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]

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 ...

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% | ...

Core Viewpoint - Japan is facing a severe trust crisis regarding its national debt, with long-term bond rates reaching historical highs and a significant drop in its status as the world's largest creditor nation [4][5][6]. Group 1: Japan's Debt Crisis - Japan's 30-year and 40-year bond rates have surged to 2.999% and 3.336%, respectively, marking a historical high and indicating a lack of bidders [3]. - The country has lost its position as the world's largest creditor for the first time since 1991, with its net external assets reaching 533.05 trillion yen, a 12.9% year-on-year increase, but still surpassed by Germany's $3.95 trillion [5][6]. - Japan's finance minister stated that the growth in net external assets should not be seen as a significant change in Japan's international status [9]. Group 2: Historical Context of Japan's Creditor Status - Japan maintained its status as the world's largest creditor for 33 years due to its strong manufacturing and export economy, which generated substantial foreign exchange [16]. - The post-Korean War era saw Japan become a supply base for the U.S. military, leading to a surge in industrial demand and foreign exchange [20][21]. - Japan's automotive industry rapidly expanded from virtually zero in 1955 to becoming the world's largest by 1980, significantly contributing to its foreign investment capabilities [24]. Group 3: Currency and Economic Dynamics - Japan has maintained ultra-low interest rates and minimal inflation over the past two decades, contrasting with global trends of rising prices [34][36]. - The lack of inflation suggests that the money supply in Japan has not significantly increased, leading to speculation that much of the printed yen has been used for foreign investments [42]. - The Japanese foreign exchange market accounts for 35%-40% of global retail forex trading, with many investors borrowing yen to invest abroad [46]. Group 4: Future Implications of Debt and Currency Policy - Japan's public debt is projected to reach 234.9% of GDP in 2024, with a significant portion of debt held domestically [65]. - The country has been caught in a cycle of borrowing to pay off existing debt, with over 60% of new debt issued since 2012 being used to refinance old debt [68]. - The potential for rising interest rates could lead to a significant depreciation of the yen, impacting both domestic and international investment strategies [90][94]. Group 5: Economic Measures and Public Response - The Japanese government has initiated measures to counteract the effects of yen depreciation, including energy subsidies and calls for wage increases [109]. - Average wage increases are projected to reach 5.08% in 2024, reflecting a concerted effort to mitigate the impact of inflation on citizens [110][111]. - These strategies aim to balance the need for economic growth and debt management while addressing the potential negative effects on the populace [113].

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. ...