1. Report Information - Report Name: Pioneer Futures Options Daily Report - Date: July 11, 2025 [1] 2. Industry Investment Rating - No industry investment rating information is provided in the report. 3. 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 calculates the minimum annualized returns for risk - free arbitrage in different options [6][23]. 4. Summary by Directory 4.1 Shanghai Stock Exchange Options 4.1.1 Shanghai 50ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are presented. The trading volume of the main - contract options is 2,024,025 lots, the open interest is 984,937 lots, the trading volume ratio of call to put options is 1.57, and the weighted - average implied volatility is 15.85% [19][21]. - **Volatility Trading**: Suggestions are to sell the options in the month with a higher curve and buy those in the month with a lower curve for different months; sell the options with points above the curve and buy those below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5% at the settlement price and 7.38% at the counter - price [27][29]. 4.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are given. The trading volume of the main - contract options is 1,399,434 lots, the open interest is 748,062 lots, the trading volume ratio of call to put options is 1.87, and the weighted - average implied volatility is 16.27% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the options in the month with a higher curve and buy those in the month with a 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 of the optimal arbitrage portfolio held to maturity is 10.4% at the settlement price and 0.80% at the counter - price [38][39]. 4.1.3 Southern CSI 500ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are shown. The trading volume of the main - contract options is 1,440,316 lots, the open interest is 775,588 lots, the trading volume ratio of call to put options is 1.55, and the weighted - average implied volatility is 16.92% [40][42]. - **Volatility Trading**: The same trading suggestions as above are provided [46]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.7% at the settlement price and 7.42% at the counter - price [49][51]. 4.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are presented. The trading volume of the main - contract options is 716,688 lots, the open interest is 906,895 lots, the trading volume ratio of call to put options is 2.6, and the weighted - average implied volatility is 27.48% [52][54]. - **Volatility Trading**: The trading suggestions are consistent with the previous ones [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.9% at the settlement price and 0.26% at the counter - price [61][63]. 4.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are given. The trading volume of the main - contract options is 180,975 lots, the open interest is 263,862 lots, the trading volume ratio of call to put options is 2, and the weighted - average implied volatility is 29.64% [64][66]. - **Volatility Trading**: The same trading suggestions are provided [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.4% at the settlement price and 4.23% at the counter - price [73][75]. 4.2 Shenzhen Stock Exchange Options 4.2.1 Harvest SSE 300ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are shown. The trading volume of the main - contract options is 197,888 lots, the open interest is 140,185 lots, the trading volume ratio of call to put options is 2.05, and the weighted - average implied volatility is 16.67% [76][79]. - **Volatility Trading**: Similar trading suggestions are given [81]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.6% at the settlement price and 1.22% at the counter - price [85][86]. 4.2.2 E Fund ChiNext ETF - **Basic Information**: The settlement prices of call and put options at different strike prices are presented. The trading volume of the main - contract options is 1,665,179 lots, the open interest is 1,005,995 lots, the trading volume ratio of call to put options is 1.55, and the weighted - average implied volatility is 23.58% [87][89]. - **Volatility Trading**: The same trading suggestions are provided [94]. - **Risk - Free Arbitrage**: No risk - free arbitrage information is provided in the report. 4.3 Other Exchanges - The report also lists the options of CFFEX, ZCE, DCE, SHFE, INE, and GEE, but no detailed data and analysis are provided in the given content.

Group 1: Report Overview - Report Name: Pioneer Futures Options Daily Report [1] - Date: July 7, 2025 [1] Group 2: Option Underlying Volatility Ranking - A table presents the implied volatility, historical volatility, and true range of various option underlying assets, along with their rankings [3][5] - The implied volatility reflects the market's expectation of future price fluctuations of the underlying asset; the historical volatility reflects the actual price fluctuations in the past; and the true range reflects the intraday price fluctuations [6] Group 3: Exchange Option Analysis - Shanghai Stock Exchange 1.1 Shanghai 50ETF - **Basic Information**: Provides the call and put option prices at different strike prices and expiration months, as well as the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [19][21] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones, both for different months and within the same month [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.74% at the settlement price and none at the counter - price [27][29] 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [30][32] - **Volatility Trading**: Similar to the Shanghai 50ETF, it suggests selling options with higher implied volatility curves and buying those with lower ones [36] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 5.86% at the settlement price and 0.35% at the counter - price [41][42] 1.3 Southern CSI 500ETF - **Basic Information**: Provides the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [43][45] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones [47] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 55.3% at the settlement price and 11.8% at the counter - price [51][53] 1.4 Huaxia SSE STAR 50ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [54][56] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones [58] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 7.59% at the settlement price and 1.36% at the counter - price [62][64] 1.5 E Fund SSE STAR 50ETF - **Basic Information**: Provides the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [65][67] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones [69] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 16.0% at the settlement price and 1.22% at the counter - price [73][75] Group 4: Exchange Option Analysis - Shenzhen Stock Exchange 2.1 Harvest SSE 300ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [76][79] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones [83] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 18.6% at the settlement price and 0.83% at the counter - price [87][89] 2.2 E Fund ChiNext ETF - **Basic Information**: Provides the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [90][92] - **Volatility Trading**: Implied volatility curves are presented, but specific trading suggestions are similar to other sections [94]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the volatility data of various futures and ETF options, including at - the - money option implied volatility, 30 - day historical volatility, and the real - time volatility of the day. It also provides T - type quotation tables, volatility trading suggestions, and risk - free arbitrage information for different 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 options on July 4, 2025, was 1,330,270 lots, the open interest was 851,905 lots, the trading volume ratio of call options to put options was 1.39, and the weighted average implied volatility was 13.07% [19][21]. - **Volatility Trading**: Suggestions are to sell the options of the month with the curve on top and buy those of the month with the curve below for different months; sell the options with points on the curve above and buy those with points below for the same month [24]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 6.83% at the settlement price and 0.29% at the counter - price [27][29]. 3.1.2 Huatai - Baoying CSI 300ETF - **Basic Information**: On July 4, 2025, the trading volume of the main options was 1,157,968 lots, the open interest was 780,224 lots, the trading volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 13.39% [30][32]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the options of the month with the curve on top and buy those of the month with the curve below for different months; sell the options with points on the curve above and buy those with points below for the same month [34][37]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 6.09% at the settlement price and none at the counter - price [39]. 3.1.3 Southern CSI 500ETF - **Basic Information**: On July 4, 2025, the trading volume of the main options was 1,286,809 lots, the open interest was 703,006 lots, the trading volume ratio of call options to put options was 1.22, and the weighted average implied volatility was 15.55% [42][44]. - **Volatility Trading**: The same trading suggestions as above, sell high - curve and buy low - curve options [46][49]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 45.6% at the settlement price and 9.60% at the counter - price [51][53]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: On July 4, 2025, the trading volume of the main options was 556,103 lots, the open interest was 765,477 lots, the trading volume ratio of call options to put options was 2.01, and the weighted average implied volatility was 23.13% [54][56]. - **Volatility Trading**: Follow the rule of selling high - curve and buying low - curve options [58]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.54% at the settlement price and 0.66% at the counter - price [62][63]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: On July 4, 2025, the trading volume of the main options was 148,636 lots, the open interest was 212,964 lots, the trading volume ratio of call options to put options was 1.95, and the weighted average implied volatility was 23.53% [64][66]. - **Volatility Trading**: Sell high - curve and buy low - curve options [70]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 10.5% at the settlement price and none at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: On July 4, 2025, the trading volume of the main options was 134,700 lots, the open interest was 120,646 lots, the trading volume ratio of call options to put options was 1.48, and the weighted average implied volatility was 14.06% [76][78]. - **Volatility Trading**: Adopt the strategy of selling high - curve and buying low - curve options [81][82]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.46% at the settlement price and 0.08% at the counter - price [86][89]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: On July 4, 2025, the trading volume of the main options was 1,376,882 lots, the open interest was 913,527 lots, the trading volume ratio of call options to put options was 1.55, and the weighted average implied volatility was 20.13% [90][92]. - **Volatility Trading**: Sell high - curve and buy low - curve options [94]. - **No relevant risk - free arbitrage content provided**.

Report Information - Report Name: Pioneer Futures Option Daily Report - Date: July 2, 2025 [1] Key Points 1. Option Volatility Ranking - A table shows the at - the - money option implied volatility, 30 - day historical volatility, and daily true range of various option targets, along with their rankings [3][5]. - 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 past actual market size; and the daily true range reflects the intraday market size [6]. 2. Exchange - Specific Option Analysis 2.1 Shanghai Stock Exchange Options - **1.1上证50ETF** - **Basic Information**: The trading volume of the main 50ETF options today is 538,148 lots, the open interest is 822,039 lots, the trading volume ratio of call options to put options is 1.2, and the weighted average implied volatility is 12.94% [19][21]. - **Volatility Trading**: Suggestions include selling the month with the curve on top 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 [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.01% at the settlement price and 0.27% at the counter - price [27][29]. - **1.2华泰柏瑞沪深300ETF** - **Basic Information**: The trading volume of the main 300ETF options today is 472,764 lots, the open interest is 746,004 lots, the trading volume ratio of call options to put options is 0.98, and the weighted average implied volatility is 12.79% [30][32]. - **Volatility Trading**: Similar trading suggestions as for 50ETF [34]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.68% at the settlement price and 1.28% at the counter - price [38][41]. - **1.3南方中证500ETF** - **Basic Information**: The trading volume of the main 500ETF options today is 682,332 lots, the open interest is 674,035 lots, the trading volume ratio of call options to put options is 1.21, and the weighted average implied volatility is 14.82% [42][44]. - **Volatility Trading**: Similar trading suggestions as above [46]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.2% at the settlement price and 8.87% at the counter - price [50][52]. - **1.4华夏上证科创板50ETF** - **Basic Information**: The trading volume of the main科创50ETF options today is 291,817 lots, the open interest is 747,753 lots, the trading volume ratio of call options to put options is 1.61, and the weighted average implied volatility is 22.64% [53][55]. - **Volatility Trading**: Similar trading suggestions as above [57]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.47% at the settlement price, and there is no minimum annualized return at the counter - price [61][63]. - **1.5易方达上证科创板50ETF** - **Basic Information**: The trading volume of the main科创板50ETF options today is 59,988 lots, the open interest is 194,155 lots, the trading volume ratio of call options to put options is 1.55, and the weighted average implied volatility is 24.4% [64][66]. - **Volatility Trading**: Similar trading suggestions as above [68]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.79% at the settlement price and 0.92% at the counter - price [72][74]. 2.2 Shenzhen Stock Exchange Options - **2.1嘉实沪深300ETF** - **Basic Information**: The trading volume of the main 300ETF options today is 54,104 lots, the open interest is 107,419 lots, the trading volume ratio of call options to put options is 0.91, and the weighted average implied volatility is 13.63% [75][78]. - **Volatility Trading**: Similar trading suggestions as above [80]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.0% at the settlement price and 0.30% at the counter - price [84][86].

Report Information - Report Name: Pioneer Futures Option Daily Report - Date: June 26, 2025 [1] Industry Investment Rating - Not provided in the report Core Viewpoints - The report presents the implied volatility, historical volatility, and real - time volatility of various option underlying assets, and provides volatility trading and risk - free arbitrage suggestions for different exchange - listed options [3][23][27] Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main - contract options is 732,726 lots, the open interest is 716,707 lots, the trading volume ratio of call to put options is 1.5, and the weighted - average implied volatility is 14.94% [21] - **Volatility Trading**: Sell the options or months with higher volatility curves and buy those with lower ones [23] - **Risk - free Arbitrage**: The minimum annualized return is 3.72% at the settlement price and 1.02% at the counter - price [27][29] 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main - contract options is 694,225 lots, the open interest is 607,670 lots, the trading volume ratio of call to put options is 1.55, and the weighted - average implied volatility is 15.47% [32] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options/months and buy low - curve ones [34] - **Risk - free Arbitrage**: The minimum annualized return is 4.12% at the settlement price and 0.81% at the counter - price [38][39] 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - contract options is 888,423 lots, the open interest is 595,962 lots, the trading volume ratio of call to put options is 1.54, and the weighted - average implied volatility is 18.37% [42] - **Volatility Trading**: Follow the rule of selling high - curve and buying low - curve [46] - **Risk - free Arbitrage**: The minimum annualized return is 21.3% at the settlement price and 5.06% at the counter - price [49][51] 1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main - contract options is 558,208 lots, the open interest is 607,564 lots, the trading volume ratio of call to put options is 2.21, and the weighted - average implied volatility is 25.54% [54] - **Volatility Trading**: Sell high - curve and buy low - curve [56] - **Risk - free Arbitrage**: The minimum annualized return is 10.5% at the settlement price and 2.96% at the counter - price [60][61] 1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main - contract options is 146,482 lots, the open interest is 161,938 lots, the trading volume ratio of call to put options is 2.14, and the weighted - average implied volatility is 27.1% [64] - **Volatility Trading**: Similar trading rules as above [68] - **Risk - free Arbitrage**: The minimum annualized return is 24.1% at the settlement price and 5.11% at the counter - price [71][73] 2. Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main - contract options is 65,288 lots, the open interest is 87,062 lots, the trading volume ratio of call to put options is 1.41, and the weighted - average implied volatility is 15.86% [77] - **Volatility Trading**: Sell high - curve and buy low - curve [79] - **Risk - free Arbitrage**: The minimum annualized return is 7.89% at the settlement price and 0.29% at the counter - price [83][85] 2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main - contract options is 1,240,288 lots, the open interest is 754,948 lots, the trading volume ratio of call to put options is 1.69, and the weighted - average implied volatility is 22.51% [88] - **Volatility Trading**: Follow the high - sell and low - buy rule [90] - **Risk - free Arbitrage**: Not provided in the report Option Underlying Asset Volatility Ranking - The report lists the implied volatility, 30 - day historical volatility, and real - time volatility rankings of various option underlying assets such as sc2508, ps2508, etc. The implied volatility reflects the market's expectation of future fluctuations, the historical volatility reflects past actual fluctuations, and the real - time volatility reflects intraday fluctuations [3][5]

Report Industry Investment Rating No relevant information provided. Core Viewpoints of the Report - China's commodity options market regained growth momentum in H1 2025, with cumulative trading volume reaching 595 million lots as of June 15, a significant year-on-year increase of 49% [1][14]. - Macroeconomic and market sentiment elevated the volatility of commodities, with historical and implied volatility showing distinct changes in different sectors [2][37]. - In H2 2025, uncertainties remain in tariff policies and the number and timing of Fed rate cuts. Different option strategies are recommended for various types of commodities [3]. Summary by Directory 1. 2025H1 Commodity Options Market Transaction Overview - The pace of new product launches in the commodity options market slowed down. Only one new product was launched in H1 2025, and several other products are expected to be launched this year [11]. - The market regained growth momentum, with daily average trading volume in each month of 2025 exceeding that of the same period in 2024. Most option varieties saw an increase in trading volume [14][18]. - The over - the - counter (OTC) commodity options market remained at the same level as last year, with a decline in trading volume and a "growth rate gap" compared to the on - exchange market [22]. 2. Volatility: Macroeconomic and Market Sentiment Elevate Commodity Volatility 2.1 Historical Volatility - Among 51 underlying futures, 18 varieties rose and 33 fell. Gold, tin, and manganese silicon had the largest increases, while alumina, industrial silicon, and glass had the largest decreases [29]. - The resonance in the commodity market was mainly due to changes in US tariff policies. The 20 - day historical volatility of the commodity index rose sharply in April and then declined [35]. 2.2 Implied Volatility - Overall, the implied volatility of crude oil, chemicals, and non - ferrous metals increased, while that of agricultural products decreased. Crude oil, styrene, and LPG had the largest increases, while iron ore, apples, and rapeseed oil had the largest decreases [37]. - Different sectors showed different implied volatility characteristics. For example, precious metals were affected by geopolitical and trade factors, and energy and chemical products were influenced by geopolitical and policy factors [43][45]. 3. PCR Sentiment Indicator - PCR is an important indicator reflecting market sentiment. Different types of PCR have different relationships with the price of the underlying asset [53]. - The PCR of China's commodity options has a certain indicative effect on the price trend of the underlying futures, but investors should consider multiple factors [63]. 4. H2 2025 Outlook and Option Strategy Recommendations 4.1 International Macroeconomic Environment Outlook - In H2 2025, the impact mechanism of tariffs on the commodity market will change. Key factors to watch include tariff negotiations, US fiscal and monetary policies, and geopolitical situations [66]. - Trump's tariff policy aims to reduce the trade deficit, relieve fiscal pressure, and restrict the development of trading partners. The "Big Beautiful Act" may increase the US fiscal deficit [67][71]. - The Fed maintained the federal funds rate unchanged, adjusted its economic forecast, and the future policy path depends on economic data [74]. 4.2 Domestic Macroeconomic Environment Outlook - China's economy showed strong growth resilience in H1 2025, but price drivers were weak. CPI was weak, while core CPI was more resilient, and PPI continued to decline [81]. - Consumption showed resilience but its sustainability is uncertain. The "trade - in" policy boosted consumption in the short term but may lead to demand overdraft [87][88]. - Exports were strong in H1 but may face headwinds in H2 due to uncertainties in international trade [92][94]. - Real estate investment continued to adjust at the bottom, while infrastructure investment remained strong. New policy - based financial tools are expected to support infrastructure investment [96][97]. 4.3 Option Strategy Recommendations for Some Varieties - For gold and crude oil, investors should focus on opportunities in rising and falling volatility, using strategies such as buying straddles or strangles during policy - driven events and selling options after extreme market conditions [99][101]. - For oversupplied varieties such as black building materials and new energy metals, bear spread and synthetic short futures strategies are recommended [103][104]. - For varieties with potential unilateral upward trends such as copper and oils, buying call options for left - hand side layout is recommended, and a combination of selling wide straddles can be used initially to reduce costs [107][109].

先锋期货期权日报 2025-6-19 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下,我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任,投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下,我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标的 | 平值期权隐 | 排名 | 标的30天历 | 排名 | 标的当 = | 排名 | | --- | --- | --- | --- | --- | --- | --- | | | 含液动率 | | 中波动区 | | 真实波幅 | | | sc2508 | 3.7% | 1 | 2.5% | 1 | 4.4% | 2 | | br2507 | 2.5% | 2 | 1.9% | 2 | 1.2% | 29 | | ma508 | 2.4% | 3 | 1.5% | 13 | 3.4% | 3 | | ao2507 | 2.3% | 4 | 1.6% | 5 | 1.6% | ...

先锋期货期权日报 2025-6-18 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下,我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任,投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下,我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标的 | 平值期权隐 | 排名 | 标的30天历 | 排名 | 标的当目 | 排名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | ad2511 | 32.0% | 1 | 0.0% | 64 | 0.0% | ર્ણ | | sc2508 | 3.3% | 2 | 2.4% | 1 | 5.7% | 1 | | br2507 | 2.4% | 3 | 1.9% | 3 | 2.3% | ા ર | | ao2507 | 2.2% | 4 | 2.3% | 2 | 4.0 ...

先锋期货期权日报 2025-6-16 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | ad2511 | 32.0% | 1 | 0.0% | 64 | 0.0% | 65 | | pg2507 | 3.3% | 2 | 1.6% | 10 | 2.9% | 8 | | sc2508 | 2.8% | 3 | 2.3% | 1 | 3.1% | 6 | | eb2507 | 2.6% | 4 | 1.6% | 9 | 2 ...

Group 1: Report Summary - The report is the Pioneer Futures Options Daily Report dated June 13, 2025, presenting data on option targets' volatility and detailed information on various options across multiple exchanges [1] Group 2: Option Target Volatility Ranking - A table ranks option targets based on at - the - money option implied volatility, 30 - day historical volatility, and daily true range. For example, ad2511 has an implied volatility of 32.0% ranking 1st, sc2508 has a 30 - day historical volatility of 2.4% ranking 2nd, and sc2508 has a daily true range of 8.5% ranking 1st [3] - The table provides guidance for different types of traders. Trend traders can focus on targets with high implied volatility rankings, option sellers can consider the difference between implied and historical volatility rankings, and intraday traders can pay attention to targets with high daily true range rankings [6] Group 3: Exchange - Specific Option Information 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - The T - type quotation table shows the prices of call and put options at different strike prices and expiration months. The trading volume of the main options is 712,685 lots, the open interest is 1,003,830 lots, the volume ratio of call to put options is 1.07, and the weighted average implied volatility is 13.15% [19][22] - For volatility trading, different implied volatility curves are presented, and the trading advice is to sell options with higher curves and buy those with lower curves, either across different months or within the same month [26] - In risk - free arbitrage, with settlement price transactions, the optimal arbitrage portfolio held to maturity has a minimum annualized return of 20.9%; with counter - price transactions, it is 4.11% [29][31] 3.1.2 Huatai - Berry SSE 300ETF - The T - type quotation table shows option prices. The trading volume of the main options is 627,180 lots, the open interest is 805,897 lots, the volume ratio of call to put options is 1.01, and the weighted average implied volatility is 14.06% [32][34] - Similar to the Shanghai 50ETF, volatility trading advice is based on implied volatility curves. For risk - free arbitrage, the minimum annualized return is 15.9% with settlement price transactions and 3.27% with counter - price transactions [38][41][43] 3.1.3 Southern CSI 500ETF - The T - type quotation table shows option prices. The trading volume of the main options is 1,219,237 lots, the open interest is 891,907 lots, the volume ratio of call to put options is 0.76, and the weighted average implied volatility is 17.14% [44][46] - Volatility trading follows the same curve - based advice. In risk - free arbitrage, the minimum annualized return is 33.7% with settlement price transactions and 6.31% with counter - price transactions [47][51][53] 3.1.4 Huaxia SSE STAR 50ETF - The T - type quotation table shows option prices. The trading volume of the main options is 346,522 lots, the open interest is 1,043,619 lots, the volume ratio of call to put options is 1.1, and the weighted average implied volatility is 24.44% [54][56] - Volatility trading advice is based on implied volatility curves. For risk - free arbitrage, the minimum annualized return is 40.3% with settlement price transactions and 5.83% with counter - price transactions [60][63][65] 3.1.5 E Fund SSE STAR 50ETF - The T - type quotation table shows option prices. The trading volume of the main options is 103,497 lots, the open interest is 305,485 lots, the volume ratio of call to put options is 1.16, and the weighted average implied volatility is 26.07% [66][68] - Volatility trading advice is consistent with other options, and specific risk - free arbitrage data is not provided in the given text [72] 3.2 Shenzhen Stock Exchange Options - The report's table of contents lists options such as嘉实沪深 300ETF, E Fund ChiNext ETF,嘉实中证 500ETF, and E Fund Shenzhen 100ETF, including basic information, volatility trading, and risk - free arbitrage, but detailed data is not fully presented in the provided text [9] 3.3 China Financial Futures Exchange Options - Options like SSE 300, CSI 1000, and SSE 50 are listed in the table of contents, covering basic information, volatility trading, and risk - free arbitrage, with incomplete detailed data in the provided text [9] 3.4 Zhengzhou Commodity Exchange Options - Options such as sugar, cotton, PTA, methanol, etc. are included in the table of contents, with details on basic information, volatility trading, and risk - free arbitrage, but specific data is not fully shown [10] 3.5 Dalian Commodity Exchange Options - Options like soybean meal, corn, iron ore, etc. are listed in the table of contents, with information on basic information, volatility trading, and risk - free arbitrage, and detailed data is not fully presented [13] 3.6 Shanghai Futures Exchange Options - Options such as copper, rubber, gold, etc. are included in the table of contents, with details on basic information, volatility trading, and risk - free arbitrage, but specific data is not fully provided [15] 3.7 Shanghai International Energy Exchange Options - Crude oil options are listed in the table of contents, including basic information, volatility trading, and risk - free arbitrage, with incomplete detailed data [17] 3.8 Guangzhou Futures Exchange Options - Options such as industrial silicon, lithium carbonate, and polysilicon are included in the table of contents, with details on basic information, volatility trading, and risk - free arbitrage, but specific data is not fully shown [18]