先锋期货期权日报 2025-12-18 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。 | 期权标的行情波动龙虎榜： | | --- | | 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 | | | ag2601 | 3.3% | 1 | 2.3% | 5 | 2.8% | 7 | | lc2602 | 3.1% | 2 | 3.4% | 1 | 4.9% | 2 | | ps2602 | 2.8% | 3 | 2.4% | 4 | 5.8% | 1 | | pd2606 | 2 ...

什么是期权凸性套利? Q 由于种种原因,期权市场往往会出 现市场交易价格与其理论价格出现差异 的情况,为无风险套利 提供了机会。常 见的无风险套利有平价套利、箱体套 利、凸性套利等。那什么是期权的凸性 套利呢? 凸函数的定义 首先我们来看一个概念,什么叫凸函 数? C 1 C1 C2 L2 C3 K1 K2 K3 K 上 图 即 为 凸 函 数 , 其 中 |L 1 的 斜 率|>|L2的斜率| l|L1的斜率|=(C1-C2)/(K2- K1) lL2的斜率|=(C2-C3)/(K3- K2) (1-λ)C1+ λC3>C2 其 中 λ=(Κ2-Κ1)/(Κ3-Κ1) K1(C2-C3)/(K3- K2） 公式① 假 设 λ=(Κ2-Κ1)/(Κ3-Κ1)，其 中 K1<K2<K3 公式①可简化为:C2<(1-λ)C1+λC3 欧式期权、的凸函数特性 欧式认购期权和认洁期权的价格C是 关于行权价 K的凸函数,所以需满足凸 函数的特性: C1、C2、C3分别表示行权价为K1、 K2 、 K3 的 相 同 类 型 ( 同 为 认 购 或 认 沽）、相同到期日的期权价格 如 果 上 式 不 成 立 , 即 (1- ...

Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: December 4, 2025 [1] Option Volatility Ranking - The report provides a ranking of options based on at-the-money option implied volatility, 30-day historical volatility, and daily true range for various underlying assets such as ps2601, lc2601, ag2601, etc. [3][5] - For example, ps2601 has an at-the-money option implied volatility of 4.2% (ranked 1st), a 30-day historical volatility of 2.3% (ranked 2nd), and a daily true range of 2.6% (ranked 4th). [3] Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on the day was 396,109 contracts, the open interest was 960,462 contracts, the trading volume ratio of call options to put options was 1.26, and the weighted average implied volatility was 12.08%. [20][22] - **Volatility Trading**: Suggestions include selling the month with the curve on top and buying the month with the curve below for different months; selling options with points above the curve and buying options with points below the curve for the same month. [23] - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 5.46% when trading at the settlement price and 0.37% when trading at the counterparty price. [27][29] 1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options on the day was 567,027 contracts, the open interest was 918,114 contracts, the trading volume ratio of call options to put options was 1.13, and the weighted average implied volatility was 13.72%. [30][32] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month with the curve on top and buy the month with the curve below for different months; sell options with points above the curve and buy options with points below the curve for the same month. [34] - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 16.9% when trading at the settlement price and 3.34% when trading at the counterparty price. [38][40] 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on the day was 830,862 contracts, the open interest was 924,360 contracts, the trading volume ratio of call options to put options was 0.95, and the weighted average implied volatility was 18.02%. [41][43] - **Volatility Trading**: Follow the same rules as above for volatility trading. [45] - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 49.7% when trading at the settlement price and 9.46% when trading at the counterparty price. [49][51] 1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main STAR 50 ETF options on the day was 693,785 contracts, the open interest was 1,506,771 contracts, the trading volume ratio of call options to put options was 1.13, and the weighted average implied volatility was 26.22%. [52][54] - **Volatility Trading**: Adopt the same volatility trading strategies. [58] - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 36.5% when trading at the settlement price and 6.74% when trading at the counterparty price. [61][62] 1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main STAR 50 ETF options on the day was 112,197 contracts, the open interest was 362,844 contracts, the trading volume ratio of call options to put options was 1.24, and the weighted average implied volatility was 26.49%. [63][65] - **Volatility Trading**: Use the same rules for volatility trading. [67] - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 34.2% when trading at the settlement price and 7.70% when trading at the counterparty price. [71][73]

1. Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: 2025-11-28 [1] 2. Option Volatility Ranking 2.1 Overall Ranking - The report provides rankings of options based on implied volatility, 30-day historical volatility, and daily true range for various underlying assets including futures contracts and ETFs [3][5]. - For example, lc2601 ranks 1st in implied volatility (2.8%), 1st in 30-day historical volatility (3.6%), and 2nd in daily true range (3.6%) [3]. 2.2 Interpretation of Volatility - Implied volatility reflects market expectations of future price fluctuations, higher values suggest a greater likelihood of significant price movements [6]. - Historical volatility shows past price movements, and a lower historical volatility compared to implied volatility may indicate relatively expensive option prices [6]. 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: On the reporting day, the trading volume of the main Shanghai 50ETF options was 367,581 lots, the open interest was 904,003 lots, the volume ratio of call to put options was 1.11, and the weighted average implied volatility was 13.15% [22]. - **Volatility Trading**: Suggestions include selling options in months with higher volatility curves and buying those in lower ones, and selling options above the curve and buying those below within the same month [25]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.15% at the settlement price and 0.56% at the counter - price [29][31]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options was 502,515 lots, the open interest was 869,771 lots, the volume ratio of call to put options was 1.01, and the weighted average implied volatility was 14.27% [34]. - **Volatility Trading**: Similar trading suggestions as for the Shanghai 50ETF [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5% at the settlement price and 3.27% at the counter - price [40][42]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options was 809,384 lots, the open interest was 869,829 lots, the volume ratio of call to put options was 0.95, and the weighted average implied volatility was 18.42% [45]. - **Volatility Trading**: Similar trading suggestions as above [48]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 48.1% at the settlement price and 10.1% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options was 729,657 lots, the open interest was 1,428,059 lots, the volume ratio of call to put options was 1.24, and the weighted average implied volatility was 27.36% [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 52.7% at the settlement price and 9.36% at the counter - price [63][65]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options was 99,850 lots, the open interest was 363,308 lots, the volume ratio of call to put options was 1.09, and the weighted average implied volatility was 28.78% [68]. - **Volatility Trading**: Similar trading suggestions as above [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 59.4% at the settlement price and 10.7% at the counter - price [74][76].

先锋期货期权日报 2025-11-26 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 | 3.0% | 1 | 3.7% | 1 | 4.5% | 1 | | ps2601 | 2.8% | 2 | 2.4% | 2 | 3.6% | 4 | | si2601 | 2.1% | 3 | 1.6% | 5 | 2.1% | 17 | | ag2601 | 2.0% | 4 | 2.1% | 3 | 2.6 ...

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 | ...

1. Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: November 21, 2025 [1] 2. Industry Investment Rating - Not provided in the report 3. Core Viewpoints - The report provides a comprehensive analysis of various options, including their implied volatility, historical volatility, and real - time volatility. It also offers trading suggestions for volatility trading and presents potential returns from risk - free arbitrage for different options [3][6][25] 4. Summary by Directory 4.1 Shanghai Stock Exchange Options 4.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the main SSE 50 ETF options was 908,595 lots, the open interest was 701,421 lots, the trading volume ratio of call options to put options was 1.1, and the weighted average implied volatility was 18.16% [22] - **Volatility Trading**: Suggestions include selling options in months with higher implied volatility curves and buying those in lower - curve months; selling options with higher points on the curve and buying those with lower points in the same month [25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 46.1% at the settlement price and 12.2% at the counter - price [28][30] 4.1.2 Huatai - Berry SSE 300 ETF - **Basic Information**: The trading volume of the main 300ETF options was 1,203,063 lots, the open interest was 620,275 lots, the trading volume ratio of call options to put options was 0.97, and the weighted average implied volatility was 21.04% [33] - **Volatility Trading**: Similar trading suggestions as for SSE 50 ETF [37] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 27.1% at the settlement price and 6.71% at the counter - price [40][41] 4.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main 500ETF options was 1,702,591 lots, the open interest was 637,658 lots, the trading volume ratio of call options to put options was 0.83, and the weighted average implied volatility was 22.91% [44] - **Volatility Trading**: Similar trading suggestions as above [45] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 43.5% at the settlement price and 8.53% at the counter - price [49][51] 4.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main STAR Market 50 ETF options was 1,306,790 lots, the open interest was 1,082,160 lots, the trading volume ratio of call options to put options was 1.09, and the weighted average implied volatility was 35.43% [53] - **Volatility Trading**: Similar trading suggestions as before [58] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 70.3% at the settlement price and 4.82% at the counter - price [60][61] 4.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main STAR Market 50 ETF options was 259,342 lots, the open interest was 279,151 lots, the trading volume ratio of call options to put options was 1.23, and the weighted average implied volatility was 36.91% [64] - **Volatility Trading**: Similar trading suggestions as other ETFs [67] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 39.3% at the settlement price and 7.89% at the counter - price [71][73] 4.2 Shenzhen Stock Exchange Options 4.2.1 Harvest SSE 300 ETF - **Basic Information**: The trading volume of the main Shenzhen 300ETF options was 232,702 lots, the open interest was 169,070 lots, the trading volume ratio of call options to put options was 0.94, and the weighted average implied volatility was 25.18% [76] - **Volatility Trading**: Similar trading suggestions as other ETFs [81] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 93.5% at the settlement price and 17.4% at the counter - price [84][86] 4.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main ChiNext ETF options was 2,476,097 lots, the open interest was 1,141,324 lots, the trading volume ratio of call options to put options was 1.04, and the weighted average implied volatility was 34.8% [89] - **Volatility Trading**: Similar trading suggestions as other ETFs [93] - **Risk - Free Arbitrage**: Not fully presented in a clear form in the report 4.3 Options Volatility Ranking - The report ranks various options based on their at - the - money implied volatility, 30 - day historical volatility, and real - time volatility. For example, lc2601 ranked first in at - the - money implied volatility, 30 - day historical volatility, and real - time volatility [3]

Group 1: Report Information - Report Name: Pioneer Futures Option Daily Report [1] - Report Date: November 20, 2025 [1] Group 2: Option Volatility Ranking - The table presents the at - the - money option implied volatility, 30 - day historical volatility, and the real - time volatility of various underlying assets, along with their rankings [3][5] - lc2601 ranks first in at - the - money option implied volatility (3.7%), ps2601 ranks first in real - time volatility (6.0%), and si2601 ranks seventh in 30 - day historical volatility (1.8%) [3] Group 3: Volatility Analysis and Trading Suggestions - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset; the 30 - day historical volatility reflects past price movements; and the real - time volatility reflects the intraday price movements [6] - Trend traders can focus on assets with high at - the - money option implied volatility rankings; option sellers can pay attention to the difference between the rankings of at - the - money option implied volatility and 30 - day historical volatility; intraday traders can focus on assets with high real - time volatility rankings [6] Group 4: Option Information on Different Exchanges Shanghai Stock Exchange Options - **Shanghai 50ETF**: The trading volume of the main options is 592,113 lots, the open interest is 760,839 lots, the trading volume ratio of call and put options is 1.23, and the weighted average implied volatility is 14.61% [22] - **Huatai - Berry Shanghai and Shenzhen 300ETF**: The trading volume of the main options is 721,573 lots, the open interest is 669,897 lots, the volume ratio of call and put options is 1.3, and the weighted average implied volatility is 16.39% [32] - **Southern China Securities 500ETF**: The trading volume of the main options is 1,112,589 lots, the open interest is 655,335 lots, the volume ratio of call and put options is 1.22, and the weighted average implied volatility is 20.48% [42] - **Huaxia Shanghai Science and Technology Innovation 50ETF**: The trading volume of the main options is 822,220 lots, the open interest is 1,175,269 lots, the volume ratio of call and put options is 1.38, and the weighted average implied volatility is 33.78% [53] - **E Fund Shanghai Science and Technology Innovation 50ETF**: The trading volume of the main options is 143,672 lots, the open interest is 287,821 lots, the volume ratio of call and put options is 1.68, and the weighted average implied volatility is 35.49% [64] Shenzhen Stock Exchange Options - **Harvest Shanghai and Shenzhen 300ETF**: The trading volume of the main options is 135,832 lots, the open interest is 165,258 lots, the volume ratio of call and put options is 1.12, and the weighted average implied volatility is 20.78% [77] - **E Fund ChiNext ETF**: The trading volume of the main options is 1,610,253 lots, the open interest is 1,172,939 lots, the volume ratio of call and put options is 1.21, and the weighted average implied volatility is 30.15% [88] Group 5: Volatility Trading and Arbitrage Suggestions Volatility Trading - For options on different exchanges, the general volatility trading suggestions are to 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 [23][35][47] Arbitrage - For various ETF options, the optimal arbitrage portfolio has different minimum annualized yields when trading at the settlement price and the counter - party price. For example, for Shanghai 50ETF, the minimum annualized yield is 19.2% at the settlement price and 0.86% at the counter - party price [27][29]

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 | ...