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

Group 1: Report Summary - The report is the Pioneer Futures Options Daily Report dated June 13, 2025, presenting data on option targets' volatility and detailed information on various options across multiple exchanges [1] Group 2: Option Target Volatility Ranking - A table ranks option targets based on at - the - money option implied volatility, 30 - day historical volatility, and daily true range. For example, ad2511 has an implied volatility of 32.0% ranking 1st, sc2508 has a 30 - day historical volatility of 2.4% ranking 2nd, and sc2508 has a daily true range of 8.5% ranking 1st [3] - The table provides guidance for different types of traders. Trend traders can focus on targets with high implied volatility rankings, option sellers can consider the difference between implied and historical volatility rankings, and intraday traders can pay attention to targets with high daily true range rankings [6] Group 3: Exchange - Specific Option Information 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - The T - type quotation table shows the prices of call and put options at different strike prices and expiration months. The trading volume of the main options is 712,685 lots, the open interest is 1,003,830 lots, the volume ratio of call to put options is 1.07, and the weighted average implied volatility is 13.15% [19][22] - For volatility trading, different implied volatility curves are presented, and the trading advice is to sell options with higher curves and buy those with lower curves, either across different months or within the same month [26] - In risk - free arbitrage, with settlement price transactions, the optimal arbitrage portfolio held to maturity has a minimum annualized return of 20.9%; with counter - price transactions, it is 4.11% [29][31] 3.1.2 Huatai - Berry SSE 300ETF - The T - type quotation table shows option prices. The trading volume of the main options is 627,180 lots, the open interest is 805,897 lots, the volume ratio of call to put options is 1.01, and the weighted average implied volatility is 14.06% [32][34] - Similar to the Shanghai 50ETF, volatility trading advice is based on implied volatility curves. For risk - free arbitrage, the minimum annualized return is 15.9% with settlement price transactions and 3.27% with counter - price transactions [38][41][43] 3.1.3 Southern CSI 500ETF - The T - type quotation table shows option prices. The trading volume of the main options is 1,219,237 lots, the open interest is 891,907 lots, the volume ratio of call to put options is 0.76, and the weighted average implied volatility is 17.14% [44][46] - Volatility trading follows the same curve - based advice. In risk - free arbitrage, the minimum annualized return is 33.7% with settlement price transactions and 6.31% with counter - price transactions [47][51][53] 3.1.4 Huaxia SSE STAR 50ETF - The T - type quotation table shows option prices. The trading volume of the main options is 346,522 lots, the open interest is 1,043,619 lots, the volume ratio of call to put options is 1.1, and the weighted average implied volatility is 24.44% [54][56] - Volatility trading advice is based on implied volatility curves. For risk - free arbitrage, the minimum annualized return is 40.3% with settlement price transactions and 5.83% with counter - price transactions [60][63][65] 3.1.5 E Fund SSE STAR 50ETF - The T - type quotation table shows option prices. The trading volume of the main options is 103,497 lots, the open interest is 305,485 lots, the volume ratio of call to put options is 1.16, and the weighted average implied volatility is 26.07% [66][68] - Volatility trading advice is consistent with other options, and specific risk - free arbitrage data is not provided in the given text [72] 3.2 Shenzhen Stock Exchange Options - The report's table of contents lists options such as嘉实沪深 300ETF, E Fund ChiNext ETF,嘉实中证 500ETF, and E Fund Shenzhen 100ETF, including basic information, volatility trading, and risk - free arbitrage, but detailed data is not fully presented in the provided text [9] 3.3 China Financial Futures Exchange Options - Options like SSE 300, CSI 1000, and SSE 50 are listed in the table of contents, covering basic information, volatility trading, and risk - free arbitrage, with incomplete detailed data in the provided text [9] 3.4 Zhengzhou Commodity Exchange Options - Options such as sugar, cotton, PTA, methanol, etc. are included in the table of contents, with details on basic information, volatility trading, and risk - free arbitrage, but specific data is not fully shown [10] 3.5 Dalian Commodity Exchange Options - Options like soybean meal, corn, iron ore, etc. are listed in the table of contents, with information on basic information, volatility trading, and risk - free arbitrage, and detailed data is not fully presented [13] 3.6 Shanghai Futures Exchange Options - Options such as copper, rubber, gold, etc. are included in the table of contents, with details on basic information, volatility trading, and risk - free arbitrage, but specific data is not fully provided [15] 3.7 Shanghai International Energy Exchange Options - Crude oil options are listed in the table of contents, including basic information, volatility trading, and risk - free arbitrage, with incomplete detailed data [17] 3.8 Guangzhou Futures Exchange Options - Options such as industrial silicon, lithium carbonate, and polysilicon are included in the table of contents, with details on basic information, volatility trading, and risk - free arbitrage, but specific data is not fully shown [18]

1. Report Information - Report Title: Pioneer Futures Options Daily Report [1] - Report Date: June 6, 2025 [1] 2. Option Volatility Data 2.1 Volatility Ranking Table - The table presents the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time amplitude of various option targets, along with their rankings [3][5]. - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety. The larger the value, the more likely there will be a significant market trend. Trend traders can focus on the top - ranked varieties [6]. - The 30 - day historical volatility reflects the actual historical market size of the variety. If the value is smaller than the implied volatility, the option price may be relatively expensive. Option sellers can focus on the difference in rankings [6]. - The real - time amplitude reflects the intraday market size of the variety. Intraday traders can focus on the top - ranked varieties [6]. 2.2 Example of High - Ranking Varieties - For example, sc2507 has an implied volatility of 2.1% (ranked 1st), a 30 - day historical volatility of 2.2% (ranked 2nd), and a real - time amplitude of 1.4% (ranked 31st) [3]. 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options is 460,055 lots, the open interest is 1,009,132 lots, the trading volume ratio of call options to put options is 1.25, and the weighted average implied volatility is 13.04% [19][22]. - **Volatility Trading**: Different execution prices and Delta values of SSE 50 ETF call options have corresponding implied volatility curves. The volatility trading strategy suggests selling options in months with higher curves and buying those in months with lower curves. For options in the same month, sell options with points above the curve and buy those below [23][28]. - **Risk - Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized return of 6.72% when traded at the settlement price and 0.43% when traded at the counter - party price [31][33]. 3.1.2 Huatai - PineBridge CSI 300 ETF - **Basic Information**: The trading volume of the main options is 341,419 lots, the open interest is 833,904 lots, the trading volume ratio of call options to put options is 1.18, and the weighted average implied volatility is 13.11% [34][36]. - **Volatility Trading**: Similar to the SSE 50 ETF, it has implied volatility curves for different execution prices and Delta values. The trading strategy is the same as above [37][40]. - **Risk - Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized return of 7.54% when traded at the settlement price and 1.24% when traded at the counter - party price [43][45]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main options is 617,817 lots, the open interest is 905,761 lots, the trading volume ratio of call options to put options is 0.94, and the weighted average implied volatility is 16.54% [46][48]. - **Volatility Trading**: There are implied volatility curves for different execution prices and Delta values, and the trading strategy is consistent [49][52]. - **Risk - Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized return of 39.0% when traded at the settlement price and 8.20% when traded at the counter - party price [55][57]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main options is 263,623 lots, the open interest is 1,041,296 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 22.71% [58][60]. - **Volatility Trading**: There are implied volatility curves for different execution prices and Delta values, and the trading strategy is the same [61][64]. - **Risk - Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized return of 35.6% when traded at the settlement price and 5.50% when traded at the counter - party price [67][69]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main options is 65,214 lots, the open interest is 305,756 lots, the trading volume ratio of call options to put options is 2.43, and the weighted average implied volatility is 21.84% [70][72]. - **Volatility Trading**: There are implied volatility curves for different execution prices and Delta values, and the trading strategy is consistent [73][74].

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: June 4, 2025 [1] Industry Investment Rating - Not provided in the report 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 different types of traders based on these volatility indicators [3][6] Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 500,820 lots, the open interest is 971,866 lots, the trading volume ratio of call options to put options is 1.22, and the weighted - average implied volatility is 13.37% [19][22] - **Volatility Trading**: Suggestions include selling options in months with higher implied volatility curves and buying those in months with lower curves; also, selling options with higher points on the curve and buying those with lower points within the same month [25] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.13% at the settlement price and 0.45% at the counter - price [29][31] 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options is 413,524 lots, the open interest is 816,520 lots, the trading volume ratio of call options to put options is 1.22, and the weighted - average implied volatility is 13.84% [32][34] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in months with lower curves; sell high - point options and buy low - point options within the same month [38] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.41% at the settlement price and 2.06% at the counter - price [41][43] 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options is 784,596 lots, the open interest is 883,992 lots, the trading volume ratio of call options to put options is 0.91, and the weighted - average implied volatility is 17% [44][47] - **Volatility Trading**: Follow the rule of selling high - curve months and buying low - curve months, and selling high - point options and buying low - point options within the same month [49] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 36.9% at the settlement price and 8.92% at the counter - price [53][55] 1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options is 215,664 lots, the open interest is 987,709 lots, the trading volume ratio of call options to put options is 1.45, and the weighted - average implied volatility is 25.5% [56][58] - **Volatility Trading**: Adopt the strategy of selling high - curve months and buying low - curve months, and selling high - point options and buying low - point options within the same month [62] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 47.8% at the settlement price and 8.12% at the counter - price [65][67] 1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options is 64,662 lots, the open interest is 298,160 lots, the trading volume ratio of call options to put options is 1.09, and the weighted - average implied volatility is 29.55% [68][70] - **Volatility Trading**: Use the method of selling high - curve months and buying low - curve months, and selling high - point options and buying low - point options within the same month [72] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 47.7% at the settlement price [76]

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents a comprehensive analysis of various options, including their basic information, volatility trading, and risk - free arbitrage. It provides data on option prices, trading volumes, open interests, and implied volatilities for different underlying assets such as ETFs and commodities, and offers suggestions for volatility trading and potential arbitrage opportunities [3][19][22]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main options of Shanghai 50ETF is 588,611 lots, the open interest is 765,403 lots, the trading volume ratio of call options to put options is 1.08, and the weighted - average implied volatility is 13.48%. The T - type quotation table shows the prices of call and put options at different strike prices [19][22]. - **Volatility Trading**: Suggestions are to sell the options in the months with higher curves and buy those in the months with lower curves; for the same month, sell the options with points above the curve and buy those below the curve [25]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 29.9% at the settlement price and 4.86% at the counter - price [28][30]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: The trading volume of the main options is 438,983 lots, the open interest is 573,354 lots, the trading volume ratio of call options to put options is 0.94, and the weighted - average implied volatility is 14.19%. The T - type quotation table shows option prices at different strike prices [31][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve months and high - point options, buy low - curve months and low - point options [34]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 48.6% at the settlement price and 0.68% at the counter - price [38][40]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 905,183 lots, the open interest is 611,848 lots, the trading volume ratio of call options to put options is 1, and the weighted - average implied volatility is 17.68%. The T - type quotation table shows option prices at different strike prices [41][44]. - **Volatility Trading**: Follow the rule of selling high - curve months and high - point options, buying low - curve months and low - point options [45]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 59.9% at the settlement price and 8.05% at the counter - price [49][51]. - **1.4 Huaxia Shanghai Science and Technology Innovation 50ETF** - **Basic Information**: The trading volume of the main options is 265,685 lots, the open interest is 826,335 lots, the trading volume ratio of call options to put options is 1.52, and the weighted - average implied volatility is 28.19%. The T - type quotation table shows option prices at different strike prices [52][54]. - **Volatility Trading**: Adopt the strategy of selling high - curve months and high - point options, buying low - curve months and low - point options [57]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 58.2% at the settlement price and 11.5% at the counter - price [61][63]. - **1.5 E Fund Shanghai Science and Technology Innovation 50ETF** - **Basic Information**: The trading volume of the main options is 59,919 lots, the open interest is 221,356 lots, the trading volume ratio of call options to put options is 1.5, and the weighted - average implied volatility is 27.09%. The T - type quotation table shows option prices at different strike prices [64][66]. - **Volatility Trading**: Use the method of selling high - curve months and high - point options, buying low - curve months and low - point options [70]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 36.6% at the settlement price and 5.34% at the counter - price [73][75]. 3.2 Other Exchanges' Options The report also lists options on the Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange, including basic information, volatility trading, and risk - free arbitrage for each option, but detailed data is not fully presented here [8][9][10]. 3.3 Option Volatility Ranking The report provides a ranking of the implied volatility of at - the - money options, 30 - day historical volatility of the underlying, and the real - time volatility of the underlying for various options. It explains that the implied volatility of at - the - money options reflects market expectations of future fluctuations, the 30 - day historical volatility reflects past actual fluctuations, and the real - time volatility reflects the intraday fluctuations of the day [3][6].