1. Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: September 25, 2025 [1] 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][4]. - The top 5 underlying assets in terms of at-the-money option implied volatility are ps2511 (2.8%), lc2511 (2.8%), 科创板50etf10月 (2.7%), 科创50etf10月 (2.7%), and fg511 (2.4%) [3]. - The top 5 underlying assets in terms of daily true range are fg511 (3.9%), cu2511 (3.7%), 创业板etf10月 (3.3%), eg2511 (3.3%), and cj601 (3.1%) [3][4]. 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF Options - **Basic Information**: The trading volume of the main SSE 50 ETF options on the day was 611,884 lots, the open interest was 789,870 lots, the trading volume ratio of call options to put options was 1.64, and the weighted average implied volatility was 16.8% [20]. - **Volatility Trading**: Different months - sell the month with the upper curve and buy the month with the lower curve; same month - sell the option with the upper point on the curve and buy the option with the lower point [24]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 2.42% at the settlement price and 1.71% at the counter - price [26][29]. 3.1.2 Huatai - Berry SSE CSI 300 ETF Options - **Basic Information**: The trading volume of the main Huatai - Berry SSE CSI 300 ETF options on the day was 799,889 lots, the open interest was 662,979 lots, the trading volume ratio of call options to put options was 1.5, and the weighted average implied volatility was 16.7% [33]. - **Volatility Trading**: Similar trading suggestions as SSE 50 ETF options [40]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 2.99% at the settlement price and 0.92% at the counter - price [42][44]. 3.1.3 Southern CSI 500 ETF Options - **Basic Information**: The trading volume of the main Southern CSI 500 ETF options on the day was 1,128,399 lots, the open interest was 565,282 lots, the trading volume ratio of call options to put options was 1.16, and the weighted average implied volatility was 22.04% [47]. - **Volatility Trading**: Similar trading suggestions as above [50]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 38.2% at the settlement price and 8.18% at the counter - price [54][56]. 3.1.4 Huaxia SSE STAR 50 ETF Options - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50 ETF options on the day was 1,182,457 lots, the open interest was 855,724 lots, the trading volume ratio of call options to put options was 1.8, and the weighted average implied volatility was 41.28% [59]. - **Volatility Trading**: Similar trading suggestions as above [61]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 39.8% at the settlement price and 8.38% at the counter - price [65][67]. 3.1.5 E Fund SSE STAR 50 ETF Options - **Basic Information**: The trading volume of the main E Fund SSE STAR 50 ETF options on the day was 250,934 lots, the open interest was 228,226 lots, the trading volume ratio of call options to put options was 2.61, and the weighted average implied volatility was 41.03% [70]. - **Volatility Trading**: Similar trading suggestions as above [74]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 45.0% at the settlement price and 11.0% at the counter - price [77][79].

先锋期货期权日报 2025-9-1 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 | | | ps2509 | 4.9% | 1 | 4.3% | 1 | 4.1% | 3 | | lc2509 | 3.6% | 2 | 3.7% | 3 | 2.9% | 7 | | si2509 | 3.4% | 3 | 3.3% | 4 | 5.0% | 2 | | fg509 | 2.6% | 4 | 4.2% | 2 | 2.3% | ...

1. Report Information - Report Title: Pioneer Futures Options Daily Report [1] - Report Date: August 25, 2025 [1] 2. Option Volatility Ranking 2.1 Ranking Table | Target | At - the - money Option Implied Volatility | Rank | 30 - day Historical Volatility of the Target | Rank | Daily True Range of the Target | Rank | | --- | --- | --- | --- | --- | --- | --- | |科创50etf8月|5.0%|1|2.3%|7|5.3%|2| |科创板50etf8月|4.9%|2|2.4%|6|5.4%|1| |ps2510|3.7%|3|3.5%|2|3.4%|7| |lc2510|3.4%|4|4.0%|1|3.8%|3| |si2510|3.0%|5|3.0%|3|3.1%|8| |创业板etf8月|3.0%|6|1.6%|11|3.6%|5| |深证100etf8月|2.3%|7|1.1%|23|2.5%|11| |br2510|2.2%|8|1.5%|14|3.6%|4| |jd2510|2.1%|9|1.0%|31|1.5%|33| |fg510|2.1%|10|2.6%|4|3.5%|6| |ao2510|2.1%|11|2.0%|9|2.6%|10| |中证500etf8月|2.1%|12|1.1%|26|2.1%|16| |500etf8月|2.1%|13|1.0%|30|2.1%|17| |sh510|2.0%|14|1.5%|13|2.3%|13| |sa510|2.0%|15|2.5%|5|1.8%|25| |沪深300etf8月|2.0%|16|0.9%|35|2.1%|19| |sc2510|1.9%|17|1.3%|17|1.0%|52| |50etf8月|1.9%|18|0.9%|34|2.0%|22| |px510|1.8%|19|1.0%|29|1.3%|39| |mo2509|1.8%|20|1.0%|32|1.9%|24| |300etf8月|1.7%|21|0.9%|36|2.0%|21| |ho2509|1.7%|22|0.9%|37|2.0%|20| |cj601|1.7%|23|1.4%|15|2.3%|12| |ag2510|1.7%|24|1.1%|22|2.8%|9| |ni2510|1.6%|25|0.7%|47|1.0%|51| |sf510|1.6%|26|2.2%|8|1.4%|35| |ap510|1.6%|27|0.9%|39|1.6%|27| |io2509|1.6%|28|0.8%|40|2.1%|18| |sn2510|1.5%|29|0.6%|51|1.9%|23| |p2510|1.5%|30|1.0%|27|1.4%|37| |ur510|1.4%|31|1.3%|18|0.9%|56| |ru2601|1.4%|32|1.2%|19|2.2%|14| |sm510|1.4%|33|1.8%|10|1.4%|36| |rb2510|1.4%|34|1.4%|16|1.5%|31| |ta510|1.3%|35|1.0%|28|1.5%|30| |rm511|1.3%|36|1.5%|12|1.6%|26| |bz2603|1.2%|37|0.6%|52|0.6%|63| |pg2510|1.2%|38|0.9%|33|1.5%|32| |i2510|1.2%|39|1.1%|25|2.2%|15| |eb2510|1.2%|40|0.8%|42|1.6%|28| |lh2511|1.1%|41|0.8%|45|1.3%|40| |ma510|1.1%|42|1.2%|20|1.0%|50| |pf510|1.1%|43|0.9%|38|1.1%|47| |au2510|1.1%|44|0.5%|56|1.3%|41| |cu2510|1.0%|45|0.5%|58|1.5%|29| |b2510|1.0%|46|0.8%|44|0.9%|55| |oi511|1.0%|47|1.1%|24|1.0%|48| |v2510|0.9%|48|1.1%|21|1.2%|42| |lg2511|0.9%|49|0.8%|43|1.2%|45| |pr512|0.9%|50|0.7%|50|0.9%|53| |pb2510|0.9%|51|0.4%|62|0.8%|60| |m2511|0.9%|52|0.8%|41|1.4%|34| |zn2510|0.9%|53|0.6%|53|1.2%|43| |eg2510|0.8%|54|0.7%|46|0.8%|59| |pk510|0.8%|55|0.3%|65|1.2%|46| |y2511|0.8%|56|0.7%|48|1.2%|44| |al2510|0.7%|57|0.4%|63|0.9%|57| |ad2511|0.7%|58|0.3%|64|0.8%|58| |l2510|0.7%|59|0.5%|55|0.6%|64| |a2511|0.7%|60|0.7%|49|0.8%|61| |cf511|0.6%|61|0.5%|54|1.0%|49| |c2511|0.6%|62|0.4%|61|1.3%|38| |cs2511|0.6%|63|0.5%|57|0.9%|54| [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 probability of significant market movements. Trend traders can focus on the top - ranked varieties. - The 30 - day historical volatility of the target reflects the actual past market movements of the variety. If this 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 daily true range of the target reflects the intraday market movements of the variety. Intraday traders can focus on the top - ranked varieties [6] 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options on this day was 1,221,294 contracts, the open interest was 706,054 contracts, the trading volume ratio of call options to put options was 2.16, and the weighted average implied volatility was 38.23% [21] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [23] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 128%; when trading at the counter - price, it is 26.0% [27][29] 3.1.2 Huatai - Berry SSE 300 ETF - **Basic Information**: The trading volume of the Huatai - Berry SSE 300 ETF's main options on this day was 1,129,506 contracts, the open interest was 455,848 contracts, the trading volume ratio of call options to put options was 1.87, and the weighted average implied volatility was 29.67% [32] - **Volatility Trading**: Similar to the SSE 50 ETF, for different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [37] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 34.2%; when trading at the counter - price, it is 11.8% [39][41] 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the Southern CSI 500 ETF's main options on this day was 1,690,014 contracts, the open interest was 603,757 contracts, the trading volume ratio of call options to put options was 1.56, and the weighted average implied volatility was 32.05% [44] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [46] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 161%; when trading at the counter - price, it is 21.1% [50][52] 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the Huaxia SSE STAR 50 ETF's main options on this day was 1,815,057 contracts, the open interest was 750,981 contracts, the trading volume ratio of call options to put options was 2.11, and the weighted average implied volatility was 75.14% [55] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [58] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 351%; when trading at the counter - price, it is 63.6% [61][63] 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the E Fund SSE STAR 50 ETF's main options on this day was 429,587 contracts, the open interest was 249,455 contracts, the trading volume ratio of call options to put options was 2.27, and the weighted average implied volatility was 79.05% [66] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [71] - **Risk - free Arbitrage**: No specific data provided in the report 3.2 Shenzhen Stock Exchange Options - **Options Include**:嘉实沪深 300ETF, E Fund ChiNext ETF,嘉实中证 500ETF, E Fund SZSE 100 ETF. The report only provides the directory, and no detailed data is given for these options [8][9] 3.3 CFFEX Options - **Options Include**: SSE 300, CSI 1000, SSE 50. The report only provides the directory, and no detailed data is given for these options [9] 3.4 Zhengzhou Commodity Exchange Options - **Options Include**: Sugar, Cotton, PTA, Methanol, Rapeseed Meal, Steam - coal, Peanut, Rapeseed Oil, p - Xylene, Caustic Soda, Staple Fiber, Soda Ash, Urea, Manganese Silicon, Ferrosilicon, Apple, Red Date, Glass, Bottle Chip. The report only provides the directory, and no detailed data is given for these options [10][11][12] 3.5 Dalian Commodity Exchange Options - **Options Include**: Soybean Meal, Corn, Iron Ore, LPG, LLDPE, PVC, PP, Palm Oil, Soybean No.1, Soybean No.2, Soybean Oil, Ethylene Glycol, Styrene, Egg, Corn Starch, Live Pig, Log, Pure Benzene. The report only provides the directory, and no detailed data is given for these options [13][14][15] 3.6 Shanghai Futures Exchange Options - **Options Include**: Copper, Rubber, Gold, Aluminum, Zinc, Silver, Rebar, Synthetic Rubber, Lead, Tin, Alumina, Cast Aluminum Alloy. The report only provides the directory, and no detailed data is given for these options [16][17] 3.7 Shanghai International Energy Exchange Options - **Options Include**: Crude Oil. The report only provides the directory, and no detailed data is given for this option [17] 3.8 Guangzhou Futures Exchange Options - **Options Include**: Industrial Silicon, Lithium Carbonate, Polysilicon. The report only provides the directory, and no detailed data is given for these options [18]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the daily option data of various underlying assets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time volatility of the day. It also provides trading suggestions for volatility trading and the minimum annualized return for risk - free arbitrage of different options on the Shanghai Stock Exchange, Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange [3][6][25]. 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 the Shanghai 50ETF on the day was 1,230,718 lots, the open interest was 810,259 lots, the trading volume ratio of call options to put options was 1.83, and the weighted average implied volatility was 21.41% [21]. - **Volatility Trading**: Different months - sell the month with the curve above and buy the month with the curve below; same month - sell the option with the point above the curve and buy the option with the point below the curve [25]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 31.8% at the settlement price and 3.10% at the counter - price [28][30]. 3.1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - **Basic Information**: The trading volume of the main options of the 300ETF on the day was 1,081,531 lots, the open interest was 543,409 lots, the trading volume ratio of call options to put options was 1.8, and the weighted average implied volatility was 18.78% [34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the curve above and buy the curve below for different months, and sell the point above and buy the point below for the same month [38]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 21.8% at the settlement price and 8.44% at the counter - price [41][43]. 3.1.3 Southern China Securities 500ETF - **Basic Information**: The trading volume of the main options of the 500ETF on the day was 1,649,826 lots, the open interest was 707,570 lots, the trading volume ratio of call options to put options was 1.39, and the weighted average implied volatility was 23.45% [46]. - **Volatility Trading**: The same trading suggestions as above [48]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 27.7% at the settlement price and 1.69% 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 Science and Technology Innovation 50ETF on the day was 2,147,328 lots, the open interest was 710,562 lots, the trading volume ratio of call options to put options was 2.36, and the weighted average implied volatility was 54.24% [57]. - **Volatility Trading**: Follow the general volatility trading suggestions [61]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 47.2% at the settlement price and 5.91% at the counter - price [64][66]. 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the Science and Technology Innovation 50ETF on the day was 560,522 lots, the open interest was 249,762 lots, the trading volume ratio of call options to put options was 2.07, and the weighted average implied volatility was 50.01% [69]. - **Volatility Trading**: Adopt the same volatility trading strategies [71]. - **Risk - Free Arbitrage**: No specific data provided in the text. 3.2 Other Exchanges' Options The report also lists the options on 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, including basic information, volatility trading, and risk - free arbitrage for each underlying asset, but detailed data for some parts are not fully presented in the provided text [8][9][10][11][12][13][14][15][16][17][18].

Report Industry Investment Rating No relevant information provided. Core Viewpoints No clear core viewpoints are presented in the given text. The report mainly provides data on various option products, including their prices, trading volumes, open interests, and implied volatilities, along with some trading suggestions for volatility trading and no - risk arbitrage. 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 918,708 lots, the open interest was 930,895 lots, the trading volume ratio of call options to put options was 1.54, and the weighted - average implied volatility was 18.03% [22]. - **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 [24]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.7% at the settlement price and 2.00% at the counter - price [28][30]. 1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options on the day was 854,566 lots, the open interest was 628,127 lots, the trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 18.05% [34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month with the curve above and buy the month with the curve below for different months; sell options with points above the curve and buy options with points below the curve for the same month [38]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 20.2% at the settlement price and 1.61% at the counter - price [41][43]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on the day was 1,394,196 lots, the open interest was 759,763 lots, the trading volume ratio of call options to put options was 1.29, and the weighted - average implied volatility was 22.49% [46]. - **Volatility Trading**: The same trading suggestions as above for different and same months [48]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.3% at the settlement price and 2.89% at the counter - price [52][54]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main Huaxia Shanghai Science and Technology Innovation 50ETF options on the day was 1,002,164 lots, the open interest was 769,146 lots, the trading volume ratio of call options to put options was 2.24, and the weighted - average implied volatility was 33.28% [57]. - **Volatility Trading**: Follow the same rules for different and same months [62]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 56.2% at the settlement price and 8.08% at the counter - price [64][66]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main E Fund Shanghai Science and Technology Innovation 50ETF options on the day was 225,524 lots, the open interest was 264,533 lots, the trading volume ratio of call options to put options was 2.71, and the weighted - average implied volatility was 33.47% [68]. - **Volatility Trading**: Adopt the same trading suggestions for different and same months [73].

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

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

Report Information - Report Name: Pioneer Futures Options Daily Report - Report Date: July 29, 2025 - Data Sources: IfinD, Pioneer Futures Investment Consulting Department, Shanghai Stock Exchange, Shenzhen Stock Exchange [3][5][19][32][78] Core Data Option Volatility Data - The report provides the at-the-money option implied volatility, 30-day historical volatility, and the real daily amplitude of various option underlying assets, such as ps2509, 1c2509, si2509, etc. The at-the-money option implied volatility of fg509 ranks first at 4.4%, the 30-day historical volatility of fg509 ranks first at 4.4%, and the real daily amplitude of fg509 ranks first at 7.4% [3]. Option Trading Data - For Shanghai Stock Exchange options: - The trading volume of the main options of SSE 50ETF is 581,375 contracts, the open interest is 773,202 contracts, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 16.7% [21]. - The trading volume of the main options of Huatai-PineBridge CSI 300ETF is 548,486 contracts, the open interest is 628,301 contracts, the trading volume ratio of call options to put options is 1.4, and the weighted average implied volatility is 16.95% [33]. - The trading volume of the main options of Southern CSI 500ETF is 932,611 contracts, the open interest is 610,204 contracts, the trading volume ratio of call options to put options is 1.47, and the weighted average implied volatility is 18.65% [45]. - The trading volume of the main options of Huaxia SSE STAR 50 ETF is 605,611 contracts, the open interest is 890,446 contracts, the trading volume ratio of call options to put options is 1.79, and the weighted average implied volatility is 28.07% [57]. - The trading volume of the main options of E Fund SSE STAR 50 ETF is 133,499 contracts, the open interest is 249,375 contracts, the trading volume ratio of call options to put options is 2.07, and the weighted average implied volatility is 28.99% [68]. - For Shenzhen Stock Exchange options: - The trading volume of the main options of Harvest CSI 300ETF is 87,277 contracts, the open interest is 103,161 contracts, the trading volume ratio of call options to put options is 1.92, and the weighted average implied volatility is 17.9% [81]. Core Views - The at-the-money option implied volatility reflects the market's expectation of the future volatility of the underlying asset. A higher value indicates a greater possibility of significant market movements, which trend traders can focus on. - The 30-day historical volatility reflects the actual past market movements of the underlying asset. If this value is smaller than the implied volatility, it may suggest that the option price is relatively expensive, which option sellers can pay attention to. - The real daily amplitude reflects the intraday market movements of the underlying asset, which intraday traders can focus on [6]. Directory Summary 1. Shanghai Stock Exchange Options - **SSE 50ETF**: - **Basic Information**: The report provides the T - type quotation table of SSE 50ETF options, including call and put option prices at different strike prices and expiration months, as well as trading volume, open interest, and implied volatility data [19][21]. - **Volatility Trading**: Suggestions are to sell options in months with higher volatility curves and buy those in months with lower curves; sell options above the curve and buy those below the curve within the same month [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.84% at the settlement price and 1.71% at the counter - party price [27][29]. - **Huatai - PineBridge CSI 300ETF**: - **Basic Information**: The T - type quotation table of Huatai - PineBridge CSI 300ETF options is provided, along with trading volume, open interest, and implied volatility data [30][33]. - **Volatility Trading**: Similar trading suggestions as SSE 50ETF [36]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.91% at the settlement price and 0.47% at the counter - party price [40][42]. - **Southern CSI 500ETF**: - **Basic Information**: The T - type quotation table of Southern CSI 500ETF options is provided, along with trading volume, open interest, and implied volatility data [43][45]. - **Volatility Trading**: Similar trading suggestions as above [49]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.8% at the settlement price and 8.78% at the counter - party price [52][54]. - **Huaxia SSE STAR 50 ETF**: - **Basic Information**: The T - type quotation table of Huaxia SSE STAR 50 ETF options is provided, along with trading volume, open interest, and implied volatility data [55][57]. - **Volatility Trading**: Similar trading suggestions as above [59]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.21% at the settlement price and 1.28% at the counter - party price [63][65]. - **E Fund SSE STAR 50 ETF**: - **Basic Information**: The T - type quotation table of E Fund SSE STAR 50 ETF options is provided, along with trading volume, open interest, and implied volatility data [66][68]. - **Volatility Trading**: Similar trading suggestions as above [72]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.96% at the settlement price and 1.83% at the counter - party price [75][77]. 2. Shenzhen Stock Exchange Options - **Harvest CSI 300ETF**: - **Basic Information**: The T - type quotation table of Harvest CSI 300ETF options is provided, along with trading volume, open interest, and implied volatility data [78][81]. - **Volatility Trading**: Similar trading suggestions as above [85]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.69% at the settlement price and 0.15% at the counter - party price [89][91].

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].

Group 1: Report Overview - Report Title: Cotton and Cotton Yarn Daily Report, July 2, 2024 [2] - Researcher: Liu Qiannan [2] Group 2: Market Information Futures Market - CF01 contract closed at 13,820 with a gain of 65, trading volume of 53,324 (up 7,010), and open interest of 193,529 (up 2,882) [3] - CF05 contract closed at 13,805 with a gain of 60, trading volume of 945 (down 342), and open interest of 8,232 (up 222) [3] - CF09 contract closed at 13,805 with a gain of 60, trading volume of 182,581 (down 6,222), and open interest of 560,465 (down 2,771) [3] - CY01 contract closed at 20,085 with a loss of 75, trading volume of 2 (up 2), and open interest of 79 (unchanged) [3] - CY05 contract closed at 20,090 with a gain of 40, trading volume of 2 (up 2), and open interest of 2 (unchanged) [3] - CY09 contract closed at 20,075 with a gain of 30, trading volume of 7,387 (up 52), and open interest of 22,405 (up 382) [3] Spot Market - CCIndex3128B was priced at 15,163 yuan/ton, up 9 [3] - Cot A was priced at 78.90 cents/pound, down 1.25 [3] - FC Index:M: CIF was priced at 77.44, down 1.08 [3] - Polyester staple fiber was priced at 7,450 yuan/ton, up 70 [3] - Viscose staple fiber was priced at 12,600 yuan/ton, unchanged [3] Spreads - Cotton inter - month spreads: 1 - 5 spread was 15 (up 5), 5 - 9 spread was 0 (unchanged), 9 - 1 spread was - 15 (down 5) [3] - Cotton yarn inter - month spreads: 1 - 5 spread was - 5 (down 115), 5 - 9 spread was 15 (up 10), 9 - 1 spread was - 10 (up 105) [3] - Cross - variety spreads: CY01 - CF01 was 6,265 (down 140), CY05 - CF05 was 6,285 (down 20), CY09 - CF09 was 6,270 (down 30) [3] - Domestic - foreign spreads: 1% tariff cotton spread was 1,221 (up 169), sliding - scale tariff cotton spread was 582 (up 96), domestic - foreign yarn spread was - 1,505 (down 663) [3] Group 3: Market News and Views Cotton Market News - As of June 23, 2025, India's cotton planting area in the 2025/26 season was 5.466 million hectares, 531,000 hectares lower than the same period last year, with a planting target of 12.95 million hectares [6] - CAI's latest report shows that as of May 31, 2025, compared with last month's assessment, India's 2024/25 cotton balance sheet had an output increase of 170,000 tons, import increase of 100,000 tons, demand decrease of 30,000 tons, export increase of 30,000 tons, and ending inventory increase of 270,000 tons [6] - As of June 29, the cotton planting rate in 15 major US cotton - growing states was 95%, 2 percentage points slower than last year and 3 percentage points slower than the five - year average; the squaring rate was 40%, 1 percentage point slower than last year and 3 percentage points faster than the five - year average; the boll - setting rate was 9%, the same as last year and the five - year average; the good - to - excellent rate was 51%, 1 percentage point higher than last year and 4 percentage points higher than the five - year average [7] Trading Logic - Macro - level uncertainties in Sino - US trade relations and China's trade policies with other countries bring uncertainties to cotton prices. If the US eases its attitude towards China, it may be bullish for cotton prices [8] - On the cotton fundamentals side, China's current low commercial cotton inventory may lead to a supply - tight situation before the new cotton harvest if the current de - stocking rate continues, which could make cotton prices oscillate slightly stronger [8] Trading Strategies - Unilateral: US cotton is expected to oscillate slightly stronger, and Zhengzhou cotton is expected to be slightly stronger in the short term [9] - Arbitrage: Hold a wait - and - see attitude [10] - Options: Sell put options [11] Cotton Yarn Industry News - The pure - cotton yarn market remains weak, with downstream buyers adopting a wait - and - see attitude due to large cotton price fluctuations. Spinning mills are suffering losses, inventory is accumulating, and production cuts are increasing. Short - term yarn prices are expected to be stable or slightly decline [11] - The all - cotton grey fabric market is in the off - season, with small domestic orders. Weaving mills lack confidence in price increases, and the market is expected to remain weak in July [13] Group 4: Options Option Data - On July 2, 2025, the CF509C13800.CZC option had a closing price of 198, a gain of 88.6%, an implied volatility of 9.9%, and other relevant option Greeks [14] - The CF509P13600.CZC option had a closing price of 103, a loss of 34.8%, an implied volatility of 9.9%, and relevant Greeks [14] - The CF509P13000.CZC option had a closing price of 21, a loss of 81.6%, an implied volatility of 12.3%, and relevant Greeks [14] Volatility and Strategy - The 30 - day HV of cotton decreased slightly. The PCR of the main Zhengzhou cotton contract's open interest was 0.9445, and the PCR of trading volume was 0.5684, with both call and put trading volumes decreasing. The option strategy is to sell put options [14][15][16] Group 5: Related Attachments - The report includes graphs such as the 1% tariff domestic - foreign cotton price spread, cotton basis for January, May, and September, CY - CF spreads, and CF inter - month spreads [16][20][21]