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].