12月29日，国内唯一主投白银期货的公募基金国投白银LOF(161226.SZ)再现极端波动。该基金在复牌后，开盘即一字跌停，随 后被大量买单迅速撬开，价格直线拉升，最高报2.767元，距涨停价仅差0.009元，截至午盘报2.746元，涨幅达8.8%，溢价率为 34.06%，日内"过山车"行情让市场瞩目。 此次极端波动与白银市场的剧烈震荡深度绑定。12月29日，现货白银开盘后快速拉升，一度涨近6%突破83.99美元/盎司，刷新 历史新高，年内涨幅超170%，远超黄金72%的同期表现。但随后银价突然直线跳水，跌幅一度扩大超5%，但之后又再度拉升， 截至11时46分，涨幅维持在1.24%。 而作为国内唯一主投白银期货的公募基金，在2025年白银领涨全球贵金属的行情下，国投白银LOF规模从2024年末21.78亿元激 增至2025年三季度66.4亿元，年内涨幅超200%，成为投资者布局白银的稀缺标的，但受限于持仓限制、流动性等因素，基金净 值涨幅难以跟上白银期货走势，叠加场外限购政策，场内价格与净值严重背离，溢价率持续走高。 12月22日至24日，该基金连续三个交易日涨停，24日溢价率高达68.19%。社交平台上" ...

Group 1: Report on Platinum and Palladium Market Report Industry Investment Rating Not provided Core Viewpoints - On December 25, 2025, platinum and palladium prices showed a divergent trend. The GFEX platinum main contract closed higher at 686.95 yuan/gram, up 4.51%, while the palladium main contract closed at 529.05 yuan/gram, down 7.65%. With the approaching Christmas and New Year holidays, some funds started to take profits after a significant rally, and there is a need to be vigilant against the risk of large price fluctuations at high levels [1]. - For platinum, due to spot shortages and relatively loose market liquidity, the price trend is strong. The platinum market is in a structural expansion phase, with stable demand in the automotive catalyst field, and the hydrogen energy industry is an important future growth point. The "rate cut + soft landing" combination will further amplify the long - term price elasticity. It is expected that the platinum price will fluctuate upward, but in the short term, the price is highly volatile at high levels [1][2]. - For palladium, the tightness in the spot market has eased, and the price has significantly corrected. Although the long - term supply and demand of palladium tend to be loose, the short - term spot shortage keeps the price firm, and the bottom of the palladium price has certain support [3]. Summary by Related Content Platinum - **Price and Spread**: On December 24, the premium of the GFEX platinum main contract at the domestic closing time over the NYMEX platinum (tax - included) was 54.4 yuan/gram, much higher than the import cost, and there is a risk - free arbitrage opportunity. However, due to issues such as hedging quota restrictions, the short - term spread may still be high [1]. - **Supply**: South Africa, the main global supplier of platinum - group metals, still faces risks in power supply and extreme weather in the future [1]. - **Demand**: The demand in the automotive catalyst field remains relatively stable, the hydrogen energy industry is an important future growth point, and the demand for jewelry and investment is expanding [1]. - **Outlook**: It is expected that the platinum price will fluctuate upward. In the short term, it is recommended that long - position holders gradually take profits or wait and see. The strategy of long platinum and short palladium can be held or temporarily take profits, and opportunities for internal - external positive arbitrage can be seized [2]. Palladium - **Price and Spread**: On December 24, the premium of the GFEX palladium main contract at the domestic closing time over the NYMEX palladium (tax - included) was as high as 58.0 yuan/gram [3]. - **Supply**: The Russian geopolitical issue is the key factor affecting supply. The US Department of Commerce is investigating the import of unforged palladium from Russia, and the report has not been released, causing a temporary tightening of palladium supply in other regions [3]. - **Demand**: Palladium shows significant structural pressure [3]. - **Outlook**: It is expected that the palladium price will fluctuate upward. In the short term, palladium may have entered an adjustment phase, and it is recommended that long - position holders gradually reduce their positions and wait for the price to correct [3]. Group 2: Report on Commodity Index Report Industry Investment Rating Not provided Core Viewpoints On December 25, 2025, the comprehensive index, commodity 20 index, and industrial products index of the CITICS Futures Commodity Index all declined slightly, and the有色金属 index also declined slightly on that day but had a positive increase in the past 5 days, 1 month, and year - to - date [48][50]. Summary by Related Content - **Comprehensive Index**: The comprehensive index was 2327.86, down 0.14%; the commodity 20 index was 2669.31, down 0.12%; the industrial products index was 2254.18, down 0.17% [48]. - **有色金属 Index**: On December 25, the有色金属 index was 2629.88, with a daily decline of 0.26%, a 5 - day increase of 2.25%, a 1 - month increase of 6.59%, and a year - to - date increase of 13.93% [50].

Core Viewpoint - The recent volatility in platinum and palladium futures prices is attributed to regulatory actions, external market declines, and profit-taking by investors, leading to a significant divergence in their price movements [2][5]. Group 1: Market Performance - Platinum futures experienced a substantial increase, rising over 15% from the day's low and closing up more than 4%, while palladium futures saw a significant decline, ending with a 7.65% drop, marking the worst performance in the domestic commodity futures market [2]. - On the NYMEX, platinum and palladium futures ended their previous upward trend with declines of 0.63% and 6.90%, respectively [3]. Group 2: Market Analysis - Analysts suggest that the recent price adjustments for platinum and palladium are a normal correction, as previous price increases were driven by macroeconomic factors, supply-demand imbalances, and investor sentiment, which led to prices detaching from fundamental support [5]. - The decrease in market liquidity due to the upcoming Christmas holiday has intensified profit-taking pressures, contributing to the price drop [5]. Group 3: Future Outlook - Most institutions predict that platinum and palladium will enter a phase of high volatility and wide fluctuations, with differing long-term fundamental expectations for each metal [10]. - Platinum is expected to have upward potential due to its diverse demand structure and the likelihood of supply shortages continuing into 2026, while palladium's demand is more concentrated and may face challenges from the rise of electric vehicles [11].

Core Viewpoint - The recent volatility in platinum and palladium futures prices is attributed to regulatory actions, external market pressures, and profit-taking by investors, leading to a significant divergence in their price movements [1][3][10]. Group 1: Market Dynamics - Platinum futures opened significantly lower but rebounded sharply, rising over 15% from intraday lows and closing up more than 4%, while palladium futures experienced a substantial decline, closing down 7.65% [1][2]. - The adjustment in platinum and palladium prices is viewed as a normal price correction after a period of significant increases driven by macroeconomic factors, supply-demand imbalances, and investor sentiment [3][10]. - The liquidity in the market decreased due to the upcoming Christmas holiday, which intensified profit-taking pressures and contributed to the price declines [3]. Group 2: Price Trends and Analysis - Platinum futures reached a new high of 700.9 yuan per gram, while palladium futures fell to a low of 515.65 yuan per gram, indicating a widening price gap between the two metals [6]. - Analysts suggest that the stronger fundamentals and investment attributes of platinum may result in a smaller correction compared to palladium during this downturn [6][10]. - The recent surge in platinum prices has been partially attributed to the significant rise in silver prices, as both metals share similar financial and industrial characteristics [6]. Group 3: Future Outlook - Most institutions predict that platinum and palladium will enter a phase of high volatility and wide fluctuations in the short term, with differing long-term fundamental expectations for each metal [10][13]. - The current domestic prices of platinum and palladium are significantly higher than international prices, particularly with palladium maintaining a high premium, suggesting potential for further adjustments [10]. - In the medium to long term, platinum is expected to have upward potential due to factors such as liquidity easing by the Federal Reserve and a stable demand expansion in both industrial and investment sectors [13]. Conversely, palladium's long-term demand outlook is weaker due to its concentration in automotive applications, which may be affected by the rise of electric vehicles [13].

Core Viewpoint - Silver prices have surged dramatically this year, with a year-to-date increase of 123.46% as of December 19, significantly outpacing gold's 65.34% rise, leading to increased interest in silver investment products, particularly the "Guotou Silver LOF" fund [1] Group 1: Silver Market Dynamics - The "Guotou Silver LOF" fund has seen a substantial increase in circulation, with 2.481 billion shares as of December 17, marking a 24.92% increase over the past three months and a 163.94% increase since the beginning of the year [1] - The fund's market price has diverged significantly from its net asset value (NAV), with a premium rate of 32.39% on December 18, indicating a potential arbitrage opportunity for investors [1] - The fund's popularity has led to a cap on subscription amounts, reduced to 100 yuan per account per day, although this has not deterred investor interest, with over 10 million new shares added on December 19 [1] Group 2: Arbitrage Opportunities - Investors can engage in arbitrage by purchasing the fund at its NAV and selling it at the market price, potentially earning around 30% profit [1] - The estimated NAV can be calculated based on the performance of the underlying silver futures contracts, with a recent example showing an estimated NAV of approximately 1.7174 compared to the market price of 2.332 [6] - The fund's subscription fee and brokerage commissions should be considered to maximize arbitrage profits [5] Group 3: Fund Performance and Risks - The "Guotou Silver LOF" fund has underperformed relative to its benchmark, with a one-year return of 88.57% compared to the benchmark's doubling in value, and a significant tracking error since inception [9] - The fund's investment strategy involves frequent contract changes, which may contribute to its tracking error and lower returns [9] - The recent surge in silver prices is attributed to supply-demand imbalances, Federal Reserve interest rate cuts, and increased capital inflows, although some analysts caution about potential short-term corrections [9][10]

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]