1. Report Summary - Report Date: November 3, 2025 [1] - Report Name: Pioneer Futures Options Daily Report 2. Options Underlying Volatility Ranking - The report presents a ranking of options underlying based on three volatility metrics: implied volatility of at - the - money options, 30 - day historical volatility of the underlying, and the underlying's true range on the day. For example, ps2512 ranks first in implied volatility of at - the - money options with 3.1%, while rm601 ranks first in the underlying's true range on the day with 4.8% [3][4]. - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety, the 30 - day historical volatility reflects the past actual market size, and the true range on the day reflects the intraday market size [5]. 3. Exchange - Specific Options Analysis 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 is 632,460 lots, the open interest is 897,163 lots, the trading volume ratio of call options to put options is 1.45, and the weighted average implied volatility is 15.93% [19][21]. - **Volatility Trading**: Volatility trading suggestions include selling the month with the curve on top and buying the month with the curve below for different months, and selling the option with the point above the curve and buying the option with the point below the curve for the same month [26]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.67% when trading at the settlement price and 1.16% when trading at the counter - party price [28][30]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day is 670,871 lots, the open interest is 740,234 lots, the trading volume ratio of call options to put options is 1.23, and the weighted average implied volatility is 16.61% [31][33]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell the month with the curve on top and buy the month with the curve below for different months, and sell the option with the point above the curve and buy the option with the point below the curve for the same month [37]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.45% when trading at the settlement price and 0.18% when trading at the counter - party 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 is 1,244,691 lots, the open interest is 790,230 lots, the trading volume ratio of call options to put options is 0.9, and the weighted average implied volatility is 20.66% [43][45]. - **Volatility Trading**: Follow the same volatility trading suggestions as above [49]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 25.3% when trading at the settlement price and 5.60% when trading at the counter - party 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 is 995,460 lots, the open interest is 1,173,825 lots, the trading volume ratio of call options to put options is 1.15, and the weighted average implied volatility is 37.4% [55][57]. - **Volatility Trading**: Adopt the same volatility trading strategies [62]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.3% when trading at the settlement price and 0.66% when trading at the counter - party price [64][66]. 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 is 194,205 lots, the open interest is 286,584 lots, the trading volume ratio of call options to put options is 1.34, and the weighted average implied volatility is 38.24% [67][68]. - **Volatility Trading**: Use the same volatility trading methods [72]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.6% when trading at the settlement price and 2.75% when trading at the counter - party price [76][78]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of Harvest SSE 300ETF on the day is 126,768 lots, the open interest is 151,843 lots, the trading volume ratio of call options to put options is 0.96, and the weighted average implied volatility is 17.72% [79][81]. - **Volatility Trading**: Apply the same volatility trading suggestions [87]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.4% when trading at the settlement price and 1.52% when trading at the counter - party price [89][91].

1. Report Summary - **Report Title**: Pioneer Futures Options Daily Report - **Report Date**: October 31, 2025 - **Report Type**: Futures and Options Market Analysis 2. Core Views - The report provides a comprehensive analysis of the options market, including the volatility rankings of various option underlying assets, and offers trading suggestions for volatility trading and risk - free arbitrage in different exchange - listed options [3][5]. 3. Key Information by Category 3.1 Option Underlying Volatility Ranking - The report presents a list of option underlying assets' volatility rankings, including at - the - money implied volatility, 30 - day historical volatility, and daily true volatility. For example, 'ps2512' has an at - the - money implied volatility of 2.7%, ranking 1st; 30 - day historical volatility of 2.1%, ranking 6th; and daily true volatility of 2.9%, ranking 5th [3]. 3.2 Exchange - Listed Options Analysis 3.2.1 Shanghai Stock Exchange Options - **Shanghai 50ETF**: The trading volume of the main options is 755,468 lots, the open interest is 848,612 lots, the trading volume ratio of call options to put options is 1.16, and the weighted average implied volatility is 15.82%. Volatility trading suggestions are to sell the month with the upper curve and buy the month with the lower curve for different months; sell the option with the upper point on the curve and buy the option with the lower point on the curve for the same month. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 6.58% at the settlement price and 1.26% at the counter - party price [19][22][26]. - **Huatai - Berich CSI 300ETF**: The trading volume of the main options is 797,684 lots, the open interest is 720,276 lots, the trading volume ratio of call options to put options is 1.24, and the weighted average implied volatility is 16.72%. Similar volatility trading suggestions are provided. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 3.54% at the settlement price and 1.23% at the counter - party price [29][34][38]. - **Southern CSI 500ETF**: The trading volume of the main options is 1,271,310 lots, the open interest is 772,262 lots, the trading volume ratio of call options to put options is 1.09, and the weighted average implied volatility is 20.48%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 22.8% at the settlement price and 5.57% at the counter - party price [40][47][49]. - **Huaxia SSE STAR 50 ETF**: The trading volume of the main options is 1,127,777 lots, the open interest is 1,153,991 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 37.07%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 12.7% at the settlement price and 1.58% at the counter - party price [52][56][60]. - **E Fund SSE STAR 50 ETF**: The trading volume of the main options is 218,476 lots, the open interest is 277,730 lots, the trading volume ratio of call options to put options is 1.41, and the weighted average implied volatility is 37.35%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 23.5% at the settlement price and 4.61% at the counter - party price [63][69][72]. 3.2.2 Shenzhen Stock Exchange Options - **Harvest CSI 300ETF**: The trading volume of the main options is 116,253 lots, the open interest is 146,481 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 17.51%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.65% at the settlement price and 0.10% at the counter - party price [75][83][86]. - **E Fund ChiNext ETF**: The trading volume of the main options is 1,736,584 lots, the open interest is 1,044,215 lots, the trading volume ratio of call options to put options is 1.09, and the weighted average implied volatility is 33.19% [89][91].

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints - The report presents the option market data of various ETFs and futures on October 30, 2025, including option prices, trading volumes, open interests, implied volatilities, etc. It also provides volatility trading suggestions and no - risk arbitrage returns for different options [3][21][22] 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the Shanghai 50ETF's main - contract options is 716,537 lots, the open interest is 766,270 lots, the trading volume ratio of call options to put options is 1.41, and the weighted - average implied volatility is 15.68% [21] - **Volatility Trading**: Sell the options with the upper curve in different months or points on the upper curve in the same month, and buy the corresponding lower ones [22] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 2.03% at the settlement price and 0.63% at the counter - price [26][28] 3.1.2 Huatai - Ber瑞沪深 300ETF - **Basic Information**: The trading volume of the main - contract options is 790,805 lots, the open interest is 660,654 lots, the trading volume ratio of call options to put options is 1.46, and the weighted - average implied volatility is 16.41% [31] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high and buy low based on the curve position [37] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.10% at the settlement price and 1.25% at the counter - price [39][41] 3.1.3 Southern China CSI 500ETF - **Basic Information**: The trading volume of the main - contract options is 1,263,496 lots, the open interest is 728,253 lots, the trading volume ratio of call options to put options is 1.14, and the weighted - average implied volatility is 20.61% [44] - **Volatility Trading**: Follow the rule of selling high and buying low on the volatility curve [49] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.5% at the settlement price and 6.36% at the counter - price [51][53] 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options is 1,085,084 lots, the open interest is 1,074,857 lots, the trading volume ratio of call options to put options is 1.64, and the weighted - average implied volatility is 36.68% [55] - **Volatility Trading**: Sell the upper - curve options and buy the lower - curve ones [57] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.0% at the settlement price and 3.81% at the counter - price [61][62] 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options is 183,339 lots, the open interest is 258,779 lots, the trading volume ratio of call options to put options is 2.27, and the weighted - average implied volatility is 36.56% [64] - **Volatility Trading**: Adopt the strategy of selling high and buying low on the volatility curve [68][69] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 17.6% at the settlement price and 4.69% at the counter - price [73][75] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - contract options is 125,725 lots, the open interest is 134,920 lots, the trading volume ratio of call options to put options is 1.47, and the weighted - average implied volatility is 17.79% [78] - **Volatility Trading**: Sell options on the upper curve and buy those on the lower curve [84] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.1% at the settlement price and 1.89% at the counter - price [86][87] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main - contract options is 1,827,537 lots, the open interest is 1,014,874 lots, the trading volume ratio of call options to put options is 1.22, and the weighted - average implied volatility is 34.38% [90] - **Volatility Trading**: Follow the high - selling and low - buying rule on the volatility curve [92] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.1% at the settlement price and 2.96% at the counter - price [96][98]

Market Overview - On October 22, PTA futures experienced a slight upward trend, with a general atmosphere of negotiation in the spot market. The spot basis remained weak, and some mainstream suppliers were making sales, while trading discussions were the main focus, resulting in acceptable transaction volumes. October cargo was traded at a discount of 85-90, with price negotiations around 4340-4400. For November, transaction volumes increased, with trades at a discount of -80 and -70 for the first and second halves, respectively. The mainstream spot basis was at -88 [1]. Profitability - As of October 22, the PTA spot processing fee was around 95 yuan/ton, while the processing fees for TA2512 and TA2601 futures were 235 yuan/ton and 257 yuan/ton, respectively [2]. Supply and Demand - Supply: As of October 17, PTA operating rates were at 76%, an increase of 0.6%. - Demand: Polyester operating rates remained stable at 91.4%. On October 22, the price of polyester yarn showed mixed trends, with sales volume increasing towards the end of the day. Raw material prices rose, but yarn prices saw limited increases, with some downstream sectors replenishing stock. Currently, POY has some profitability, while FDY remains at a loss. The arrival of cold air has supported the "Silver October" sales, with winter clothing sales starting. Future attention will be on raw material trends [3]. Market Outlook - With the recovery of some PTA plant operating rates and the imminent production of new facilities, the PTA spot basis is expected to continue weakening. However, as the basis approaches a no-risk arbitrage level and some mainstream PTA suppliers reduce their operating rates, the downward space for the basis is limited. In terms of absolute prices, short-term PTA may be supported by the rebound in oil prices and improved supply-demand expectations for raw material PX. The strategy suggests a low-level short position and a rolling reverse spread for TA1-5 [4].

Core Viewpoint - The article discusses the recent collapse of the USDe stablecoin, highlighting the inherent risks and vulnerabilities associated with algorithmic stablecoins, particularly in volatile market conditions [2][3][15]. Group 1: USDe's Collapse - On October 11, 2023, USDe, the third-largest stablecoin, experienced a sudden drop from approximately $1 to $0.65 on Binance, leading to a significant loss of market value [2][6]. - The initial appeal of USDe was its promise of high yields, which attracted substantial investment, but this very feature contributed to its instability during market turbulence [4][5][10]. - The collapse was triggered by external market factors, including a significant drop in Bitcoin and Ethereum prices due to geopolitical tensions, resulting in a broader sell-off in the crypto market [11][12]. Group 2: Mechanism of USDe - USDe operates on a decentralized model, relying on collateralization with assets like ETH and utilizing derivatives for hedging, which theoretically maintains its peg to the dollar [9][10]. - The stability of USDe is contingent upon market liquidity and the effectiveness of its hedging mechanisms; however, during extreme market conditions, these mechanisms can fail, leading to significant price deviations [12][15]. - The incident primarily occurred on Binance, where high leverage and trading volume exacerbated the price drop, contrasting with other exchanges where USDe remained more stable [13][14]. Group 3: Broader Implications for Stablecoins - The event raises questions about the reliability of algorithmic stablecoins compared to traditional stablecoins like USDT and USDC, which are backed by fiat reserves [17][21]. - The article emphasizes that the concept of stablecoins is not new and has historical roots in systems like the gold standard, where trust in the backing asset was crucial for stability [18][20]. - Trust remains the fundamental element for the stability of any currency, including stablecoins, and the recent events highlight the fragility of this trust in the absence of robust backing [24][25].

Core Viewpoint - The article emphasizes the need to distinguish between normal market strategy behaviors and illegal arbitrage in the electricity spot market, advocating for improved market rules and regulations to enhance market integrity and efficiency [1][3][12]. Group 1: Understanding Arbitrage - Arbitrage is defined as a risk-free profit opportunity, which is rare in efficient markets; persistent arbitrage opportunities often indicate flaws in market rules or systems [2][3]. - Two types of arbitrage are identified: "risk-free arbitrage," which exploits market rule deficiencies, and "compliant arbitrage," which utilizes natural price differences to enhance market efficiency [2][3]. Group 2: Market Behavior and Regulation - The article discusses the importance of recognizing normal strategic behaviors in the market, such as users adjusting their electricity declarations based on price predictions, which should not be overly interfered with [4][5]. - It highlights that excessive intervention in normal market behaviors can hinder market efficiency and price discovery [5][12]. Group 3: Improving Market Rules - The need for refining electricity market rules to eliminate risk-free arbitrage opportunities is stressed, with examples provided on how current rules may inadvertently allow such practices [6][7][8]. - Recommendations include aligning demand response compensation standards with market price ceilings to prevent arbitrage and ensure fair pricing [8][10]. Group 4: Market Mechanism Coordination - The article points out that misalignment between price mechanisms can lead to arbitrage opportunities, particularly in the context of long-term and spot market price differences [9][10]. - It suggests that improving the coordination of pricing mechanisms and enhancing transparency in market information can mitigate risks associated with arbitrage [10][11]. Group 5: Long-term Market Development - The article advocates for accelerating the marketization of the electricity sector and fostering technological innovation to address various coordination issues within the market [10][11]. - It emphasizes the importance of a well-designed market structure that minimizes arbitrage opportunities while promoting fair competition and resource allocation [12].

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 17, 2025 1. Option Underlying Volatility Ranking - The report provides a ranking of option underlying volatility, 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]. - The top-ranked underlying in terms of implied volatility of at-the-money options are the September contracts of Science and Technology Innovation Board 50 ETF and the September contract of Science and Technology Innovation 50 ETF, with values of 3.5% and 3.4% respectively [3]. - The top-ranked underlying in terms of 30-day historical volatility are also the September contracts of Science and Technology Innovation Board 50 ETF and the September contract of Science and Technology Innovation 50 ETF, with values of 3.4% and 3.3% respectively [3]. - The top-ranked underlying in terms of the true range of the underlying on the day are the September contract of Science and Technology Innovation 50 ETF and the September contract of Science and Technology Innovation 50 ETF, with values of 3.1% and 3.0% respectively [3]. 2. Exchange Options Analysis 2.1 Shanghai Stock Exchange Options 2.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 605,762 lots, the open interest was 1,273,240 lots, the volume ratio of call options to put options was 1.66, and the weighted average implied volatility was 23.84% [20]. - **Volatility Trading**: The report provides implied volatility curves for different strike prices and deltas of Shanghai 50ETF call options, and suggests selling options with higher implied volatility and buying options with lower implied volatility [23]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 18.8% when traded at the settlement price and 3.26% when traded at the counterparty price [27][29]. 2.1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main options of Huatai-PineBridge CSI 300ETF on the day was 771,046 lots, the open interest was 943,234 lots, the volume ratio of call options to put options was 1.57, and the weighted average implied volatility was 22.76% [32]. - **Volatility Trading**: Similar to Shanghai 50ETF, the report provides implied volatility curves and trading suggestions [37]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 9.34% when traded at the settlement price and 3.92% when traded at the counterparty price [39][41]. 2.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,513,052 lots, the open interest was 904,760 lots, the volume ratio of call options to put options was 1.37, and the weighted average implied volatility was 26.98% [44]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [48]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 50.9% when traded at the settlement price and 12.5% when traded at the counterparty price [51][53]. 2.1.4 ChinaAMC Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options of ChinaAMC Shanghai Science and Technology Innovation Board 50ETF on the day was 1,178,321 lots, the open interest was 1,635,232 lots, the volume ratio of call options to put options was 1.83, and the weighted average implied volatility was 55.29% [56]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [59]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 25.6% when traded at the settlement price and 5.62% when traded at the counterparty price [63][64]. 2.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options of E Fund Shanghai Science and Technology Innovation Board 50ETF on the day was 268,348 lots, the open interest was 452,951 lots, the volume ratio of call options to put options was 1.93, and the weighted average implied volatility was 53.79% [67]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [70]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 41.0% when traded at the settlement price and 12.3% when traded at the counterparty price [74][76]. 2.2 Shenzhen Stock Exchange Options 2.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 132,683 lots, the open interest was 226,327 lots, the volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 24.19% [80]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [82].

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.**

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].