1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints The report presents a comprehensive analysis of various option targets in the futures market, including their implied volatility, historical volatility, and real - time amplitude rankings, as well as detailed information on different ETF options such as basic data, volatility trading suggestions, and risk - free arbitrage opportunities [3][19][22]. 3. Summary by Directory 3.1 Upper - Shanghai Stock Exchange Options - **Shanghai 50ETF** - **Basic Information**: The trading volume of the main options on September 26, 2025, was 564,290 lots, the open interest was 840,751 lots, the trading volume ratio of call options to put options was 1.54, and the weighted average implied volatility was 16.8% [19][21]. - **Volatility Trading**: Suggest selling options in months with higher curves and buying those in months with lower curves for different months; for the same month, sell options with points above the curve and buy those below [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.79% at the settlement price and 2.88% at the counter - price [27][29]. - **Huatai - Berry CSI 300ETF** - **Basic Information**: On September 26, 2025, the trading volume of the main options was 642,519 lots, the open interest was 686,985 lots, the trading volume ratio of call options to put options was 1.2, and the weighted average implied volatility was 16.99% [30][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options and buy low - curve options [38]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.71% at the settlement price and 0.40% at the counter - price [41][43]. - **Southern CSI 500ETF** - **Basic Information**: On September 26, 2025, the trading volume of the main options was 1,110,246 lots, the open interest was 603,748 lots, the trading volume ratio of call options to put options was 0.99, and the weighted average implied volatility was 23.13% [44][46]. - **Volatility Trading**: Follow the rule of selling high - curve and buying low - curve options [50]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.4% at the settlement price and 5.74% at the counter - price [53][55]. - **Huaxia Shanghai - Science and Technology Innovation Board 50ETF** - **Basic Information**: On September 26, 2025, the trading volume of the main options was 980,477 lots, the open interest was 914,652 lots, the trading volume ratio of call options to put options was 1.47, and the weighted average implied volatility was 43.79% [56][58]. - **Volatility Trading**: Adopt the strategy of selling high - curve and buying low - curve options [60]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.1% at the settlement price and 3.90% at the counter - price [64][66]. - **E Fund Shanghai - Science and Technology Innovation Board 50ETF** - **Basic Information**: On September 26, 2025, the trading volume of the main options was 208,170 lots, the open interest was 240,816 lots, the trading volume ratio of call options to put options was 1.72, and the weighted average implied volatility was 44.42% [67][69]. - **Volatility Trading**: Use the method of selling high - curve and buying low - curve options [71]. - **Risk - free Arbitrage**: No specific numerical results provided in the text. 3.2 Shenzhen Stock Exchange Options The report lists options such as Harvest CSI 300ETF, E Fund ChiNext ETF, Harvest CSI 500ETF, and E Fund Shenzhen 100ETF, but no detailed data is provided in the current text. 3.3 China Financial Futures Exchange Options Options on CSI 300, CSI 1000, and Shanghai 50 are mentioned, but no detailed data is provided in the current text. 3.4 Zhengzhou Commodity Exchange Options Options on various products like sugar, cotton, and methanol are listed, but no detailed data is provided in the current text. 3.5 Dalian Commodity Exchange Options Options on products such as soybean meal, corn, and iron ore are mentioned, but no detailed data is provided in the current text. 3.6 Shanghai Futures Exchange Options Options on copper, rubber, and gold are listed, but no detailed data is provided in the current text. 3.7 Shanghai International Energy Exchange Options Options on crude oil are mentioned, but no detailed data is provided in the current text. 3.8 Guangzhou Futures Exchange Options Options on industrial silicon, lithium carbonate, and polysilicon are listed, but no detailed data is provided in the current text.

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 19, 2025 [1] Option Underlying Volatility Ranking - The table shows the rankings of options underlying based on implied volatility, 30 - day historical volatility, and daily true volatility. For example, ps2511 ranks 1st in implied volatility with 2.8%, 3rd in 30 - day historical volatility with 2.7%, and 2nd in daily true volatility with 4.1% [3]. - Different types of volatility have different implications. Implied volatility reflects market expectations of future fluctuations, historical volatility shows past actual fluctuations, and daily true volatility reflects intraday fluctuations [5]. Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 716,056 lots, the open interest is 1,102,732 lots, the volume ratio of call to put options is 1.48, and the weighted average implied volatility is 20.23% [18][20]. - **Volatility Trading**: Suggest selling options with curves or points above and buying those below, both for different months and the same month [22]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 27.0% at the settlement price and 3.21% at the counter - price [27][29]. 1.2 Huatai - Baoying CSI 300ETF - **Basic Information**: The trading volume of the main options is 825,706 lots, the open interest is 820,000 lots, the volume ratio of call to put options is 1.07, and the weighted average implied volatility is 18.79% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options with curves or points above and buy those below [34]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 38.2% at the settlement price and 9.20% at the counter - price [38][39]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,397,764 lots, the open interest is 804,791 lots, the volume ratio of call to put options is 1.16, and the weighted average implied volatility is 24.57% [40][42]. - **Volatility Trading**: Follow the rule of selling options with curves or points above and buying those below [46]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 66.2% at the settlement price and 7.81% at the counter - price [49][51]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 1,352,162 lots, the open interest is 1,423,629 lots, the volume ratio of call to put options is 1.39, and the weighted average implied volatility is 45.76% [52][54]. - **Volatility Trading**: Adopt the strategy of selling options with curves or points above and buying those below [57]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 50.4% at the settlement price and 18.4% at the counter - price [61][62]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 265,534 lots, the open interest is 407,239 lots, the volume ratio of call to put options is 1.62, and the weighted average implied volatility is 47.01% [63][65]. - **Volatility Trading**: Sell options with curves or points above and buy those below [67]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 82.0% at the settlement price and 19.7% at the counter - price [71][73]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options is 186,149 lots, the open interest is 221,074 lots, the volume ratio of call to put options is 1.39, and the weighted average implied volatility is 21.04% [74][77]. - **Volatility Trading**: Sell options with curves or points above and buy those below [79]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.2% at the settlement price and 3.92% at the counter - price [83][85]. 2.2 E Fund ChiNext ETF - **Basic Information**: The document provides detailed option prices at different strike prices, but specific overall trading volume, open interest, etc. are not further summarized here [86]. - **Volatility Trading**: There is no additional information provided in the given text. - **Risk - free Arbitrage**: There is no relevant information provided in the given text.

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 18, 2025 [1] Options Market Volatility Ranking - The ranking table shows the at - the - money option implied volatility, 30 - day historical volatility, and the real - time volatility of various options on September 18, 2025 [3][4] - The top 3 in at - the - money option implied volatility are "Science and Technology Innovation Board 50 ETF September" (3.2%), "Science and Technology Innovation 50 ETF September" (2.9%), and "ps2511" (2.8%) [3] - The top 3 in 30 - day historical volatility are "Science and Technology Innovation Board 50 ETF September" (3.4%), "Science and Technology Innovation 50 ETF September" (3.3%), and "Gem ETF September" (2.6%) [3] - The top 3 in real - time volatility are "Science and Technology Innovation 50 ETF September" (6.4%), "Science and Technology Innovation Board 50 ETF September" (6.1%), and "sa511" (3.9%) [3] Volatility Analysis and Trading Suggestions - At - the - money option implied volatility reflects the market's expectation of future fluctuations; 30 - day historical volatility reflects past actual fluctuations; real - time volatility reflects intraday fluctuations [5] - Trend traders can focus on options with high at - the - money option implied volatility rankings; option sellers can focus on the difference between the rankings of at - the - money option implied volatility and 30 - day historical volatility; intraday traders can focus on options with high real - time volatility rankings [5] Exchange - Specific Option Analysis Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: On September 18, 2025, the trading volume of the main Shanghai 50ETF options was 1,379,707 lots, the open interest was 1,178,533 lots, the trading volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 21.98% [20] - Volatility Trading: Sell options from months with higher volatility curves and buy those from months with lower curves; for the same month, sell options with points above the curve and buy those below [22] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.3% at the settlement price and 6.40% at the counter - party price [26][28] 1.2 Huatai - Berry SSE 300ETF - Basic Information: On September 18, 2025, the trading volume of the main Huatai - Berry SSE 300ETF options was 1,295,776 lots, the open interest was 868,339 lots, the trading volume ratio of call options to put options was 1.3, and the weighted average implied volatility was 20.02% [31] - Volatility Trading: Similar to Shanghai 50ETF, sell high - curve options and buy low - curve options [34] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 55.1% at the settlement price and 11.2% at the counter - party price [37][38] 1.3 Southern CSI 500ETF - Basic Information: On September 18, 2025, the trading volume of the main Southern CSI 500ETF options was 1,996,066 lots, the open interest was 835,021 lots, the trading volume ratio of call options to put options was 1.32, and the weighted average implied volatility was 24.84% [41] - Volatility Trading: Follow the same principle of selling high - curve and buying low - curve options [46] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 131% at the settlement price and 25.8% at the counter - party price [48][50] 1.4 Huaxia SSE Science and Technology Innovation Board 50ETF - Basic Information: On September 18, 2025, the trading volume of the main Huaxia SSE Science and Technology Innovation Board 50ETF options was 2,490,037 lots, the open interest was 1,523,915 lots, the trading volume ratio of call options to put options was 1.62, and the weighted average implied volatility was 49.29% [53] - Volatility Trading: Adopt the strategy of selling high - curve and buying low - curve options [55] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 320% at the settlement price and 47.4% at the counter - party price [60][62] 1.5 E Fund SSE Science and Technology Innovation Board 50ETF - Basic Information: On September 18, 2025, the trading volume of the main E Fund SSE Science and Technology Innovation Board 50ETF options was 496,770 lots, the open interest was 418,892 lots, the trading volume ratio of call options to put options was 1.81, and the weighted average implied volatility was 51.32% [65] - Volatility Trading: Use the strategy of selling high - curve and buying low - curve options [67] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 173% at the settlement price and 38.2% at the counter - party price [71][73] Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - Basic Information: On September 18, 2025, the trading volume of the main Harvest SSE 300ETF options was 233,057 lots, the open interest was 238,099 lots, the trading volume ratio of call options to put options was 1.43, and the weighted average implied volatility was 22.11% [77] - Volatility Trading: Apply the strategy of selling high - curve and buying low - curve options [81] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 34.3% at the settlement price and 2.64% at the counter - party price [84][85] 2.2 E Fund GEM ETF - Basic Information: On September 18, 2025, the trading volume of the main E Fund GEM ETF options was 2,505,591 lots, the open interest was 1,417,432 lots, the trading volume ratio of call options to put options was 1.19, and the weighted average implied volatility was 42.91% [88] - Volatility Trading: Follow the strategy of selling high - curve and buying low - curve options [91]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents a comprehensive analysis of various options, including their basic information, trading volumes, open interests, implied volatilities, and provides volatility trading suggestions and risk - free arbitrage returns. It offers a reference for investors in the options market [3][19][21]. 3. Summary According to the Table of Contents 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the main SSE 50 ETF options on the day was 578,280 lots, the open interest was 1,251,325 lots, the trading volume ratio of call options to put options was 1.32, and the weighted - average implied volatility was 21.5% [21]. - **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 on the curve below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 24.4% at the settlement price and 2.77% at the counter - price [27][29]. 3.1.2 Huatai - Peregrine CSI 300 ETF - **Basic Information**: The trading volume of the main Huatai - Peregrine CSI 300 ETF options on the day was 720,991 lots, the open interest was 959,003 lots, the trading volume ratio of call options to put options was 1.15, and the weighted - average implied volatility was 21.61% [32]. - **Volatility Trading**: Similar to SSE 50 ETF, 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 on the curve below for the same month [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 20.1% at the settlement price and 1.32% at the counter - price [39][42]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main Southern CSI 500 ETF options on the day was 1,295,375 lots, the open interest was 931,223 lots, the trading volume ratio of call options to put options was 1.31, and the weighted - average implied volatility was 24.86% [45]. - **Volatility Trading**: The same trading suggestions as above [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 76.0% at the settlement price and 17.6% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR Market 50 ETF options on the day was 1,112,259 lots, the open interest was 1,644,909 lots, the trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 51.67% [57]. - **Volatility Trading**: Follow the general volatility trading suggestions [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 35.6% at the settlement price and 16.0% at the counter - price [63][64]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR Market 50 ETF options on the day was 208,001 lots, the open interest was 464,253 lots, the trading volume ratio of call options to put options was 2.06, and the weighted - average implied volatility was 50.94% [67]. - **Volatility Trading**: Adopt the same volatility trading strategies [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 56.3% at the settlement price and 10.6% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF - **Basic Information**: The trading volume of the main Harvest CSI 300 ETF options on the day was 141,658 lots, the open interest was 234,347 lots, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 24.79% [80]. - **Volatility Trading**: Use the common volatility trading advice [82]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 14.1% at the settlement price and 0.94% at the counter - price [86][88]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on the day was 1,754,047 lots, the open interest was 1,461,858 lots, the trading volume ratio of call options to put options was 1.13, and the weighted - average implied volatility was 48.5% [91]. - **Volatility Trading**: Follow the general volatility trading rules [94]. - **Risk - Free Arbitrage**: No relevant risk - free arbitrage content provided.

Report Information - Report Name: Pioneer Futures Option Daily Report - Date: September 15, 2025 [1] Option Volatility Ranking - The table shows the ranking of option underlying assets in terms of at-the-money option implied volatility, 30-day historical volatility, and daily true range. For example, jd2510 ranks 1st in at-the-money option implied volatility and daily true range, with values of 3.8% and 5.3% respectively, and 12th in 30-day historical volatility with a value of 1.5% [3]. - Notes on volatility: The at-the-money option implied volatility reflects the market's expectation of future fluctuations of the variety, the 30-day historical volatility reflects the actual past market size, and the daily true range reflects the intraday market size [5]. Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of the Shanghai 50ETF on this day is 547,658 lots, the open interest is 1,242,032 lots, the trading volume ratio of call options to put options is 1.52, and the weighted average implied volatility is 20.98% [18][20]. - **Volatility Trading**: Different months - sell the month with the curve on top and buy the month with the curve below; same month - sell the option with the point on the curve above and buy the option with the point on the curve below [24]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.24%; at the counter - price, it is 2.33% [27][29]. 1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options of the Huatai - Berry CSI 300ETF on this day is 690,611 lots, the open interest is 986,453 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 20.59% [30][32]. - **Volatility Trading**: Similar trading suggestions as for the Shanghai 50ETF [39]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.7%; at the counter - price, it is 0.69% [40][43]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of the Southern CSI 500ETF on this day is 954,892 lots, the open interest is 927,890 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 23.83% [44][46]. - **Volatility Trading**: Similar trading suggestions as above [48]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 60.7%; at the counter - price, it is 10.6% [52][54]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the Huaxia Shanghai Science and Technology Innovation 50ETF on this day is 1,060,390 lots, the open interest is 1,618,164 lots, the trading volume ratio of call options to put options is 1.96, and the weighted average implied volatility is 52.16% [55][57]. - **Volatility Trading**: Similar trading suggestions as above [59]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.3%; at the counter - price, it is 4.53% [63][64]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the E Fund Shanghai Science and Technology Innovation 50ETF on this day is 209,046 lots, the open interest is 459,663 lots, the trading volume ratio of call options to put options is 2.46, and the weighted average implied volatility is 51.25% [65][67]. - **Volatility Trading**: Similar trading suggestions as above [70]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 59.5%; at the counter - price, it is 6.44% [74][76]. 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 this day is 125,850 lots, the open interest is 228,920 lots, the trading volume ratio of call options to put options is 1.48, and the weighted average implied volatility is 22.5% [77][80]. - **Volatility Trading**: Similar trading suggestions as above [84]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.8%; at the counter - price, there is no minimum annualized return [87][89]. 2.2 E Fund ChiNext ETF - **Basic Information**: The document provides the T - type quotation table of the E Fund ChiNext ETF options but does not mention the trading volume, open interest, trading volume ratio, and weighted average implied volatility of the main options [90]. - **Volatility Trading**: Not mentioned in the provided content. - **Risk - Free Arbitrage**: Not mentioned in the provided content.

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].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints 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 daily true range. It also provides T - type quotation tables, trading advice on volatility, and analysis of risk - free arbitrage for different exchange - traded funds' options [3][19][22]. 3. Summary by Relevant Catalogs 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: Presented 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 options on the day was 1,024,217 lots, the position was 1,004,464 lots, the trading volume ratio of call to put options was 1.69, and the weighted average implied volatility was 24.13% [19][21]. - **Volatility Trading**: Suggests selling the options or months with curves on top and buying those with curves below, based on the implied volatility curves of different strike prices and Deltas [22][23]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 15.5% at the settlement price and 2.21% at the counter - price [27][29]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: Provided the T - type quotation table of Huatai - Berry CSI 300ETF options. The trading volume of the main options on the day was 928,486 lots, the position was 827,612 lots, the trading volume ratio of call to put options was 1.65, and the weighted average implied volatility was 23.77% [30][32]. - **Volatility Trading**: Similar to Shanghai 50ETF, it suggests selling high - curve options or months and buying low - curve ones according to the implied volatility curves [34][35]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 9.31% at the settlement price and 1.02% at the counter - price [39][42]. 3.1.3 Southern CSI 500ETF - **Basic Information**: Offered the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main options on the day was 1,262,196 lots, the position was 795,363 lots, the trading volume ratio of call to put options was 1.34, and the weighted average implied volatility was 26.4% [43][45]. - **Volatility Trading**: Recommends selling high - curve options or months and buying low - curve ones based on the implied volatility curves [46][50]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 32.7% at the settlement price and 8.13% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR Market 50ETF - **Basic Information**: Showed the T - type quotation table of Huaxia SSE STAR Market 50ETF options. The trading volume of the main options on the day was 1,480,014 lots, the position was 1,196,320 lots, the trading volume ratio of call to put options was 1.87, and the weighted average implied volatility was 47.29% [55][57]. - **Volatility Trading**: Advises selling high - curve options or months and buying low - curve ones according to the implied volatility curves [58][59]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 48.7% at the settlement price and 13.6% at the counter - price [63][65]. 3.1.5 E Fund SSE STAR Market 50ETF - **Basic Information**: Presented the T - type quotation table of E Fund SSE STAR Market 50ETF options. The trading volume of the main options on the day was 406,234 lots, the position was 356,854 lots, the trading volume ratio of call to put options was 1.74, and the weighted average implied volatility was 48.75% [66][68]. - **Volatility Trading**: Suggests selling high - curve options or months and buying low - curve ones based on the implied volatility curves [69][70]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held until maturity is 50.8% at the settlement price and 10.2% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: Provided the T - type quotation table of Harvest CSI 300ETF options. The trading volume of the main options on the day was 162,588 lots, the position was 175,350 lots, the trading volume ratio of call to put options was 1.48, and the weighted average implied volatility was 25.25% [77][80]. - **Volatility Trading**: Recommends selling high - curve options or months and buying low - curve ones according to the implied volatility curves [81][82].

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.