先锋期货期权日报 2025-4-15 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | sn2505 | 3.7% | 1 | 2.3% | 9 | 1.8% | 20 | | sc2506 | 2.7% | 2 | 2.6% | 3 | 2.0% | 11 | | br2505 | 2.5% | 3 | 2.3% | 11 | 2.9% | 2 | | ao2505 | 2.4% | 4 | 1.5% | 31 | 2 ...

先锋期货期权日报 2025-4-14 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | sn2505 | 3.6% | 1 | 2.4% | 9 | 2.1% | 10 | | sc2506 | 2.9% | 2 | 2.7% | 3 | 2.5% | 8 | | br2505 | 2.8% | 3 | 2.3% | 11 | 1.7% | 23 | | ao2505 | 2.7% | 4 | 1.5% | 32 | 2 ...

先锋期货期权日报 2025-4-11 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | sc2505 | 4.0% | 1 | 2.6% | 4 | 4.4% | 1 | | sn2505 | 3.4% | 2 | 2.9% | 1 | 2.6% | 16 | | br2505 | 2.9% | 3 | 2.2% | 11 | 2.5% | 18 | | ao2505 | 2.6% | 4 | 1.4% | 33 | 2 ...

先锋期货期权日报 2025-4-9 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | sc2505 | 3.7% | 1 | 2.4% | 4 | 7.6% | 4 | | fg505 | 3.5% | 2 | 2.2% | 10 | 5.4% | 15 | | ta505 | 3.5% | 3 | 2.0% | 15 | 5.4% | 18 | | sn2505 | 3.2% | 4 | 2.9% | 1 | 6.2% ...

先锋期货期权日报 2025-4-8 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 含波动率 | 排 名 | 标的30天历 史波动率 | 排 名 | 标的当日 | | --- | --- | --- | --- | --- | --- | | sc2505 | 3.5% | 1 | 2.3% | 4 | 7.7% 2 | | 创业板etf4月 | 3.3% | 2 | 2.9% | 1 | 3.8% 17 | | ta505 | 3.2% | 3 | 1.8% | 16 | 6.3% 5 | | 科创50etf4月 | 3.1% | 4 | 2.2% | 8 | 2.8% 25 | | 科创板50etf4月 | 3.0% | 5 | 2.0 ...

先锋期货期权日报 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。 | 期权标的行情波动龙虎榜： | | --- | | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | 创业板etf4月 | 5.0% | 1 | 2.9% | 2 | 17.2% | 1 | | sc2505 | 4.8% | 2 | 1.9% | 13 | 6.3% | 21 | | 科创50etf4月 | 4.7% | 3 | 2.2% | 7 | 15.3% | 2 | | 科创板50etf4月 | 4.6% | 4 | 2.0% | 11 | 15.2% | 3 | | mo2504 | 4.3% | 5 | 2.6% | 3 | 13.9% | 4 | | 中证500etf4月 | 3.9% | ...

先锋期货期权日报 2025-4-3 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | sn2505 | 2.3% | 1 | 2.2% | 1 | 4.0% | 3 | | fg505 | 2.1% | 2 | 2.2% | 3 | 3.3% | 4 | | sc2505 | 1.7% | 3 | 1.5% | 4 | 2.9% | 6 | | ao2505 | 1.7% | 4 | 1.2% | 17 | 1.8% | ...

先锋期货期权日报 2025-4-2 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | sn2505 | 2.4% | 1 | 2.1% | 3 | 4.2% | 1 | | fg505 | 2.3% | 2 | 2.2% | 2 | 2.9% | 4 | | sc2505 | 1.8% | 3 | 1.4% | 4 | 1.3% | 20 | | ni2505 | 1.7% | 4 | 1.2% | 16 | 1.3% ...

1. Report Information - Report Name: Pioneer Futures Options Daily Report - Date: March 31, 2025 [1] 2. Option Target 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 | | --- | --- | --- | --- | --- | --- | --- | | fg505 | 2.4% | 1 | 1.9% | 3 | 2.4% | 4 | | sn2505 | 2.1% | 2 | 2.1% | 2 | 1.4% | 17 | | ni2505 | 1.8% | 3 | 1.2% | 16 | 1.3% | 22 | |... |... |... |... |... |... |... | | cf505 | 0.5% | 63 | 0.4% | 63 | 0.9% | 41 | [3][5] 2.2 Volatility Explanation - At - the - money option implied volatility reflects the market's expectation of the future volatility of the variety. A larger value indicates a higher possibility of 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, it means 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. Exchange - Specific Option Analysis 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 910,019 lots, the open interest was 818,514 lots, the trading volume ratio of call options to put options was 1.2, and the weighted average implied volatility was 15.05%. [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 below. [24] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.1%; at the counter - price, it is 2.54%. [28][30] 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry CSI 300ETF on the day was 787,730 lots, the open interest was 714,267 lots, the trading volume ratio of call options to put options was 1.1, and the weighted average implied volatility was 15.16%. [31][33] - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF. [35] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.64%; at the counter - price, it is 0.42%. [39][40] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,080,768 lots, the open interest was 553,079 lots, the trading volume ratio of call options to put options was 0.98, and the weighted average implied volatility was 20.03%. [41][43] - **Volatility Trading**: Similar trading suggestions as above. [47] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 50.8%; at the counter - price, it is 11.7%. [50][52] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of Huaxia Shanghai Science and Technology Innovation 50ETF on the day was 636,923 lots, the open interest was 959,353 lots, the trading volume ratio of call options to put options was 1.04, and the weighted average implied volatility was 27.97%. [54][55] - **Volatility Trading**: Similar trading suggestions as above. [59] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.5%; at the counter - price, there is no return. [62][64] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of E Fund Shanghai Science and Technology Innovation 50ETF on the day was 130,922 lots, the open interest was 204,826 lots, the trading volume ratio of call options to put options was 1.16, and the weighted average implied volatility was 28.75%. [66][67] - **Volatility Trading**: Similar trading suggestions as above. [69] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.34%; at the counter - price, there is no return. [73][75] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 122,134 lots, the open interest was 139,468 lots, the trading volume ratio of call options to put options was 1.11, and the weighted average implied volatility was 15.6%. [76][78] - **Volatility Trading**: Similar trading suggestions as above. [80] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.26%; at the counter - price, it is 0.56%. [84][87] 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 1,001,761 lots, the open interest was 814,456 lots, the trading volume ratio of call options to put options was 1.05, and the weighted average implied volatility was 22.58%. [88][90] - **Volatility Trading**: Similar trading suggestions as above. [92] - **Risk - free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.64%; at the counter - price, it is 0.68%. [96][98] 3.2.3 Harvest CSI 500ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 500ETF on the day was 154,290 lots, the open interest was 154,269 lots, the trading volume ratio of call options to put options was 0.85, and the weighted average implied volatility was 20.18%. [99][102] - **Volatility Trading**: Similar trading suggestions as above. [103]

先锋期货期权日报 2025-3-27 风险揭示 期权标的行情波动龙虎榜： | b2505 | 1.3% | 21 | 1.3% | 14 | 1.2% | 25 | | --- | --- | --- | --- | --- | --- | --- | | 创业板etf4月 | 1.3% | 22 | 1.3% | 9 | 2.3% | 5 | | br2505 | 1.3% | 23 | 1.1% | 20 | 1.7% | 14 | | si2505 | 1.3% | 24 | 0.8% | 42 | 1.8% | 12 | | ps2506 | 1.2% | 25 | 0.7% | 49 | 0.7% | 50 | | oi505 | 1.2% | 26 | 1.3% | 13 | 1.0% | 38 | | eb2505 | 1.2% | 27 | 1.0% | 25 | 1.5% | 16 | | cu2505 | 1.2% | 28 | 0.7% | 47 | 1.1% | 36 | | lg2507 | 1.2% | 29 | 0.8% | 45 | 0.8% | 44 | | 中证500etf ...