Report Information - The report is the Pioneer Futures Options Daily Report dated September 4, 2025 [1] Core Information Options Volatility Ranking - Presents the implied volatility, historical volatility for 30 days, and daily true volatility of multiple option targets, along with their rankings. For example, ps2510 has an implied volatility of 5.3% (ranked 1st), a 30 - day historical volatility of 2.3% (ranked 4th), and a daily true volatility of 1.5% (ranked 32nd) [3] Volatility Trading Insights - For different months, sell options from months with higher - ranking curves and buy those from months with lower - ranking curves; for the same month, sell options with points above the curve and buy those with points below the curve [23][34] Risk - free Arbitrage Returns - Provides the minimum annualized returns of optimal arbitrage portfolios for various ETF options when traded at settlement prices and counter - party prices. For instance, for the Huatai - Baoying CSI 300 ETF, the minimum annualized return is 22.9% at the settlement price and 5.17% at the counter - party price [38][41] Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 1,482,827 lots, the open interest is 1,345,622 lots, the volume ratio of call to put options is 1.22, and the weighted average implied volatility is 22.13% [19][21] - **Volatility Trading**: Offers volatility trading suggestions based on implied volatility curves [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 9.72% at the settlement price and 0.32% at the counter - party price [27][29] 1.2 Huatai - Baoying CSI 300 ETF - **Basic Information**: Shows the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 1,370,832 lots, the open interest is 1,047,558 lots, the volume ratio of call to put options is 1.14, and the weighted average implied volatility is 22.22% [30][32] - **Volatility Trading**: Provides volatility trading suggestions according to implied volatility curves [34] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 22.9% at the settlement price and 5.17% at the counter - party price [38][41] 1.3 Southern CSI 500 ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 2,102,038 lots, the open interest is 1,041,307 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 26.99% [42][44] - **Volatility Trading**: Gives volatility trading suggestions based on implied volatility curves [49] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 59.1% at the settlement price and 11.6% at the counter - party price [51][53] 1.4 Huaxia Shanghai Science and Technology Innovation 50 ETF - **Basic Information**: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 2,416,741 lots, the open interest is 1,547,127 lots, the volume ratio of call to put options is 0.99, and the weighted average implied volatility is 48.77% [54][56] - **Volatility Trading**: Offers volatility trading suggestions according to implied volatility curves [57] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 37.3% at the settlement price and 8.66% at the counter - party price [61][62] 1.5 E Fund Shanghai Science and Technology Innovation 50 ETF - **Basic Information**: Shows the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 519,143 lots, the open interest is 455,701 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 51.35% [63][65] - **Volatility Trading**: Provides volatility trading suggestions based on implied volatility curves [67] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 49.0% at the settlement price and 11.3% at the counter - party price [71][73] 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300 ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 232,909 lots, the open interest is 247,956 lots, the volume ratio of call to put options is 1.14, and the weighted average implied volatility is 23.66% [74][77] - **Volatility Trading**: Gives volatility trading suggestions according to implied volatility curves [81] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 20.9% at the settlement price and 2.41% at the counter - party price [84][85] 2.2 E Fund ChiNext ETF - **Basic Information**: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 3,181,923 lots, the open interest is 1,403,161 lots, the volume ratio of call to put options is 0.93, and the weighted average implied volatility is 42.06% [86][88] - **Volatility Trading**: Offers volatility trading suggestions based on implied volatility curves [90] - **Risk - free Arbitrage**: Not provided in the given content

Report Information - Report Name: Pioneer Futures Option Daily Report - Report Date: September 3, 2025 [1] Option Volatility Ranking - The report provides a ranking of option underlying assets based on at-the-money option implied volatility, 30-day historical volatility, and daily true range. For example, ps2510 ranks 1st in at-the-money option implied volatility with a value of 4.5%, lc2510 ranks 1st in 30-day historical volatility with a value of 3.3%, and the ChiNext ETF in September ranks 1st in daily true range with a value of 4.9% [3]. Core Views - At-the-money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset. A higher value indicates a greater likelihood of significant price movements, which can be of interest to trend traders. - The 30-day historical volatility reflects the actual price movements of the underlying asset in the past. If it is lower than the implied volatility, the option price may be relatively high, which can be considered by option sellers. - The daily true range reflects the intraday price movements of the underlying asset, which can be of interest to intraday traders [5]. Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options (options with the largest trading volume in the month) of the Shanghai 50ETF on the day was 1,256,352 contracts, and the open interest was 1,304,707 contracts. The trading volume ratio of call options to put options was 1.43, and the weighted average implied volatility was 21.7% [18][20]. - **Volatility Trading**: The report provides implied volatility curves for different strike prices and deltas of call options, and suggests selling options with higher implied volatility and buying options with lower implied volatility, both across different months and within the same month [21][23]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 12.5% when trading at the settlement price and 3.23% when trading at the counterparty price [26][28]. 1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main options of the Huatai-PineBridge CSI 300ETF on the day was 1,170,627 contracts, and the open interest was 1,018,058 contracts. The trading volume ratio of call options to put options was 1.34, and the weighted average implied volatility was 20.43% [29][31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, the report provides implied volatility curves and trading suggestions [32][34]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 28.6% when trading at the settlement price and 5.62% when trading at the counterparty price [38][39]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of the Southern CSI 500ETF on the day was 1,840,252 contracts, and the open interest was 1,000,444 contracts. The trading volume ratio of call options to put options was 1.11, and the weighted average implied volatility was 25.61% [40][42]. - **Volatility Trading**: Implied volatility curves and trading suggestions are provided [43][45]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 65.6% when trading at the settlement price and 14.7% when trading at the counterparty price [50][52]. 1.4 Huaxia SSE STAR Market 50ETF - **Basic Information**: The trading volume of the main options of the Huaxia SSE STAR Market 50ETF on the day was 1,451,147 contracts, and the open interest was 1,589,690 contracts. The trading volume ratio of call options to put options was 1.73, and the weighted average implied volatility was 46.28% [53][55]. - **Volatility Trading**: Implied volatility curves and trading suggestions are provided [57][59]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 37.4% when trading at the settlement price and 8.08% when trading at the counterparty price [63][65]. 1.5 E Fund SSE STAR Market 50ETF - **Basic Information**: The trading volume of the main options of the E Fund SSE STAR Market 50ETF on the day was 293,795 contracts, and the open interest was 443,021 contracts. The trading volume ratio of call options to put options was 1.72, and the weighted average implied volatility was 48.1% [66][68]. - **Volatility Trading**: Implied volatility curves and trading suggestions are provided [69][70]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held until maturity is 45.4% when trading at the settlement price and 11.0% when trading at the counterparty price [75][77]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of the Harvest CSI 300ETF on the day was 195,933 contracts, and the open interest was 226,593 contracts. The trading volume ratio of call options to put options was 1.33, and the weighted average implied volatility was 23.19% [78][81]. - **Volatility Trading**: Implied volatility curves and trading suggestions are provided [82][84].

1. Report Information - Report Name: Pioneer Futures Option Daily Report [1] - Report Date: September 2, 2025 [1] 2. Option Underlying Volatility Ranking 2.1 Ranking Explanation - The table shows the ranking of option underlying based on at-the-money implied volatility, 30-day historical volatility, and daily true range [3]. - The at-the-money implied volatility reflects the market's expectation of future price movement of the underlying, with higher values indicating a greater likelihood of significant price changes [5]. - The 30-day historical volatility shows the actual historical price movements of the underlying, and a lower value compared to the implied volatility may suggest that the option price is relatively expensive [5]. - The daily true range represents the intraday price movement of the underlying on the day [5]. 2.2 Top Rankings - **At-the-money Implied Volatility**: ps2510 ranks first with 4.5% [3]. - **30-day Historical Volatility**: lc2510 ranks first with 3.3% [3]. - **Daily True Range**: The创业板etf9月 ranks first with 4.9% [3]. 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 1,076,227 lots, the open interest is 1,248,294 lots, the trading volume ratio of call to put options is 1.62, and the weighted average implied volatility is 22.37% [20]. - **Volatility Trading**: Sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [23]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.60% at the settlement price and 1.41% at the counterparty price [26][28]. 3.1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main Huatai-PineBridge CSI 300ETF options is 1,169,972 lots, the open interest is 985,481 lots, the trading volume ratio of call to put options is 1.33, and the weighted average implied volatility is 21.71% [31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [34]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 29.7% at the settlement price and 2.01% at the counterparty price [38][39]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options is 1,979,658 lots, the open interest is 981,865 lots, the trading volume ratio of call to put options is 1.04, and the weighted average implied volatility is 25.75% [42]. - **Volatility Trading**: Follow the same strategy as above, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [45]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 66.8% at the settlement price and 15.6% at the counterparty price [50][52]. 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50 ETF options is 1,657,235 lots, the open interest is 1,550,085 lots, the trading volume ratio of call to put options is 1.53, and the weighted average implied volatility is 50.24% [55]. - **Volatility Trading**: Adopt the same volatility trading strategy, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [59]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.7% at the settlement price and 2.42% at the counterparty price [63][64]. 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50 ETF options is 360,178 lots, the open interest is 430,779 lots, the trading volume ratio of call to put options is 1.58, and the weighted average implied volatility is 50.98% [67]. - **Volatility Trading**: Use the same volatility trading approach, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [69]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 27.2% at the settlement price and 6.03% at the counterparty price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Harvest CSI 300ETF options is 225,860 lots, the open interest is 217,157 lots, the trading volume ratio of call to put options is 1.31, and the weighted average implied volatility is 24.33% [80]. - **Volatility Trading**: Apply the same volatility trading strategy, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [83]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.3% at the settlement price and 2.19% at the counterparty price [86][88].

a 先锋期货期权日报 2025-8-27 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | zn2510 | 32.0% | 1 | 0.0% | 65 | 0.0% | 65 | | ps2510 | 3.2% | 2 | 3.5% | 2 | 4.8% | 2 | | 科创板50etf9月 | 3.1% | 3 | 2.3% | 6 | 4.9% | 1 | | lc2510 | 3.1% | 4 | 3.8% | ...

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report The report presents a comprehensive analysis of various futures and ETF options, including their volatility and potential arbitrage opportunities. It offers data on option prices, trading volumes, open interest, and implied volatility for different products on multiple exchanges. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main - month options was 726,523 lots, with an open interest of 668,187 lots. The volume ratio of call to put options was 1.74, and the weighted - average implied volatility was 29.95% [19][21]. - **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 options above the curve and buying those below for the same month [25]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 72.2% at the settlement price and 8.23% at the counter - price [29][31]. 3.1.2 Huatai - Berry CSI 300 ETF - **Basic Information**: The trading volume of the main - month options was 653,651 lots, with an open interest of 410,000 lots. The volume ratio of call to put options was 1.97, and the weighted - average implied volatility was 33.46% [32][34]. - **Volatility Trading**: Similar to SSE 50 ETF, sell the upper - curve options and buy the lower - curve ones [38]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 143% at the settlement price and 7.88% at the counter - price [44][45]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main - month options was 1,163,681 lots, with an open interest of 501,305 lots. The volume ratio of call to put options was 1.47, and the weighted - average implied volatility was 34.16% [46][48]. - **Volatility Trading**: Follow the rule of selling upper - curve and buying lower - curve options [50]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 263% at the settlement price and 32.9% at the counter - price [54][56]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main - month options was 844,588 lots, with an open interest of 737,624 lots. The volume ratio of call to put options was 1.72, and the weighted - average implied volatility was 66.83% [57][59]. - **Volatility Trading**: Adopt the strategy of selling upper - curve and buying lower - curve options [64]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 328% at the settlement price and 110% at the counter - price [66][68]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main - month options was 218,684 lots, with an open interest of 259,621 lots. The volume ratio of call to put options was 1.8, and the weighted - average implied volatility was 70.49% [69][71]. - **Volatility Trading**: Use the method of selling upper - curve and buying lower - curve options [75]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 291% at the settlement price and 131% at the counter - price [78][80]. 3.2 Shenzhen Stock Exchange Options No detailed data analysis provided in the given text. 3.3 China Financial Futures Exchange Options No detailed data analysis provided in the given text. 3.4 Zhengzhou Commodity Exchange Options No detailed data analysis provided in the given text. 3.5 Dalian Commodity Exchange Options No detailed data analysis provided in the given text. 3.6 Shanghai Futures Exchange Options No detailed data analysis provided in the given text. 3.7 Shanghai International Energy Exchange Options No detailed data analysis provided in the given text. 3.8 Guangzhou Futures Exchange Options No detailed data analysis provided in the given text.

Report Summary 1. Report Industry Investment Rating No information provided in the document. 2. Core View of the Report The report presents the daily data of futures and options, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of various underlying assets. It also provides detailed information on options of different ETFs and futures contracts on multiple exchanges, including basic information, volatility trading suggestions, and risk - free arbitrage analysis. 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 on the day was 1,012,222 lots, the open interest was 991,286 lots, the trading volume ratio of call options to put options was 1.46, and the weighted average implied volatility was 18.54% [21]. - **Volatility Trading**: Suggestions are to sell options in months with higher implied volatility curves and buy those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.9% at the settlement price and 2.97% at the counter - price [27][29]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: The trading volume of the main options of Huatai - Berry CSI 300ETF on the day was 872,051 lots, the open interest was 669,322 lots, the trading volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 19.02% [33]. - **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, follow the rule of high - point selling and low - point buying [36]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.9% at the settlement price and 4.14% at the counter - price [40][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,459,211 lots, the open interest was 750,941 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 23.16% [45]. - **Volatility Trading**: Volatility trading suggestions are the same as above [51][52]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.6% at the settlement price and 2.72% at the counter - price [54][56]. - **1.4 Huaxia SSE STAR 50 ETF** - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50 ETF on the day was 1,053,911 lots, the open interest was 818,616 lots, the trading volume ratio of call options to put options was 1.99, and the weighted average implied volatility was 35.53% [59]. - **Volatility Trading**: Follow the same volatility trading rules [65]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.3% at the settlement price and 5.97% at the counter - price [67][69]. - **1.5 E Fund SSE STAR 50 ETF** - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50 ETF on the day was 240,600 lots, the open interest was 269,707 lots, the trading volume ratio of call options to put options was 2.07, and the weighted average implied volatility was 38.61% [72]. - **Volatility Trading**: Adopt the same volatility trading suggestions [76]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 24.0% at the settlement price and 1.58% at the counter - price [79][81]. 3.2 Shenzhen Stock Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 217,214 lots, the open interest was 179,258 lots, the trading volume ratio of call options to put options was 1.12, and the weighted average implied volatility was 22.01% [85]. - **Volatility Trading**: No detailed information on volatility trading results was given, but the document mentions volatility trading in general terms for other similar options [86]. - **Risk - free Arbitrage**: No information provided in the document.

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 real - time volatility of the day. It also provides basic information, volatility trading suggestions, and risk - free arbitrage analysis for options on different ETFs in multiple exchanges [3][6]. 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 the Shanghai 50ETF on the day was 1,209,336 lots, the open interest was 979,212 lots, the volume ratio of call options to put options was 2.18, and the weighted average implied volatility was 21.91% [19][21]. - **Volatility Trading**: Suggestions are to 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 [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.8% at the settlement price and 5.84% at the counter - price [27][29]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of the Huatai - Berry SSE 300ETF on the day was 1,136,160 lots, the open interest was 727,636 lots, the volume ratio of call options to put options was 1.81, and the weighted average implied volatility was 22.03% [30][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, 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 [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.60% at the settlement price and 2.76% at the counter - price [40][42]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of the Southern CSI 500ETF on the day was 1,672,302 lots, the open interest was 803,626 lots, the volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 25.92% [43][45]. - **Volatility Trading**: The same volatility trading suggestions as above [48]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 45.4% at the settlement price and 10.5% at the counter - price [51][53]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of the Huaxia SSE STAR 50ETF on the day was 1,176,662 lots, the open interest was 869,482 lots, the volume ratio of call options to put options was 2.44, and the weighted average implied volatility was 36.6% [54][55]. - **Volatility Trading**: Similar trading suggestions [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.9% at the settlement price and 3.32% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of the E Fund SSE STAR 50ETF on the day was 323,811 lots, the open interest was 284,791 lots, the volume ratio of call options to put options was 2.37, and the weighted average implied volatility was 38.96% [65][67]. - **Volatility Trading**: The same trading suggestions [69]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.9% at the settlement price and 6.56% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of the Harvest SSE 300ETF on the day was 248,529 lots, the open interest was 172,423 lots, the volume ratio of call options to put options was 1.47, and the weighted average implied volatility was 24.27% [76][79]. - **Volatility Trading**: Similar trading suggestions [82][83]. - **Risk - Free Arbitrage**: No detailed risk - free arbitrage data provided.

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: August 13, 2025 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report presents data on various option targets, including their at - the - money implied volatility, 30 - day historical volatility, and daily true range. It offers trading suggestions for different types of traders based on these volatility indicators. Additionally, it provides detailed information on options from multiple exchanges, including basic information, volatility trading analysis, and risk - free arbitrage opportunities for each option [3][6]. 3. Summary by Directory 3.1 Options on the Shanghai Stock Exchange 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options is 1,148,616 lots, the open interest is 965,882 lots, the trading volume ratio of call options to put options is 1.68, and the weighted average implied volatility is 15.49% [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 [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.41% at the settlement price and 1.42% at the counter - price [29][30]. 3.1.2 Huatai - PineBridge CSI 300 ETF - **Basic Information**: The trading volume of the main options is 987,627 lots, the open interest is 728,479 lots, the trading volume ratio of call options to put options is 1.74, and the weighted average implied volatility is 16.44% [34]. - **Volatility Trading**: Similar to the SSE 50 ETF, sell options in months with higher curves and buy those in lower - curve months. For the same month, sell options above the curve and buy those below [38]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.8% at the settlement price and 0.71% at the counter - price [41][42]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main options is 1,485,224 lots, the open interest is 793,927 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 18.03% [45]. - **Volatility Trading**: Follow the same trading suggestions as above for different and same - month options [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 17.6% at the settlement price and 3.23% at the counter - price [51][53]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main options is 722,346 lots, the open interest is 936,244 lots, the trading volume ratio of call options to put options is 2.69, and the weighted average implied volatility is 28.93% [56]. - **Volatility Trading**: Adopt the same volatility trading strategies [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 25.2% at the settlement price and 4.06% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main options is 147,800 lots, the open interest is 259,850 lots, the trading volume ratio of call options to put options is 3.31, and the weighted average implied volatility is 29.91% [66]. - **Volatility Trading**: Use the recommended volatility trading methods [68]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.2% at the settlement price and 1.04% at the counter - price [72][74]. 3.2 Options on the Shenzhen Stock Exchange 3.2.1 Harvest CSI 300 ETF - **Basic Information**: The trading volume of the main options is 190,634 lots, the open interest is 157,090 lots, the trading volume ratio of call options to put options is 1.83, and the weighted average implied volatility is 18.15% [78]. - **Volatility Trading**: Follow the general volatility trading suggestions [83]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.8% at the settlement price and 0.11% at the counter - price [87][88]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options is 2,545,537 lots, the open interest is 1,164,611 lots, the trading volume ratio of call options to put options is 1.55, and the weighted average implied volatility is 28.23% [91]. - **Volatility Trading**: Implement the provided volatility trading strategies [94]. - **No risk - free arbitrage information is provided in the given report for this option**.

Report Date - The report is dated August 11, 2025 [1] Option Volatility Ranking Implied Volatility Ranking - lc2510 ranks 1st with an implied volatility of 6.0% [3] - ps2510 ranks 2nd with an implied volatility of 4.0% [3] - si2510 ranks 3rd with an implied volatility of 3.9% [3] 30 - day Historical Volatility Ranking - ps2510 ranks 1st with a 30 - day historical volatility of 4.5% [3] - fg509 ranks 2nd with a 30 - day historical volatility of 4.3% [3] - lc2510 ranks 3rd with a 30 - day historical volatility of 4.2% [3] Realized Volatility Ranking - si2510 ranks 1st with a realized volatility of 6.6% [3] - ps2510 ranks 2nd with a realized volatility of 6.4% [3] - lc2510 ranks 3rd with a realized volatility of 5.0% [3] Exchange - specific Option Analysis Shanghai Stock Exchange Options Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 650,390 lots, the open interest is 966,547 lots, the trading volume ratio of call to put options is 1.4, and the weighted average implied volatility is 13.31% [21] - **Volatility Trading**: Sell options from months with higher implied volatility curves and buy those from months with lower curves; sell options above the curve and buy those below the curve within the same month [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.49% at the settlement price and 1.73% at the counter - price [27][29] Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options is 658,750 lots, the open interest is 744,639 lots, the trading volume ratio of call to put options is 1.25, and the weighted average implied volatility is 13.97% [33] - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF [35] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.35% at the settlement price and 0.48% at the counter - price [39][40] Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,100,668 lots, the open interest is 792,098 lots, the trading volume ratio of call to put options is 1.27, and the weighted average implied volatility is 15.48% [43] - **Volatility Trading**: Similar trading suggestions as above [47] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 48.1% at the settlement price and 10.5% at the counter - price [50][52] Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 312,393 lots, the open interest is 912,757 lots, the trading volume ratio of call to put options is 1.67, and the weighted average implied volatility is 24.48% [55] - **Volatility Trading**: Similar trading suggestions as above [58] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.1% at the settlement price and 0.36% at the counter - price [62][64] E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 69,812 lots, the open interest is 242,298 lots, the trading volume ratio of call to put options is 2.35, and the weighted average implied volatility is 25.7% [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 14.9% at the settlement price, and there is no return at the counter - price [74][76] Shenzhen Stock Exchange Options Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options is 119,568 lots, the open interest is 152,124 lots, the trading volume ratio of call to put options is 1.51, and the weighted average implied volatility is 15.07% [80] - **Volatility Trading**: Similar trading suggestions as above [84] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.6% at the settlement price and 1.29% at the counter - price [88][90] E Fund ChiNext ETF - **Basic Information**: The report provides the T - type quotation table of call and put option prices at different strike prices [91] - **Volatility Trading**: Not provided in the current content - **Risk - free Arbitrage**: Not provided in the current content

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents data on the volatility of various futures and ETF options, including implied volatility, historical volatility, and real - time volatility. It also provides T - type quotation tables for different ETF options, along with trading suggestions for volatility and potential returns from risk - free arbitrage [3][19][23]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50ETF - **Basic Information**: The trading volume of the main SSE 50ETF options on this day was 478,863 lots, the open interest was 929,034 lots, the volume ratio of call options to put options was 1.35, and the weighted average implied volatility was 13.56% [21]. - **Volatility Trading**: Suggestions are to sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.45% at the settlement price and 1.00% at the counter - price [27][29]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options on this day was 420,997 lots, the open interest was 746,251 lots, the volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 14.13% [33]. - **Volatility Trading**: Similar to SSE 50ETF, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [35]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.20% at the settlement price and 0.18% at the counter - price [39][40]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options on this day was 898,356 lots, the open interest was 745,967 lots, the volume ratio of call options to put options was 1.33, and the weighted average implied volatility was 14.79% [43]. - **Volatility Trading**: The same trading suggestions as above, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [45]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.7% at the settlement price and 8.96% at the counter - price [49][51]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options on this day was 265,461 lots, the open interest was 931,593 lots, the volume ratio of call options to put options was 1.68, and the weighted average implied volatility was 24.28% [54]. - **Volatility Trading**: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.4% at the settlement price and 3.20% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options on this day was 50,678 lots, the open interest was 253,221 lots, the volume ratio of call options to put options was 1.6, and the weighted average implied volatility was 24.71% [67]. - **Volatility Trading**: Similar trading suggestions, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [69]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.59% at the settlement price and 0.43% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main Harvest SSE 300ETF options on this day was 87,577 lots, the open interest was 149,030 lots, the volume ratio of call options to put options was 1.28, and the weighted average implied volatility was 15.24% [79]. - **Volatility Trading**: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [81]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5% at the settlement price and 0.82% at the counter - price [85][87].