the prices of call and put options at different strike prices and expiration months. [19][22] - **Volatility Trading**: Suggestions are to sell options in the month with the upper curve and buy those in the month with the lower curve for different months; sell options above the curve and buy those below the curve for the same month. [26] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.9% at the settlement price and 3.07% at the counter - party price. [29][31] 3.1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - **Basic Information**: The trading volume of the main options is 450,034 lots, the open interest is 657,340 lots, the trading volume ratio of call and put options is 1.03, and the weighted average implied volatility is 11.98%. The T - type quotation table shows option prices. [32][34] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options and buy low - curve options. [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.6% at the settlement price and 1.34% at the counter - party price. [41][44] 3.1.3 Southern China Securities 500ETF - **Basic Information**: The trading volume of the main options is 1,023,413 lots, the open interest is 747,160 lots, the trading volume ratio of call and put options is 0.99, and the weighted average implied volatility is 13.77%. The T - type quotation table shows option prices. [45][47] - **Volatility Trading**: Follow the rule of selling high - curve and buying low - curve options. [51] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.6% at the settlement price and 5.05% at the counter - party price. [54][56] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 215,122 lots, the open interest is 956,542 lots, the trading volume ratio of call and put options is 1.42, and the weighted average implied volatility is 25.72%. The T - type quotation table shows option prices. [57][59] - **Volatility Trading**: Adopt the strategy of selling high - curve and buying low - curve options. [63] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 24.2% at the settlement price and 4.52% at the counter - party price. [66][68] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 67,240 lots, the open interest is 116,813 lots, the trading volume ratio of call and put options is 0.61, and the weighted average implied volatility is 26.34%. The T - type quotation table shows option prices. [69][71] - **Volatility Trading**: Use the strategy of selling high - curve and buying low - curve options. [75] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 20.4% at the settlement price and 5.05% at the counter - party price. [78][80] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest Shanghai - Shenzhen 300ETF - **Basic Information**: The T - type quotation table shows the prices of call and put options at different strike prices and expiration months for the Harvest Shanghai - Shenzhen 300ETF. [81] - **Volatility Trading**: No relevant content provided. - **Risk - Free Arbitrage**: No relevant content provided.

先锋期货期权日报 2025-6-19 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下,我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任,投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下,我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标的 | 平值期权隐 | 排名 | 标的30天历 | 排名 | 标的当 = | 排名 | | --- | --- | --- | --- | --- | --- | --- | | | 含液动率 | | 中波动区 | | 真实波幅 | | | sc2508 | 3.7% | 1 | 2.5% | 1 | 4.4% | 2 | | br2507 | 2.5% | 2 | 1.9% | 2 | 1.2% | 29 | | ma508 | 2.4% | 3 | 1.5% | 13 | 3.4% | 3 | | ao2507 | 2.3% | 4 | 1.6% | 5 | 1.6% | ...