Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report presents a comprehensive analysis of various option products, including their basic information, volatility trading, and risk - free arbitrage opportunities. It also provides data on option trading volume, open interest, and implied volatility for different underlying assets, along with volatility trading suggestions based on implied volatility curves. 3. Summary by Directory 3.1 Upper - Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main options of Shanghai 50ETF is 371,702 lots, the open interest is 530,323 lots, the trading volume ratio of call options to put options is 1.2, and the weighted - average implied volatility is 14.54% [19][22]. - **Volatility Trading**: Suggestions are to sell the options in the month with the upper curve and buy those in 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 [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.59% at the settlement price and 1.35% at the counter - price [28][30]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: The trading volume of the main options is 416,085 lots, the open interest is 466,123 lots, the trading volume ratio of call options to put options is 1.18, and the weighted - average implied volatility is 15.37% [31][33]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell the upper - curve options and buy the lower - curve ones [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.95% at the settlement price and 2.88% at the counter - price [39][41]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 549,037 lots, the open interest is 427,610 lots, the trading volume ratio of call options to put options is 1.15, and the weighted - average implied volatility is 20.7% [42][45]. - **Volatility Trading**: Follow the same volatility trading suggestions as above [49]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 35.2% at the settlement price and 9.12% at the counter - price [52][54]. - **1.4 Huaxia Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 277,714 lots, the open interest is 508,135 lots, the trading volume ratio of call options to put options is 1.16, and the weighted - average implied volatility is 26.67% [55][57]. - **Volatility Trading**: Adopt the same volatility trading rules [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.2% at the settlement price and 10.1% at the counter - price [63][65]. - **1.5 E Fund Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 63,563 lots, the open interest is 164,169 lots, the trading volume ratio of call options to put options is 1.68, and the weighted - average implied volatility is 32.5% [66][68]. - **Volatility Trading**: Apply the same volatility trading suggestions [70]. - **Risk - Free Arbitrage**: No specific risk - free arbitrage data is provided in the given content. 3.2 Option Volatility and Ranking - The report provides a list of option underlying assets' at - the - money implied volatility, 30 - day historical volatility, and daily true range, along with their rankings. At - the - money implied volatility reflects market expectations of future fluctuations, 30 - day historical volatility reflects past actual market movements, and daily true range reflects intraday market movements [3][6].

1. Report Overview - Report Title: Pioneer Futures Option Daily Report - Report Date: April 3, 2025 [1] 2. Option Volatility Ranking 2.1 Volatility Data Table - The report provides the implied volatility, historical volatility, and true range of various option targets, along with their rankings [3][5]. - For example, sn2505 has an implied volatility of 2.3% (ranked 1st), a 30 - day historical volatility of 2.2% (ranked 1st), and a true range of 4.0% (ranked 3rd) [3]. 2.2 Volatility Interpretation - The implied volatility reflects the market's expectation of future fluctuations, and higher values indicate a greater possibility of significant market movements. - The 30 - day historical volatility shows the actual past market size. A smaller value than the implied volatility may suggest that the option price is relatively high. - The true range reflects the intraday market size of the target [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 Shanghai 50ETF options is 805,815 contracts, the open interest is 907,998 contracts, the volume ratio of call to put options is 1.07, and the weighted average implied volatility is 14.49% [19][22]. - **Volatility Trading**: Different months: sell options in months with higher volatility curves and buy in months with lower curves; for the same month, sell options with points above the curve and buy those below [25]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.5% at the settlement price and 3.21% at the counter - price [28][30]. 3.1.2 Huatai - Baoying CSI 300ETF - **Basic Information**: The trading volume of the main Huatai - Baoying CSI 300ETF options is 769,534 contracts, the open interest is 806,155 contracts, the volume ratio of call to put options is 1.02, and the weighted average implied volatility is 14.79% [30][33]. - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF [37]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 1.70% at the settlement price and 0.53% at the counter - price [40][41]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options is 1,141,238 contracts, the open interest is 621,033 contracts, the volume ratio of call to put options is 0.93, and the weighted average implied volatility is 19.44% [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 34.7% at the settlement price and 8.07% 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 Huaxia Shanghai Science and Technology Innovation Board 50ETF options is 521,429 contracts, the open interest is 1,050,117 contracts, the volume ratio of call to put options is 1.2, and the weighted average implied volatility is 26.8% [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 18.8% at the settlement price and 1.36% at the counter - price [61][63]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main E Fund Shanghai Science and Technology Innovation Board 50ETF options is 102,909 contracts, the open interest is 238,951 contracts, the volume ratio of call to put options is 1.44, and the weighted average implied volatility is 27.77% [64][65]. - **Volatility Trading**: Similar trading suggestions as above [68]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.1% at the settlement price and 1.70% at the counter - price [72][74]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Harvest CSI 300ETF options is 114,179 contracts, the open interest is 158,152 contracts, the volume ratio of call to put options is 0.92, and the weighted average implied volatility is 15.31% [75][77]. - **Volatility Trading**: Similar trading suggestions as above [79]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.9% at the settlement price and 0.98% at the counter - price [83][84]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options is 1,112,769 contracts, the open interest is 958,928 contracts, the volume ratio of call to put options is 0.96, and the weighted average implied volatility is 22.64% [85][87]. - **Volatility Trading**: Similar trading suggestions as above [89]. - **Risk - Free Arbitrage**: No specific data provided in the given text.

1. Report Information - Report Name: Pioneer Futures Options Daily Report - Report Date: April 2, 2025 [1] 2. Options Volatility Ranking - The report provides a ranking of options based on at-the-money implied volatility, 30-day historical volatility, and daily real volatility for various underlying assets, including sn2505, fg505, sc2505, etc. [3][5] - At-the-money implied volatility reflects the market's expectation of future price fluctuations, historical volatility shows past price movements, and daily real volatility indicates intraday price changes. [6] 3. Exchange Options Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF Options - Basic Information: The trading volume of the main SSE 50 ETF options was 421,338 contracts, with an open interest of 876,755 contracts. The trading volume ratio of call to put options was 1.19, and the weighted average implied volatility was 14.76%. [19][22] - Volatility Trading: Suggestions include selling options in months with higher implied 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 was 9.25% at the settlement price and 2.27% at the counterparty price. [28][30] 3.1.2 Huatai-PineBridge CSI 300 ETF Options - Basic Information: The trading volume of the main Huatai-PineBridge CSI 300 ETF options was 391,108 contracts, with an open interest of 763,503 contracts. The trading volume ratio of call to put options was 1.18, and the weighted average implied volatility was 14.66%. [31][33] - Volatility Trading: Similar trading suggestions as for SSE 50 ETF options. [35] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 4.38% at the settlement price and 1.28% at the counterparty price. [41][42] 3.1.3 Southern CSI 500 ETF Options - Basic Information: The trading volume of the main Southern CSI 500 ETF options was 685,199 contracts, with an open interest of 558,955 contracts. The trading volume ratio of call to put options was 1.07, and the weighted average implied volatility was 18.47%. [43][46] - Volatility Trading: Similar trading suggestions as above. [50] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 40.8% at the settlement price and 9.41% at the counterparty price. [53][55] 3.1.4 Huaxia SSE STAR 50 ETF Options - Basic Information: The trading volume of the main Huaxia SSE STAR 50 ETF options was 347,121 contracts, with an open interest of 1,022,065 contracts. The trading volume ratio of call to put options was 1.16, and the weighted average implied volatility was 27.48%. [56][58] - Volatility Trading: Similar trading suggestions as above. [62] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 19.0% at the settlement price and 0.43% at the counterparty price. [65][67] 3.1.5 E Fund SSE STAR 50 ETF Options - Basic Information: The trading volume of the main E Fund SSE STAR 50 ETF options was 53,245 contracts, with an open interest of 225,816 contracts. The trading volume ratio of call to put options was 1.55, and the weighted average implied volatility was 28.05%. [68][69] - Volatility Trading: Similar trading suggestions as above. [76] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 13.4% at the settlement price and 0.15% at the counterparty price. [78][80] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF Options - Basic Information: The trading volume of the main Harvest CSI 300 ETF options was 63,905 contracts, with an open interest of 154,109 contracts. The trading volume ratio of call to put options was 1.1, and the weighted average implied volatility was 15.27%. [81][84] - Volatility Trading: Similar trading suggestions as above. [86]

先锋期货期权日报 2025-3-13 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 | | | fg505 | 2.0% | 1 | 1.5% | 8 | 2.8% | 5 | | 科创板50etf6月 | 1.9% | 2 | 2.2% | 1 | 2.9% | 3 | | 科创50etf3月 | 1.9% | 3 | 2.2% | 2 | 2.9% | 2 | | sc2505 | 1.8% | 4 | 1.5% | 7 | ...