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% | ...

先锋期货期权日报 2025-6-18 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 | 标的当目 | 排名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | ad2511 | 32.0% | 1 | 0.0% | 64 | 0.0% | ર્ણ | | sc2508 | 3.3% | 2 | 2.4% | 1 | 5.7% | 1 | | br2507 | 2.4% | 3 | 1.9% | 3 | 2.3% | ા ર | | ao2507 | 2.2% | 4 | 2.3% | 2 | 4.0 ...

先锋期货期权日报 2025-6-17 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 | | | ad2511 | 32.0% | 1 | 0.0% | 64 | 0.0% | 64 | | pg2507 | 3.0% | 2 | 1.5% | 10 | 2.0% | 8 | | sc2508 | 2.8% | 3 | 2.3% | 1 | 4.7% | 1 | | eb2507 | 2.5% | 4 | 1.6% | 8 | 2 ...

先锋期货期权日报 2025-6-16 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 | | | ad2511 | 32.0% | 1 | 0.0% | 64 | 0.0% | 65 | | pg2507 | 3.3% | 2 | 1.6% | 10 | 2.9% | 8 | | sc2508 | 2.8% | 3 | 2.3% | 1 | 3.1% | 6 | | eb2507 | 2.6% | 4 | 1.6% | 9 | 2 ...

Group 1: Report Summary - The report is the Pioneer Futures Options Daily Report dated June 13, 2025, presenting data on option targets' volatility and detailed information on various options across multiple exchanges [1] Group 2: Option Target Volatility Ranking - A table ranks option targets based on at - the - money option implied volatility, 30 - day historical volatility, and daily true range. For example, ad2511 has an implied volatility of 32.0% ranking 1st, sc2508 has a 30 - day historical volatility of 2.4% ranking 2nd, and sc2508 has a daily true range of 8.5% ranking 1st [3] - The table provides guidance for different types of traders. Trend traders can focus on targets with high implied volatility rankings, option sellers can consider the difference between implied and historical volatility rankings, and intraday traders can pay attention to targets with high daily true range rankings [6] Group 3: Exchange - Specific Option Information 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - The T - type quotation table shows the prices of call and put options at different strike prices and expiration months. The trading volume of the main options is 712,685 lots, the open interest is 1,003,830 lots, the volume ratio of call to put options is 1.07, and the weighted average implied volatility is 13.15% [19][22] - For volatility trading, different implied volatility curves are presented, and the trading advice is to sell options with higher curves and buy those with lower curves, either across different months or within the same month [26] - In risk - free arbitrage, with settlement price transactions, the optimal arbitrage portfolio held to maturity has a minimum annualized return of 20.9%; with counter - price transactions, it is 4.11% [29][31] 3.1.2 Huatai - Berry SSE 300ETF - The T - type quotation table shows option prices. The trading volume of the main options is 627,180 lots, the open interest is 805,897 lots, the volume ratio of call to put options is 1.01, and the weighted average implied volatility is 14.06% [32][34] - Similar to the Shanghai 50ETF, volatility trading advice is based on implied volatility curves. For risk - free arbitrage, the minimum annualized return is 15.9% with settlement price transactions and 3.27% with counter - price transactions [38][41][43] 3.1.3 Southern CSI 500ETF - The T - type quotation table shows option prices. The trading volume of the main options is 1,219,237 lots, the open interest is 891,907 lots, the volume ratio of call to put options is 0.76, and the weighted average implied volatility is 17.14% [44][46] - Volatility trading follows the same curve - based advice. In risk - free arbitrage, the minimum annualized return is 33.7% with settlement price transactions and 6.31% with counter - price transactions [47][51][53] 3.1.4 Huaxia SSE STAR 50ETF - The T - type quotation table shows option prices. The trading volume of the main options is 346,522 lots, the open interest is 1,043,619 lots, the volume ratio of call to put options is 1.1, and the weighted average implied volatility is 24.44% [54][56] - Volatility trading advice is based on implied volatility curves. For risk - free arbitrage, the minimum annualized return is 40.3% with settlement price transactions and 5.83% with counter - price transactions [60][63][65] 3.1.5 E Fund SSE STAR 50ETF - The T - type quotation table shows option prices. The trading volume of the main options is 103,497 lots, the open interest is 305,485 lots, the volume ratio of call to put options is 1.16, and the weighted average implied volatility is 26.07% [66][68] - Volatility trading advice is consistent with other options, and specific risk - free arbitrage data is not provided in the given text [72] 3.2 Shenzhen Stock Exchange Options - The report's table of contents lists options such as嘉实沪深 300ETF, E Fund ChiNext ETF,嘉实中证 500ETF, and E Fund Shenzhen 100ETF, including basic information, volatility trading, and risk - free arbitrage, but detailed data is not fully presented in the provided text [9] 3.3 China Financial Futures Exchange Options - Options like SSE 300, CSI 1000, and SSE 50 are listed in the table of contents, covering basic information, volatility trading, and risk - free arbitrage, with incomplete detailed data in the provided text [9] 3.4 Zhengzhou Commodity Exchange Options - Options such as sugar, cotton, PTA, methanol, etc. are included in the table of contents, with details on basic information, volatility trading, and risk - free arbitrage, but specific data is not fully shown [10] 3.5 Dalian Commodity Exchange Options - Options like soybean meal, corn, iron ore, etc. are listed in the table of contents, with information on basic information, volatility trading, and risk - free arbitrage, and detailed data is not fully presented [13] 3.6 Shanghai Futures Exchange Options - Options such as copper, rubber, gold, etc. are included in the table of contents, with details on basic information, volatility trading, and risk - free arbitrage, but specific data is not fully provided [15] 3.7 Shanghai International Energy Exchange Options - Crude oil options are listed in the table of contents, including basic information, volatility trading, and risk - free arbitrage, with incomplete detailed data [17] 3.8 Guangzhou Futures Exchange Options - Options such as industrial silicon, lithium carbonate, and polysilicon are included in the table of contents, with details on basic information, volatility trading, and risk - free arbitrage, but specific data is not fully shown [18]

先锋期货期权日报 2025-6-12 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天厅 | 排名 | 标的当 = | 排名 | | --- | --- | --- | --- | --- | --- | --- | | | 含液动率 | | F YF ZT Z | | 真实液幅 | | | ad2511 | 32.0% | 1 | 0.0% | ર્ણ | 0.0% | ર્ણ | | sc2508 | 2.0% | 2 | 2.0% | 3 | 4.2% | 1 | | br2507 | 1.9% | 3 | 1.9% | 5 | 2.9% | 2 | | ao2507 | 1.9% | 4 | 2.4% | l ...

1. Report Information - Report Name: Pioneer Futures Option Daily Report [1] - Date: June 11, 2025 [1] 2. Option Volatility Ranking 2.1 Volatility Data - The report provides the implied volatility, 30 - day historical volatility, and real - time volatility of various option targets, including sc2507, br2507, etc. For example, sc2507 has an implied volatility of 2.4%, a 30 - day historical volatility of 2.0%, and a real - time volatility of 1.7% [3]. 2.2 Volatility Analysis - Implied volatility reflects market expectations of future fluctuations. Higher values indicate a greater likelihood of significant market movements, which is of interest to trend traders. - The 30 - day historical volatility reflects past actual market movements. If it is lower than the implied volatility, option prices may be relatively high, which is relevant for option sellers. - Real - time volatility reflects the intraday market movement, which is important for intraday traders [6]. 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: On the reporting day, the trading volume of the main Shanghai 50ETF options was 717,671 contracts, the open interest was 1,002,999 contracts, the trading volume ratio of call options to put options was 1.25, and the weighted - average implied volatility was 13.12% [22]. - **Volatility Trading**: Different execution prices and different months have different implied volatility curves. The trading suggestion is to sell options with higher - position curves and buy those with lower - position curves [26]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.43% at the settlement price and 0.84% at the counter - price [32][33]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options was 672,788 contracts, the open interest was 837,164 contracts, the trading volume ratio of call options to put options was 1.34, and the weighted - average implied volatility was 13.82% [36]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options with higher - position curves and buy those with lower - position curves [40]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 3.52% at the settlement price and 0.35% at the counter - price [43][45]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options was 972,339 contracts, the open interest was 886,322 contracts, the trading volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 16.06% [48]. - **Volatility Trading**: Follow the rule of selling high - curve options and buying low - curve options [52]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 39.4% at the settlement price and 8.66% at the counter - price [55][57]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options was 284,026 contracts, the open interest was 1,041,625 contracts, the trading volume ratio of call options to put options was 1.57, and the weighted - average implied volatility was 23.74% [60]. - **Volatility Trading**: Adopt the strategy of selling high - curve options and buying low - curve options [62]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 22.0% at the settlement price and 4.93% at the counter - price [66][68]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options was 77,318 contracts, the open interest was 296,583 contracts, the trading volume ratio of call options to put options was 1.19, and the weighted - average implied volatility was 22.72% [71]. - **Volatility Trading**: Use the strategy of selling high - curve options and buying low - curve options [75]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 28.7% at the settlement price and 3.33% at the counter - price [78][80]. Other exchanges such as the Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange also have corresponding option analysis in the table of contents, but specific data is not provided in the given text.

先锋期货期权日报 2025-6-9 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 | | 中波动画 | | 真实波幅 | | | sc2507 | 2.5% | 1 | 2.1% | 3 | 2.3% | 10 | | fg507 | 2.1% | 2 | 1.6% | 12 | 2.1% | 14 | | ag2507 | 2.1% | 3 | 1.4% | 14 | 1.4% | 24 | | ao2507 | 2.1% | 4 | 2.6% | 1 | 2.7% | ...