Core Viewpoint - The article discusses the relationship between volatility and risk, emphasizing that while volatility is often equated with risk, it can also represent potential returns depending on the investor's perspective [6][34]. Group 1: Academic Perspective on Volatility - Volatility is defined as risk in traditional finance, where it represents the uncertainty of future returns [7][9]. - The Sharpe Ratio is highlighted as a key metric for evaluating fund performance, taking into account the risk taken to achieve returns [8][10]. - Historical volatility is used to quantify risk, with higher volatility indicating greater risk and necessitating higher expected returns [11][12]. Group 2: Practical Perspective on Volatility - Warren Buffett and other value investors argue against equating volatility with risk, focusing instead on the risk of permanent capital loss [15][18]. - The article presents a dichotomy where risk-averse investors view volatility as something to avoid, while risk-seeking investors see it as an opportunity for profit [23][34]. - Different investment strategies are discussed, including those that embrace volatility for potential gains, such as grid trading and trend trading [31][32]. Group 3: Trading Perspective on Volatility - Volatility can be viewed as a tradable commodity, with options pricing reflecting historical volatility [26][27]. - The article explains that risk is a commodity that can be bought and sold, with different strategies catering to varying attitudes towards volatility [25][28]. - The concept of "volatility = returns" is explored, indicating that higher volatility can lead to greater profit opportunities for certain investors [22][24]. Group 4: Conclusion on Volatility - The article concludes that volatility is an inherent aspect of the financial world, influencing investor behavior and creating opportunities for profit [39][40]. - It emphasizes the importance of understanding what can be controlled and what cannot in the context of volatility and investment strategies [38][39].

Group 1 - The article discusses the importance of understanding volatility in investment, emphasizing that it is a significant risk factor that can impact investor returns [3][4][11] - It contrasts two funds: Fund A with a 15% annualized return but high volatility, and Fund B with a 10% return and low volatility, suggesting that investors in Fund B may achieve better average returns due to lower drawdowns [10][11] - The article highlights that while volatility is often viewed as a risk, some investment experts, like Warren Buffett, argue that it should not be equated with risk, focusing instead on the risk of permanent capital loss [12][14] Group 2 - The article explains that volatility can be seen as a source of potential returns, particularly in trading strategies that embrace market fluctuations [15][20] - It outlines different investor attitudes towards volatility: risk-averse investors view it as a risk to avoid, while risk-seeking investors see it as an opportunity for profit [23][24] - The discussion includes various trading strategies that leverage volatility, such as grid trading and trend trading, which require different approaches to managing risk and returns [20][22]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - This week, the protective put strategy led among CSI 300 index option strategies with a 0.97% return; the short put strategy led among SSE 50 ETF option strategies with a 1.41% return; and the covered call strategy led among CSI 1000 index option strategies with a 1.35% return [3]. - From January 2024 to date, the benchmark performed best overall, and the covered call strategy led among option strategies in the CSI 300 index option market; in the SSE 50 ETF option market, the benchmark strategy performed best, and the short put strategy led among option strategies; in the CSI 1000 index option market, the benchmark also performed best, and the protective put strategy retained benchmark returns while having a relatively lower drawdown compared to the short put strategy [9][13][18]. - Three option hedging strategies (covered call, protective put, and collar) can effectively reduce the benchmark's drawdown; three option volatility trading strategies (straddle statistical arbitrage, short straddle, and short maximum - position wide - straddle) can reduce the strategy's drawdown by adding threshold limits to the clustering dimension of implied volatility [9][13][18]. - In the CSI 1000 index option market, both the short wide - straddle and short maximum - position wide - straddle strategies achieved positive returns, and the short straddle strategy had better returns, indicating a higher safety level for the short - option strategy of this variety; the bull call spread strategy had stronger returns than the benchmark and relatively lower drawdowns in all three option markets [9][13][19]. 3. Summary by Directory 3.1 This Week's Market Review - **CSI 300 Index Option Strategy Review**: Based on the CSI 300 index, futures, and options, eight common strategies were back - tested. This week, the protective put strategy led with a 0.97% return. From January 2024 to date, the benchmark performed best with a 38.93% return, and the covered call strategy led among option strategies. The three option hedging strategies effectively reduced the benchmark's drawdown, and the bull call spread strategy had stronger returns and lower drawdowns [8][9]. - **SSE 50 ETF Option Strategy**: Using 50ETF and its options, eight strategies were back - tested. This week, the short put strategy led with a 1.41% return. From January 2024 to date, the benchmark strategy had a 36.13% return, and the short put strategy led among option strategies. The three option hedging strategies reduced the benchmark's drawdown, and the bull call spread strategy had an overall stronger return and lower drawdown [12][13][14]. - **CSI 1000 Index Option Strategy**: Based on the CSI 1000 index, futures, and options, eight strategies were back - tested. This week, the covered call strategy led with a 1.35% return. From January 2024 to date, the benchmark had a 45.47% return, and the protective put strategy retained benchmark returns with a relatively lower drawdown. The three option hedging strategies reduced the benchmark's drawdown, and the bull call spread strategy had stronger returns and lower drawdowns [17][18][19]. 3.2 Strategy Specific Descriptions - **Covered Call Strategy**: A classic strategy for enhancing returns, suitable when the underlying is expected to have small increases or no increase. It uses full - value underlying securities as collateral without additional margin. For 50ETF, it involves buying 1 share and selling 1 share of a 10% out - of - the - money call option; for CSI 300 index futures, it involves buying 1 contract and selling 3 contracts of a 4% out - of - the - money call option [20]. - **Short Put Strategy**: A one - way short strategy, profitable when the underlying is in a sideways or rising market. It requires margin. For 50ETF, it involves short - selling at - the - money put options; for CSI 300 index futures, it also involves short - selling at - the - money put options [27]. - **Protective Put Strategy**: A protective hedging strategy, suitable when investors expect the underlying to rise but are worried about market declines. It can hedge risks in a down - market and allow investors to enjoy some upside in an up - market. For 50ETF, it involves buying 1 share and 1 share of a 10% out - of - the - money put option; for CSI 300 index futures, it involves buying 1 contract and 3 contracts of a 4% out - of - the - money put option [32]. - **Collar Strategy**: A neutral strategy, a combination of the covered call and protective put strategies. It provides tail - risk protection and reduces hedging costs by selling call options. For 50ETF, it involves holding 1 share, buying 1 share of a 10% out - of - the - money put option, and selling 1 share of a 10% out - of - the - money call option; for CSI 300 index futures, it involves holding 1 contract, buying 3 contracts of a 4% out - of - the - money put option, and selling 3 contracts of a 4% out - of - the - money call option [38]. - **Straddle Statistical Arbitrage Strategy**: Based on the mean - reversion relationship between implied and historical volatility, it trades volatility. When the difference between implied and historical volatility is greater than 1.5% (for 50ETF) or 3% (for CSI 300 index futures), it shorts volatility; when the difference is less than - 1.5% (for 50ETF) or - 3% (for CSI 300 index futures), it longs volatility. It also considers the clustering of implied volatility [44]. - **Short Straddle Strategy**: A short - volatility strategy, risk - neutral at construction. It sells at - the - money call and put options to keep the Delta at 0. It benefits from declining volatility but may incur losses due to changes in the underlying price [50]. - **Short Maximum - Position Wide - Straddle Strategy**: Constructed based on the maximum - position strike prices of call and put options. It assumes that the maximum - position strike prices represent the support and resistance levels of the underlying. When these levels change, the strategy adjusts positions accordingly [57]. - **Bull Call Spread Strategy**: A low - cost long - call strategy, suitable when the underlying is expected to rise moderately in the short - term and implied volatility is low. It involves buying at - the - money call options and selling out - of - the - money call options [66].

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core View of the Report The report provides a comprehensive analysis of various options, including their basic information, volatility trading, and risk - free arbitrage opportunities. It also presents the trading data such as trading volume, open interest, and implied volatility of the main options of different underlying assets [18][30][42]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 1,047,333 lots, open interest is 1,300,702 lots, the trading volume ratio of call options to put options is 1.51, and the weighted - average implied volatility is 19.4% [18][20]. - **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 [23]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 5.70% at the settlement price and 1.34% at the counter - price [27][29]. 3.1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - **Basic Information**: The trading volume of the main options is 1,224,660 lots, open interest is 1,035,492 lots, the trading volume ratio of call options to put options is 1.34, and the weighted - average implied volatility is 19.18% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [34]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 9.53% at the settlement price and 1.08% at the counter - price [38][41]. 3.1.3 Southern China Securities 500ETF - **Basic Information**: The trading volume of the main options is 1,843,623 lots, open interest is 983,733 lots, the trading volume ratio of call options to put options is 1.35, and the weighted - average implied volatility is 22.68% [42][44]. - **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 is 43.7% at the settlement price and 7.54% at the counter - price [51][53]. 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 1,652,693 lots, open interest is 1,542,108 lots, the trading volume ratio of call options to put options is 1.77, and the weighted - average implied volatility is 45% [54][56]. - **Volatility Trading**: Follow the general volatility trading suggestions [59]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 24.1% at the settlement price and 3.19% at the counter - price [62][63]. 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 387,485 lots, open interest is 465,269 lots, the trading volume ratio of call options to put options is 1.93, and the weighted - average implied volatility is 46.13% [64][66]. - **Volatility Trading**: Adopt the common volatility trading strategies [69]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 12.3% at the settlement price and 3.33% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest Shanghai - Shenzhen 300ETF - **Basic Information**: The trading volume of the main options is 225,037 lots, open interest is 243,935 lots, the trading volume ratio of call options to put options is 1.55, and the weighted - average implied volatility is 22.4% [76][79]. - **Volatility Trading**: Use the standard volatility trading methods [85]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 9.24% at the settlement price and 0.22% at the counter - price [87][89]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options is 3,025,900 lots, open interest is 1,444,931 lots, the trading volume ratio of call options to put options is 1.57, and the weighted - average implied volatility is 43.34% [90][92]. - **Volatility Trading**: Follow the general volatility trading rules [95]. - **No information about risk - free arbitrage is provided in the given text for this part.**

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 1, 2025 1. Industry Investment Rating - Not provided in the document 2. Core Viewpoints - The report provides a comprehensive analysis of various futures and options, including their volatility rankings and trading suggestions for different exchanges' options products [3][6] 3. Summary by Directory 3.1 Upper Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - month options is 739,635 lots, the open interest is 1,220,168 lots, the trading volume ratio of call to put options is 1.69, and the weighted - average implied volatility is 22.96% [19][21] - **Volatility Trading**: Sell the options or months with higher implied volatility curves and buy those with lower curves [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 5.75% at the settlement price and 2.84% at the counter - price [27][29] 3.1.2 Huatai - Baorui CSI 300ETF - **Basic Information**: The trading volume of the main - month options is 765,037 lots, the open interest is 967,481 lots, the trading volume ratio of call to put options is 1.5, and the weighted - average implied volatility is 21.99% [30][33] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options/months and buy low - curve ones [37] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 4.46% at the settlement price and 0.45% at the counter - price [40][41] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - month options is 1,011,151 lots, the open interest is 967,954 lots, the trading volume ratio of call to put options is 1.44, and the weighted - average implied volatility is 24.21% [42][44] - **Volatility Trading**: Follow the rule of selling high - curve and buying low - curve options/months [46] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 86.2% at the settlement price and 19.1% at the counter - price [50][52] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main - month options is 1,384,450 lots, the open interest is 1,477,817 lots, the trading volume ratio of call to put options is 1.94, and the weighted - average implied volatility is 54.1% [53][55] - **Volatility Trading**: Adopt the strategy of selling high - curve and buying low - curve options/months [60][61] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 15.7% at the settlement price and 3.23% at the counter - price [64][66] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main - month options is 317,372 lots, the open interest is 420,200 lots, the trading volume ratio of call to put options is 1.61, and the weighted - average implied volatility is 54.66% [67][69] - **Volatility Trading**: Sell high - curve options/months and buy low - curve ones [71] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 5.55% at the settlement price and 4.57% at the counter - price [75][77] 3.2 Shenzhen Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - month options is 156,778 lots, the open interest is 203,111 lots, the trading volume ratio of call to put options is 1.13, and the weighted - average implied volatility is 25.32% [78][81] - **Volatility Trading**: Sell high - curve options/months and buy low - curve ones [83] 3.3 Volatility Ranking - The report lists the at - the - money implied volatility, 30 - day historical volatility, and daily true range of multiple options, along with their rankings, providing references for different types of traders [3][5]

1. Report Information - Report Title: Pioneer Futures Options Daily Report [1] - Report Date: August 25, 2025 [1] 2. Option Volatility Ranking 2.1 Ranking Table | Target | At - the - money Option Implied Volatility | Rank | 30 - day Historical Volatility of the Target | Rank | Daily True Range of the Target | Rank | | --- | --- | --- | --- | --- | --- | --- | |科创50etf8月|5.0%|1|2.3%|7|5.3%|2| |科创板50etf8月|4.9%|2|2.4%|6|5.4%|1| |ps2510|3.7%|3|3.5%|2|3.4%|7| |lc2510|3.4%|4|4.0%|1|3.8%|3| |si2510|3.0%|5|3.0%|3|3.1%|8| |创业板etf8月|3.0%|6|1.6%|11|3.6%|5| |深证100etf8月|2.3%|7|1.1%|23|2.5%|11| |br2510|2.2%|8|1.5%|14|3.6%|4| |jd2510|2.1%|9|1.0%|31|1.5%|33| |fg510|2.1%|10|2.6%|4|3.5%|6| |ao2510|2.1%|11|2.0%|9|2.6%|10| |中证500etf8月|2.1%|12|1.1%|26|2.1%|16| |500etf8月|2.1%|13|1.0%|30|2.1%|17| |sh510|2.0%|14|1.5%|13|2.3%|13| |sa510|2.0%|15|2.5%|5|1.8%|25| |沪深300etf8月|2.0%|16|0.9%|35|2.1%|19| |sc2510|1.9%|17|1.3%|17|1.0%|52| |50etf8月|1.9%|18|0.9%|34|2.0%|22| |px510|1.8%|19|1.0%|29|1.3%|39| |mo2509|1.8%|20|1.0%|32|1.9%|24| |300etf8月|1.7%|21|0.9%|36|2.0%|21| |ho2509|1.7%|22|0.9%|37|2.0%|20| |cj601|1.7%|23|1.4%|15|2.3%|12| |ag2510|1.7%|24|1.1%|22|2.8%|9| |ni2510|1.6%|25|0.7%|47|1.0%|51| |sf510|1.6%|26|2.2%|8|1.4%|35| |ap510|1.6%|27|0.9%|39|1.6%|27| |io2509|1.6%|28|0.8%|40|2.1%|18| |sn2510|1.5%|29|0.6%|51|1.9%|23| |p2510|1.5%|30|1.0%|27|1.4%|37| |ur510|1.4%|31|1.3%|18|0.9%|56| |ru2601|1.4%|32|1.2%|19|2.2%|14| |sm510|1.4%|33|1.8%|10|1.4%|36| |rb2510|1.4%|34|1.4%|16|1.5%|31| |ta510|1.3%|35|1.0%|28|1.5%|30| |rm511|1.3%|36|1.5%|12|1.6%|26| |bz2603|1.2%|37|0.6%|52|0.6%|63| |pg2510|1.2%|38|0.9%|33|1.5%|32| |i2510|1.2%|39|1.1%|25|2.2%|15| |eb2510|1.2%|40|0.8%|42|1.6%|28| |lh2511|1.1%|41|0.8%|45|1.3%|40| |ma510|1.1%|42|1.2%|20|1.0%|50| |pf510|1.1%|43|0.9%|38|1.1%|47| |au2510|1.1%|44|0.5%|56|1.3%|41| |cu2510|1.0%|45|0.5%|58|1.5%|29| |b2510|1.0%|46|0.8%|44|0.9%|55| |oi511|1.0%|47|1.1%|24|1.0%|48| |v2510|0.9%|48|1.1%|21|1.2%|42| |lg2511|0.9%|49|0.8%|43|1.2%|45| |pr512|0.9%|50|0.7%|50|0.9%|53| |pb2510|0.9%|51|0.4%|62|0.8%|60| |m2511|0.9%|52|0.8%|41|1.4%|34| |zn2510|0.9%|53|0.6%|53|1.2%|43| |eg2510|0.8%|54|0.7%|46|0.8%|59| |pk510|0.8%|55|0.3%|65|1.2%|46| |y2511|0.8%|56|0.7%|48|1.2%|44| |al2510|0.7%|57|0.4%|63|0.9%|57| |ad2511|0.7%|58|0.3%|64|0.8%|58| |l2510|0.7%|59|0.5%|55|0.6%|64| |a2511|0.7%|60|0.7%|49|0.8%|61| |cf511|0.6%|61|0.5%|54|1.0%|49| |c2511|0.6%|62|0.4%|61|1.3%|38| |cs2511|0.6%|63|0.5%|57|0.9%|54| [3][5] 2.2 Volatility Explanation - At - the - money option implied volatility reflects the market's expectation of the future volatility of the variety. A larger value indicates a higher probability of significant market movements. Trend traders can focus on the top - ranked varieties. - The 30 - day historical volatility of the target reflects the actual past market movements of the variety. If this value is smaller than the implied volatility, it means the option price may be relatively expensive. Option sellers can focus on the difference in rankings between the two. - The daily true range of the target reflects the intraday market movements of the variety. Intraday traders can focus on the top - ranked varieties [6] 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options on this day was 1,221,294 contracts, the open interest was 706,054 contracts, the trading volume ratio of call options to put options was 2.16, and the weighted average implied volatility was 38.23% [21] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [23] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 128%; when trading at the counter - price, it is 26.0% [27][29] 3.1.2 Huatai - Berry SSE 300 ETF - **Basic Information**: The trading volume of the Huatai - Berry SSE 300 ETF's main options on this day was 1,129,506 contracts, the open interest was 455,848 contracts, the trading volume ratio of call options to put options was 1.87, and the weighted average implied volatility was 29.67% [32] - **Volatility Trading**: Similar to the SSE 50 ETF, for different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [37] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 34.2%; when trading at the counter - price, it is 11.8% [39][41] 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the Southern CSI 500 ETF's main options on this day was 1,690,014 contracts, the open interest was 603,757 contracts, the trading volume ratio of call options to put options was 1.56, and the weighted average implied volatility was 32.05% [44] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [46] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 161%; when trading at the counter - price, it is 21.1% [50][52] 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the Huaxia SSE STAR 50 ETF's main options on this day was 1,815,057 contracts, the open interest was 750,981 contracts, the trading volume ratio of call options to put options was 2.11, and the weighted average implied volatility was 75.14% [55] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [58] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 351%; when trading at the counter - price, it is 63.6% [61][63] 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the E Fund SSE STAR 50 ETF's main options on this day was 429,587 contracts, the open interest was 249,455 contracts, the trading volume ratio of call options to put options was 2.27, and the weighted average implied volatility was 79.05% [66] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [71] - **Risk - free Arbitrage**: No specific data provided in the report 3.2 Shenzhen Stock Exchange Options - **Options Include**:嘉实沪深 300ETF, E Fund ChiNext ETF,嘉实中证 500ETF, E Fund SZSE 100 ETF. The report only provides the directory, and no detailed data is given for these options [8][9] 3.3 CFFEX Options - **Options Include**: SSE 300, CSI 1000, SSE 50. The report only provides the directory, and no detailed data is given for these options [9] 3.4 Zhengzhou Commodity Exchange Options - **Options Include**: Sugar, Cotton, PTA, Methanol, Rapeseed Meal, Steam - coal, Peanut, Rapeseed Oil, p - Xylene, Caustic Soda, Staple Fiber, Soda Ash, Urea, Manganese Silicon, Ferrosilicon, Apple, Red Date, Glass, Bottle Chip. The report only provides the directory, and no detailed data is given for these options [10][11][12] 3.5 Dalian Commodity Exchange Options - **Options Include**: Soybean Meal, Corn, Iron Ore, LPG, LLDPE, PVC, PP, Palm Oil, Soybean No.1, Soybean No.2, Soybean Oil, Ethylene Glycol, Styrene, Egg, Corn Starch, Live Pig, Log, Pure Benzene. The report only provides the directory, and no detailed data is given for these options [13][14][15] 3.6 Shanghai Futures Exchange Options - **Options Include**: Copper, Rubber, Gold, Aluminum, Zinc, Silver, Rebar, Synthetic Rubber, Lead, Tin, Alumina, Cast Aluminum Alloy. The report only provides the directory, and no detailed data is given for these options [16][17] 3.7 Shanghai International Energy Exchange Options - **Options Include**: Crude Oil. The report only provides the directory, and no detailed data is given for this option [17] 3.8 Guangzhou Futures Exchange Options - **Options Include**: Industrial Silicon, Lithium Carbonate, Polysilicon. The report only provides the directory, and no detailed data is given for these options [18]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the daily option data of various underlying assets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time volatility of the day. It also provides trading suggestions for volatility trading and the minimum annualized return for risk - free arbitrage of different options on the Shanghai Stock Exchange, Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange [3][6][25]. 3. Summary According to the 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 1,230,718 lots, the open interest was 810,259 lots, the trading volume ratio of call options to put options was 1.83, and the weighted average implied volatility was 21.41% [21]. - **Volatility Trading**: Different months - sell the month with the curve above and buy the month with the curve below; same month - sell the option with the point above the curve and buy the option with the point below the curve [25]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 31.8% at the settlement price and 3.10% at the counter - price [28][30]. 3.1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - **Basic Information**: The trading volume of the main options of the 300ETF on the day was 1,081,531 lots, the open interest was 543,409 lots, the trading volume ratio of call options to put options was 1.8, and the weighted average implied volatility was 18.78% [34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the curve above and buy the curve below for different months, and sell the point above and buy the point below for the same month [38]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 21.8% at the settlement price and 8.44% at the counter - price [41][43]. 3.1.3 Southern China Securities 500ETF - **Basic Information**: The trading volume of the main options of the 500ETF on the day was 1,649,826 lots, the open interest was 707,570 lots, the trading volume ratio of call options to put options was 1.39, and the weighted average implied volatility was 23.45% [46]. - **Volatility Trading**: The same trading suggestions as above [48]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 27.7% at the settlement price and 1.69% at the counter - price [52][54]. 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the Science and Technology Innovation 50ETF on the day was 2,147,328 lots, the open interest was 710,562 lots, the trading volume ratio of call options to put options was 2.36, and the weighted average implied volatility was 54.24% [57]. - **Volatility Trading**: Follow the general volatility trading suggestions [61]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 47.2% at the settlement price and 5.91% at the counter - price [64][66]. 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the Science and Technology Innovation 50ETF on the day was 560,522 lots, the open interest was 249,762 lots, the trading volume ratio of call options to put options was 2.07, and the weighted average implied volatility was 50.01% [69]. - **Volatility Trading**: Adopt the same volatility trading strategies [71]. - **Risk - Free Arbitrage**: No specific data provided in the text. 3.2 Other Exchanges' Options The report also lists the 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 underlying asset, but detailed data for some parts are not fully presented in the provided text [8][9][10][11][12][13][14][15][16][17][18].

Report Industry Investment Rating No relevant information provided. Core Viewpoints No clear core viewpoints are presented in the given text. The report mainly provides data on various option products, including their prices, trading volumes, open interests, and implied volatilities, along with some trading suggestions for volatility trading and no - risk arbitrage. Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on the day was 918,708 lots, the open interest was 930,895 lots, the trading volume ratio of call options to put options was 1.54, and the weighted - average implied volatility was 18.03% [22]. - **Volatility Trading**: Suggestions include selling the month with the curve above and buying the month with the curve below for different months; selling options with points above the curve and buying options with points below the curve for the same month [24]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.7% at the settlement price and 2.00% at the counter - price [28][30]. 1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options on the day was 854,566 lots, the open interest was 628,127 lots, the trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 18.05% [34]. - **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 options with points above the curve and buy options with points below the curve for the same month [38]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 20.2% at the settlement price and 1.61% at the counter - price [41][43]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on the day was 1,394,196 lots, the open interest was 759,763 lots, the trading volume ratio of call options to put options was 1.29, and the weighted - average implied volatility was 22.49% [46]. - **Volatility Trading**: The same trading suggestions as above for different and same months [48]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.3% at the settlement price and 2.89% at the counter - price [52][54]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main Huaxia Shanghai Science and Technology Innovation 50ETF options on the day was 1,002,164 lots, the open interest was 769,146 lots, the trading volume ratio of call options to put options was 2.24, and the weighted - average implied volatility was 33.28% [57]. - **Volatility Trading**: Follow the same rules for different and same months [62]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 56.2% at the settlement price and 8.08% at the counter - price [64][66]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main E Fund Shanghai Science and Technology Innovation 50ETF options on the day was 225,524 lots, the open interest was 264,533 lots, the trading volume ratio of call options to put options was 2.71, and the weighted - average implied volatility was 33.47% [68]. - **Volatility Trading**: Adopt the same trading suggestions for different and same months [73].

Group 1: General Information - The report is the Pioneer Futures Options Daily Report dated August 15, 2025 [1] - It provides data on the implied volatility of at - the - money options, 30 - day historical volatility, and the true daily range of various option targets, along with rankings [3][5] - The volatility data are daily - based and can be directly compared. Higher implied volatility implies a greater likelihood of significant market movements, and differences between historical and implied volatility can indicate option price trends [6] Group 2: Industry Investment Rating - No industry investment rating is provided in the report Group 3: Core Viewpoints - The report presents detailed data on option targets' volatility and trading information, offering reference for different types of traders such as trend traders, option sellers, and intraday traders based on the volatility characteristics [6] - It also provides basic information, volatility trading suggestions, and risk - free arbitrage analysis for options on various ETFs and commodities across different exchanges Group 4: Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: Presents the T - type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices. The trading volume of the main - contract options is 1,163,646 lots, the open interest is 969,586 lots, the call - to - put volume ratio is 1.77, and the weighted average implied volatility is 17.15% [19][21] - Volatility Trading: Suggests selling options with higher - positioned curves (either across different months or within the same month) and buying those with lower - positioned curves based on the implied volatility curves [23] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity yields a minimum annualized return of 14.6% at the settlement price and 3.74% at the counter - party price [27][29] 1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - Basic Information: Displays the T - type quotation table of 300ETF options. The trading volume of the main - contract options is 1,027,221 lots, the open interest is 732,654 lots, the call - to - put volume ratio is 1.64, and the weighted average implied volatility is 18.61% [30][33] - Volatility Trading: Similar to the Shanghai 50ETF, it recommends selling high - curve options and buying low - curve options according to the implied volatility curves [37] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity has a minimum annualized return of 11.8% at the settlement price and 2.65% at the counter - party price [40][42] 1.3 Southern China Securities 500ETF - Basic Information: Shows the T - type quotation table of 500ETF options. The trading volume of the main - contract options is 1,691,096 lots, the open interest is 778,728 lots, the call - to - put volume ratio is 1.43, and the weighted average implied volatility is 20.63% [43][45] - Volatility Trading: Advises selling high - curve options and buying low - curve options based on the implied volatility curves [49] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity offers a minimum annualized return of 15.5% at the settlement price and 3.42% at the counter - party price [52][54] 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: Presents the T - type quotation table of Science and Technology Innovation 50ETF options. The trading volume of the main - contract options is 737,709 lots, the open interest is 923,760 lots, the call - to - put volume ratio is 2.39, and the weighted average implied volatility is 29.49% [55][57] - Volatility Trading: Suggests selling high - curve options and buying low - curve options according to the implied volatility curves [62] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity gives a minimum annualized return of 15.6% at the settlement price and 0.93% at the counter - party price [64][66] 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: Displays the T - type quotation table of Science and Technology Innovation 50ETF options. The trading volume of the main - contract options is 182,129 lots, the open interest is 269,106 lots, the call - to - put volume ratio is 2.19, and the weighted average implied volatility is 30.56% [67][69] - Volatility Trading: Recommends selling high - curve options and buying low - curve options based on the implied volatility curves [71] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity yields a minimum annualized return of 15.6% at the settlement price and 1.90% at the counter - party price [75][77] 2. Shenzhen Stock Exchange Options 2.1 Harvest Shanghai - Shenzhen 300ETF - Basic Information: Presents the T - type quotation table of Shenzhen 300ETF options. The trading volume of the main - contract options is 232,529 lots, the open interest is 158,549 lots, the call - to - put volume ratio is 1.4, and the weighted average implied volatility is 22.03% [78][81] - Volatility Trading: Advises selling high - curve options and buying low - curve options according to the implied volatility curves [83] - Risk - Free Arbitrage: No specific risk - free arbitrage data are provided in the extracted content Other Exchanges' Options - The report also has a directory for options on the China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange, but detailed data are not fully presented in the provided content for all of them. Only the directory structure and general analysis directions are given, including basic information, volatility trading, and risk - free arbitrage for each option type [8][9][10][11][12][13][14][15][16][17][18]

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents the option daily report of Pioneer Futures on August 14, 2025, including the volatility data of various option targets and the basic information, volatility trading, and risk - free arbitrage analysis of options on multiple exchanges [3][19]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main - force options of Shanghai 50ETF is 1,504,832 lots, the position is 960,669 lots, the trading volume ratio of call options to put options is 1.87, and the weighted - average implied volatility is 15.46% [21]. - **Volatility Trading**: Suggestions are given based on the implied volatility curves of call options with different strike prices and different Deltas, such as selling the months or options above the curve and buying those below [24]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 3.94% at the settlement price and 0.93% at the counter - price [27][29]. - **1.2 Huatai - Baorui CSI 300ETF** - **Basic Information**: The trading volume of the main - force options is 1,105,047 lots, the position is 727,031 lots, the trading volume ratio of call options to put options is 1.71, and the weighted - average implied volatility is 16.41% [33]. - **Volatility Trading**: Similar volatility trading suggestions are provided according to the implied volatility curves [36]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 7.24% at the settlement price and 0.70% at the counter - price [40][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main - force options is 1,528,831 lots, the position is 776,258 lots, the trading volume ratio of call options to put options is 1.3, and the weighted - average implied volatility is 18.79% [45]. - **Volatility Trading**: Volatility trading suggestions are given based on the implied volatility curves [48]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 26.7% at the settlement price and 7.73% at the counter - price [52][54]. - **1.4 Huaxia Shanghai - Science and Technology Innovation Board 50ETF** - **Basic Information**: The trading volume of the main - force options is 1,306,982 lots, the position is 893,513 lots, the trading volume ratio of call options to put options is 2.13, and the weighted - average implied volatility is 27.76% [57]. - **Volatility Trading**: Volatility trading suggestions are made according to the implied volatility curves [61]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 26.0% at the settlement price and 1.75% at the counter - price [64][66]. - **1.5 E Fund Shanghai - Science and Technology Innovation Board 50ETF** - **Basic Information**: The trading volume of the main - force options is 319,275 lots, the position is 263,988 lots, the trading volume ratio of call options to put options is 2.42, and the weighted - average implied volatility is 29.98% [68]. - **Volatility Trading**: Volatility trading suggestions are provided based on the implied volatility curves [72]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 17.5% at the settlement price and 1.12% at the counter - price [75][77]. 3.2 Shenzhen Stock Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main - force options of Shenzhen 300ETF is 195,481 lots, the position is 151,071 lots, the trading volume ratio of call options to put options is 2.32, and the weighted - average implied volatility is 17.88% [81]. - **Volatility Trading**: Volatility trading suggestions are given according to the implied volatility curves [85].