Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: July 23, 2025 [1] Industry Investment Rating - Not provided in the report Core Viewpoints - The report provides detailed data on various option products, including implied volatility, historical volatility, and real - time volatility, to assist investors in making trading decisions [3][5][6] Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 866,440 lots, the open interest was 535,949 lots, the trading volume ratio of call options to put options was 1.78, and the weighted average implied volatility was 17.11% [19][21] - **Volatility Trading**: Suggestions include selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling the options with points above the curve and buying those below for the same month [23] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 3.84% at the settlement price and 0.53% at the counter - price [27][29] 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day was 772,000 lots, the open interest was 526,544 lots, the trading volume ratio of call options to put options was 1.76, and the weighted average implied volatility was 17.39% [30][33] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [34] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 2.66% at the settlement price and 0.04% at the counter - price [38][40] 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 848,679 lots, the open interest was 465,938 lots, the trading volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 20.19% [41][43] - **Volatility Trading**: Follow the rule of selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling the options with points above the curve and buying those below for the same month [45] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 25.1% at the settlement price and 5.50% at the counter - price [50][52] 1.4 Huaxia SSE STAR Market 50ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR Market 50ETF on the day was 602,584 lots, the open interest was 682,078 lots, the trading volume ratio of call options to put options was 2.35, and the weighted average implied volatility was 27.3% [53][55] - **Volatility Trading**: Sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [57] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 4.18% at the settlement price and 1.28% at the counter - price [61][63] 1.5 E Fund SSE STAR Market 50ETF - **Basic Information**: The trading volume of the main options of E Fund SSE STAR Market 50ETF on the day was 158,400 lots, the open interest was 174,325 lots, the trading volume ratio of call options to put options was 2.54, and the weighted average implied volatility was 28.37% [64][66] - **Volatility Trading**: Similar to other products, sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [69] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 6.73% at the settlement price and 0.87% at the counter - price [72][74] 2. Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of Harvest SSE 300ETF on the day was 83,094 lots, the open interest was 71,654 lots, the trading volume ratio of call options to put options was 2.37, and the weighted average implied volatility was 18.17% [75][78] - **Volatility Trading**: Sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [80] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 8.70% at the settlement price and 0.09% at the counter - price [84][86] 2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options of E Fund ChiNext ETF on the day was 941,105 lots, the open interest was 609,208 lots, the trading volume ratio of call options to put options was 1.66, and the weighted average implied volatility was 25.67% [87][89] - **Volatility Trading**: Not fully detailed in the provided content - **Risk - free Arbitrage**: Not provided in the report

Group 1: Report Overview - Report Title: Pioneer Futures Option Daily Report [1] - Date: July 22, 2025 [1] Group 2: Option Volatility Ranking - The report provides a ranking of option underlying assets based on at-the-money option implied volatility, 30-day historical volatility, and daily true range [3][5]. - For example, zc509 has an at-the-money option implied volatility of 5.1%, ranking 1st; ps2509 has a 30-day historical volatility of 3.1%, ranking 1st; and fg509 has a daily true range of 6.7%, ranking 2nd [3]. Group 3: Option Trading 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 the day was 800,140 lots, the open interest was 621,524 lots, the trading volume ratio of call options to put options was 1.71, and the weighted average implied volatility was 17.22% [21]. - **Volatility Trading**: Suggestions include selling the month with the curve above 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 rate of return for the optimal arbitrage portfolio held to maturity is 235% when traded at the settlement price and 33.6% when traded at the counterparty price [27][29]. 3.1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main options of Huatai-PineBridge CSI 300ETF on the day was 656,899 lots, the open interest was 418,736 lots, the trading volume ratio of call options to put options was 1.8, and the weighted average implied volatility was 20.07% [33]. - **Volatility Trading**: Similar trading suggestions as for Shanghai 50ETF [37]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 117% when traded at the settlement price and 29.5% when traded at the counterparty price [41][43]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 906,135 lots, the open interest was 438,698 lots, the trading volume ratio of call options to put options was 1.35, and the weighted average implied volatility was 21.18% [46]. - **Volatility Trading**: Similar trading suggestions as above [49]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 155% when traded at the settlement price and 25.7% when traded at the counterparty price [53][55]. 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50 ETF on the day was 405,641 lots, the open interest was 562,902 lots, the trading volume ratio of call options to put options was 1.91, and the weighted average implied volatility was 24.49% [58]. - **Volatility Trading**: Similar trading suggestions as before [60]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 4.78% when traded at the settlement price and 2.14% when traded at the counterparty price [64][66]. 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50 ETF on the day was 93,595 lots, the open interest was 124,079 lots, the trading volume ratio of call options to put options was 1.74, and the weighted average implied volatility was 25.93% [69]. - **Volatility Trading**: Similar trading suggestions as other ETFs [71]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 4.02% when traded at the settlement price and 1.56% when traded at the counterparty price [75][77]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 89,876 lots, the open interest was 83,549 lots, the trading volume ratio of call options to put options was 1.62, and the weighted average implied volatility was 24.13% [81]. - **Volatility Trading**: Similar trading suggestions as other ETFs [85].

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report presents a comprehensive analysis of various options, including their T - type quotes, trading volumes, open interests, implied volatilities, and provides suggestions for volatility trading and risk - free arbitrage for different options on multiple exchanges [3][21][23]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: Presents the T - type quote table of 50ETF options, including call and put option prices at different strike prices. The trading volume of the main - contract options is 657,046 lots, the open interest is 717,816 lots, the trading volume ratio of call to put options is 1.71, and the weighted average implied volatility is 17.83% [19][21]. - **Volatility Trading**: Suggests selling the upper - curve months and buying the lower - curve months for different months; selling the upper - curve options and buying the lower - curve options for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 36.8% at the settlement price and 2.82% at the counter - price [27][29]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: Displays the T - type quote table of 300ETF options. The trading volume of the main - contract options is 575,810 lots, the open interest is 492,163 lots, the trading volume ratio of call to put options is 1.61, and the weighted average implied volatility is 18.87% [30][32]. - **Volatility Trading**: Similar to the 50ETF, it suggests selling the upper - curve months and options and buying the lower - curve ones [34]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 45.4% at the settlement price and 3.91% at the counter - price [38][41]. - **1.3 Southern CSI 500ETF** - **Basic Information**: Shows the T - type quote table of 500ETF options. The trading volume of the main - contract options is 801,159 lots, the open interest is 483,140 lots, the trading volume ratio of call to put options is 1.33, and the weighted average implied volatility is 22.47% [42][44]. - **Volatility Trading**: Offers the same volatility trading suggestions as above [48]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 129% at the settlement price and 28.6% at the counter - price [51][53]. - **1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF** - **Basic Information**: Presents the T - type quote table of the innovation - board 50ETF options. The trading volume of the main - contract options is 267,716 lots, the open interest is 771,023 lots, the trading volume ratio of call to put options is 1.81, and the weighted average implied volatility is 32.06% [54][56]. - **Volatility Trading**: Provides the same volatility trading advice [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 107% at the settlement price and 14.8% at the counter - price [62][64]. - **1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF** - **Basic Information**: Displays the T - type quote table of the innovation - board 50ETF options. The trading volume of the main - contract options is 63,081 lots, the open interest is 259,012 lots, the trading volume ratio of call to put options is 2.91, and the weighted average implied volatility is 31.5% [65][67]. - **Volatility Trading**: Gives the same volatility trading suggestions [69]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 48.6% at the settlement price, and no return is provided at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: Presents the T - type quote table of Shenzhen 300ETF options. The trading volume of the main - contract options is 90,635 lots, the open interest is 105,907 lots, the trading volume ratio of call to put options is 1.73, and the weighted average implied volatility is 21.67% [76][79]. - **Volatility Trading**: Offers the same volatility trading advice [83]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 93.9% at the settlement price and 12.2% at the counter - price [87][89]. - **2.2 E Fund ChiNext ETF** - **Basic Information**: Displays the T - type quote table of ChiNext ETF options. The trading volume of the main - contract options is 1,085,196 lots, the open interest is 865,444 lots, the trading volume ratio of call to put options is 1.27, and the weighted average implied volatility is 29.96% [90][92]. - **Volatility Trading**: Provides the same volatility trading suggestions [95].

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

1. Report Industry Investment Rating - No information provided in the report 2. Core Viewpoints - The report presents a comprehensive analysis of various options in multiple exchanges, including their basic information, trading volumes, open interests, volume ratios of call and put options, weighted average implied volatilities, and provides volatility trading suggestions and no - risk arbitrage opportunities [3][21][23] 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 696,475 lots, the open interest is 940,239 lots, the volume ratio of call and put options is 1.2, and the weighted average implied volatility is 14.65% [19][21] - **Volatility Trading**: Suggestions are to sell the month with the curve above and buy the month with the curve below for different months; sell the option with the point above the curve and buy the option with the point below the curve for the same month [23] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 20.6% at the settlement price and 1.63% at the counter - price [23][27][29] 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options is 749,160 lots, the open interest is 351,922 lots, the volume ratio of call and put options is 0.58, and the weighted average implied volatility is 19.26% [30][32] - **Volatility Trading**: Similar to Shanghai 50ETF, sell the curve - above month and buy the curve - below month for different months; sell the point - above option and buy the point - below option for the same month [36] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 2.87% at the settlement price and 0.52% at the counter - price [39][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,076,342 lots, the open interest is 679,205 lots, the volume ratio of call and put options is 1.09, and the weighted average implied volatility is 16.98% [43][45] - **Volatility Trading**: The same trading suggestions as above for different and same months [50] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 67.1% at the settlement price and 12.7% at the counter - price [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 577,910 lots, the open interest is 580,782 lots, the volume ratio of call and put options is 1.99, and the weighted average implied volatility is 32.7% [55][57] - **Volatility Trading**: Follow the same rules for different and same months [59] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 5.83% at the settlement price and 0.85% at the counter - price [63][65] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 92,944 lots, the open interest is 281,020 lots, the volume ratio of call and put options is 1.83, and the weighted average implied volatility is 24.49% [66][68] - **Volatility Trading**: Adopt the same trading suggestions [70] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 40.2% at the settlement price and 0.45% at the counter - price [74][76] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options is 93,508 lots, the open interest is 125,985 lots, the volume ratio of call and put options is 1.31, and the weighted average implied volatility is 16.25% [77][80] - **Volatility Trading**: Use the same trading rules [82] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 31.0% at the settlement price and 1.77% at the counter - price [86][88]

Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: July 15, 2025 [1] 1. Industry Investment Rating - Not provided in the report. 2. Core Viewpoints - The report provides a comprehensive analysis of various options, including their implied volatility, historical volatility, and real - time volatility. It also offers trading suggestions for volatility trading and presents potential arbitrage opportunities for different options [3][6]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - contract options of Shanghai 50ETF on this day was 1,032,437 lots, and the open interest was 974,357 lots. The trading volume ratio of call options to put options was 1.17, and the weighted - average implied volatility was 14.7% [19][21]. - **Volatility Trading**: Suggestions include selling options in months with higher implied - volatility curves and buying those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 10.6% at the settlement price and 0.43% at the counter - price [27][29]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Huatai - Berry CSI 300ETF on this day was 903,006 lots, and the open interest was 702,634 lots. The trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 14.97% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher implied - volatility curves and buy those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [34]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 12.9% at the settlement price and 2.52% at the counter - price [40][41]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - contract options of Southern CSI 500ETF on this day was 1,134,302 lots, and the open interest was 735,143 lots. The trading volume ratio of call options to put options was 1.05, and the weighted - average implied volatility was 16.52% [42][44]. - **Volatility Trading**: The same trading suggestions as above for volatility trading [48]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 51.8% at the settlement price and 10.1% at the counter - price [51][53]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options of Huaxia Shanghai Science and Technology Innovation Board 50ETF on this day was 441,953 lots, and the open interest was 954,264 lots. The trading volume ratio of call options to put options was 2.19, and the weighted - average implied volatility was 26.28% [54][56]. - **Volatility Trading**: Follow the general volatility - trading suggestions [59]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 19.7% at the settlement price and 1.92% at the counter - price [63][65]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options of E Fund Shanghai Science and Technology Innovation Board 50ETF on this day was 99,887 lots, and the open interest was 285,235 lots. The trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 26.25% [66][68]. - **Volatility Trading**: Adopt the common volatility - trading strategies [72]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 18.0% at the settlement price, and no return was provided at the counter - price [75][77]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Harvest CSI 300ETF on this day was 120,639 lots, and the open interest was 132,339 lots. The trading volume ratio of call options to put options was 1.36, and the weighted - average implied volatility was 15.78% [78][81]. - **Volatility Trading**: Use the standard volatility - trading suggestions [84][85]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 45.4% at the settlement price and 6.73% at the counter - price [89][91]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main - contract options of E Fund ChiNext ETF on this day was 1,570,381 lots, and the open interest was 1,030,150 lots. The trading volume ratio of call options to put options was 1.23, and the weighted - average implied volatility was 23.77% [92][94]. - **Volatility Trading**: Follow the general volatility - trading rules [97]. - **Risk - free Arbitrage**: Not provided in the report.

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

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

1. Report Information - Report Name: Pioneer Futures Option Daily Report - Date: July 9, 2025 [1] 2. Option Volatility Ranking 2.1 Ranking by Different Volatility Metrics - The report presents rankings of various option targets based on three volatility metrics: at-the-money option implied volatility, 30-day historical volatility of the target, and the target's daily true range. For example, ps2509 ranks 1st in at-the-money option implied volatility with a value of 2.7%, and 2nd in 30-day historical volatility with a value of 2.6%, and 1st in daily true range with a value of 4.2% [3]. 2.2 Significance of Volatility Metrics - At-the-money option implied volatility reflects the market's expectation of the future volatility of the variety. A higher value indicates a greater likelihood of significant market movements, which can be of interest to trend traders. - The 30-day historical volatility reflects the actual past market movements of the variety. If this value is smaller than the implied volatility, it may suggest that the option price is relatively expensive, which can be a consideration for option sellers. - The target's daily true range reflects the intraday market movements of the variety, which can be useful for intraday traders [6]. 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on the day is 724,006 lots, and the open interest is 897,219 lots. The trading volume ratio of call options to put options is 1.31, and the weighted average implied volatility is 13.88%. The report also provides the T-type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices [19][21]. - **Volatility Trading**: Volatility trading suggestions are provided based on the implied volatility curves of call and put options. For different months, sell the options of the month with the curve above and buy the options of the month with the curve below. For the same month, sell the options with points above the curve and buy the options with points below the curve [25]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 7.87% when traded at the settlement price and 1.31% when traded at the counterparty price [28][30]. 3.1.2 Huatai-PB CSI 300ETF - **Basic Information**: The trading volume of the main Huatai-PB CSI 300ETF options on the day is 642,271 lots, and the open interest is 756,822 lots. The trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 14.73%. The T-type quotation table of 300ETF options is also provided [30][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, volatility trading suggestions are given based on the implied volatility curves [37]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 11.1% when traded at the settlement price and 0.92% when traded at the counterparty price [40][41]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options on the day is 858,514 lots, and the open interest is 781,732 lots. The trading volume ratio of call options to put options is 1.35, and the weighted average implied volatility is 16.74%. The T-type quotation table of 500ETF options is presented [42][44]. - **Volatility Trading**: Volatility trading suggestions are provided according to the implied volatility curves [46]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 34.0% when traded at the settlement price and 7.14% when traded at the counterparty price [50][52]. 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50 ETF options on the day is 285,479 lots, and the open interest is 826,810 lots. The trading volume ratio of call options to put options is 2.21, and the weighted average implied volatility is 25.11%. The T-type quotation table of the STAR 50 ETF options is provided [53][55]. - **Volatility Trading**: Volatility trading suggestions are given based on the implied volatility curves [58][59]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 11.3% when traded at the settlement price and 0.22% when traded at the counterparty price [63][65]. 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50 ETF options on the day is 95,592 lots, and the open interest is 232,259 lots. The trading volume ratio of call options to put options is 1.61, and the weighted average implied volatility is 24.89%. The T-type quotation table of the STAR 50 ETF options is presented [66][68]. - **Volatility Trading**: Volatility trading suggestions are provided according to the implied volatility curves [72]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 7.16% when traded at the settlement price and 0.46% when traded at the counterparty price [75][77]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Harvest CSI 300ETF options on the day is 102,460 lots, and the open interest is 126,288 lots. The trading volume ratio of call options to put options is 1.59, and the weighted average implied volatility is 15.37%. The T-type quotation table of the Shenzhen 300ETF options is provided [78][81]. - **Volatility Trading**: Volatility trading suggestions are given based on the implied volatility curves [83]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 8.13% when traded at the settlement price and 1.33% when traded at the counterparty price [87][89]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on the day is 1,328,578 lots, and the open interest is 994,127 lots. The trading volume ratio of call options to put options is 1.53, and the weighted average implied volatility is 22.37%. The T-type quotation table of the ChiNext ETF options is presented [91][92]. - **Volatility Trading**: Volatility trading suggestions are provided according to the implied volatility curves [96].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents the daily data of futures and options, including the implied volatility, historical volatility, and real - time volatility of various option targets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for different exchange - listed options [3][19][22]. 3. Summary According to the Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 856,407 lots, the open interest was 879,208 lots, the trading volume ratio of call options to put options was 1.48, and the weighted average implied volatility was 14.44%. The T - type quotation table shows the prices of call and put options at different strike prices and expiration months [19][21]. - **Volatility Trading**: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [25]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.57% at the settlement price and 0.53% at the counter - price [29][31]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day was 860,039 lots, the open interest was 775,674 lots, the trading volume ratio of call options to put options was 1.66, and the weighted average implied volatility was 14.49%. The T - type quotation table shows option prices [32][34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month or option with the curve or point above and buy the one below [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.88% at the settlement price and 0.86% at the counter - price [40][43]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,220,646 lots, the open interest was 746,418 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 16.57%. The T - type quotation table shows option prices [44][46]. - **Volatility Trading**: Follow the rule of selling high and buying low on the volatility curve [50]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.8% at the settlement price and 8.98% at the counter - price [53][55]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50ETF on the day was 410,981 lots, the open interest was 802,784 lots, the trading volume ratio of call options to put options was 2.09, and the weighted average implied volatility was 23.9%. The T - type quotation table shows option prices [56][58]. - **Volatility Trading**: Adopt the strategy of selling high and buying low on the volatility curve [60]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.3% at the settlement price and 1.66% at the counter - price [64][65]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50ETF on the day was 100,378 lots, the open interest was 227,343 lots, the trading volume ratio of call options to put options was 1.38, and the weighted average implied volatility was 24.63%. The T - type quotation table shows option prices [66][68]. - **Volatility Trading**: Use the strategy of selling high and buying low on the volatility curve [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.1% at the settlement price, and there is no return at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of Harvest SSE 300ETF on the day was 98,495 lots, the open interest was 118,936 lots, the trading volume ratio of call options to put options was 1.53, and the weighted average implied volatility was 15.62%. The T - type quotation table shows option prices [77][80]. - **Volatility Trading**: Sell the month or option with the curve or point above and buy the one below [85]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.2% at the settlement price and 0.36% at the counter - price [89][91]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options of E Fund ChiNext ETF on the day was 1,499,846 lots, the open interest was 958,887 lots, the trading volume ratio of call options to put options was 1.57, and the weighted average implied volatility was 22.06%. The T - type quotation table shows option prices [93][94]. - **Volatility Trading**: Follow the rule of selling high and buying low on the volatility curve [99]. - **Risk - Free Arbitrage**: No relevant content provided.