Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the daily data of futures and options, including the implied volatility, historical volatility, and real - time volatility of various option targets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for options on different ETFs from multiple exchanges [3][6]. 3. Summary by Directory 3.1 Upper - Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 651,474 lots, the open interest is 920,026 lots, the trading volume ratio of call to put options is 1.29, and the weighted average implied volatility is 13.88% [19][21]. - **Volatility Trading**: Suggest selling options with curves or points above and buying those below [23]. - **Risk - Free Arbitrage**: The minimum annualized return is 8.00% at the settlement price and 1.78% at the counter - price [27][29]. - **1.2 Huatai - Baorui CSI 300ETF** - **Basic Information**: The trading volume of the main options is 554,874 lots, the open interest is 734,306 lots, the trading volume ratio of call to put options is 1.32, and the weighted average implied volatility is 14.14% [30][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve or high - point options and buy low ones [37]. - **Risk - Free Arbitrage**: The minimum annualized return is 3.62% at the settlement price and 0.39% at the counter - price [40][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 816,723 lots, the open interest is 750,069 lots, the trading volume ratio of call to put options is 1.16, and the weighted average implied volatility is 15.33% [43][45]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [47]. - **Risk - Free Arbitrage**: The minimum annualized return is 51.6% at the settlement price and 10.8% at the counter - price [51][53]. - **1.4 Huaxia Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 269,625 lots, the open interest is 903,284 lots, the trading volume ratio of call to put options is 1.73, and the weighted average implied volatility is 24.47% [54][56]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [58]. - **Risk - Free Arbitrage**: The minimum annualized return is 7.30% at the settlement price and 2.13% at the counter - price [62][64]. - **1.5 E Fund Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 62,645 lots, the open interest is 252,359 lots, the trading volume ratio of call to put options is 1.76, and the weighted average implied volatility is 24.37% [65][67]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [69]. - **Risk - Free Arbitrage**: The minimum annualized return is 10.1% at the settlement price, and there is no return at the counter - price [73][75]. 3.2 Shenzhen - Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main options is 103,182 lots, the open interest is 146,512 lots, the trading volume ratio of call to put options is 1.13, and the weighted average implied volatility is 15.29% [76][79]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [84]. - **Risk - Free Arbitrage**: The minimum annualized return is 17.2% at the settlement price and 1.33% at the counter - price [86][88].

1. Report Industry Investment Rating - Not provided in the content 2. Report's Core View - The report presents the daily data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real daily amplitude. It also provides T - type quotes, trading volume, open interest, and implied volatility data of options on different ETFs and futures. Additionally, it offers volatility trading suggestions and calculates the minimum annualized return of the optimal arbitrage portfolio for different options [3][19][25] 3. Summary According to the 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 options is 525,793 lots, the open interest is 951,075 lots, the trading volume ratio of call options to put options is 1.23, and the weighted average implied volatility is 14.27%. The T - type quotes of call and put options at different strike prices are provided [19][21] - **Volatility Trading**: Different months: sell the months with the curve on top and buy the months with the curve below; same month: sell the options with points on the curve above and buy the options with points on the curve below [25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.77% at the settlement price and 1.26% at the counter - party price [28][30] 3.1.2 Huatai - Berry SSE 300 ETF - **Basic Information**: The trading volume of the main options is 507,718 lots, the open interest is 739,326 lots, the trading volume ratio of call options to put options is 1.22, and the weighted average implied volatility is 14.55%. The T - type quotes of call and put options at different strike prices are provided [31][34] - **Volatility Trading**: Similar trading suggestions as SSE 50 ETF [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.98% at the settlement price and 2.27% at the counter - party price [41][43] 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main options is 974,072 lots, the open interest is 754,518 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 16.28%. The T - type quotes of call and put options at different strike prices are provided [44][46] - **Volatility Trading**: Similar trading suggestions as above [50] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.4% at the settlement price and 9.35% at the counter - party price [53][55] 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options is 375,872 lots, the open interest is 900,656 lots, the trading volume ratio of call options to put options is 1.52, and the weighted average implied volatility is 24.95%. The T - type quotes of call and put options at different strike prices are provided [56][58] - **Volatility Trading**: Similar trading suggestions as above [60] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.3% at the settlement price and 0.60% at the counter - party price [65][67] 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options is 80,703 lots, the open interest is 252,728 lots, the trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 25.38%. The T - type quotes of call and put options at different strike prices are provided [68][70] - **Volatility Trading**: Similar trading suggestions as above [72] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.10% at the settlement price, and there is no return at the counter - party price [76][78] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300 ETF - **Basic Information**: The trading volume of the main options is 96,931 lots, the open interest is 144,746 lots, the trading volume ratio of call options to put options is 1.3, and the weighted average implied volatility is 15.44%. The T - type quotes of call and put options at different strike prices are provided [79][82] - **Volatility Trading**: Similar trading suggestions as above [86] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.6% at the settlement price and 0.43% at the counter - party price [89][91]

1. Report Overview - Report Title: Pioneer Futures Option Daily Report - Report Date: August 1, 2025 [1] 2. Option Volatility Ranking 2.1 Overall Ranking - The report provides the ranking of options based on at - the - money implied volatility, 30 - day historical volatility, and daily true amplitude for various options such as ps2509, 1c2509, etc. [3][5] 2.2 Volatility Indicators - At - the - money implied volatility reflects the market's expectation of future fluctuations of the variety. Higher values indicate a greater possibility of large - scale market movements. - 30 - day historical volatility reflects the actual past market movements of the variety. If it is smaller than the implied volatility, the option price may be relatively expensive. - Daily true amplitude reflects the intraday market movement of the variety on that day [6]. 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 852,914 lots, the open interest is 935,948 lots, the trading volume ratio of call to put options is 1.27, and the weighted - average implied volatility is 14.58%. - **Volatility Trading**: Sell options in months with higher implied volatility curves and buy those in months with lower curves. For options in the same month, sell options with higher points on the curve and buy those with lower points. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.26% at the settlement price and 1.65% at the counter - price [19][21][23] 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options is 725,335 lots, the open interest is 719,107 lots, the trading volume ratio of call to put options is 1.29, and the weighted - average implied volatility is 14.99%. - **Volatility Trading**: Similar trading suggestions as for Shanghai 50ETF. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.37% at the settlement price and 1.56% at the counter - price [30][33][39] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 943,166 lots, the open interest is 741,695 lots, the trading volume ratio of call to put options is 1.12, and the weighted - average implied volatility is 16.89%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 48.2% at the settlement price and 10.5% at the counter - price [43][45][49] 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 643,615 lots, the open interest is 887,099 lots, the trading volume ratio of call to put options is 1.77, and the weighted - average implied volatility is 25.14%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.90% at the settlement price and 1.58% at the counter - price [55][57][61] 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 129,738 lots, the open interest is 251,183 lots, the trading volume ratio of call to put options is 1.59, and the weighted - average implied volatility is 26.54%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.99% at the settlement price, and there is no return at the counter - price [67][68][71] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options is 131,448 lots, the open interest is 143,587 lots, the trading volume ratio of call to put options is 1.29, and the weighted - average implied volatility is 15.85%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.3% at the settlement price and 1.31% at the counter - price [77][80][82] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options is 1,318,988 lots, the open interest is 923,304 lots, the trading volume ratio of call to put options is 1.09, and the weighted - average implied volatility is 23.81%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: Not mentioned in the provided content [89][91][93]

Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: July 30, 2025 [1] 1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints - The report presents the implied volatility, historical volatility, and real - time volatility of various option targets, and provides T - type quotes, volatility trading suggestions, and risk - free arbitrage information for multiple ETF options on different exchanges [3][19][22] 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on this day was 1,175,716 lots, the open interest was 785,819 lots, the volume ratio of call options to put options was 1.58, and the weighted average implied volatility was 16.12% [19][21] - **Volatility Trading**: Sell options in months with higher curves or points on the curve, and buy options in months with lower curves or points on the curve [23] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 2.90% at the settlement price and 1.33% at the counter - party price [27][29] 3.1.2 Huatai - Baoying CSI 300ETF - **Basic Information**: The trading volume of the main options of 300ETF on this day was 873,682 lots, the open interest was 633,506 lots, the volume ratio of call options to put options was 1.38, and the weighted average implied volatility was 16.14% [30][33] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options and buy low - curve options [36] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 2.67% at the settlement price and 0.30% at the counter - party price [40][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of 500ETF on this day was 1,199,087 lots, the open interest was 669,585 lots, the volume ratio of call options to put options was 1.07, and the weighted average implied volatility was 18.82% [43][45] - **Volatility Trading**: Sell high - curve options and buy low - curve options [49] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 37.8% at the settlement price and 8.15% at the counter - party price [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of Science and Technology Innovation 50ETF on this day was 695,552 lots, the open interest was 934,567 lots, the volume ratio of call options to put options was 1.89, and the weighted average implied volatility was 28.17% [55][57] - **Volatility Trading**: Sell high - curve options and buy low - curve options [59] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 8.66% at the settlement price and 2.79% at the counter - party price [63][65] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of Science and Technology Innovation 50ETF on this day was 156,459 lots, the open interest was 257,539 lots, the volume ratio of call options to put options was 2.18, and the weighted average implied volatility was 28.69% [66][68] - **Volatility Trading**: Sell high - curve options and buy low - curve options [70] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 6.12% at the settlement price and 1.16% at the counter - party price [74][76] 3.2 Shenzhen Stock Exchange Options - Specific option information for Shenzhen Stock Exchange is not fully presented in the provided text, only the headings are given 3.3 China Financial Futures Exchange Options - Specific option information for China Financial Futures Exchange is not fully presented in the provided text, only the headings are given 3.4 Zhengzhou Commodity Exchange Options - Specific option information for Zhengzhou Commodity Exchange is not fully presented in the provided text, only the headings are given 3.5 Dalian Commodity Exchange Options - Specific option information for Dalian Commodity Exchange is not fully presented in the provided text, only the headings are given 3.6 Shanghai Futures Exchange Options - Specific option information for Shanghai Futures Exchange is not fully presented in the provided text, only the headings are given 3.7 Shanghai International Energy Exchange Options - Specific option information for Shanghai International Energy Exchange is not fully presented in the provided text, only the headings are given 3.8 Guangzhou Futures Exchange Options - Specific option information for Guangzhou Futures Exchange is not fully presented in the provided text, only the headings are given

Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: July 23, 2025 [1] Industry Investment Rating - Not provided in the report Core Viewpoints - The report provides detailed data on various option products, including implied volatility, historical volatility, and real - time volatility, to assist investors in making trading decisions [3][5][6] Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 866,440 lots, the open interest was 535,949 lots, the trading volume ratio of call options to put options was 1.78, and the weighted average implied volatility was 17.11% [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 the options with points above the curve and buying those below for the same month [23] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 3.84% at the settlement price and 0.53% at the counter - price [27][29] 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day was 772,000 lots, the open interest was 526,544 lots, the trading volume ratio of call options to put options was 1.76, and the weighted average implied volatility was 17.39% [30][33] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [34] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 2.66% at the settlement price and 0.04% at the counter - price [38][40] 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 848,679 lots, the open interest was 465,938 lots, the trading volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 20.19% [41][43] - **Volatility Trading**: Follow the rule of selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling the options with points above the curve and buying those below for the same month [45] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 25.1% at the settlement price and 5.50% at the counter - price [50][52] 1.4 Huaxia SSE STAR Market 50ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR Market 50ETF on the day was 602,584 lots, the open interest was 682,078 lots, the trading volume ratio of call options to put options was 2.35, and the weighted average implied volatility was 27.3% [53][55] - **Volatility Trading**: Sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [57] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 4.18% at the settlement price and 1.28% at the counter - price [61][63] 1.5 E Fund SSE STAR Market 50ETF - **Basic Information**: The trading volume of the main options of E Fund SSE STAR Market 50ETF on the day was 158,400 lots, the open interest was 174,325 lots, the trading volume ratio of call options to put options was 2.54, and the weighted average implied volatility was 28.37% [64][66] - **Volatility Trading**: Similar to other products, sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [69] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 6.73% at the settlement price and 0.87% at the counter - price [72][74] 2. Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of Harvest SSE 300ETF on the day was 83,094 lots, the open interest was 71,654 lots, the trading volume ratio of call options to put options was 2.37, and the weighted average implied volatility was 18.17% [75][78] - **Volatility Trading**: Sell the options of the month with the upper curve and buy those of the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [80] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 8.70% at the settlement price and 0.09% at the counter - price [84][86] 2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options of E Fund ChiNext ETF on the day was 941,105 lots, the open interest was 609,208 lots, the trading volume ratio of call options to put options was 1.66, and the weighted average implied volatility was 25.67% [87][89] - **Volatility Trading**: Not fully detailed in the provided content - **Risk - free Arbitrage**: Not provided in the report

1. Report Industry Investment Rating - No information provided in the report 2. Core Viewpoints - The report presents a comprehensive analysis of various options in multiple exchanges, including their basic information, trading volumes, open interests, volume ratios of call and put options, weighted average implied volatilities, and provides volatility trading suggestions and no - risk arbitrage opportunities [3][21][23] 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 696,475 lots, the open interest is 940,239 lots, the volume ratio of call and put options is 1.2, and the weighted average implied volatility is 14.65% [19][21] - **Volatility Trading**: Suggestions are to sell the month with the curve above and buy the month with the curve below for different months; sell the option with the point above the curve and buy the option with the point below the curve for the same month [23] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 20.6% at the settlement price and 1.63% at the counter - price [23][27][29] 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options is 749,160 lots, the open interest is 351,922 lots, the volume ratio of call and put options is 0.58, and the weighted average implied volatility is 19.26% [30][32] - **Volatility Trading**: Similar to Shanghai 50ETF, sell the curve - above month and buy the curve - below month for different months; sell the point - above option and buy the point - below option for the same month [36] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 2.87% at the settlement price and 0.52% at the counter - price [39][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,076,342 lots, the open interest is 679,205 lots, the volume ratio of call and put options is 1.09, and the weighted average implied volatility is 16.98% [43][45] - **Volatility Trading**: The same trading suggestions as above for different and same months [50] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 67.1% at the settlement price and 12.7% 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 is 577,910 lots, the open interest is 580,782 lots, the volume ratio of call and put options is 1.99, and the weighted average implied volatility is 32.7% [55][57] - **Volatility Trading**: Follow the same rules for different and same months [59] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 5.83% at the settlement price and 0.85% at the counter - price [63][65] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 92,944 lots, the open interest is 281,020 lots, the volume ratio of call and put options is 1.83, and the weighted average implied volatility is 24.49% [66][68] - **Volatility Trading**: Adopt the same trading suggestions [70] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 40.2% at the settlement price and 0.45% at the counter - price [74][76] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options is 93,508 lots, the open interest is 125,985 lots, the volume ratio of call and put options is 1.31, and the weighted average implied volatility is 16.25% [77][80] - **Volatility Trading**: Use the same trading rules [82] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 31.0% at the settlement price and 1.77% at the counter - price [86][88]

Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: July 15, 2025 [1] 1. Industry Investment Rating - Not provided in the report. 2. Core Viewpoints - The report provides a comprehensive analysis of various options, including their implied volatility, historical volatility, and real - time volatility. It also offers trading suggestions for volatility trading and presents potential arbitrage opportunities for different options [3][6]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - contract options of Shanghai 50ETF on this day was 1,032,437 lots, and the open interest was 974,357 lots. The trading volume ratio of call options to put options was 1.17, and the weighted - average implied volatility was 14.7% [19][21]. - **Volatility Trading**: Suggestions include selling options in months with higher implied - volatility curves and buying those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 10.6% at the settlement price and 0.43% at the counter - price [27][29]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Huatai - Berry CSI 300ETF on this day was 903,006 lots, and the open interest was 702,634 lots. The trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 14.97% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher implied - volatility curves and buy those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [34]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 12.9% at the settlement price and 2.52% at the counter - price [40][41]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - contract options of Southern CSI 500ETF on this day was 1,134,302 lots, and the open interest was 735,143 lots. The trading volume ratio of call options to put options was 1.05, and the weighted - average implied volatility was 16.52% [42][44]. - **Volatility Trading**: The same trading suggestions as above for volatility trading [48]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 51.8% at the settlement price and 10.1% 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 of Huaxia Shanghai Science and Technology Innovation Board 50ETF on this day was 441,953 lots, and the open interest was 954,264 lots. The trading volume ratio of call options to put options was 2.19, and the weighted - average implied volatility was 26.28% [54][56]. - **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 19.7% at the settlement price and 1.92% at the counter - price [63][65]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options of E Fund Shanghai Science and Technology Innovation Board 50ETF on this day was 99,887 lots, and the open interest was 285,235 lots. The trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 26.25% [66][68]. - **Volatility Trading**: Adopt the common volatility - trading strategies [72]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 18.0% at the settlement price, and no return was provided at the counter - price [75][77]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - contract options of Harvest CSI 300ETF on this day was 120,639 lots, and the open interest was 132,339 lots. The trading volume ratio of call options to put options was 1.36, and the weighted - average implied volatility was 15.78% [78][81]. - **Volatility Trading**: Use the standard volatility - trading suggestions [84][85]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 45.4% at the settlement price and 6.73% at the counter - price [89][91]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main - contract options of E Fund ChiNext ETF on this day was 1,570,381 lots, and the open interest was 1,030,150 lots. The trading volume ratio of call options to put options was 1.23, and the weighted - average implied volatility was 23.77% [92][94]. - **Volatility Trading**: Follow the general volatility - trading rules [97]. - **Risk - free Arbitrage**: Not provided in the report.

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents the daily data of various futures and ETF options, including the implied volatility, historical volatility, and real - time volatility of different underlying assets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for options on multiple exchanges, such as the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc. [3][19][30] 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 - month options is 654,893 lots, the open interest is 1,004,629 lots, the trading volume ratio of call to put options is 1.4, and the weighted - average implied volatility is 16.49% [19][21]. - **Volatility Trading**: Sell the options with the curve or point above and buy those below, both for different months and the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.9% at the settlement price and 1.39% at the counter - price [27][29]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main - month options is 482,950 lots, the open interest is 736,670 lots, the trading volume ratio of call to put options is 1.56, and the weighted - average implied volatility is 16.69% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high and buy low in terms of curves and points [35]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.66% at the settlement price and 0.80% at the counter - price [39][40]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - month options is 594,522 lots, the open interest is 767,733 lots, the trading volume ratio of call to put options is 1.27, and the weighted - average implied volatility is 17.88% [41][43]. - **Volatility Trading**: Follow the rule of selling high and buying low in volatility curves [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 27.1% at the settlement price and 6.18% at the counter - price [50][52]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - month options is 353,075 lots, the open interest is 964,667 lots, the trading volume ratio of call to put options is 2.15, and the weighted - average implied volatility is 27.88% [53][55]. - **Volatility Trading**: Adopt the strategy of selling high and buying low in volatility [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.3% at the settlement price, and there is no return at the counter - price [64][65]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - month options is 85,747 lots, the open interest is 283,652 lots, the trading volume ratio of call to put options is 1.77, and the weighted - average implied volatility is 28.34% [66][68]. - **Volatility Trading**: Sell high and buy low in volatility curves [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.4% at the settlement price and 3.53% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - month options is 59,722 lots, the open interest is 134,816 lots, the trading volume ratio of call to put options is 1.69, and the weighted - average implied volatility is 17.4% [77][80]. - **Volatility Trading**: Use the strategy of selling high and buying low in volatility [84]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 25.9% at the settlement price and 0.77% at the counter - price [88][90]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main - month options is 717,338 lots, the open interest is 1,015,077 lots, the trading volume ratio of call to put options is 1.38, and the weighted - average implied volatility is 24.81% [91][93]. - **Volatility Trading**: Sell high and buy low in volatility curves [96]. - **No relevant content provided for risk - free arbitrage**.

1. Report Information - Report Name: Pioneer Futures Option Daily Report - Date: July 9, 2025 [1] 2. Option Volatility Ranking 2.1 Ranking by Different Volatility Metrics - The report presents rankings of various option targets based on three volatility metrics: at-the-money option implied volatility, 30-day historical volatility of the target, and the target's daily true range. For example, ps2509 ranks 1st in at-the-money option implied volatility with a value of 2.7%, and 2nd in 30-day historical volatility with a value of 2.6%, and 1st in daily true range with a value of 4.2% [3]. 2.2 Significance of Volatility Metrics - At-the-money option implied volatility reflects the market's expectation of the future volatility of the variety. A higher value indicates a greater likelihood of significant market movements, which can be of interest to trend traders. - The 30-day historical volatility reflects the actual past market movements of the variety. If this value is smaller than the implied volatility, it may suggest that the option price is relatively expensive, which can be a consideration for option sellers. - The target's daily true range reflects the intraday market movements of the variety, which can be useful for intraday traders [6]. 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 on the day is 724,006 lots, and the open interest is 897,219 lots. The trading volume ratio of call options to put options is 1.31, and the weighted average implied volatility is 13.88%. The report also provides the T-type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices [19][21]. - **Volatility Trading**: Volatility trading suggestions are provided based on the implied volatility curves of call and put options. For different months, sell the options of the month with the curve above and buy the options of the month with the curve below. For the same month, sell the options with points above the curve and buy the options with points below the curve [25]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 7.87% when traded at the settlement price and 1.31% when traded at the counterparty price [28][30]. 3.1.2 Huatai-PB CSI 300ETF - **Basic Information**: The trading volume of the main Huatai-PB CSI 300ETF options on the day is 642,271 lots, and the open interest is 756,822 lots. The trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 14.73%. The T-type quotation table of 300ETF options is also provided [30][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, volatility trading suggestions are given based on the implied volatility curves [37]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 11.1% when traded at the settlement price and 0.92% when traded at the counterparty price [40][41]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options on the day is 858,514 lots, and the open interest is 781,732 lots. The trading volume ratio of call options to put options is 1.35, and the weighted average implied volatility is 16.74%. The T-type quotation table of 500ETF options is presented [42][44]. - **Volatility Trading**: Volatility trading suggestions are provided according to the implied volatility curves [46]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 34.0% when traded at the settlement price and 7.14% when traded 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 on the day is 285,479 lots, and the open interest is 826,810 lots. The trading volume ratio of call options to put options is 2.21, and the weighted average implied volatility is 25.11%. The T-type quotation table of the STAR 50 ETF options is provided [53][55]. - **Volatility Trading**: Volatility trading suggestions are given based on the implied volatility curves [58][59]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 11.3% when traded at the settlement price and 0.22% when traded at the counterparty price [63][65]. 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50 ETF options on the day is 95,592 lots, and the open interest is 232,259 lots. The trading volume ratio of call options to put options is 1.61, and the weighted average implied volatility is 24.89%. The T-type quotation table of the STAR 50 ETF options is presented [66][68]. - **Volatility Trading**: Volatility trading suggestions are provided according to the implied volatility curves [72]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 7.16% when traded at the settlement price and 0.46% when traded at the counterparty price [75][77]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Harvest CSI 300ETF options on the day is 102,460 lots, and the open interest is 126,288 lots. The trading volume ratio of call options to put options is 1.59, and the weighted average implied volatility is 15.37%. The T-type quotation table of the Shenzhen 300ETF options is provided [78][81]. - **Volatility Trading**: Volatility trading suggestions are given based on the implied volatility curves [83]. - **Risk-Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 8.13% when traded at the settlement price and 1.33% when traded at the counterparty price [87][89]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on the day is 1,328,578 lots, and the open interest is 994,127 lots. The trading volume ratio of call options to put options is 1.53, and the weighted average implied volatility is 22.37%. The T-type quotation table of the ChiNext ETF options is presented [91][92]. - **Volatility Trading**: Volatility trading suggestions are provided according to the implied volatility curves [96].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents the daily data of futures and options, including the implied volatility, historical volatility, and real - time volatility of various option targets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for different exchange - listed options [3][19][22]. 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 Shanghai 50ETF on the day was 856,407 lots, the open interest was 879,208 lots, the trading volume ratio of call options to put options was 1.48, and the weighted average implied volatility was 14.44%. The T - type quotation table shows the prices of call and put options at different strike prices and expiration months [19][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 [25]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.57% at the settlement price and 0.53% at the counter - price [29][31]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day was 860,039 lots, the open interest was 775,674 lots, the trading volume ratio of call options to put options was 1.66, and the weighted average implied volatility was 14.49%. The T - type quotation table shows option prices [32][34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month or option with the curve or point above and buy the one below [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.88% at the settlement price and 0.86% at the counter - price [40][43]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,220,646 lots, the open interest was 746,418 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 16.57%. The T - type quotation table shows option prices [44][46]. - **Volatility Trading**: Follow the rule of selling high and buying low on the volatility curve [50]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.8% at the settlement price and 8.98% at the counter - price [53][55]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50ETF on the day was 410,981 lots, the open interest was 802,784 lots, the trading volume ratio of call options to put options was 2.09, and the weighted average implied volatility was 23.9%. The T - type quotation table shows option prices [56][58]. - **Volatility Trading**: Adopt the strategy of selling high and buying low on the volatility curve [60]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.3% at the settlement price and 1.66% at the counter - price [64][65]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50ETF on the day was 100,378 lots, the open interest was 227,343 lots, the trading volume ratio of call options to put options was 1.38, and the weighted average implied volatility was 24.63%. The T - type quotation table shows option prices [66][68]. - **Volatility Trading**: Use the strategy of selling high and buying low on the volatility curve [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.1% at the settlement price, and there is no return at the counter - price [74][76]. 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 was 98,495 lots, the open interest was 118,936 lots, the trading volume ratio of call options to put options was 1.53, and the weighted average implied volatility was 15.62%. The T - type quotation table shows option prices [77][80]. - **Volatility Trading**: Sell the month or option with the curve or point above and buy the one below [85]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.2% at the settlement price and 0.36% at the counter - price [89][91]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options of E Fund ChiNext ETF on the day was 1,499,846 lots, the open interest was 958,887 lots, the trading volume ratio of call options to put options was 1.57, and the weighted average implied volatility was 22.06%. The T - type quotation table shows option prices [93][94]. - **Volatility Trading**: Follow the rule of selling high and buying low on the volatility curve [99]. - **Risk - Free Arbitrage**: No relevant content provided.