Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: October 28, 2025 [1] Option Underlying Market Volatility Ranking - The report provides a ranking of option underlying market volatility, including implied volatility of at-the-money options, 30-day historical volatility, and daily true range for various underlying assets [3][4]. - For example, ps2512 has an implied volatility of 2.8%, ranking 1st; lc2512 has an implied volatility of 2.6%, ranking 2nd [3]. Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The report presents the T-type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices. The trading volume of the main options is 629,174 lots, the open interest is 729,512 lots, the volume ratio of call to put options is 1.19, and the weighted average implied volatility is 16.04% [19][21]. - **Volatility Trading**: Volatility trading suggestions are provided, such as selling the month with the curve above and buying the month with the curve below for different months; selling options with points above the curve and buying options with points below the curve for the same month [22]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 2.72% when traded at the settlement price and 1.61% when traded at the counterparty price [26][28]. 1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The T-type quotation table of Huatai-PineBridge CSI 300ETF options is presented. The trading volume of the main options is 650,165 lots, the open interest is 630,680 lots, the volume ratio of call to put options is 1.21, and the weighted average implied volatility is 17% [29][31]. - **Volatility Trading**: Similar volatility trading suggestions are given [38]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 2.87% when traded at the settlement price and 0.02% when traded at the counterparty price [39][41]. 1.3 Southern CSI 500ETF - **Basic Information**: The T-type quotation table of Southern CSI 500ETF options is provided. The trading volume of the main options is 1,059,387 lots, the open interest is 690,068 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 20.53% [42][44]. - **Volatility Trading**: Volatility trading suggestions are similar to the above [48]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 34.5% when traded at the settlement price and 7.48% when traded at the counterparty price [51][53]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The T-type quotation table of Huaxia Shanghai Science and Technology Innovation 50ETF options is shown. The trading volume of the main options is 885,668 lots, the open interest is 987,813 lots, the volume ratio of call to put options is 1.63, and the weighted average implied volatility is 36.69% [54][55]. - **Volatility Trading**: Similar volatility trading suggestions are provided [61]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 8.84% when traded at the settlement price and 2.31% when traded at the counterparty price [63][65]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The T-type quotation table of E Fund Shanghai Science and Technology Innovation 50ETF options is presented. The trading volume of the main options is 153,032 lots, the open interest is 248,888 lots, the volume ratio of call to put options is 1.81, and the weighted average implied volatility is 36.8% [66][68]. - **Volatility Trading**: Similar volatility trading suggestions are given [70]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 14.3% when traded at the settlement price and 2.51% when traded at the counterparty price [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - **Basic Information**: The T-type quotation table of Harvest CSI 300ETF options is provided. The trading volume of the main options is 104,115 lots, the open interest is 122,101 lots, the volume ratio of call to put options is 1.62, and the weighted average implied volatility is 18.03% [77][79]. - **Volatility Trading**: Volatility trading suggestions are similar to the above [84].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the option market data of various underlying assets on October 27, 2025, including the T - type quotes, trading volume, open interest, and implied volatility of different options. It also provides volatility trading suggestions and no - risk arbitrage analysis for different underlying assets in the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc. [3][19][29] 3. Summary According to the Catalog 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 729,525 lots, the open interest is 697,585 lots, the trading volume ratio of call options to put options is 1.77, and the weighted average implied volatility is 16.49% [19][21]. - **Volatility Trading**: Suggestions are to sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [22]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 4.06% at the settlement price and 0.10% at the counter - price [26][28]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options is 757,818 lots, the open interest is 610,749 lots, the trading volume ratio of call options to put options is 1.59, and the weighted average implied volatility is 17.01% [29][31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month or option with the curve or point above and buy the one below [35]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.17% at the settlement price [38]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options is 1,351,429 lots, the open interest is 655,953 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 20.42% [42][44]. - **Volatility Trading**: The same trading suggestions as above [48]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 41.2% at the settlement price and 8.83% 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 Science and Technology Innovation Board 50ETF options is 1,226,032 lots, the open interest is 932,708 lots, the trading volume ratio of call options to put options is 1.73, and the weighted average implied volatility is 35.69% [54][56]. - **Volatility Trading**: Follow the general volatility trading suggestions [58]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 20.9% at the settlement price and 5.46% at the counter - price [62][64]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main Science and Technology Innovation Board 50ETF options is 225,924 lots, the open interest is 247,620 lots, the trading volume ratio of call options to put options is 1.72, and the weighted average implied volatility is 35.78% [65][67]. - **Volatility Trading**: Adopt the same volatility trading strategies [69]. - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 21.5% at the settlement price and 5.52% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Shenzhen 300ETF options is 103,927 lots, the open interest is 115,747 lots, the trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 18.79% [76][78]. - **Volatility Trading**: Use the same volatility trading suggestions as other options [81]. - **No - Risk Arbitrage**: No relevant content provided.

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents the volatility rankings of various option underlying assets and provides T - type quotation tables, volatility trading suggestions, and risk - free arbitrage analysis for multiple ETF options on the Shanghai Stock Exchange. 3. Directory Summary 3.1 Option Underlying Assets Volatility Ranking - Ranking is based on three aspects: at - the - money option implied volatility, 30 - day historical volatility of the underlying asset, and the real - time volatility of the underlying asset on the day. For example, lc2512 ranks 1st in at - the - money option implied volatility with 2.6%, and the Science and Technology Innovation Board 50ETF November ranks 1st in real - time volatility on the day with 4.6% [3]. - At - the - money option implied volatility reflects market expectations of future fluctuations; 30 - day historical volatility reflects past actual market conditions; real - time volatility on the day reflects intraday market conditions [5]. 3.2 Shanghai Stock Exchange Options 3.2.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 676,066 lots, the open interest is 665,178 lots, the trading volume ratio of call options to put options is 1.55, and the weighted average implied volatility is 16.15% [21]. - **Volatility Trading**: Sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [24]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 5.15% at the settlement price and 0.62% at the counter - party price [28][30]. 3.2.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options is 591,434 lots, the open interest is 591,691 lots, the trading volume ratio of call options to put options is 1.33, and the weighted average implied volatility is 16.67% [33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [37]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.25% at the settlement price and 2.48% at the counter - party price [40][42]. 3.2.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,045,522 lots, the open interest is 588,097 lots, the trading volume ratio of call options to put options is 1.22, and the weighted average implied volatility is 20.32% [45]. - **Volatility Trading**: The same trading suggestions as above, sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [48]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 42.1% at the settlement price and 9.25% at the counter - party price [52][54]. 3.2.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options is 1,207,404 lots, the open interest is 825,033 lots, the trading volume ratio of call options to put options is 1.75, and the weighted average implied volatility is 34.02% [56]. - **Volatility Trading**: Sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [58]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.07% at the settlement price and 2.47% at the counter - party price [62][64]. 3.2.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options is 230,846 lots, the open interest is 237,063 lots, the trading volume ratio of call options to put options is 1.7, and the weighted average implied volatility is 34.27% [67]. - **Volatility Trading**: Similar trading suggestions, sell options in the month with the upper curve and buy those in the month with the lower curve; sell options above the curve and buy those below the curve within the same month [71]. - Risk - free Arbitrage information is not provided in the report.

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the volatility data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of the target on the day. It also offers information on the basic information, volatility trading, and risk - free arbitrage of different options on multiple exchanges [3][20][30]. 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 the day was 729,647 lots, the open interest was 638,707 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 16.24% [20][22]. - **Volatility Trading**: 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]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 3.30% at the settlement price and 0.78% at the counter - price [27][29]. 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 739,053 lots, the open interest was 563,448 lots, the trading volume ratio of call options to put options was 1.15, and the weighted average implied volatility was 17.76% [30][32]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell the month or option with the curve or point above and buy the one below [39]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 5.73% at the settlement price and 1.19% at the counter - price [40][42]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 996,190 lots, the open interest was 572,610 lots, the trading volume ratio of call options to put options was 0.85, and the weighted average implied volatility was 22.48% [43][45]. - **Volatility Trading**: Sell the month or option with the curve or point above and buy the one below [49]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 30.6% at the settlement price and 7.36% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50ETF on the day was 742,790 lots, the open interest was 788,400 lots, the trading volume ratio of call options to put options was 1.18, and the weighted average implied volatility was 35.41% [55][56]. - **Volatility Trading**: Sell the month or option with the curve or point above and buy the one below [61]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.09% at the settlement price and 4.10% at the counter - price [63][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 112,527 lots, the open interest was 222,189 lots, the trading volume ratio of call options to put options was 1.22, and the weighted average implied volatility was 36.14% [66][67]. - **Volatility Trading**: Sell the month or option with the curve or point above and buy the one below [70]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 9.54% at the settlement price and 3.97% 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 of Harvest CSI 300ETF on the day was 109,827 lots, the open interest was 96,212 lots, the trading volume ratio of call options to put options was 1.26, and the weighted average implied volatility was 18.61% [77][79]. - **Volatility Trading**: Sell the month or option with the curve or point above and buy the one below [87][88].

Group 1: Option Volatility Ranking - ag2511 has the highest implied volatility of 2.7% and ranks 1st, with a 30 - day historical volatility of 2.3% (ranked 4th) and a real - time volatility of 5.1% (ranked 2nd) [3] - jd2511 has an implied volatility of 2.7%, ranking 2nd, a 30 - day historical volatility of 1.7% (ranked 10th), and a real - time volatility of 1.2% (ranked 35th) [3] - au2512 has an implied volatility of 2.1%, ranking 9th, a 30 - day historical volatility of 2.2% (ranked 5th), and a real - time volatility of 6.4% (ranked 1st) [3] Group 2: Volatility Analysis and Trading Suggestions - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety. Higher values indicate a greater possibility of significant market movements. Trend traders can focus on varieties with higher rankings. The 30 - day historical volatility reflects the actual past market size. If the value is smaller than the implied volatility, the option price may be relatively expensive. Option sellers can focus on the difference in rankings. Intraday traders can focus on varieties with higher rankings in real - time volatility [6] - For volatility trading, different months: sell the month with the curve above and buy the month with the curve below; for the same month: sell the option with the point above the curve and buy the option with the point below the curve [23] Group 3: Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - The trading volume of the main options of Shanghai 50ETF on this day is 426,448 lots, the open interest is 555,499 lots, the trading volume ratio of call options to put options is 1.4, and the weighted average implied volatility is 16.02% [21] - For volatility trading, different months: sell the month with the curve above and buy the month with the curve below; for the same month: sell the option with the point above the curve and buy the option with the point below the curve [23] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 5.04% at the settlement price and 0.93% at the counter - price [27][29] 1.2 Huatai - Ber瑞 CSI 300ETF - The trading volume of the main options of Huatai - Ber瑞 CSI 300ETF on this day is 452,107 lots, the open interest is 498,017 lots, the trading volume ratio of call options to put options is 1.24, and the weighted average implied volatility is 17.52% [32] - Volatility trading suggestions are the same as above [37] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 4.12% at the settlement price and 0.67% at the counter - price [39][40] 1.3 Southern CSI 500ETF - The trading volume of the main options of Southern CSI 500ETF on this day is 573,640 lots, the open interest is 493,365 lots, the trading volume ratio of call options to put options is 1.06, and the weighted average implied volatility is 22.22% [43] - Volatility trading suggestions are the same as above [45] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 28.0% at the settlement price and 6.66% at the counter - price [49][51] 1.4 Huaxia SSE STAR Market 50ETF - The trading volume of the main options of Huaxia SSE STAR Market 50ETF on this day is 667,575 lots, the open interest is 686,318 lots, the trading volume ratio of call options to put options is 1.21, and the weighted average implied volatility is 34.66% [54] - Volatility trading suggestions are the same as above [56] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 17.1% at the settlement price and 5.97% at the counter - price [60][62] 1.5 E Fund SSE STAR Market 50ETF - The trading volume of the main options of E Fund SSE STAR Market 50ETF on this day is 127,612 lots, the open interest is 204,544 lots, the trading volume ratio of call options to put options is 0.58, and the weighted average implied volatility is 40.39% [65] - Volatility trading suggestions are the same as above [67] - For risk - free arbitrage, the lowest annualized yield of the optimal arbitrage portfolio held to maturity is 30.1% at the settlement price and 6.47% at the counter - price [71][72] Group 4: Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - The trading volume of the main options of Harvest CSI 300ETF on this day is 66,876 lots, the open interest is 84,465 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 18.15% [75] - Volatility trading suggestions are the same as above [78]

Group 1: Report Overview - Report Date: October 17, 2025 [1] - Report Title: Pioneer Futures Options Daily Report Group 2: Options Underlying Volatility Ranking Overall Ranking - The report provides a ranking of options underlying based on three volatility metrics: at-the-money implied volatility, 30-day historical volatility, and daily true range [3][4]. - The top 3 options in at-the-money implied volatility are ps2512 (3.3%), ag2511 (3.1%), and科创50etf12月 (2.8%) [3]. - The top 3 options in 30-day historical volatility are科创50etf12月 (2.5%), 科创板50etf12月 (2.4%), and 创业板etf10月 (2.1%) [3]. - The top 3 options in daily true range are ag2511 (5.0%), ps2512 (3.5%), and 创业板etf10月 (3.5%) [3]. Volatility Interpretation - At-the-money implied volatility reflects the market's expectation of future price fluctuations, with higher values indicating a greater likelihood of significant price movements [5]. - 30-day historical volatility reflects the actual price movements in the past, and a lower value compared to implied volatility may suggest that the option price is relatively expensive [5]. - Daily true range reflects the intraday price movements, and traders can focus on options with higher rankings [5]. Group 3: Exchange - Specific Options Analysis 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF Options - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 786,708 contracts, the open interest is 918,269 contracts, the trading volume ratio of call to put options is 1.36, and the weighted average implied volatility is 22.11% [18][20]. - **Volatility Trading**: Suggestions include selling options in months with higher volatility curves and buying those in months with lower curves, and selling options with higher points on the curve and buying those with lower points within the same month [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.8% at the settlement price and 2.48% at the counter - party price [27][29]. 1.2 Huatai - Berry SSE 300ETF Options - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options is 995,813 contracts, the open interest is 645,122 contracts, the trading volume ratio of call to put options is 1.15, and the weighted average implied volatility is 22.92% [30][32]. - **Volatility Trading**: Similar trading suggestions as for Shanghai 50ETF options [34]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 39.6% at the settlement price and 6.08% at the counter - party price [38][39]. 1.3 Southern CSI 500ETF Options - **Basic Information**: The trading volume of the main Southern CSI 500ETF options is 1,661,955 contracts, the open interest is 633,138 contracts, the trading volume ratio of call to put options is 1.13, and the weighted average implied volatility is 26.27% [40][42]. - **Volatility Trading**: Similar trading suggestions as above [46]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.4% at the settlement price and 6.59% at the counter - party price [49][51]. 1.4 Huaxia SSE STAR 50ETF Options - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options is 1,367,222 contracts, the open interest is 649,235 contracts, the trading volume ratio of call to put options is 0.26, and the weighted average implied volatility is 53.28% [52][54]. - **Volatility Trading**: Similar trading suggestions as above [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.4% at the settlement price and 5.98% at the counter - party price [62][64]. 1.5 E Fund SSE STAR 50ETF Options - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options is 332,605 contracts, the open interest is 187,132 contracts, the trading volume ratio of call to put options is 0.31, and the weighted average implied volatility is 48.62% [65][67]. - **Volatility Trading**: Similar trading suggestions as above [71]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.8% at the settlement price and 4.67% at the counter - party price [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest SZSE 300ETF Options - **Basic Information**: The trading volume of the main Harvest SZSE 300ETF options is 171,599 contracts, the open interest is 182,102 contracts, the trading volume ratio of call to put options is 1.1, and the weighted average implied volatility is 24% [77][79]. - **Volatility Trading**: Similar trading suggestions as above [81].

Report Summary 1. Report Industry Investment Rating No information provided in the report. 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 - time amplitude of the targets. It also provides T - type quotation tables, trading volume, open interest, and other data for different exchange - traded ETF options, along with volatility trading suggestions and no - risk arbitrage analysis [3][19][23]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The settlement prices of call and put options at different strike prices and expiration months are presented. The trading volume of the main options is 786,708 contracts, the open interest is 918,269 contracts, the trading volume ratio of call to put options is 1.36, and the weighted average implied volatility is 18.7% [19][21]. - **Volatility Trading**: Suggestions are to sell the options or months with higher curves and buy those with lower curves, both for different months and the same month [23]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 32.0% at the settlement price and 1.77% at the counter - party price [27][29]. - **1.2 Huatai - Berire CSI 300ETF** - **Basic Information**: The settlement prices of call and put options at different strike prices and expiration months are given. The trading volume of the main options is 995,813 contracts, the open interest is 645,122 contracts, the trading volume ratio of call to put options is 1.15, and the weighted average implied volatility is 19.37% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the options or months with higher curves and buy those with lower curves [34]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 28.3% at the settlement price and 4.34% at the counter - party price [38][40]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The settlement prices of call and put options at different strike prices and expiration months are shown. The trading volume of the main options is 1,661,955 contracts, the open interest is 633,138 contracts, the trading volume ratio of call to put options is 1.13, and the weighted average implied volatility is 22.23% [41][43]. - **Volatility Trading**: Sell the options or months with higher curves and buy those with lower curves [47]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.7% at the settlement price and 4.71% at the counter - party price [50][52]. - **1.4 Huaxia Shanghai STAR Market 50ETF** - **Basic Information**: The settlement prices of call and put options at different strike prices and expiration months are provided. The trading volume of the main options is 1,367,222 contracts, the open interest is 649,235 contracts, the trading volume ratio of call to put options is 0.26, and the weighted average implied volatility is 52.52% [53][55]. - **Volatility Trading**: Sell the options or months with higher curves and buy those with lower curves [58]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 22.7% at the settlement price and 5.81% at the counter - party price [61][63]. - **1.5 E Fund Shanghai STAR Market 50ETF** - **Basic Information**: The settlement prices of call and put options at different strike prices and expiration months are presented. The trading volume of the main options is 332,605 contracts, the open interest is 187,132 contracts, the trading volume ratio of call to put options is 0.31, and the weighted average implied volatility is 47.93% [64][66]. - **Volatility Trading**: Sell the options or months with higher curves and buy those with lower curves [70]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.1% at the settlement price and 4.54% at the counter - party price [73][75].

1. Report Industry Investment Rating - Not provided in the document 2. Core View of the Report - The report provides a daily update on futures and options, including volatility data of various options, T - type quotes, and suggestions for volatility trading and risk - free arbitrage for different exchange - listed options [3][19][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 of 50ETF on the day was 1,080,478 lots, the open interest was 955,458 lots, the trading volume ratio of call to put options was 1.25, and the weighted average implied volatility was 20.12% [21] - **Volatility Trading**: Suggestions include selling the month with the upper - lying curve and buying the lower - lying one for different months; selling the option with the upper - lying point and buying the lower - lying one for the same month [23] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 16.9% at the settlement price and 3.41% at the counter - price [27][29] 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of 300ETF on the day was 1,244,264 lots, the open interest was 697,801 lots, the trading volume ratio of call to put options was 0.98, and the weighted average implied volatility was 21.47% [32] - **Volatility Trading**: Similar to 50ETF, sell the upper - lying curve or point and buy the lower - lying one [34] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 13.1% at the settlement price and 2.18% at the counter - price [38][40] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of 500ETF on the day was 2,003,046 lots, the open interest was 662,219 lots, the trading volume ratio of call to put options was 0.88, and the weighted average implied volatility was 27.62% [43] - **Volatility Trading**: The same trading suggestions as above [46] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 98.5% at the settlement price and 21.9% at the counter - price [50][52] 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of STAR 50ETF on the day was 1,812,782 lots, the open interest was 1,181,164 lots, the trading volume ratio of call to put options was 1.07, and the weighted average implied volatility was 52.27% [55] - **Volatility Trading**: Follow the general volatility trading suggestions [57] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 67.6% at the settlement price and 11.9% at the counter - price [61][63] 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of STAR 50ETF on the day was 365,618 lots, the open interest was 314,195 lots, the trading volume ratio of call to put options was 1.15, and the weighted average implied volatility was 51.49% [66] - **Volatility Trading**: Adopt the common volatility trading strategies [68] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity was 84.8% at the settlement price and 7.83% at the counter - price [72][74] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of Shenzhen 300ETF on the day was 202,414 lots, the open interest was 196,796 lots, the trading volume ratio of call to put options was 0.85, and the weighted average implied volatility was 23.15% [77] - **Volatility Trading**: Use the same volatility trading suggestions as other options [81] - **Risk - free Arbitrage**: Not provided in the document

Report Title - Pioneer Futures Options Daily Report, dated October 13, 2025 [1] Key Information on Option Volatility Option Volatility Ranking - The report provides rankings of at-the-money option implied volatility, 30-day historical volatility, and the real daily range for various option targets. For example, ps2511 ranks 1st in at-the-money option implied volatility with a value of 4.3%, while cj601 ranks 10th with 2.0% [3]. Volatility Analysis - At-the-money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset. Higher values suggest a greater likelihood of significant price movements. Historical volatility shows past price fluctuations, and if it is lower than implied volatility, option prices may be relatively high. The real daily range indicates the intraday price movement [6]. Exchange - Specific Option Analysis Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on the day is 930,721 contracts, with an open interest of 976,248 contracts. The trading volume ratio of call to put options is 1.13, and the weighted - average implied volatility is 21.08% [21]. - **Volatility Trading**: Suggestions include selling options in months with higher implied volatility curves and buying those in months with lower curves. For options in the same month, sell options with points above the curve and buy those below [23]. - **Risk - Free Arbitrage**: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.8%; with counter - party price execution, it is 0.81% [27][29]. 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options on the day is 1,110,954 contracts, with an open interest of 715,169 contracts. The trading volume ratio of call to put options is 0.98, and the weighted - average implied volatility is 21.27% [32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in lower - curve months; for the same month, sell high - curve points and buy low - curve points [34]. - **Risk - Free Arbitrage**: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5%; with counter - party price execution, there is no minimum annualized return [38][40]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options on the day is 1,607,027 contracts, with an open interest of 718,773 contracts. The trading volume ratio of call to put options is 0.96, and the weighted - average implied volatility is 24.63% [43]. - **Volatility Trading**: Follow the same rules as above for volatility trading [45]. - **Risk - Free Arbitrage**: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 34.4%; with counter - party price execution, it is 7.58% [49][51]. 1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options on the day is 1,571,108 contracts, with an open interest of 1,188,741 contracts. The trading volume ratio of call to put options is 1.04, and the weighted - average implied volatility is 51.33% [54]. - **Volatility Trading**: Adopt the same volatility trading strategies [56]. - **Risk - Free Arbitrage**: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 35.2%; with counter - party price execution, it is 4.41% [60][62]. 1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options on the day is 314,143 contracts, with an open interest of 329,369 contracts. The trading volume ratio of call to put options is 1, and the weighted - average implied volatility is 51.4% [65]. - **Volatility Trading**: Use the same rules for volatility trading [67]. - **Risk - Free Arbitrage**: With settlement price execution, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 27.7%; with counter - party price execution, it is 1.89% [71][73].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the option market data of multiple underlying assets, including the ranking of option volatility, trading volume, and open interest of major options, as well as provides volatility trading suggestions and no - risk arbitrage analysis for various exchange - listed options [3][20][22]. 3. Summary by Directory 3.1 Option Volatility Ranking - The report lists the implied volatility, 30 - day historical volatility, and daily true range of multiple option underlying assets, along with their rankings [3]. - The zc511 has the highest implied volatility of 10.1%, ranking first; the 30 - day historical volatility of the科创50etf10月 is 2.4%, ranking first; and the daily true range of the科创50etf10月 is 6.7%, ranking first [3]. 3.2 Shanghai Stock Exchange Options 3.2.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 948,596 lots, the open interest is 996,227 lots, the trading volume ratio of call options to put options is 1.61, and the weighted average implied volatility is 17.82% [20]. - **Volatility Trading**: Suggestions are to sell options in months with higher curves and buy those in months with lower curves; for the same month, sell options with points above the curve and buy those below [22]. - **No - Risk Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 12.2% at the settlement price and 1.30% at the counter - price [26][28]. 3.2.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options is 1,091,824 lots, the open interest is 785,510 lots, the trading volume ratio of call options to put options is 1.13, and the weighted average implied volatility is 17.04% [31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in months with lower curves; for the same month, sell options with points above the curve and buy those below [33]. - **No - Risk Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 16.6% at the settlement price and 4.13% at the counter - price [37][39]. 3.2.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,404,681 lots, the open interest is 662,200 lots, the trading volume ratio of call options to put options is 1.11, and the weighted average implied volatility is 20.21% [42]. - **Volatility Trading**: The same trading suggestions as above, sell high - curve options and buy low - curve options [44]. - **No - Risk Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 26.0% at the settlement price and 5.55% at the counter - price [48][50]. 3.2.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 1,569,435 lots, the open interest is 1,118,938 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 44.48% [53]. - **Volatility Trading**: Sell options in months with higher curves and buy those in months with lower curves; for the same month, sell high - point options and buy low - point options [56]. - **No - Risk Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 31.7% at the settlement price and 3.44% at the counter - price [60][62]. 3.2.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 361,098 lots, the open interest is 320,378 lots, the trading volume ratio of call options to put options is 1.38, and the weighted average implied volatility is 45.36% [65]. - **Volatility Trading**: The same trading suggestions as other options, sell high - curve options and buy low - curve options [67]. - **No - Risk Arbitrage**: No relevant data provided.