先锋期货期权日报 2025-6-12 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天厅 | 排名 | 标的当 = | 排名 | | --- | --- | --- | --- | --- | --- | --- | | | 含液动率 | | F YF ZT Z | | 真实液幅 | | | ad2511 | 32.0% | 1 | 0.0% | ર્ણ | 0.0% | ર્ણ | | sc2508 | 2.0% | 2 | 2.0% | 3 | 4.2% | 1 | | br2507 | 1.9% | 3 | 1.9% | 5 | 2.9% | 2 | | ao2507 | 1.9% | 4 | 2.4% | l ...

先锋期货期权日报 2025-6-9 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 | | 中波动画 | | 真实波幅 | | | sc2507 | 2.5% | 1 | 2.1% | 3 | 2.3% | 10 | | fg507 | 2.1% | 2 | 1.6% | 12 | 2.1% | 14 | | ag2507 | 2.1% | 3 | 1.4% | 14 | 1.4% | 24 | | ao2507 | 2.1% | 4 | 2.6% | 1 | 2.7% | ...

先锋期货期权日报 2025-6-5 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 | | | sc2507 | 2.3% | 1 | 2.3% | 2 | 2.0% | 10 | | sn2507 | 2.1% | 2 | 1.3% | 17 | 0.8% | 42 | | ps2507 | 2.1% | 3 | 1.9% | 4 | 2.0% | 11 | | si2507 | 2.1% | 4 | 1.8% | 8 | 2.6% | ...

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: June 4, 2025 [1] Industry Investment Rating - Not provided in the report 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 different types of traders based on these volatility indicators [3][6] Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 500,820 lots, the open interest is 971,866 lots, the trading volume ratio of call options to put options is 1.22, and the weighted - average implied volatility is 13.37% [19][22] - **Volatility Trading**: Suggestions include selling options in months with higher implied volatility curves and buying those in months with lower curves; also, selling options with higher points on the curve and buying those with lower points within the same month [25] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.13% at the settlement price and 0.45% at the counter - price [29][31] 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options is 413,524 lots, the open interest is 816,520 lots, the trading volume ratio of call options to put options is 1.22, and the weighted - average implied volatility is 13.84% [32][34] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in months with lower curves; sell high - point options and buy low - point options within the same month [38] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.41% at the settlement price and 2.06% at the counter - price [41][43] 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options is 784,596 lots, the open interest is 883,992 lots, the trading volume ratio of call options to put options is 0.91, and the weighted - average implied volatility is 17% [44][47] - **Volatility Trading**: Follow the rule of selling high - curve months and buying low - curve months, and selling high - point options and buying low - point options within the same month [49] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 36.9% at the settlement price and 8.92% at the counter - price [53][55] 1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options is 215,664 lots, the open interest is 987,709 lots, the trading volume ratio of call options to put options is 1.45, and the weighted - average implied volatility is 25.5% [56][58] - **Volatility Trading**: Adopt the strategy of selling high - curve months and buying low - curve months, and selling high - point options and buying low - point options within the same month [62] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 47.8% at the settlement price and 8.12% at the counter - price [65][67] 1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options is 64,662 lots, the open interest is 298,160 lots, the trading volume ratio of call options to put options is 1.09, and the weighted - average implied volatility is 29.55% [68][70] - **Volatility Trading**: Use the method of selling high - curve months and buying low - curve months, and selling high - point options and buying low - point options within the same month [72] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 47.7% at the settlement price [76]

先锋期货期权日报 2025-5-29 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 | | | sc2507 | 2.3% | 1 | 2.2% | 2 | 3.2% | 4 | | ps2507 | 2.2% | 2 | 1.8% | 8 | 2.1% | 17 | | si2507 | 2.1% | 3 | 1.7% | 9 | 2.6% | 11 | | sn2507 | 2.1% | 4 | 0.9% | 33 | 1. ...

Group 1 - The article discusses the impending maturity of a large volume of U.S. Treasury bonds and questions whether the "Great Escape from America 2.0" will continue [1] - It highlights the re-evaluation of gold's safe-haven properties and the potential ongoing risks in the bond market that may drive this trend [1] - The article identifies Japanese bonds as the "eye of the storm" globally, raising questions about the profit potential for short positions in U.S. and Japanese assets [1] Group 2 - A detailed analysis of the transmission chain between Japanese bonds and U.S. dollar assets is provided, suggesting strategies for stock, bond, currency, and precious metal operations [1] - The article notes the opening of a volatility trading window, indicating opportunities to capture market pulse movements [1]

Report Summary 1. Report Information - Report Name: Pioneer Futures Options Daily Report - Date: May 23, 2025 [1] 2. Option Volatility Ranking - The report provides a ranking of options based on at-the-money option implied volatility, 30-day historical volatility, and daily true range for various underlying assets. For example, ao2506 ranks first in at-the-money option implied volatility with 2.4%, and sm507 ranks first in daily true range with 5.1% [3][5]. 3. Core Views - At-the-money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset. Higher values indicate a greater likelihood of significant price movements, which can be of interest to trend traders. - The 30-day historical volatility reflects the actual price movements of the underlying asset in the past. If this value is smaller than the implied volatility, it may suggest that option prices are relatively expensive, which can be of interest to option sellers. - The daily true range reflects the intraday price movements of the underlying asset, which can be of interest to intraday traders [6]. 4. Exchange Option Analysis 4.1 Shanghai Stock Exchange Options - **上证50ETF (SSE 50 ETF)**: - **Basic Information**: The trading volume of the main options is 836,591 contracts, the open interest is 745,131 contracts, the trading volume ratio of call options to put options is 1.05, and the weighted average implied volatility is 14.36%. - **Volatility Trading**: Suggestions include selling options in months with higher implied volatility curves and buying options 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 yield of the optimal arbitrage portfolio held to maturity is 44.6% when trading at the settlement price and 9.17% when trading at the counterparty price [19][22][24][28][30]. - **华泰柏瑞沪深300ETF (Huatai-PineBridge CSI 300 ETF)**: - **Basic Information**: The trading volume of the main options is 674,867 contracts, the open interest is 529,907 contracts, the trading volume ratio of call options to put options is 0.89, and the weighted average implied volatility is 14.92%. - **Volatility Trading**: Similar trading suggestions as for the SSE 50 ETF. - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 58.7% when trading at the settlement price and 11.1% when trading at the counterparty price [31][33][37][41][43]. - **南方中证500ETF (Southern CSI 500 ETF)**: - **Basic Information**: The trading volume of the main options is 1,105,783 contracts, the open interest is 578,593 contracts, the trading volume ratio of call options to put options is 1.04, and the weighted average implied volatility is 19.3%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 92.4% when trading at the settlement price and 23.2% when trading at the counterparty price [44][47][50][54][56]. - **华夏上证科创板50ETF (Huaxia SSE STAR Market 50 ETF)**: - **Basic Information**: The trading volume of the main options is 402,764 contracts, the open interest is 753,563 contracts, the trading volume ratio of call options to put options is 1.34, and the weighted average implied volatility is 28.18%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 91.5% when trading at the settlement price and 13.3% when trading at the counterparty price [57][59][63][66][67]. - **易方达上证科创板50ETF (E Fund SSE STAR Market 50 ETF)**: - **Basic Information**: The trading volume of the main options is 94,593 contracts, the open interest is 212,957 contracts, the trading volume ratio of call options to put options is 1.18, and the weighted average implied volatility is 31.7%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk-Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 145% when trading at the settlement price and 19.4% when trading at the counterparty price [68][70][72][76][78]. 4.2 Shenzhen Stock Exchange Options - **嘉实沪深300ETF (Harvest CSI 300 ETF)**: - **Basic Information**: The trading volume of the main options is 124,797 contracts, the open interest is 142,389 contracts, the trading volume ratio of call options to put options is 1.06, and the weighted average implied volatility is 15.38%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk-Free Arbitrage**: No specific arbitrage yield data is provided in the current text [79][82].

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents a comprehensive analysis of various options, including their basic information, volatility trading, and risk - free arbitrage. It provides data on option prices, trading volumes, open interests, and implied volatilities for different underlying assets such as ETFs and commodities, and offers suggestions for volatility trading and potential arbitrage opportunities [3][19][22]. 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 is 588,611 lots, the open interest is 765,403 lots, the trading volume ratio of call options to put options is 1.08, and the weighted - average implied volatility is 13.48%. The T - type quotation table shows the prices of call and put options at different strike prices [19][22]. - **Volatility Trading**: Suggestions are to sell the options in the months with higher curves and buy those in the months with lower curves; for the same month, sell the options with points above the curve and buy those below the curve [25]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 29.9% at the settlement price and 4.86% at the counter - price [28][30]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: The trading volume of the main options is 438,983 lots, the open interest is 573,354 lots, the trading volume ratio of call options to put options is 0.94, and the weighted - average implied volatility is 14.19%. The T - type quotation table shows option prices at different strike prices [31][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve months and high - point options, buy low - curve months and low - point options [34]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 48.6% at the settlement price and 0.68% at the counter - price [38][40]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 905,183 lots, the open interest is 611,848 lots, the trading volume ratio of call options to put options is 1, and the weighted - average implied volatility is 17.68%. The T - type quotation table shows option prices at different strike prices [41][44]. - **Volatility Trading**: Follow the rule of selling high - curve months and high - point options, buying low - curve months and low - point options [45]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 59.9% at the settlement price and 8.05% at the counter - price [49][51]. - **1.4 Huaxia Shanghai Science and Technology Innovation 50ETF** - **Basic Information**: The trading volume of the main options is 265,685 lots, the open interest is 826,335 lots, the trading volume ratio of call options to put options is 1.52, and the weighted - average implied volatility is 28.19%. The T - type quotation table shows option prices at different strike prices [52][54]. - **Volatility Trading**: Adopt the strategy of selling high - curve months and high - point options, buying low - curve months and low - point options [57]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 58.2% at the settlement price and 11.5% at the counter - price [61][63]. - **1.5 E Fund Shanghai Science and Technology Innovation 50ETF** - **Basic Information**: The trading volume of the main options is 59,919 lots, the open interest is 221,356 lots, the trading volume ratio of call options to put options is 1.5, and the weighted - average implied volatility is 27.09%. The T - type quotation table shows option prices at different strike prices [64][66]. - **Volatility Trading**: Use the method of selling high - curve months and high - point options, buying low - curve months and low - point options [70]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 36.6% at the settlement price and 5.34% at the counter - price [73][75]. 3.2 Other Exchanges' Options The report also lists options on the Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange, including basic information, volatility trading, and risk - free arbitrage for each option, but detailed data is not fully presented here [8][9][10]. 3.3 Option Volatility Ranking The report provides a ranking of the implied volatility of at - the - money options, 30 - day historical volatility of the underlying, and the real - time volatility of the underlying for various options. It explains that the implied volatility of at - the - money options reflects market expectations of future fluctuations, the 30 - day historical volatility reflects past actual fluctuations, and the real - time volatility reflects the intraday fluctuations of the day [3][6].

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: May 21, 2025 [1] Core Data Options Volatility Ranking - The table shows the implied volatility, historical volatility, and true range of various option targets, along with their rankings [3][5] Shanghai Stock Exchange Options Shanghai 50ETF - The trading volume of the main options is 648,739 lots, the open interest is 795,306 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 13% [22] Huatai-PineBridge CSI 300ETF - The trading volume of the main options is 473,954 lots, the open interest is 613,367 lots, the trading volume ratio of call options to put options is 1.1, and the weighted average implied volatility is 13.51% [33] Southern CSI 500ETF - The trading volume of the main options is 683,791 lots, the open interest is 644,131 lots, the trading volume ratio of call options to put options is 1.14, and the weighted average implied volatility is 17.11% [45] Huaxia SSE STAR Market 50ETF - The trading volume of the main options is 220,040 lots, the open interest is 821,906 lots, the trading volume ratio of call options to put options is 1.57, and the weighted average implied volatility is 25.02% [57] E Fund SSE STAR Market 50ETF - The trading volume of the main options is 34,798 lots, the open interest is 220,760 lots, the trading volume ratio of call options to put options is 1.54, and the weighted average implied volatility is 25.82% [69] Shenzhen Stock Exchange Options Harvest CSI 300ETF - The trading volume of the main options is 88,831 lots, the open interest is 141,426 lots, the trading volume ratio of call options to put options is 0.71, and the weighted average implied volatility is 17.47% [81] E Fund ChiNext ETF - The basic information table shows the call and put option prices at different strike prices [89] Volatility Trading Recommendations - Different months: Sell the month with the curve on top, buy the month with the curve below - Same month: Sell the option with the point on the curve above, buy the option with the point on the curve below [24][37][50] Risk-Free Arbitrage Returns Shanghai Stock Exchange Options Shanghai 50ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 14.7% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 1.67% [28][30] Huatai-PineBridge CSI 300ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 10.9% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 1.39% [40][41] Southern CSI 500ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 52.1% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 11.0% [52][54] Huaxia SSE STAR Market 50ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 35.3% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 3.12% [64][66] E Fund SSE STAR Market 50ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 34.0% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.79% [75][77] Shenzhen Stock Exchange Options Harvest CSI 300ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 19.0% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 0.11% [87][88]

Group 1: Report Summary - The report is the Pioneer Futures Options Daily Report dated May 20, 2025, presenting option data and analysis for various underlying assets [1] Group 2: Option Volatility Ranking - The table shows the implied volatility, 30 - day historical volatility, and daily true volatility of multiple option underlying assets, along with their rankings. For example, ao2506 has an implied volatility of 3.1% (ranked 1st), a 30 - day historical volatility of 2.3% (ranked 1st), and a daily true volatility of 3.8% (ranked 1st) [3] - Implied volatility reflects market expectations of future price fluctuations, historical volatility shows past price movements, and daily true volatility represents intraday price changes [6] Group 3: Shanghai Stock Exchange Options - General Information 1.1 Shanghai 50ETF - The T - type quotation table shows the call and put option prices at different strike prices and expiration months. The trading volume of the main contract is 631,377 lots, the open interest is 834,777 lots, the call - put trading volume ratio is 1.47, and the weighted average implied volatility is 12.68% [19][22] - For volatility trading, different months: sell the month with the higher curve and buy the month with the lower curve; same month: sell options above the curve and buy options below the curve [27] - For risk - free arbitrage, the optimal arbitrage portfolio held to maturity has a minimum annualized yield of 36.2% at the settlement price and 2.49% at the counter - party price [31][33] 1.2 Huatai - Berry SSE 300ETF - The T - type quotation table shows option prices. The trading volume of the main contract is 491,205 lots, the open interest is 648,081 lots, the call - put trading volume ratio is 1.19, and the weighted average implied volatility is 13.25% [34][36] - Volatility trading suggestions are the same as for the Shanghai 50ETF [41] - For risk - free arbitrage, the minimum annualized yield is 16.5% at the settlement price and 1.70% at the counter - party price [43][45] 1.3 Southern CSI 500ETF - The T - type quotation table shows option prices. The trading volume of the main contract is 868,316 lots, the open interest is 681,119 lots, the call - put trading volume ratio is 1.13, and the weighted average implied volatility is 16.76% [46][49] - Volatility trading suggestions are consistent with the previous ones [54] - For risk - free arbitrage, the minimum annualized yield is 48.6% at the settlement price and 9.01% at the counter - party price [56][58] 1.4 Huaxia SSE STAR Market 50ETF - The T - type quotation table shows option prices. The trading volume of the main contract is 209,169 lots, the open interest is 832,998 lots, the call - put trading volume ratio is 1.82, and the weighted average implied volatility is 23.96% [59][61] - Volatility trading suggestions remain the same [66] - For risk - free arbitrage, the minimum annualized yield is 47.0% at the settlement price and 5.83% at the counter - party price [68][70] 1.5 E Fund SSE STAR Market 50ETF - The T - type quotation table shows option prices. The trading volume of the main contract is 135,221 lots, the open interest is 77,858 lots, the call - put trading volume ratio is 0.31, and the weighted average implied volatility is 28.53% [71][73] - Volatility trading suggestions are as before [77] - The report does not provide risk - free arbitrage data for this ETF