1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the volatility data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of the target on the day. It also offers information on the basic information, volatility trading, and risk - free arbitrage of different options on multiple exchanges [3][20][30]. 3. Summary by Directory 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 was 729,647 lots, the open interest was 638,707 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 16.24% [20][22]. - **Volatility Trading**: Sell the month with the curve above and buy the month with the curve below for different months; sell the option with the point above the curve and buy the option with the point below the curve for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 3.30% at the settlement price and 0.78% at the counter - price [27][29]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day was 739,053 lots, the open interest was 563,448 lots, the trading volume ratio of call options to put options was 1.15, and the weighted average implied volatility was 17.76% [30][32]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell the month or option with the curve or point above and buy the one below [39]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 5.73% at the settlement price and 1.19% at the counter - 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 was 996,190 lots, the open interest was 572,610 lots, the trading volume ratio of call options to put options was 0.85, and the weighted average implied volatility was 22.48% [43][45]. - **Volatility Trading**: Sell the month or option with the curve or point above and buy the one below [49]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 30.6% at the settlement price and 7.36% at the counter - 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 was 742,790 lots, the open interest was 788,400 lots, the trading volume ratio of call options to put options was 1.18, and the weighted average implied volatility was 35.41% [55][56]. - **Volatility Trading**: Sell the month or option with the curve or point above and buy the one below [61]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.09% at the settlement price and 4.10% at the counter - price [63][65]. 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 was 112,527 lots, the open interest was 222,189 lots, the trading volume ratio of call options to put options was 1.22, and the weighted average implied volatility was 36.14% [66][67]. - **Volatility Trading**: Sell the month or option with the curve or point above and buy the one below [70]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.54% at the settlement price and 3.97% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 109,827 lots, the open interest was 96,212 lots, the trading volume ratio of call options to put options was 1.26, and the weighted average implied volatility was 18.61% [77][79]. - **Volatility Trading**: Sell the month or option with the curve or point above and buy the one below [87][88].

Group 1: Option Volatility Ranking - ag2511 has the highest implied volatility of 2.7% and ranks 1st, with a 30 - day historical volatility of 2.3% (ranked 4th) and a real - time volatility of 5.1% (ranked 2nd) [3] - jd2511 has an implied volatility of 2.7%, ranking 2nd, a 30 - day historical volatility of 1.7% (ranked 10th), and a real - time volatility of 1.2% (ranked 35th) [3] - au2512 has an implied volatility of 2.1%, ranking 9th, a 30 - day historical volatility of 2.2% (ranked 5th), and a real - time volatility of 6.4% (ranked 1st) [3] Group 2: Volatility Analysis and Trading Suggestions - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety. Higher values indicate a greater possibility of significant market movements. Trend traders can focus on varieties with higher rankings. The 30 - day historical volatility reflects the actual past market size. 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. Intraday traders can focus on varieties with higher rankings in real - time volatility [6] - For volatility trading, different months: sell the month with the curve above and buy the month with the curve below; for the same month: sell the option with the point above the curve and buy the option with the point below the curve [23] Group 3: Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - The trading volume of the main options of Shanghai 50ETF on this day is 426,448 lots, the open interest is 555,499 lots, the trading volume ratio of call options to put options is 1.4, and the weighted average implied volatility is 16.02% [21] - For volatility trading, different months: sell the month with the curve above and buy the month with the curve below; for the same month: sell the option with the point above the curve and buy the option with the point below the curve [23] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 5.04% at the settlement price and 0.93% at the counter - price [27][29] 1.2 Huatai - Ber瑞 CSI 300ETF - The trading volume of the main options of Huatai - Ber瑞 CSI 300ETF on this day is 452,107 lots, the open interest is 498,017 lots, the trading volume ratio of call options to put options is 1.24, and the weighted average implied volatility is 17.52% [32] - Volatility trading suggestions are the same as above [37] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 4.12% at the settlement price and 0.67% at the counter - price [39][40] 1.3 Southern CSI 500ETF - The trading volume of the main options of Southern CSI 500ETF on this day is 573,640 lots, the open interest is 493,365 lots, the trading volume ratio of call options to put options is 1.06, and the weighted average implied volatility is 22.22% [43] - Volatility trading suggestions are the same as above [45] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 28.0% at the settlement price and 6.66% at the counter - price [49][51] 1.4 Huaxia SSE STAR Market 50ETF - The trading volume of the main options of Huaxia SSE STAR Market 50ETF on this day is 667,575 lots, the open interest is 686,318 lots, the trading volume ratio of call options to put options is 1.21, and the weighted average implied volatility is 34.66% [54] - Volatility trading suggestions are the same as above [56] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 17.1% at the settlement price and 5.97% at the counter - price [60][62] 1.5 E Fund SSE STAR Market 50ETF - The trading volume of the main options of E Fund SSE STAR Market 50ETF on this day is 127,612 lots, the open interest is 204,544 lots, the trading volume ratio of call options to put options is 0.58, and the weighted average implied volatility is 40.39% [65] - Volatility trading suggestions are the same as above [67] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 30.1% at the settlement price and 6.47% at the counter - price [71][72] Group 4: Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - The trading volume of the main options of Harvest CSI 300ETF on this day is 66,876 lots, the open interest is 84,465 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 18.15% [75] - Volatility trading suggestions are the same as above [78]

Group 1: Report Overview - Report Date: October 17, 2025 [1] - Report Title: Pioneer Futures Options Daily Report Group 2: Options Underlying Volatility Ranking Overall Ranking - The report provides a ranking of options underlying based on three volatility metrics: at-the-money implied volatility, 30-day historical volatility, and daily true range [3][4]. - The top 3 options in at-the-money implied volatility are ps2512 (3.3%), ag2511 (3.1%), and科创50etf12月 (2.8%) [3]. - The top 3 options in 30-day historical volatility are科创50etf12月 (2.5%), 科创板50etf12月 (2.4%), and 创业板etf10月 (2.1%) [3]. - The top 3 options in daily true range are ag2511 (5.0%), ps2512 (3.5%), and 创业板etf10月 (3.5%) [3]. Volatility Interpretation - At-the-money implied volatility reflects the market's expectation of future price fluctuations, with higher values indicating a greater likelihood of significant price movements [5]. - 30-day historical volatility reflects the actual price movements in the past, and a lower value compared to implied volatility may suggest that the option price is relatively expensive [5]. - Daily true range reflects the intraday price movements, and traders can focus on options with higher rankings [5]. Group 3: Exchange - Specific Options Analysis 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF Options - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 786,708 contracts, the open interest is 918,269 contracts, the trading volume ratio of call to put options is 1.36, and the weighted average implied volatility is 22.11% [18][20]. - **Volatility Trading**: Suggestions include selling options in months with higher volatility curves and buying those in months with lower curves, and selling options with higher points on the curve and buying those with lower points within the same month [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.8% at the settlement price and 2.48% at the counter - party price [27][29]. 1.2 Huatai - Berry SSE 300ETF Options - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options is 995,813 contracts, the open interest is 645,122 contracts, the trading volume ratio of call to put options is 1.15, and the weighted average implied volatility is 22.92% [30][32]. - **Volatility Trading**: Similar trading suggestions as for Shanghai 50ETF options [34]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 39.6% at the settlement price and 6.08% at the counter - party price [38][39]. 1.3 Southern CSI 500ETF Options - **Basic Information**: The trading volume of the main Southern CSI 500ETF options is 1,661,955 contracts, the open interest is 633,138 contracts, the trading volume ratio of call to put options is 1.13, and the weighted average implied volatility is 26.27% [40][42]. - **Volatility Trading**: Similar trading suggestions as above [46]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.4% at the settlement price and 6.59% at the counter - party price [49][51]. 1.4 Huaxia SSE STAR 50ETF Options - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options is 1,367,222 contracts, the open interest is 649,235 contracts, the trading volume ratio of call to put options is 0.26, and the weighted average implied volatility is 53.28% [52][54]. - **Volatility Trading**: Similar trading suggestions as above [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.4% at the settlement price and 5.98% at the counter - party price [62][64]. 1.5 E Fund SSE STAR 50ETF Options - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options is 332,605 contracts, the open interest is 187,132 contracts, the trading volume ratio of call to put options is 0.31, and the weighted average implied volatility is 48.62% [65][67]. - **Volatility Trading**: Similar trading suggestions as above [71]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.8% at the settlement price and 4.67% at the counter - party price [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest SZSE 300ETF Options - **Basic Information**: The trading volume of the main Harvest SZSE 300ETF options is 171,599 contracts, the open interest is 182,102 contracts, the trading volume ratio of call to put options is 1.1, and the weighted average implied volatility is 24% [77][79]. - **Volatility Trading**: Similar trading suggestions as above [81].

Report Summary 1. Report Industry Investment Rating No information provided in the report. 2. Report's Core View The report presents the daily data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time amplitude of the targets. It also provides T - type quotation tables, trading volume, open interest, and other data for different exchange - traded ETF options, along with volatility trading suggestions and no - risk arbitrage analysis [3][19][23]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The settlement prices of call and put options at different strike prices and expiration months are presented. The trading volume of the main options is 786,708 contracts, the open interest is 918,269 contracts, the trading volume ratio of call to put options is 1.36, and the weighted average implied volatility is 18.7% [19][21]. - **Volatility Trading**: Suggestions are to sell the options or months with higher curves and buy those with lower curves, both for different months and the same month [23]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 32.0% at the settlement price and 1.77% at the counter - party price [27][29]. - **1.2 Huatai - Berire CSI 300ETF** - **Basic Information**: The settlement prices of call and put options at different strike prices and expiration months are given. The trading volume of the main options is 995,813 contracts, the open interest is 645,122 contracts, the trading volume ratio of call to put options is 1.15, and the weighted average implied volatility is 19.37% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the options or months with higher curves and buy those with lower curves [34]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 28.3% at the settlement price and 4.34% at the counter - party price [38][40]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The settlement prices of call and put options at different strike prices and expiration months are shown. The trading volume of the main options is 1,661,955 contracts, the open interest is 633,138 contracts, the trading volume ratio of call to put options is 1.13, and the weighted average implied volatility is 22.23% [41][43]. - **Volatility Trading**: Sell the options or months with higher curves and buy those with lower curves [47]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.7% at the settlement price and 4.71% at the counter - party price [50][52]. - **1.4 Huaxia Shanghai STAR Market 50ETF** - **Basic Information**: The settlement prices of call and put options at different strike prices and expiration months are provided. The trading volume of the main options is 1,367,222 contracts, the open interest is 649,235 contracts, the trading volume ratio of call to put options is 0.26, and the weighted average implied volatility is 52.52% [53][55]. - **Volatility Trading**: Sell the options or months with higher curves and buy those with lower curves [58]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 22.7% at the settlement price and 5.81% at the counter - party price [61][63]. - **1.5 E Fund Shanghai STAR Market 50ETF** - **Basic Information**: The settlement prices of call and put options at different strike prices and expiration months are presented. The trading volume of the main options is 332,605 contracts, the open interest is 187,132 contracts, the trading volume ratio of call to put options is 0.31, and the weighted average implied volatility is 47.93% [64][66]. - **Volatility Trading**: Sell the options or months with higher curves and buy those with lower curves [70]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.1% at the settlement price and 4.54% at the counter - party price [73][75].

1. Report Industry Investment Rating - Not provided in the document 2. Core View of the Report - The report provides a daily update on futures and options, including volatility data of various options, T - type quotes, and suggestions for volatility trading and risk - free arbitrage for different exchange - listed options [3][19][23] 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of 50ETF on the day was 1,080,478 lots, the open interest was 955,458 lots, the trading volume ratio of call to put options was 1.25, and the weighted average implied volatility was 20.12% [21] - **Volatility Trading**: Suggestions include selling the month with the upper - lying curve and buying the lower - lying one for different months; selling the option with the upper - lying point and buying the lower - lying one for the same month [23] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 16.9% at the settlement price and 3.41% at the counter - price [27][29] 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of 300ETF on the day was 1,244,264 lots, the open interest was 697,801 lots, the trading volume ratio of call to put options was 0.98, and the weighted average implied volatility was 21.47% [32] - **Volatility Trading**: Similar to 50ETF, sell the upper - lying curve or point and buy the lower - lying one [34] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 13.1% at the settlement price and 2.18% at the counter - price [38][40] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of 500ETF on the day was 2,003,046 lots, the open interest was 662,219 lots, the trading volume ratio of call to put options was 0.88, and the weighted average implied volatility was 27.62% [43] - **Volatility Trading**: The same trading suggestions as above [46] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 98.5% at the settlement price and 21.9% at the counter - price [50][52] 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of STAR 50ETF on the day was 1,812,782 lots, the open interest was 1,181,164 lots, the trading volume ratio of call to put options was 1.07, and the weighted average implied volatility was 52.27% [55] - **Volatility Trading**: Follow the general volatility trading suggestions [57] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 67.6% at the settlement price and 11.9% at the counter - price [61][63] 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of STAR 50ETF on the day was 365,618 lots, the open interest was 314,195 lots, the trading volume ratio of call to put options was 1.15, and the weighted average implied volatility was 51.49% [66] - **Volatility Trading**: Adopt the common volatility trading strategies [68] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 84.8% at the settlement price and 7.83% at the counter - price [72][74] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of Shenzhen 300ETF on the day was 202,414 lots, the open interest was 196,796 lots, the trading volume ratio of call to put options was 0.85, and the weighted average implied volatility was 23.15% [77] - **Volatility Trading**: Use the same volatility trading suggestions as other options [81] - **Risk - free Arbitrage**: Not provided in the document

Report Title - Pioneer Futures Options Daily Report, dated October 13, 2025 [1] Key Information on Option Volatility Option Volatility Ranking - The report provides rankings of at-the-money option implied volatility, 30-day historical volatility, and the real daily range for various option targets. For example, ps2511 ranks 1st in at-the-money option implied volatility with a value of 4.3%, while cj601 ranks 10th with 2.0% [3]. Volatility Analysis - At-the-money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset. Higher values suggest a greater likelihood of significant price movements. Historical volatility shows past price fluctuations, and if it is lower than implied volatility, option prices may be relatively high. The real daily range indicates the intraday price movement [6]. Exchange - Specific Option Analysis Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on the day is 930,721 contracts, with an open interest of 976,248 contracts. The trading volume ratio of call to put options is 1.13, and the weighted - average implied volatility is 21.08% [21]. - **Volatility Trading**: Suggestions include selling options in months with higher implied volatility 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]. - **Risk - Free Arbitrage**: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.8%; with counter - party price execution, it is 0.81% [27][29]. 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options on the day is 1,110,954 contracts, with an open interest of 715,169 contracts. The trading volume ratio of call to put options is 0.98, and the weighted - average implied volatility is 21.27% [32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in lower - curve months; for the same month, sell high - curve points and buy low - curve points [34]. - **Risk - Free Arbitrage**: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5%; with counter - party price execution, there is no minimum annualized return [38][40]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options on the day is 1,607,027 contracts, with an open interest of 718,773 contracts. The trading volume ratio of call to put options is 0.96, and the weighted - average implied volatility is 24.63% [43]. - **Volatility Trading**: Follow the same rules as above for volatility trading [45]. - **Risk - Free Arbitrage**: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 34.4%; with counter - party price execution, it is 7.58% [49][51]. 1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options on the day is 1,571,108 contracts, with an open interest of 1,188,741 contracts. The trading volume ratio of call to put options is 1.04, and the weighted - average implied volatility is 51.33% [54]. - **Volatility Trading**: Adopt the same volatility trading strategies [56]. - **Risk - Free Arbitrage**: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 35.2%; with counter - party price execution, it is 4.41% [60][62]. 1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options on the day is 314,143 contracts, with an open interest of 329,369 contracts. The trading volume ratio of call to put options is 1, and the weighted - average implied volatility is 51.4% [65]. - **Volatility Trading**: Use the same rules for volatility trading [67]. - **Risk - Free Arbitrage**: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 27.7%; with counter - party price execution, it is 1.89% [71][73].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the option market data of multiple underlying assets, including the ranking of option volatility, trading volume, and open interest of major options, as well as provides volatility trading suggestions and no - risk arbitrage analysis for various exchange - listed options [3][20][22]. 3. Summary by Directory 3.1 Option Volatility Ranking - The report lists the implied volatility, 30 - day historical volatility, and daily true range of multiple option underlying assets, along with their rankings [3]. - The zc511 has the highest implied volatility of 10.1%, ranking first; the 30 - day historical volatility of the科创50etf10月 is 2.4%, ranking first; and the daily true range of the科创50etf10月 is 6.7%, ranking first [3]. 3.2 Shanghai Stock Exchange Options 3.2.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 948,596 lots, the open interest is 996,227 lots, the trading volume ratio of call options to put options is 1.61, and the weighted average implied volatility is 17.82% [20]. - **Volatility Trading**: Suggestions are to sell options in months with higher curves and buy those in months with lower curves; for the same month, sell options with points above the curve and buy those below [22]. - **No - Risk Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 12.2% at the settlement price and 1.30% at the counter - price [26][28]. 3.2.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options is 1,091,824 lots, the open interest is 785,510 lots, the trading volume ratio of call options to put options is 1.13, and the weighted average implied volatility is 17.04% [31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in months with lower curves; for the same month, sell options with points above the curve and buy those below [33]. - **No - Risk Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 16.6% at the settlement price and 4.13% at the counter - price [37][39]. 3.2.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,404,681 lots, the open interest is 662,200 lots, the trading volume ratio of call options to put options is 1.11, and the weighted average implied volatility is 20.21% [42]. - **Volatility Trading**: The same trading suggestions as above, sell high - curve options and buy low - curve options [44]. - **No - Risk Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 26.0% at the settlement price and 5.55% at the counter - price [48][50]. 3.2.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 1,569,435 lots, the open interest is 1,118,938 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 44.48% [53]. - **Volatility Trading**: Sell options in months with higher curves and buy those in months with lower curves; for the same month, sell high - point options and buy low - point options [56]. - **No - Risk Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 31.7% at the settlement price and 3.44% at the counter - price [60][62]. 3.2.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 361,098 lots, the open interest is 320,378 lots, the trading volume ratio of call options to put options is 1.38, and the weighted average implied volatility is 45.36% [65]. - **Volatility Trading**: The same trading suggestions as other options, sell high - curve options and buy low - curve options [67]. - **No - Risk Arbitrage**: No relevant data provided.

Report Information - Report Name: Pioneer Futures Options Daily Report - Report Date: October 9, 2025 [1] Option Underlying Market Volatility Ranking | Underlying | Implied Volatility of At-the-Money Options | Ranking | 30-Day Historical Volatility of Underlying | Ranking | Realized Volatility of Underlying on the Day | Ranking | | --- | --- | --- | --- | --- | --- | --- | | ps2511 | 3.3% | 1 | 1.5% | 12 | 4.3% | 10 | | lc2511 | 3.3% | 2 | 1.5% | 10 | 3.6% | 12 | | Science and Technology Innovation Board 50 ETF (October) | 2.7% | 3 | 1.9% | 5 | 5.9% | 4 | | Science and Technology Innovation 50 ETF (October) | 2.7% | 4 | 1.9% | 2 | 6.0% | 3 | | si2511 | 2.4% | 5 | 2.0% | 1 | 2.4% | 22 | | sn2511 | 2.3% | 6 | 1.3% | 22 | 4.7% | 7 | | sc2511 | 2.2% | 7 | 1.7% | 7 | 3.0% | 16 | | ChiNext ETF (October) | 2.2% | 8 | 1.9% | 3 | 2.5% | 20 | | ag2511 | 2.2% | 9 | 1.5% | 11 | 3.5% | 13 | | fg511 | 1.9% | 10 | 1.9% | 4 | 2.3% | 24 | | ao2511 | 1.9% | 11 | 1.0% | 37 | 1.9% | 44 | | br2511 | 1.8% | 12 | 1.2% | 28 | 2.1% | 35 | | ni2511 | 1.7% | 13 | 1.0% | 34 | 3.0% | 15 | | cj601 | 1.7% | 14 | 1.6% | 8 | 2.4% | 21 | | jd2511 | 1.6% | 15 | 1.9% | 6 | 6.9% | 2 | | lh2511 | 1.6% | 16 | 1.6% | 9 | 7.1% | 1 | | cu2511 | 1.5% | 17 | 1.4% | 15 | 4.5% | 9 | | au2512 | 1.5% | 18 | 1.3% | 18 | 4.9% | 5 | | ru2601 | 1.5% | 19 | 1.2% | 26 | 2.7% | 17 | | p2511 | 1.4% | 20 | 1.4% | 14 | 3.4% | 14 | | ap601 | 1.4% | 21 | 1.3% | 21 | 2.6% | 19 | | Shenzhen 100 ETF (October) | 1.4% | 22 | 1.4% | 13 | 2.2% | 28 | | sa511 | 1.3% | 23 | 1.4% | 17 | 2.2% | 26 | | i2511 | 1.3% | 24 | 0.8% | 39 | 2.0% | 38 | | sh511 | 1.3% | 25 | 1.4% | 16 | 4.7% | 6 | | mo2510 | 1.2% | 26 | 1.1% | 29 | 1.3% | 58 | | CSI 500 ETF (October) | 1.2% | 27 | 1.2% | 23 | 2.2% | 29 | | pg2511 | 1.2% | 28 | 1.3% | 19 | 4.6% | 8 | | 500 ETF (October) | 1.2% | 29 | 1.2% | 24 | 2.1% | 34 | | eb2511 | 1.2% | 30 | 0.8% | 42 | 1.6% | 48 | | lg2511 | 1.1% | 31 | 0.6% | 59 | 1.9% | 41 | | rb2601 | 1.1% | 32 | 0.8% | 43 | 0.9% | 65 | | ad2511 | 1.0% | 33 | 0.6% | 54 | 1.9% | 43 | | pb2511 | 1.0% | 34 | 0.6% | 53 | 1.5% | 52 | | zn2511 | 1.0% | 35 | 0.8% | 41 | 2.3% | 23 | | v2511 | 1.0% | 36 | 0.7% | 46 | 2.6% | 18 | | rm511 | 1.0% | 37 | 1.1% | 31 | 2.1% | 31 | | 50 ETF (October) | 1.0% | 38 | 0.7% | 48 | 1.5% | 50 | | SSE 50 ETF (October) | 1.0% | 39 | 1.0% | 35 | 1.9% | 42 | | bz2603 | 1.0% | 40 | 0.6% | 52 | 2.0% | 37 | | eg2511 | 0.9% | 41 | 0.5% | 62 | 1.8% | 46 | | io2510 | 0.9% | 42 | 0.9% | 38 | 1.8% | 45 | | 300 ETF (October) | 0.9% | 43 | 1.0% | 36 | 2.0% | 39 | | ho2510 | 0.9% | 44 | 0.7% | 49 | 1.5% | 49 | | cs2511 | 0.9% | 45 | 0.7% | 47 | 2.1% | 32 | | sf511 | 0.9% | 46 | 1.1% | 30 | 1.4% | 55 | | al2511 | 0.9% | 47 | 0.6% | 56 | 2.0% | 40 | | c2511 | 0.8% | 48 | 0.6% | 58 | 1.2% | 60 | | ta511 | 0.8% | 49 | 0.8% | 40 | 1.5% | 51 | | y2511 | 0.8% | 50 | 1.2% | 25 | 2.2% | 25 | | m2511 | 0.8% | 51 | 1.2% | 27 | 1.3% | 57 | | l2511 | 0.8% | 52 | 0.4% | 64 | 1.4% | 56 | | ur511 | 0.8% | 53 | 1.0% | 32 | 3.9% | 11 | | ma511 | 0.7% | 54 | 0.7% | 50 | 2.1% | 36 | | b2511 | 0.7% | 55 | 1.3% | 20 | 1.4% | 54 | | sm511 | 0.7% | 56 | 0.7% | 45 | 0.9% | 64 | | pk511 | 0.7% | 57 | 0.5% | 61 | 2.2% | 30 | | oi511 | 0.7% | 58 | 1.0% | 33 | 2.1% | 33 | | a2511 | 0.6% | 59 | 0.7% | 51 | 1.4% | 53 | | pf511 | 0.6% | 60 | 0.6% | 55 | 1.2% | 62 | | pp2601 | 0.6% | 61 | 0.5% | 60 | 2.2% | 27 | | cf601 | 0.6% | 62 | 0.5% | 63 | 1.2% | 59 | | pr511 | 0.5% | 63 | 0.6% | 57 | 1.1% | 63 | [3][4] Volatility Explanation - The implied volatility of at-the-money options reflects the market's expectation of the future volatility of the underlying asset. A higher value indicates a greater likelihood of significant market movements. Trend traders may focus on the top-ranked varieties [5]. - The 30-day historical volatility of the underlying asset reflects the actual historical market movements of the underlying asset. If this value is smaller than the implied volatility, it may suggest that the option price is relatively high. Option sellers can pay attention to the difference in rankings between the two [5]. - The realized volatility of the underlying asset on the day reflects the intraday market movements of the underlying asset. Intraday traders may focus on the top-ranked varieties [5]. Exchange Option Analysis Shanghai Stock Exchange Options SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options was 1,080,033 contracts, and the open interest was 935,204 contracts. The trading volume ratio of call options to put options was 1.69, and the weighted average implied volatility was 17.64% [18][20]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [22]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 15.6%; when trading at the counterparty price, it is 3.79% [26][28]. Huatai-PineBridge SSE 300 ETF - **Basic Information**: The trading volume of the Huatai-PineBridge SSE 300 ETF's main options was 1,103,712 contracts, and the open interest was 724,243 contracts. The trading volume ratio of call options to put options was 1.37, and the weighted average implied volatility was 16.67% [29][31]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [35]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.52%; when trading at the counterparty price, it is 1.00% [38][40]. Southern CSI 500 ETF - **Basic Information**: The trading volume of the Southern CSI 500 ETF's main options was 1,342,230 contracts, and the open interest was 659,034 contracts. The trading volume ratio of call options to put options was 1.08, and the weighted average implied volatility was 19.54% [41][43]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [45]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 34.8%; when trading at the counterparty price, it is 7.72% [49][51]. Huaxia SSE Science and Technology Innovation Board 50 ETF - **Basic Information**: The trading volume of the Huaxia SSE Science and Technology Innovation Board 50 ETF's main options was 1,844,940 contracts, and the open interest was 1,034,741 contracts. The trading volume ratio of call options to put options was 1.43, and the weighted average implied volatility was 41.82% [52][54]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [59]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 64.0%; when trading at the counterparty price, it is 12.4% [61][63]. E Fund SSE Science and Technology Innovation Board 50 ETF - **Basic Information**: The trading volume of the E Fund SSE Science and Technology Innovation Board 50 ETF's main options was 409,101 contracts, and the open interest was 277,356 contracts. The trading volume ratio of call options to put options was 1.65, and the weighted average implied volatility was 42.64% [64][66]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [68]. - **Risk-Free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 40.0%; when trading at the counterparty price, it is 8.65% [72][74]. Shenzhen Stock Exchange Options Harvest SSE 300 ETF - **Basic Information**: The trading volume of the Harvest SSE 300 ETF's main options was 184,080 contracts, and the open interest was 185,103 contracts. The trading volume ratio of call options to put options was 1.41, and the weighted average implied volatility was 18.39% [75][77]. - **Volatility Trading**: Different months - sell the options of the month with the higher curve and buy the options of the month with the lower curve; same month - sell the options above the curve and buy the options below the curve [79].

Report Summary 1. Option Volatility Ranking - Presented the option volatility ranking for various underlying assets, 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] 2. Core View - Provided information on the trading volume, open interest, volume ratio of call to put options, and weighted - average implied volatility of the main options of different ETFs - Offered volatility trading suggestions based on the implied volatility curves of different months and options - Calculated the minimum annualized return of the optimal arbitrage portfolio for different ETF options when traded at settlement price and counter - party price 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - **1.1 Shanghai 50ETF** - Basic information: The trading volume of the main options was 562,138 lots, the open interest was 910,570 lots, the volume ratio of call to put options was 1.9, and the weighted - average implied volatility was 17.57% [18][20] - Volatility trading: Suggested selling the options or months with higher implied volatility curves and buying those with lower ones [23] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio was 5.78% at settlement price and 1.46% at counter - party price [26][28] - **1.2 Huatai - Ber瑞沪深300ETF** - Basic information: The trading volume of the main options was 647,138 lots, the open interest was 707,630 lots, the volume ratio of call to put options was 1.68, and the weighted - average implied volatility was 17.7% [29][31] - Volatility trading: Similar trading suggestions as above [33] - Risk - free arbitrage: The minimum annualized return was 4.66% at settlement price and 0.53% at counter - party price [37][39] - **1.3 Southern China Securities 500ETF** - Basic information: The trading volume of the main options was 969,418 lots, the open interest was 599,229 lots, the volume ratio of call to put options was 1.2, and the weighted - average implied volatility was 21.23% [40][42] - Volatility trading: Similar trading suggestions [45] - Risk - free arbitrage: The minimum annualized return was 30.2% at settlement price and 6.79% at counter - party price [49][51] - **1.4 Huaxia Shanghai Science and Technology Innovation 50ETF** - Basic information: The trading volume of the main options was 1,109,727 lots, the open interest was 998,550 lots, the volume ratio of call to put options was 1.67, and the weighted - average implied volatility was 41.79% [52][54] - Volatility trading: Similar trading suggestions [56] - Risk - free arbitrage: The minimum annualized return was 10.7% at settlement price and 2.88% at counter - party price [60][62] - **1.5 E Fund Shanghai Science and Technology Innovation 50ETF** - Basic information: The trading volume of the main options was 222,304 lots, the open interest was 259,569 lots, the volume ratio of call to put options was 1.93, and the weighted - average implied volatility was 41.45% [63][65] - Volatility trading: Similar trading suggestions [68] - Risk - free arbitrage: The minimum annualized return was 18.1% at settlement price and 4.58% at counter - party price [72][74] 3.2 Shenzhen Stock Exchange Options - **2.1 Harvest CSI 300ETF** - Basic information: The trading volume of the main options was 111,486 lots, the open interest was 175,685 lots, the volume ratio of call to put options was 1.29, and the weighted - average implied volatility was 19.83% [75][77] - Volatility trading: Similar trading suggestions [80][81]

Report Summary 1. Option Underlying Volatility Ranking - The report presents a ranking of option underlying assets based on implied volatility, 30 - day historical volatility, and daily true range. For example, lc2511 ranks 1st in implied volatility with 3.0%, ps2511 ranks 1st in 30 - day historical volatility with 2.7%, and cj601 ranks 1st in daily true range with 4.8% [3]. 2. Shanghai Stock Exchange Options 2.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - contract options of Shanghai 50ETF on the day is 1,169,164 lots, the open interest is 879,616 lots, the trading volume ratio of call options to put options is 1.95, and the weighted - average implied volatility is 18.18% [18][20]. - **Volatility Trading**: Suggestions include selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling the options with points above the curve and buying those with points below the curve for the same month [23]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.80%; when trading at the counter - offer price, it is 2.63% [26][28]. 2.2 Huatai -柏瑞 CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Huatai -柏瑞 CSI 300ETF on the day is 1,058,849 lots, the open interest is 707,790 lots, the trading volume ratio of call options to put options is 1.59, and the weighted - average implied volatility is 18.52% [29][31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those with points below the curve for the same month [36]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.14%; when trading at the counter - offer price, it is 0.45% [39][41]. 2.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - contract options of Southern CSI 500ETF on the day is 1,205,915 lots, the open interest is 616,631 lots, the trading volume ratio of call options to put options is 1.28, and the weighted - average implied volatility is 22.3% [42][44]. - **Volatility Trading**: The trading suggestions are the same as above [48]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 20.2%; when trading at the counter - offer price, it is 3.59% [51][53]. 2.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main - contract options of Huaxia Shanghai Science and Technology Innovation 50ETF on the day is 1,082,103 lots, the open interest is 969,460 lots, the trading volume ratio of call options to put options is 1.56, and the weighted - average implied volatility is 44.22% [54][56]. - **Volatility Trading**: The trading suggestions remain consistent [58]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5%; when trading at the counter - offer price, it is 2.25% [62][64]. 2.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main - contract options of E Fund Shanghai Science and Technology Innovation 50ETF on the day is 222,896 lots, the open interest is 257,534 lots, the trading volume ratio of call options to put options is 1.83, and the weighted - average implied volatility is 44.53% [65][67]. - **Volatility Trading**: The trading suggestions are unchanged [69]. - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.4%; when trading at the counter - offer price, it is 1.63% [73][75]. 3. Shenzhen Stock Exchange Options 3.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Harvest CSI 300ETF on the day is 215,662 lots, the open interest is 173,644 lots, the trading volume ratio of call options to put options is 1.31, and the weighted - average implied volatility is 19.84% [76][78]. - **Volatility Trading**: The trading suggestions are to sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those with points below the curve for the same month [80].