1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report The report presents a comprehensive analysis of various futures and ETF options, including their volatility and potential arbitrage opportunities. It offers data on option prices, trading volumes, open interest, and implied volatility for different products on multiple exchanges. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main - month options was 726,523 lots, with an open interest of 668,187 lots. The volume ratio of call to put options was 1.74, and the weighted - average implied volatility was 29.95% [19][21]. - **Volatility Trading**: Suggestions include selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling options above the curve and buying those below for the same month [25]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 72.2% at the settlement price and 8.23% at the counter - price [29][31]. 3.1.2 Huatai - Berry CSI 300 ETF - **Basic Information**: The trading volume of the main - month options was 653,651 lots, with an open interest of 410,000 lots. The volume ratio of call to put options was 1.97, and the weighted - average implied volatility was 33.46% [32][34]. - **Volatility Trading**: Similar to SSE 50 ETF, sell the upper - curve options and buy the lower - curve ones [38]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 143% at the settlement price and 7.88% at the counter - price [44][45]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main - month options was 1,163,681 lots, with an open interest of 501,305 lots. The volume ratio of call to put options was 1.47, and the weighted - average implied volatility was 34.16% [46][48]. - **Volatility Trading**: Follow the rule of selling upper - curve and buying lower - curve options [50]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 263% at the settlement price and 32.9% at the counter - price [54][56]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main - month options was 844,588 lots, with an open interest of 737,624 lots. The volume ratio of call to put options was 1.72, and the weighted - average implied volatility was 66.83% [57][59]. - **Volatility Trading**: Adopt the strategy of selling upper - curve and buying lower - curve options [64]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 328% at the settlement price and 110% at the counter - price [66][68]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main - month options was 218,684 lots, with an open interest of 259,621 lots. The volume ratio of call to put options was 1.8, and the weighted - average implied volatility was 70.49% [69][71]. - **Volatility Trading**: Use the method of selling upper - curve and buying lower - curve options [75]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 291% at the settlement price and 131% at the counter - price [78][80]. 3.2 Shenzhen Stock Exchange Options No detailed data analysis provided in the given text. 3.3 China Financial Futures Exchange Options No detailed data analysis provided in the given text. 3.4 Zhengzhou Commodity Exchange Options No detailed data analysis provided in the given text. 3.5 Dalian Commodity Exchange Options No detailed data analysis provided in the given text. 3.6 Shanghai Futures Exchange Options No detailed data analysis provided in the given text. 3.7 Shanghai International Energy Exchange Options No detailed data analysis provided in the given text. 3.8 Guangzhou Futures Exchange Options No detailed data analysis provided in the given text.

Report Summary 1. Report Industry Investment Rating No information provided in the document. 2. Core View of the Report The report presents the daily data of futures and options, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of various underlying assets. It also provides detailed information on options of different ETFs and futures contracts on multiple exchanges, including basic information, volatility trading suggestions, and risk - free arbitrage analysis. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 1,012,222 lots, the open interest was 991,286 lots, the trading volume ratio of call options to put options was 1.46, and the weighted average implied volatility was 18.54% [21]. - **Volatility Trading**: Suggestions are to sell options in months with higher implied volatility curves and buy those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.9% at the settlement price and 2.97% at the counter - price [27][29]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: The trading volume of the main options of Huatai - Berry CSI 300ETF on the day was 872,051 lots, the open interest was 669,322 lots, the trading volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 19.02% [33]. - **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, follow the rule of high - point selling and low - point buying [36]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.9% at the settlement price and 4.14% at the counter - price [40][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,459,211 lots, the open interest was 750,941 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 23.16% [45]. - **Volatility Trading**: Volatility trading suggestions are the same as above [51][52]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.6% at the settlement price and 2.72% at the counter - price [54][56]. - **1.4 Huaxia SSE STAR 50 ETF** - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50 ETF on the day was 1,053,911 lots, the open interest was 818,616 lots, the trading volume ratio of call options to put options was 1.99, and the weighted average implied volatility was 35.53% [59]. - **Volatility Trading**: Follow the same volatility trading rules [65]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.3% at the settlement price and 5.97% at the counter - price [67][69]. - **1.5 E Fund SSE STAR 50 ETF** - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50 ETF on the day was 240,600 lots, the open interest was 269,707 lots, the trading volume ratio of call options to put options was 2.07, and the weighted average implied volatility was 38.61% [72]. - **Volatility Trading**: Adopt the same volatility trading suggestions [76]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 24.0% at the settlement price and 1.58% at the counter - price [79][81]. 3.2 Shenzhen Stock Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 217,214 lots, the open interest was 179,258 lots, the trading volume ratio of call options to put options was 1.12, and the weighted average implied volatility was 22.01% [85]. - **Volatility Trading**: No detailed information on volatility trading results was given, but the document mentions volatility trading in general terms for other similar options [86]. - **Risk - free Arbitrage**: No information provided in the document.

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 real - time volatility of the day. It also provides basic information, volatility trading suggestions, and risk - free arbitrage analysis for options on different ETFs in multiple exchanges [3][6]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of the Shanghai 50ETF on the day was 1,209,336 lots, the open interest was 979,212 lots, the volume ratio of call options to put options was 2.18, and the weighted average implied volatility was 21.91% [19][21]. - **Volatility Trading**: Suggestions are to sell the month with the curve above and buy the month with the curve below for different months; sell the option with the point above the curve and buy the option with the point below the curve for the same month [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.8% at the settlement price and 5.84% at the counter - price [27][29]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of the Huatai - Berry SSE 300ETF on the day was 1,136,160 lots, the open interest was 727,636 lots, the volume ratio of call options to put options was 1.81, and the weighted average implied volatility was 22.03% [30][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, 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 [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.60% at the settlement price and 2.76% at the counter - price [40][42]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of the Southern CSI 500ETF on the day was 1,672,302 lots, the open interest was 803,626 lots, the volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 25.92% [43][45]. - **Volatility Trading**: The same volatility trading suggestions as above [48]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 45.4% at the settlement price and 10.5% at the counter - price [51][53]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of the Huaxia SSE STAR 50ETF on the day was 1,176,662 lots, the open interest was 869,482 lots, the volume ratio of call options to put options was 2.44, and the weighted average implied volatility was 36.6% [54][55]. - **Volatility Trading**: Similar trading suggestions [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.9% at the settlement price and 3.32% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of the E Fund SSE STAR 50ETF on the day was 323,811 lots, the open interest was 284,791 lots, the volume ratio of call options to put options was 2.37, and the weighted average implied volatility was 38.96% [65][67]. - **Volatility Trading**: The same trading suggestions [69]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.9% at the settlement price and 6.56% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of the Harvest SSE 300ETF on the day was 248,529 lots, the open interest was 172,423 lots, the volume ratio of call options to put options was 1.47, and the weighted average implied volatility was 24.27% [76][79]. - **Volatility Trading**: Similar trading suggestions [82][83]. - **Risk - Free Arbitrage**: No detailed risk - free arbitrage data provided.

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: August 13, 2025 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report presents data on various option targets, including their at - the - money implied volatility, 30 - day historical volatility, and daily true range. It offers trading suggestions for different types of traders based on these volatility indicators. Additionally, it provides detailed information on options from multiple exchanges, including basic information, volatility trading analysis, and risk - free arbitrage opportunities for each option [3][6]. 3. Summary by Directory 3.1 Options on the Shanghai Stock Exchange 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options is 1,148,616 lots, the open interest is 965,882 lots, the trading volume ratio of call options to put options is 1.68, and the weighted average implied volatility is 15.49% [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 [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.41% at the settlement price and 1.42% at the counter - price [29][30]. 3.1.2 Huatai - PineBridge CSI 300 ETF - **Basic Information**: The trading volume of the main options is 987,627 lots, the open interest is 728,479 lots, the trading volume ratio of call options to put options is 1.74, and the weighted average implied volatility is 16.44% [34]. - **Volatility Trading**: Similar to the SSE 50 ETF, sell options in months with higher curves and buy those in lower - curve months. For the same month, sell options above the curve and buy those below [38]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.8% at the settlement price and 0.71% at the counter - price [41][42]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main options is 1,485,224 lots, the open interest is 793,927 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 18.03% [45]. - **Volatility Trading**: Follow the same trading suggestions as above for different and same - month options [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 17.6% at the settlement price and 3.23% at the counter - price [51][53]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main options is 722,346 lots, the open interest is 936,244 lots, the trading volume ratio of call options to put options is 2.69, and the weighted average implied volatility is 28.93% [56]. - **Volatility Trading**: Adopt the same volatility trading strategies [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 25.2% at the settlement price and 4.06% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main options is 147,800 lots, the open interest is 259,850 lots, the trading volume ratio of call options to put options is 3.31, and the weighted average implied volatility is 29.91% [66]. - **Volatility Trading**: Use the recommended volatility trading methods [68]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.2% at the settlement price and 1.04% at the counter - price [72][74]. 3.2 Options on the Shenzhen Stock Exchange 3.2.1 Harvest CSI 300 ETF - **Basic Information**: The trading volume of the main options is 190,634 lots, the open interest is 157,090 lots, the trading volume ratio of call options to put options is 1.83, and the weighted average implied volatility is 18.15% [78]. - **Volatility Trading**: Follow the general volatility trading suggestions [83]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.8% at the settlement price and 0.11% at the counter - price [87][88]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options is 2,545,537 lots, the open interest is 1,164,611 lots, the trading volume ratio of call options to put options is 1.55, and the weighted average implied volatility is 28.23% [91]. - **Volatility Trading**: Implement the provided volatility trading strategies [94]. - **No risk - free arbitrage information is provided in the given report for this option**.

Report Date - The report is dated August 11, 2025 [1] Option Volatility Ranking Implied Volatility Ranking - lc2510 ranks 1st with an implied volatility of 6.0% [3] - ps2510 ranks 2nd with an implied volatility of 4.0% [3] - si2510 ranks 3rd with an implied volatility of 3.9% [3] 30 - day Historical Volatility Ranking - ps2510 ranks 1st with a 30 - day historical volatility of 4.5% [3] - fg509 ranks 2nd with a 30 - day historical volatility of 4.3% [3] - lc2510 ranks 3rd with a 30 - day historical volatility of 4.2% [3] Realized Volatility Ranking - si2510 ranks 1st with a realized volatility of 6.6% [3] - ps2510 ranks 2nd with a realized volatility of 6.4% [3] - lc2510 ranks 3rd with a realized volatility of 5.0% [3] Exchange - specific Option Analysis Shanghai Stock Exchange Options Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 650,390 lots, the open interest is 966,547 lots, the trading volume ratio of call to put options is 1.4, and the weighted average implied volatility is 13.31% [21] - **Volatility Trading**: Sell options from months with higher implied volatility curves and buy those from months with lower curves; sell options above the curve and buy those below the curve within the same month [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.49% at the settlement price and 1.73% at the counter - price [27][29] Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options is 658,750 lots, the open interest is 744,639 lots, the trading volume ratio of call to put options is 1.25, and the weighted average implied volatility is 13.97% [33] - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF [35] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.35% at the settlement price and 0.48% at the counter - price [39][40] Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,100,668 lots, the open interest is 792,098 lots, the trading volume ratio of call to put options is 1.27, and the weighted average implied volatility is 15.48% [43] - **Volatility Trading**: Similar trading suggestions as above [47] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 48.1% at the settlement price and 10.5% at the counter - price [50][52] Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 312,393 lots, the open interest is 912,757 lots, the trading volume ratio of call to put options is 1.67, and the weighted average implied volatility is 24.48% [55] - **Volatility Trading**: Similar trading suggestions as above [58] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.1% at the settlement price and 0.36% at the counter - price [62][64] E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 69,812 lots, the open interest is 242,298 lots, the trading volume ratio of call to put options is 2.35, and the weighted average implied volatility is 25.7% [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 14.9% at the settlement price, and there is no return at the counter - price [74][76] Shenzhen Stock Exchange Options Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options is 119,568 lots, the open interest is 152,124 lots, the trading volume ratio of call to put options is 1.51, and the weighted average implied volatility is 15.07% [80] - **Volatility Trading**: Similar trading suggestions as above [84] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.6% at the settlement price and 1.29% at the counter - price [88][90] E Fund ChiNext ETF - **Basic Information**: The report provides the T - type quotation table of call and put option prices at different strike prices [91] - **Volatility Trading**: Not provided in the current content - **Risk - free Arbitrage**: Not provided in the current content

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents data on the volatility of various futures and ETF options, including implied volatility, historical volatility, and real - time volatility. It also provides T - type quotation tables for different ETF options, along with trading suggestions for volatility and potential returns from risk - free arbitrage [3][19][23]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50ETF - **Basic Information**: The trading volume of the main SSE 50ETF options on this day was 478,863 lots, the open interest was 929,034 lots, the volume ratio of call options to put options was 1.35, and the weighted average implied volatility was 13.56% [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 below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.45% at the settlement price and 1.00% at the counter - price [27][29]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options on this day was 420,997 lots, the open interest was 746,251 lots, the volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 14.13% [33]. - **Volatility Trading**: Similar to SSE 50ETF, 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 below for the same month [35]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.20% at the settlement price and 0.18% at the counter - price [39][40]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options on this day was 898,356 lots, the open interest was 745,967 lots, the volume ratio of call options to put options was 1.33, and the weighted average implied volatility was 14.79% [43]. - **Volatility Trading**: The same trading suggestions as above, 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 below for the same month [45]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.7% at the settlement price and 8.96% at the counter - price [49][51]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options on this day was 265,461 lots, the open interest was 931,593 lots, the volume ratio of call options to put options was 1.68, and the weighted average implied volatility was 24.28% [54]. - **Volatility Trading**: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.4% at the settlement price and 3.20% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options on this day was 50,678 lots, the open interest was 253,221 lots, the volume ratio of call options to put options was 1.6, and the weighted average implied volatility was 24.71% [67]. - **Volatility Trading**: Similar trading suggestions, 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 below for the same month [69]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.59% at the settlement price and 0.43% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main Harvest SSE 300ETF options on this day was 87,577 lots, the open interest was 149,030 lots, the volume ratio of call options to put options was 1.28, and the weighted average implied volatility was 15.24% [79]. - **Volatility Trading**: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [81]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5% at the settlement price and 0.82% at the counter - price [85][87].

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

1. Report Industry Investment Rating - Not provided in the content 2. Report's Core View - The report presents the daily data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real daily amplitude. It also provides T - type quotes, trading volume, open interest, and implied volatility data of options on different ETFs and futures. Additionally, it offers volatility trading suggestions and calculates the minimum annualized return of the optimal arbitrage portfolio for different options [3][19][25] 3. Summary According to the Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options is 525,793 lots, the open interest is 951,075 lots, the trading volume ratio of call options to put options is 1.23, and the weighted average implied volatility is 14.27%. The T - type quotes of call and put options at different strike prices are provided [19][21] - **Volatility Trading**: Different months: sell the months with the curve on top and buy the months with the curve below; same month: sell the options with points on the curve above and buy the options with points on the curve below [25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.77% at the settlement price and 1.26% at the counter - party price [28][30] 3.1.2 Huatai - Berry SSE 300 ETF - **Basic Information**: The trading volume of the main options is 507,718 lots, the open interest is 739,326 lots, the trading volume ratio of call options to put options is 1.22, and the weighted average implied volatility is 14.55%. The T - type quotes of call and put options at different strike prices are provided [31][34] - **Volatility Trading**: Similar trading suggestions as SSE 50 ETF [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.98% at the settlement price and 2.27% at the counter - party price [41][43] 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main options is 974,072 lots, the open interest is 754,518 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 16.28%. The T - type quotes of call and put options at different strike prices are provided [44][46] - **Volatility Trading**: Similar trading suggestions as above [50] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.4% at the settlement price and 9.35% at the counter - party price [53][55] 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options is 375,872 lots, the open interest is 900,656 lots, the trading volume ratio of call options to put options is 1.52, and the weighted average implied volatility is 24.95%. The T - type quotes of call and put options at different strike prices are provided [56][58] - **Volatility Trading**: Similar trading suggestions as above [60] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.3% at the settlement price and 0.60% at the counter - party price [65][67] 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options is 80,703 lots, the open interest is 252,728 lots, the trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 25.38%. The T - type quotes of call and put options at different strike prices are provided [68][70] - **Volatility Trading**: Similar trading suggestions as above [72] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.10% at the settlement price, and there is no return at the counter - party price [76][78] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300 ETF - **Basic Information**: The trading volume of the main options is 96,931 lots, the open interest is 144,746 lots, the trading volume ratio of call options to put options is 1.3, and the weighted average implied volatility is 15.44%. The T - type quotes of call and put options at different strike prices are provided [79][82] - **Volatility Trading**: Similar trading suggestions as above [86] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.6% at the settlement price and 0.43% at the counter - party price [89][91]

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

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