先锋期货期权日报 2025-11-19 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 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | lc2601 | 3.5% | 1 | 3.0% | 1 | 6.6% | 1 | | ps2601 | 2.7% | 2 | 2.3% | 3 | 5.1% | 3 | | si2601 | 2.4% | 3 | 1.6% | 9 | 6.5% | 2 | | ag2512 | 2.2% | 4 | 2.3% | 2 | 3.9% ...

先锋期货期权日报 2025-11-17 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 | | | fg512 | 3.4% | 1 | 1.7% | 9 | 3.4% | 2 | | lc2601 | 2.5% | 2 | 2.2% | 1 | 5.7% | 1 | | ps2601 | 2.5% | 3 | 2.0% | 6 | 2.8% | 8 | | sc2512 | 2.4% | 4 | 1.3% | 21 | 1.4% ...

Report Summary This report is the Pioneer Futures Options Daily Report for November 10, 2025, presenting data on option targets' volatility and detailed information on options from multiple exchanges, including basic info, volatility trading, and risk - free arbitrage. 1. Option Target Volatility Data - **Volatility Ranking Table**: The report provides a table ranking option targets by at - the - money implied volatility, 30 - day historical volatility, and daily true range. For example, fg512 ranks 1st in at - the - money implied volatility with 3.4%, while lc2601 ranks 1st in daily true range with 5.7% [3]. - **Volatility Explanation**: At - the - money implied volatility reflects market expectations of future fluctuations, 30 - day historical volatility shows past actual market movements, and daily true range indicates intraday market size. Trend traders can focus on targets with high at - the - money implied volatility rankings, option sellers can consider the difference between at - the - money implied and 30 - day historical volatility rankings, and intraday traders can pay attention to high daily true range rankings [6]. 2. Exchange - Specific Option Information 2.1 Shanghai Stock Exchange Options - **Basic Information**: For various ETFs like SSE 50 ETF, Huatai - Berry SSE 300 ETF, Southern CSI 500 ETF, etc., the report provides T - type quotation tables showing call and put option prices at different strike prices, as well as trading volume, open interest, call - put volume ratio, and weighted average implied volatility. For instance, the trading volume of SSE 50 ETF's main - contract options is 521,565 lots, open interest is 888,165 lots, call - put volume ratio is 1.32, and weighted average implied volatility is 14.95% [20][22]. - **Volatility Trading**: Volatility trading suggestions are to sell options in months with higher volatility curves and buy those in lower - curve months, and sell options with higher points on the curve and buy those with lower points within the same month [25]. - **Risk - Free Arbitrage**: The report calculates the minimum annualized return of the optimal arbitrage portfolio for each ETF option when trading at settlement price and counter - party price. For example, for SSE 50 ETF, the minimum annualized return at settlement price is 6.17%, and at counter - party price is 1.46% [29][31]. 2.2 Shenzhen Stock Exchange Options - **Basic Information**: Similar to the Shanghai Stock Exchange, it provides basic information for ETFs such as Harvest SSE 300 ETF and E Fund ChiNext ETF, including T - type quotation tables, trading volume, open interest, call - put volume ratio, and weighted average implied volatility. For example, the trading volume of Harvest SSE 300 ETF's main - contract options is 95,773 lots, open interest is 152,935 lots, call - put volume ratio is 1.11, and weighted average implied volatility is 16.67% [78][80]. - **Volatility Trading**: Offers the same volatility trading suggestions as the Shanghai Stock Exchange [87]. - **Risk - Free Arbitrage**: Calculates the minimum annualized return of the optimal arbitrage portfolio at settlement price and counter - party price. For example, for Harvest SSE 300 ETF, the minimum annualized return at settlement price is 24.3%, and at counter - party price is 2.34% [88][89].

1. Report Overview - Report Title: Pioneer Futures Options Daily Report - Report Date: November 7, 2025 [1] 2. Option Underlying Volatility Ranking 2.1 Ranking Table - The report provides a ranking table of option underlying volatility, including at - the - money option implied volatility, 30 - day historical volatility, and daily true range, along with their respective rankings for multiple option underlyings such as ps2601, lc2601, etc. [3][4] 2.2 Volatility Interpretation - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying. Larger values indicate a higher probability of significant market movements, which can be of interest to trend traders. - 30 - day historical volatility reflects the actual past price movements of the underlying. If its value is smaller than the implied volatility, it may suggest that option prices are relatively expensive, which can be considered by option sellers. - The daily true range reflects the intraday price movements of the underlying, and intraday traders can focus on the top - ranked varieties. [5] 3. Exchange - Specific 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 this day was 389,163 contracts, the open interest was 885,597 contracts, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 13.56%. A T - type quotation table of option prices at different strike prices was provided. [19][21] - **Volatility Trading**: Volatility trading suggestions were given, such as selling options in months with higher implied volatility curves and buying those in months with lower curves; selling options with points above the curve and buying those below the curve within the same month. [24][25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 7.02% when traded at the settlement price and 0.90% when traded at the counter - party price. [29][31] 3.1.2 Huatai - Peregrine CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options on this day was 556,898 contracts, the open interest was 782,003 contracts, the trading volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 14.97%. A T - type quotation table of option prices at different strike prices was provided. [32][34] - **Volatility Trading**: Similar volatility trading suggestions were given as for the Shanghai 50ETF. [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 12.3% when traded at the settlement price and 1.85% when traded at the counter - party price. [41][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on this day was 1,014,468 contracts, the open interest was 782,415 contracts, the trading volume ratio of call options to put options was 1.07, and the weighted - average implied volatility was 19.39%. A T - type quotation table of option prices at different strike prices was provided. [43][45] - **Volatility Trading**: Similar volatility trading suggestions were given. [50] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 47.4% when traded at the settlement price and 9.64% when traded at the counter - party price. [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main Huaxia Shanghai Science and Technology Innovation Board 50ETF options on this day was 662,205 contracts, the open interest was 1,207,182 contracts, the trading volume ratio of call options to put options was 1.21, and the weighted - average implied volatility was 33.73%. A T - type quotation table of option prices at different strike prices was provided. [55][56] - **Volatility Trading**: Similar volatility trading suggestions were given. [58] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 13.8% when traded at the settlement price and 2.73% when traded at the counter - party price. [62][63] 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main E Fund Shanghai Science and Technology Innovation Board 50ETF options on this day was 125,567 contracts, the open interest was 286,032 contracts, the trading volume ratio of call options to put options was 1.24, and the weighted - average implied volatility was 34.11%. A T - type quotation table of option prices at different strike prices was provided. [66][67] - **Volatility Trading**: Similar volatility trading suggestions were given. [69] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 25.6% when traded at the settlement price and 4.81% when traded at the counter - party price. [73][75] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Shenzhen 300ETF options on this day was 71,269 contracts, the open interest was 151,936 contracts, the trading volume ratio of call options to put options was 0.94, and the weighted - average implied volatility was 16.43%. A T - type quotation table of option prices at different strike prices was provided. [76][78] - **Volatility Trading**: Similar volatility trading suggestions were given. [85] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 15.1% when traded at the settlement price and 0.72% when traded at the counter - party price. [86][88] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on this day was 1,327,104 contracts, the open interest was 1,147,035 contracts, the trading volume ratio of call options to put options was 1.04, and the weighted - average implied volatility was 30.57%. A T - type quotation table of option prices at different strike prices was provided. [89][91] - **Volatility Trading**: Similar volatility trading suggestions were given. [93]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents the option market data of various underlying assets on November 5, 2025, including the volatility rankings of option underlying assets, and details the basic information, volatility trading, and risk - free arbitrage of 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. Summary by Directory 3.1 Option Market Volatility Ranking - The report lists the rankings of implied volatility, 30 - day historical volatility, and daily real volatility of multiple option underlying assets. For example, ps2512 ranks first in implied volatility with 3.0%, and the ChiNext ETF in November ranks first in daily real volatility with 3.5% [3]. - The implied volatility reflects the market's expectation of future fluctuations, the 30 - day historical volatility reflects past actual market conditions, and the daily real volatility reflects the intraday market size [5]. 3.2 Shanghai Stock Exchange Options 3.2.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 617,615 lots, the open interest is 923,189 lots, the trading volume ratio of call options to put options is 1.15, and the weighted average implied volatility is 15.3% [19][21]. - **Volatility Trading**: Suggest selling the options with higher curves (either different months or within the same month) and buying those with lower curves [26]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.30% at the settlement price and 1.82% at the counter - party price [29][31]. 3.2.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options is 844,891 lots, the open interest is 785,895 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 16.3% [32][34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options and buy low - curve options [42]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.7% at the settlement price and 3.38% at the counter - party price [43][44]. 3.2.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,371,819 lots, the open interest is 784,203 lots, the trading volume ratio of call options to put options is 1.09, and the weighted average implied volatility is 20.72% [45][47]. - **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 to maturity is 53.4% at the settlement price and 11.6% at the counter - party price [54][56]. 3.2.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options is 929,079 lots, the open interest is 1,226,025 lots, the trading volume ratio of call options to put options is 1.13, and the weighted average implied volatility is 36.41% [57][58]. - **Volatility Trading**: Sell high - curve options and buy low - curve options [62]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.2% at the settlement price and 4.26% at the counter - party price [65][67]. 3.2.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options is 152,265 lots, the open interest is 296,804 lots, the trading volume ratio of call options to put options is 1.47, and the weighted average implied volatility is 37.56% [70][71]. - **Volatility Trading**: Adopt the strategy of selling high - curve options and buying low - curve options [73]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 17.0% at the settlement price and 2.89% at the counter - party price [77][79]. 3.3 Shenzhen Stock Exchange Options 3.3.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options is 117,267 lots, the open interest is 157,869 lots, the trading volume ratio of call options to put options is 1.07, and the weighted average implied volatility is 17.57% [80][82]. - **Volatility Trading**: Sell high - curve options and buy low - curve options [88]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.8% at the settlement price and 2.62% at the counter - party price [90][91]. 3.3.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options is 1,771,559 lots, the open interest is 1,154,686 lots, the trading volume ratio of call options to put options is 1.22, and the weighted average implied volatility is 33.44% [92][94]. - **Volatility Trading**: Follow the rule of selling high - curve options and buying low - curve options [96].

1. Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: November 4, 2025 [1] 2. Option Underlying Market Volatility Ranking - The report provides a ranking of option underlying market volatility, including implied volatility of at - the - money options, 30 - day historical volatility, and daily true range for various option underlyings such as ps2512, lc2512, etc. [3][4] - Explanation of volatility indicators: At - the - money option implied volatility reflects market expectations of future volatility; 30 - day historical volatility reflects past actual market movements; daily true range reflects intraday market movements [5] 3. Directory Summary 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50ETF - **Basic Information**: Presents the T - type quotation table of SSE 50ETF options, including call and put option prices at different strike prices and expiration months. The trading volume of the main options is 620,628 lots, the open interest is 908,604 lots, the volume ratio of call to put options is 1.41, and the weighted average implied volatility is 15.48% [19][21] - **Volatility Trading**: Provides implied volatility curves of call options at different strike prices and deltas, and gives trading suggestions: sell the month with the upper curve and buy the month with the lower curve for different months; sell options with points above the curve and buy options with points below the curve for the same month [22][25] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.16% at the settlement price and 1.63% at the counter - price [28][30] 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: Presents the T - type quotation table of Huatai - Berry SSE 300ETF options. The trading volume of the main options is 758,603 lots, the open interest is 760,840 lots, the volume ratio of call to put options is 1.26, and the weighted average implied volatility is 16.59% [31][33] - **Volatility Trading**: Similar to SSE 50ETF, provides implied volatility curves and trading suggestions [34][37] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.58% at the settlement price and 1.99% at the counter - price [40][41] 3.1.3 Southern CSI 500ETF - **Basic Information**: Presents the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main options is 1,395,214 lots, the open interest is 787,917 lots, the volume ratio of call to put options is 0.97, and the weighted average implied volatility is 21.25% [42][44] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [45][46] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.4% at the settlement price and 8.91% at the counter - price [50][52] 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: Presents the T - type quotation table of Huaxia SSE STAR 50ETF options. The trading volume of the main options is 892,069 lots, the open interest is 1,190,316 lots, the volume ratio of call to put options is 1.32, and the weighted average implied volatility is 37.68% [53][55] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [56][59] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.4% at the settlement price and 0.99% at the counter - price [62][63] 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 138,409 lots, the open interest is 290,526 lots, the volume ratio of call to put options is 1.63, and the weighted average implied volatility is 37.89%. Presents the T - type quotation table [65][66] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [67][68] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.4% at the settlement price and 2.86% at the counter - price [72][74] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: Presents the T - type quotation table of Harvest SSE 300ETF options. The trading volume of the main options is 113,987 lots, the open interest is 156,678 lots, the volume ratio of call to put options is 1.29, and the weighted average implied volatility is 17.89% [75][77] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [78][79] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.4% at the settlement price and 2.70% at the counter - price [83][85] 3.2.2 E Fund ChiNext ETF - **Basic Information**: Presents the T - type quotation table of E Fund ChiNext ETF options. The trading volume of the main options is 1,532,022 lots, the open interest is 1,111,146 lots, the volume ratio of call to put options is 1.11, and the weighted average implied volatility is 33.38% [86][88] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [89][91] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.9% at the settlement price and 2.67% at the counter - price [94][96]

Group 1: Report Summary - The report is the Pioneer Futures Options Daily Report dated October 29, 2025, presenting data on option implied volatility, historical volatility, and real - time volatility of various underlying assets, along with information on different exchanges' option products [1][3] Group 2: Option Volatility Ranking - The table shows the ranking of at - the - money option implied volatility, 30 - day historical volatility, and daily real - time volatility of multiple underlying assets. For example, ps2512 has the highest at - the - money option implied volatility of 2.6% and the highest daily real - time volatility of 3.4% [3] Group 3: Explanation of Volatility Indicators - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset. Higher values suggest a greater likelihood of significant market movements. 30 - day historical volatility reflects the actual past price movements of the underlying asset. If it is lower than the implied volatility, the option price may be relatively high. The daily real - time volatility reflects the intraday price movements of the underlying asset [6] Group 4: Exchange - Specific Option Information 4.1 Shanghai Stock Exchange Options - **Shanghai 50ETF**: The trading volume of the main options is 405,811 lots, the open interest is 741,948 lots, the trading volume ratio of call options to put options is 1.57, and the weighted average implied volatility is 16.23%. Volatility trading and risk - free arbitrage strategies are provided, with the lowest annualized return of 6.48% for the optimal arbitrage portfolio at the settlement price and 0.87% at the counter - party price [20][22][28] - **Huatai - Baoying CSI 300ETF**: The trading volume of the main options is 555,860 lots, the open interest is 653,745 lots, the trading volume ratio of call options to put options is 1.36, and the weighted average implied volatility is 17.2%. The lowest annualized return of the optimal arbitrage portfolio is 3.89% at the settlement price and 1.00% at the counter - party price [30][33][41] - **Southern CSI 500ETF**: The trading volume of the main options is 1,125,835 lots, the open interest is 699,515 lots, the trading volume ratio of call options to put options is 1.21, and the weighted average implied volatility is 20.44%. The lowest annualized return of the optimal arbitrage portfolio is 33.9% at the settlement price and 7.21% at the counter - party price [44][46][52] - **Huaxia Shanghai Science and Technology Innovation Board 50ETF**: The trading volume of the main options is 844,973 lots, the open interest is 1,038,411 lots, the trading volume ratio of call options to put options is 1.78, and the weighted average implied volatility is 37.57%. The lowest annualized return of the optimal arbitrage portfolio is 17.6% at the settlement price and 3.96% at the counter - party price [55][57][63] - **E Fund Shanghai Science and Technology Innovation Board 50ETF**: The trading volume of the main options is 148,138 lots, the open interest is 252,084 lots, the trading volume ratio of call options to put options is 2.14, and the weighted average implied volatility is 37.4%. The lowest annualized return of the optimal arbitrage portfolio is 15.0% at the settlement price and 3.07% at the counter - party price [67][75] 4.2 Shenzhen Stock Exchange Options - **Harvest CSI 300ETF**: The trading volume of the main options is 70,155 lots, the open interest is 120,034 lots, the trading volume ratio of call options to put options is 1.86, and the weighted average implied volatility is 19.01%. The lowest annualized return of the optimal arbitrage portfolio is 12.1% at the settlement price and 0.23% at the counter - party price [78][80][88] - **E Fund ChiNext ETF**: The trading volume of the main options is 1,477,866 lots, the open interest is 953,760 lots, the trading volume ratio of call options to put options is 1.38, and the weighted average implied volatility is 35.11%. The lowest annualized return of the optimal arbitrage portfolio is 11.7% at the settlement price and 2.02% at the counter - party price [90][92][98]

Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: October 28, 2025 [1] Option Underlying Market Volatility Ranking - The report provides a ranking of option underlying market volatility, including implied volatility of at-the-money options, 30-day historical volatility, and daily true range for various underlying assets [3][4]. - For example, ps2512 has an implied volatility of 2.8%, ranking 1st; lc2512 has an implied volatility of 2.6%, ranking 2nd [3]. Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The report presents the T-type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices. The trading volume of the main options is 629,174 lots, the open interest is 729,512 lots, the volume ratio of call to put options is 1.19, and the weighted average implied volatility is 16.04% [19][21]. - **Volatility Trading**: Volatility trading suggestions are provided, such as 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 [22]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 2.72% when traded at the settlement price and 1.61% when traded at the counterparty price [26][28]. 1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The T-type quotation table of Huatai-PineBridge CSI 300ETF options is presented. The trading volume of the main options is 650,165 lots, the open interest is 630,680 lots, the volume ratio of call to put options is 1.21, and the weighted average implied volatility is 17% [29][31]. - **Volatility Trading**: Similar volatility trading suggestions are given [38]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 2.87% when traded at the settlement price and 0.02% when traded at the counterparty price [39][41]. 1.3 Southern CSI 500ETF - **Basic Information**: The T-type quotation table of Southern CSI 500ETF options is provided. The trading volume of the main options is 1,059,387 lots, the open interest is 690,068 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 20.53% [42][44]. - **Volatility Trading**: Volatility trading suggestions are similar to the above [48]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 34.5% when traded at the settlement price and 7.48% when traded at the counterparty price [51][53]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The T-type quotation table of Huaxia Shanghai Science and Technology Innovation 50ETF options is shown. The trading volume of the main options is 885,668 lots, the open interest is 987,813 lots, the volume ratio of call to put options is 1.63, and the weighted average implied volatility is 36.69% [54][55]. - **Volatility Trading**: Similar volatility trading suggestions are provided [61]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 8.84% when traded at the settlement price and 2.31% when traded at the counterparty price [63][65]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The T-type quotation table of E Fund Shanghai Science and Technology Innovation 50ETF options is presented. The trading volume of the main options is 153,032 lots, the open interest is 248,888 lots, the volume ratio of call to put options is 1.81, and the weighted average implied volatility is 36.8% [66][68]. - **Volatility Trading**: Similar volatility trading suggestions are given [70]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 14.3% when traded at the settlement price and 2.51% when traded at the counterparty price [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - **Basic Information**: The T-type quotation table of Harvest CSI 300ETF options is provided. The trading volume of the main options is 104,115 lots, the open interest is 122,101 lots, the volume ratio of call to put options is 1.62, and the weighted average implied volatility is 18.03% [77][79]. - **Volatility Trading**: Volatility trading suggestions are similar to the above [84].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the option market data of various underlying assets on October 27, 2025, including the T - type quotes, trading volume, open interest, and implied volatility of different options. It also provides volatility trading suggestions and no - risk arbitrage analysis for different underlying assets in the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc. [3][19][29] 3. Summary According to the Catalog 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 729,525 lots, the open interest is 697,585 lots, the trading volume ratio of call options to put options is 1.77, and the weighted average implied volatility is 16.49% [19][21]. - **Volatility Trading**: Suggestions are to sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [22]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 4.06% at the settlement price and 0.10% at the counter - price [26][28]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options is 757,818 lots, the open interest is 610,749 lots, the trading volume ratio of call options to put options is 1.59, and the weighted average implied volatility is 17.01% [29][31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month or option with the curve or point above and buy the one below [35]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.17% at the settlement price [38]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options is 1,351,429 lots, the open interest is 655,953 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 20.42% [42][44]. - **Volatility Trading**: The same trading suggestions as above [48]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 41.2% at the settlement price and 8.83% 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 Science and Technology Innovation Board 50ETF options is 1,226,032 lots, the open interest is 932,708 lots, the trading volume ratio of call options to put options is 1.73, and the weighted average implied volatility is 35.69% [54][56]. - **Volatility Trading**: Follow the general volatility trading suggestions [58]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 20.9% at the settlement price and 5.46% at the counter - price [62][64]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main Science and Technology Innovation Board 50ETF options is 225,924 lots, the open interest is 247,620 lots, the trading volume ratio of call options to put options is 1.72, and the weighted average implied volatility is 35.78% [65][67]. - **Volatility Trading**: Adopt the same volatility trading strategies [69]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 21.5% at the settlement price and 5.52% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Shenzhen 300ETF options is 103,927 lots, the open interest is 115,747 lots, the trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 18.79% [76][78]. - **Volatility Trading**: Use the same volatility trading suggestions as other options [81]. - **No - Risk Arbitrage**: No relevant content provided.

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents the volatility rankings of various option underlying assets and provides T - type quotation tables, volatility trading suggestions, and risk - free arbitrage analysis for multiple ETF options on the Shanghai Stock Exchange. 3. Directory Summary 3.1 Option Underlying Assets Volatility Ranking - Ranking is based on three aspects: at - the - money option implied volatility, 30 - day historical volatility of the underlying asset, and the real - time volatility of the underlying asset on the day. For example, lc2512 ranks 1st in at - the - money option implied volatility with 2.6%, and the Science and Technology Innovation Board 50ETF November ranks 1st in real - time volatility on the day with 4.6% [3]. - At - the - money option implied volatility reflects market expectations of future fluctuations; 30 - day historical volatility reflects past actual market conditions; real - time volatility on the day reflects intraday market conditions [5]. 3.2 Shanghai Stock Exchange Options 3.2.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 676,066 lots, the open interest is 665,178 lots, the trading volume ratio of call options to put options is 1.55, and the weighted average implied volatility is 16.15% [21]. - **Volatility Trading**: Sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [24]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 5.15% at the settlement price and 0.62% at the counter - party price [28][30]. 3.2.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options is 591,434 lots, the open interest is 591,691 lots, the trading volume ratio of call options to put options is 1.33, and the weighted average implied volatility is 16.67% [33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [37]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.25% at the settlement price and 2.48% at the counter - party price [40][42]. 3.2.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,045,522 lots, the open interest is 588,097 lots, the trading volume ratio of call options to put options is 1.22, and the weighted average implied volatility is 20.32% [45]. - **Volatility Trading**: The same trading suggestions as above, sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [48]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 42.1% at the settlement price and 9.25% at the counter - party price [52][54]. 3.2.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options is 1,207,404 lots, the open interest is 825,033 lots, the trading volume ratio of call options to put options is 1.75, and the weighted average implied volatility is 34.02% [56]. - **Volatility Trading**: Sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [58]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.07% at the settlement price and 2.47% at the counter - party price [62][64]. 3.2.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options is 230,846 lots, the open interest is 237,063 lots, the trading volume ratio of call options to put options is 1.7, and the weighted average implied volatility is 34.27% [67]. - **Volatility Trading**: Similar trading suggestions, sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [71]. - Risk - free Arbitrage information is not provided in the report.