先锋期货期权日报 2025-11-24 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 | 3.3% | 1 | 3.7% | 1 | 3.2% | 4 | | ps2601 | 3.0% | 2 | 2.4% | 2 | 2.0% | 16 | | fg601 | 2.4% | 3 | 1.4% | 10 | 3.7% | 2 | | 科创50etf11月 | 2.3% | 4 | 1.6% | 7 | ...

先锋期货期权日报 2025-11-21 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 | 3.2% | 1 | 3.6% | 1 | 8.7% | 1 | | ps2601 | 2.8% | 2 | 2.3% | 2 | 3.5% | 10 | | si2601 | 2.2% | 3 | 1.8% | 7 | 2.2% | 24 | | ag2512 | 2.1% | 4 | 2.2% | 3 | 4. ...

先锋期货期权日报 2025-11-20 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 | 3.7% | 1 | 3.0% | 1 | 4.8% | 2 | | ps2601 | 2.8% | 2 | 2.3% | 2 | 6.0% | 1 | | si2601 | 2.5% | 3 | 1.8% | 7 | 4.0% | 4 | | ag2512 | 2.3% | 4 | 2.1% | 3 | 3.2% ...

先锋期货期权日报 2025-11-18 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 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | lc2601 | 3.4% | 1 | 2.9% | 1 | 4.4% | 1 | | ps2601 | 2.6% | 2 | 2.1% | 3 | 2.2% | 13 | | ag2512 | 2.3% | 3 | 2.2% | 2 | 2.8% | 2 | | 科创板50etf3月 | 2.2% | 4 | 1.8% | 5 | ...

1. Report Summary - Report Date: November 3, 2025 [1] - Report Name: Pioneer Futures Options Daily Report 2. Options Underlying Volatility Ranking - The report presents a ranking of options underlying based on three volatility metrics: implied volatility of at - the - money options, 30 - day historical volatility of the underlying, and the underlying's true range on the day. For example, ps2512 ranks first in implied volatility of at - the - money options with 3.1%, while rm601 ranks first in the underlying's true range on the day with 4.8% [3][4]. - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety, the 30 - day historical volatility reflects the past actual market size, and the true range on the day reflects the intraday market size [5]. 3. Exchange - Specific Options Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day is 632,460 lots, the open interest is 897,163 lots, the trading volume ratio of call options to put options is 1.45, and the weighted average implied volatility is 15.93% [19][21]. - **Volatility Trading**: Volatility trading suggestions include selling the month with the curve on top and buying the month with the curve below for different months, and selling the option with the point above the curve and buying the option with the point below the curve for the same month [26]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.67% when trading at the settlement price and 1.16% when trading at the counter - party price [28][30]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day is 670,871 lots, the open interest is 740,234 lots, the trading volume ratio of call options to put options is 1.23, and the weighted average implied volatility is 16.61% [31][33]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell the month with the curve on top and buy the month with the curve below for different months, and sell the option with the point above the curve and buy the option with the point below the curve for the same month [37]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.45% when trading at the settlement price and 0.18% when trading at the counter - party price [40][42]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day is 1,244,691 lots, the open interest is 790,230 lots, the trading volume ratio of call options to put options is 0.9, and the weighted average implied volatility is 20.66% [43][45]. - **Volatility Trading**: Follow the same volatility trading suggestions as above [49]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 25.3% when trading at the settlement price and 5.60% when trading at the counter - party price [52][54]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50ETF on the day is 995,460 lots, the open interest is 1,173,825 lots, the trading volume ratio of call options to put options is 1.15, and the weighted average implied volatility is 37.4% [55][57]. - **Volatility Trading**: Adopt the same volatility trading strategies [62]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.3% when trading at the settlement price and 0.66% when trading at the counter - party price [64][66]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50ETF on the day is 194,205 lots, the open interest is 286,584 lots, the trading volume ratio of call options to put options is 1.34, and the weighted average implied volatility is 38.24% [67][68]. - **Volatility Trading**: Use the same volatility trading methods [72]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.6% when trading at the settlement price and 2.75% when trading at the counter - party price [76][78]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of Harvest SSE 300ETF on the day is 126,768 lots, the open interest is 151,843 lots, the trading volume ratio of call options to put options is 0.96, and the weighted average implied volatility is 17.72% [79][81]. - **Volatility Trading**: Apply the same volatility trading suggestions [87]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.4% when trading at the settlement price and 1.52% when trading at the counter - party price [89][91].

1. Report Summary - **Report Title**: Pioneer Futures Options Daily Report - **Report Date**: October 31, 2025 - **Report Type**: Futures and Options Market Analysis 2. Core Views - The report provides a comprehensive analysis of the options market, including the volatility rankings of various option underlying assets, and offers trading suggestions for volatility trading and risk - free arbitrage in different exchange - listed options [3][5]. 3. Key Information by Category 3.1 Option Underlying Volatility Ranking - The report presents a list of option underlying assets' volatility rankings, including at - the - money implied volatility, 30 - day historical volatility, and daily true volatility. For example, 'ps2512' has an at - the - money implied volatility of 2.7%, ranking 1st; 30 - day historical volatility of 2.1%, ranking 6th; and daily true volatility of 2.9%, ranking 5th [3]. 3.2 Exchange - Listed Options Analysis 3.2.1 Shanghai Stock Exchange Options - **Shanghai 50ETF**: The trading volume of the main options is 755,468 lots, the open interest is 848,612 lots, the trading volume ratio of call options to put options is 1.16, and the weighted average implied volatility is 15.82%. Volatility trading suggestions are to sell the month with the upper curve and buy the month with the lower curve for different months; sell the option with the upper point on the curve and buy the option with the lower point on the curve for the same month. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 6.58% at the settlement price and 1.26% at the counter - party price [19][22][26]. - **Huatai - Berich CSI 300ETF**: The trading volume of the main options is 797,684 lots, the open interest is 720,276 lots, the trading volume ratio of call options to put options is 1.24, and the weighted average implied volatility is 16.72%. Similar volatility trading suggestions are provided. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 3.54% at the settlement price and 1.23% at the counter - party price [29][34][38]. - **Southern CSI 500ETF**: The trading volume of the main options is 1,271,310 lots, the open interest is 772,262 lots, the trading volume ratio of call options to put options is 1.09, and the weighted average implied volatility is 20.48%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 22.8% at the settlement price and 5.57% at the counter - party price [40][47][49]. - **Huaxia SSE STAR 50 ETF**: The trading volume of the main options is 1,127,777 lots, the open interest is 1,153,991 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 37.07%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 12.7% at the settlement price and 1.58% at the counter - party price [52][56][60]. - **E Fund SSE STAR 50 ETF**: The trading volume of the main options is 218,476 lots, the open interest is 277,730 lots, the trading volume ratio of call options to put options is 1.41, and the weighted average implied volatility is 37.35%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 23.5% at the settlement price and 4.61% at the counter - party price [63][69][72]. 3.2.2 Shenzhen Stock Exchange Options - **Harvest CSI 300ETF**: The trading volume of the main options is 116,253 lots, the open interest is 146,481 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 17.51%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.65% at the settlement price and 0.10% at the counter - party price [75][83][86]. - **E Fund ChiNext ETF**: The trading volume of the main options is 1,736,584 lots, the open interest is 1,044,215 lots, the trading volume ratio of call options to put options is 1.09, and the weighted average implied volatility is 33.19% [89][91].

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints - The report presents the option market data of various ETFs and futures on October 30, 2025, including option prices, trading volumes, open interests, implied volatilities, etc. It also provides volatility trading suggestions and no - risk arbitrage returns for different options [3][21][22] 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the Shanghai 50ETF's main - contract options is 716,537 lots, the open interest is 766,270 lots, the trading volume ratio of call options to put options is 1.41, and the weighted - average implied volatility is 15.68% [21] - **Volatility Trading**: Sell the options with the upper curve in different months or points on the upper curve in the same month, and buy the corresponding lower ones [22] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 2.03% at the settlement price and 0.63% at the counter - price [26][28] 3.1.2 Huatai - Ber瑞沪深 300ETF - **Basic Information**: The trading volume of the main - contract options is 790,805 lots, the open interest is 660,654 lots, the trading volume ratio of call options to put options is 1.46, and the weighted - average implied volatility is 16.41% [31] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high and buy low based on the curve position [37] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.10% at the settlement price and 1.25% at the counter - price [39][41] 3.1.3 Southern China CSI 500ETF - **Basic Information**: The trading volume of the main - contract options is 1,263,496 lots, the open interest is 728,253 lots, the trading volume ratio of call options to put options is 1.14, and the weighted - average implied volatility is 20.61% [44] - **Volatility Trading**: Follow the rule of selling high and buying low on the volatility curve [49] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.5% at the settlement price and 6.36% at the counter - price [51][53] 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options is 1,085,084 lots, the open interest is 1,074,857 lots, the trading volume ratio of call options to put options is 1.64, and the weighted - average implied volatility is 36.68% [55] - **Volatility Trading**: Sell the upper - curve options and buy the lower - curve ones [57] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.0% at the settlement price and 3.81% at the counter - price [61][62] 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options is 183,339 lots, the open interest is 258,779 lots, the trading volume ratio of call options to put options is 2.27, and the weighted - average implied volatility is 36.56% [64] - **Volatility Trading**: Adopt the strategy of selling high and buying low on the volatility curve [68][69] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 17.6% at the settlement price and 4.69% 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 - contract options is 125,725 lots, the open interest is 134,920 lots, the trading volume ratio of call options to put options is 1.47, and the weighted - average implied volatility is 17.79% [78] - **Volatility Trading**: Sell options on the upper curve and buy those on the lower curve [84] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.1% at the settlement price and 1.89% at the counter - price [86][87] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main - contract options is 1,827,537 lots, the open interest is 1,014,874 lots, the trading volume ratio of call options to put options is 1.22, and the weighted - average implied volatility is 34.38% [90] - **Volatility Trading**: Follow the high - selling and low - buying rule on the volatility curve [92] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.1% at the settlement price and 2.96% at the counter - price [96][98]

Core Viewpoint - The article emphasizes the need for investors to adopt a cautious approach during the upcoming National Day holiday, highlighting the coexistence of risks and opportunities in the market. It suggests utilizing options as a way to manage risk while participating in the market, particularly focusing on the advantages and disadvantages of options combinations during the holiday period [4]. Market Overview - The current market exhibits differentiated characteristics across various sectors, with notable volatility in crude oil and LPG, while precious metals show a divergence from macroeconomic trends. Industrial metals and new energy metals are experiencing significant differentiation, and agricultural products display marked internal structural differences. Investors are advised to strategically position themselves before the holiday, focusing on volatility trading in energy and chemicals, avoiding selling risks in precious metals, and monitoring macroeconomic and policy dynamics [5][6]. Historical Volatility Analysis - An analysis of the futures market over the past three years reveals a trend of converging volatility, with most futures showing fluctuations below 3%. This reflects heightened risk control requirements from institutional investors and the prevalence of algorithmic trading, which is altering traditional seasonal volatility patterns. The holiday effect is shifting from unilateral volatility to structural opportunities, necessitating more sophisticated selection and position management by investors [5][6]. Sector-Specific Insights - **Energy and Chemicals**: This sector shows the strongest volatility elasticity, with crude oil futures experiencing significant increases before the holidays in both 2022 and 2024. LPG and downstream chemicals follow suit. Investors are encouraged to focus on volatility trading opportunities, utilizing directional call options or spread combinations to optimize holding costs [6][26]. - **Precious Metals**: The sector is characterized by a divergence from macro indicators, with gold prices remaining resilient despite rising U.S. Treasury yields and a strong dollar. The implied volatility for precious metals has surged above the 80th percentile historically, indicating heightened market awareness of upward risks. Investors are advised to carefully assess holding risks and avoid maintaining naked short positions before major macro events [17][26]. - **Industrial and New Energy Metals**: This sector shows clear differentiation, with copper, polysilicon, lithium carbonate, and industrial silicon experiencing significant volatility. The implied volatility for these commodities is high, suggesting that buying call combinations may be costly. Investors are recommended to use vertical spreads to control costs while seeking upward gains, while weaker commodities may benefit from time decay strategies [19][26]. - **Agricultural Products**: The agricultural sector displays structural differences, with oilseed products influenced by seasonal factors and policy impacts. The implied volatility for oilseed options is currently declining, while the volatility for meal products is on the rise. Investors are advised to deploy short volatility strategies flexibly before the holiday and to be cautious with large positions in meal products due to external policy influences [22][27]. Trading Strategy Recommendations - Investors should focus on two key dimensions for options trading around the National Day holiday: the levels of implied and actual volatility, and the trends in skew structure. For high-volatility products, a spread-based trading approach is recommended to manage risk exposure effectively, while for low-volatility products, careful position management and monitoring of macroeconomic data are essential [23][26].

Core Viewpoint - The article discusses the relationship between volatility and risk, emphasizing that understanding volatility is crucial for becoming an excellent investor, as it is a tangible risk rather than a mere psychological issue [8][40]. Academic Perspective: Volatility = Risk - The Sharpe Ratio is highlighted as a key metric for evaluating fund performance, indicating that returns should be assessed in relation to the risks taken [10]. - Traditional financial theories define risk as the uncertainty of future returns, represented by price volatility [11]. - Historical examples illustrate that even if an investor believes in a company's future recovery, immediate financial needs can force them to sell at a loss due to volatility [12]. - The article argues that higher volatility necessitates higher expected returns as compensation, exemplified by the comparison of different funds and their respective drawdowns during market adjustments [14][15]. Practical Perspective: Volatility ≠ Risk - Warren Buffett's perspective is presented, asserting that volatility does not equate to risk; instead, the true risk is the permanent loss of capital [18][21]. - Buffett emphasizes that good companies can have high volatility without being poor investments, while low volatility can accompany poor business performance [19]. - The article notes that Buffett's views on volatility have evolved, initially seeing it as a source of profit but later recognizing it as a neutral concept [23][26]. Trading Perspective: Volatility = Return - The article discusses how risk-averse investors dislike volatility, while risk-seeking investors view it as an opportunity for returns [28][30]. - It explains that volatility can be treated as a tradable commodity, with strategies like options trading reflecting this dynamic [31][32]. - The article highlights that different trading strategies exist based on attitudes towards volatility, such as trend trading and grid trading, each with its own risk and return profiles [36][38]. Conclusion - The article concludes that volatility is an inherent aspect of the financial world, prompting investors to distinguish between what can be controlled and what cannot, as well as what can be judged and what cannot [44].

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 17, 2025 1. Option Underlying Volatility Ranking - The report provides a ranking of option underlying volatility, including the implied volatility of at-the-money options, 30-day historical volatility, and the true range of the underlying on the day [3][4]. - The top-ranked underlying in terms of implied volatility of at-the-money options are the September contracts of Science and Technology Innovation Board 50 ETF and the September contract of Science and Technology Innovation 50 ETF, with values of 3.5% and 3.4% respectively [3]. - The top-ranked underlying in terms of 30-day historical volatility are also the September contracts of Science and Technology Innovation Board 50 ETF and the September contract of Science and Technology Innovation 50 ETF, with values of 3.4% and 3.3% respectively [3]. - The top-ranked underlying in terms of the true range of the underlying on the day are the September contract of Science and Technology Innovation 50 ETF and the September contract of Science and Technology Innovation 50 ETF, with values of 3.1% and 3.0% respectively [3]. 2. Exchange Options Analysis 2.1 Shanghai Stock Exchange Options 2.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 605,762 lots, the open interest was 1,273,240 lots, the volume ratio of call options to put options was 1.66, and the weighted average implied volatility was 23.84% [20]. - **Volatility Trading**: The report provides implied volatility curves for different strike prices and deltas of Shanghai 50ETF call options, and suggests selling options with higher implied volatility and buying options with lower implied volatility [23]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 18.8% when traded at the settlement price and 3.26% when traded at the counterparty price [27][29]. 2.1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main options of Huatai-PineBridge CSI 300ETF on the day was 771,046 lots, the open interest was 943,234 lots, the volume ratio of call options to put options was 1.57, and the weighted average implied volatility was 22.76% [32]. - **Volatility Trading**: Similar to Shanghai 50ETF, the report provides implied volatility curves and trading suggestions [37]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 9.34% when traded at the settlement price and 3.92% when traded at the counterparty price [39][41]. 2.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,513,052 lots, the open interest was 904,760 lots, the volume ratio of call options to put options was 1.37, and the weighted average implied volatility was 26.98% [44]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [48]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 50.9% when traded at the settlement price and 12.5% when traded at the counterparty price [51][53]. 2.1.4 ChinaAMC Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options of ChinaAMC Shanghai Science and Technology Innovation Board 50ETF on the day was 1,178,321 lots, the open interest was 1,635,232 lots, the volume ratio of call options to put options was 1.83, and the weighted average implied volatility was 55.29% [56]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [59]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 25.6% when traded at the settlement price and 5.62% when traded at the counterparty price [63][64]. 2.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options of E Fund Shanghai Science and Technology Innovation Board 50ETF on the day was 268,348 lots, the open interest was 452,951 lots, the volume ratio of call options to put options was 1.93, and the weighted average implied volatility was 53.79% [67]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [70]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 41.0% when traded at the settlement price and 12.3% when traded at the counterparty price [74][76]. 2.2 Shenzhen Stock Exchange Options 2.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 132,683 lots, the open interest was 226,327 lots, the volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 24.19% [80]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [82].