先锋期货期权日报 2025-12-1 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 | | | ps2601 | 3.5% | 1 | 2.4% | 2 | 4.8% | 4 | | lc2601 | 3.1% | 2 | 3.7% | 1 | 2.6% | 9 | | ag2601 | 2.8% | 3 | 2.2% | 3 | 6.4% | 1 | | si2601 | 2.4% | 4 | 1.7% | 6 | 1.4% ...

先锋期货期权日报 2025-11-19 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 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | lc2601 | 3.5% | 1 | 3.0% | 1 | 6.6% | 1 | | ps2601 | 2.7% | 2 | 2.3% | 3 | 5.1% | 3 | | si2601 | 2.4% | 3 | 1.6% | 9 | 6.5% | 2 | | ag2512 | 2.2% | 4 | 2.3% | 2 | 3.9% ...

先锋期货期权日报 2025-11-17 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 | | | fg512 | 3.4% | 1 | 1.7% | 9 | 3.4% | 2 | | lc2601 | 2.5% | 2 | 2.2% | 1 | 5.7% | 1 | | ps2601 | 2.5% | 3 | 2.0% | 6 | 2.8% | 8 | | sc2512 | 2.4% | 4 | 1.3% | 21 | 1.4% ...

Report Summary This report is the Pioneer Futures Options Daily Report for November 10, 2025, presenting data on option targets' volatility and detailed information on options from multiple exchanges, including basic info, volatility trading, and risk - free arbitrage. 1. Option Target Volatility Data - **Volatility Ranking Table**: The report provides a table ranking option targets by at - the - money implied volatility, 30 - day historical volatility, and daily true range. For example, fg512 ranks 1st in at - the - money implied volatility with 3.4%, while lc2601 ranks 1st in daily true range with 5.7% [3]. - **Volatility Explanation**: At - the - money implied volatility reflects market expectations of future fluctuations, 30 - day historical volatility shows past actual market movements, and daily true range indicates intraday market size. Trend traders can focus on targets with high at - the - money implied volatility rankings, option sellers can consider the difference between at - the - money implied and 30 - day historical volatility rankings, and intraday traders can pay attention to high daily true range rankings [6]. 2. Exchange - Specific Option Information 2.1 Shanghai Stock Exchange Options - **Basic Information**: For various ETFs like SSE 50 ETF, Huatai - Berry SSE 300 ETF, Southern CSI 500 ETF, etc., the report provides T - type quotation tables showing call and put option prices at different strike prices, as well as trading volume, open interest, call - put volume ratio, and weighted average implied volatility. For instance, the trading volume of SSE 50 ETF's main - contract options is 521,565 lots, open interest is 888,165 lots, call - put volume ratio is 1.32, and weighted average implied volatility is 14.95% [20][22]. - **Volatility Trading**: Volatility trading suggestions are to sell options in months with higher volatility curves and buy those in lower - curve months, and sell options with higher points on the curve and buy those with lower points within the same month [25]. - **Risk - Free Arbitrage**: The report calculates the minimum annualized return of the optimal arbitrage portfolio for each ETF option when trading at settlement price and counter - party price. For example, for SSE 50 ETF, the minimum annualized return at settlement price is 6.17%, and at counter - party price is 1.46% [29][31]. 2.2 Shenzhen Stock Exchange Options - **Basic Information**: Similar to the Shanghai Stock Exchange, it provides basic information for ETFs such as Harvest SSE 300 ETF and E Fund ChiNext ETF, including T - type quotation tables, trading volume, open interest, call - put volume ratio, and weighted average implied volatility. For example, the trading volume of Harvest SSE 300 ETF's main - contract options is 95,773 lots, open interest is 152,935 lots, call - put volume ratio is 1.11, and weighted average implied volatility is 16.67% [78][80]. - **Volatility Trading**: Offers the same volatility trading suggestions as the Shanghai Stock Exchange [87]. - **Risk - Free Arbitrage**: Calculates the minimum annualized return of the optimal arbitrage portfolio at settlement price and counter - party price. For example, for Harvest SSE 300 ETF, the minimum annualized return at settlement price is 24.3%, and at counter - party price is 2.34% [88][89].

1. Report Overview - Report Title: Pioneer Futures Options Daily Report - Report Date: November 7, 2025 [1] 2. Option Underlying Volatility Ranking 2.1 Ranking Table - The report provides a ranking table of option underlying volatility, including at - the - money option implied volatility, 30 - day historical volatility, and daily true range, along with their respective rankings for multiple option underlyings such as ps2601, lc2601, etc. [3][4] 2.2 Volatility Interpretation - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying. Larger values indicate a higher probability of significant market movements, which can be of interest to trend traders. - 30 - day historical volatility reflects the actual past price movements of the underlying. If its value is smaller than the implied volatility, it may suggest that option prices are relatively expensive, which can be considered by option sellers. - The daily true range reflects the intraday price movements of the underlying, and intraday traders can focus on the top - ranked varieties. [5] 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 on this day was 389,163 contracts, the open interest was 885,597 contracts, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 13.56%. A T - type quotation table of option prices at different strike prices was provided. [19][21] - **Volatility Trading**: Volatility trading suggestions were given, such as selling options in months with higher implied volatility curves and buying those in months with lower curves; selling options with points above the curve and buying those below the curve within the same month. [24][25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 7.02% when traded at the settlement price and 0.90% when traded at the counter - party price. [29][31] 3.1.2 Huatai - Peregrine CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options on this day was 556,898 contracts, the open interest was 782,003 contracts, the trading volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 14.97%. A T - type quotation table of option prices at different strike prices was provided. [32][34] - **Volatility Trading**: Similar volatility trading suggestions were given as for the Shanghai 50ETF. [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 12.3% when traded at the settlement price and 1.85% when traded at the counter - party price. [41][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on this day was 1,014,468 contracts, the open interest was 782,415 contracts, the trading volume ratio of call options to put options was 1.07, and the weighted - average implied volatility was 19.39%. A T - type quotation table of option prices at different strike prices was provided. [43][45] - **Volatility Trading**: Similar volatility trading suggestions were given. [50] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 47.4% when traded at the settlement price and 9.64% when traded at the counter - party price. [52][54] 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 on this day was 662,205 contracts, the open interest was 1,207,182 contracts, the trading volume ratio of call options to put options was 1.21, and the weighted - average implied volatility was 33.73%. A T - type quotation table of option prices at different strike prices was provided. [55][56] - **Volatility Trading**: Similar volatility trading suggestions were given. [58] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 13.8% when traded at the settlement price and 2.73% when traded at the counter - party price. [62][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 on this day was 125,567 contracts, the open interest was 286,032 contracts, the trading volume ratio of call options to put options was 1.24, and the weighted - average implied volatility was 34.11%. A T - type quotation table of option prices at different strike prices was provided. [66][67] - **Volatility Trading**: Similar volatility trading suggestions were given. [69] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 25.6% when traded at the settlement price and 4.81% when traded at the counter - party price. [73][75] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Shenzhen 300ETF options on this day was 71,269 contracts, the open interest was 151,936 contracts, the trading volume ratio of call options to put options was 0.94, and the weighted - average implied volatility was 16.43%. A T - type quotation table of option prices at different strike prices was provided. [76][78] - **Volatility Trading**: Similar volatility trading suggestions were given. [85] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 15.1% when traded at the settlement price and 0.72% when traded at the counter - party price. [86][88] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on this day was 1,327,104 contracts, the open interest was 1,147,035 contracts, the trading volume ratio of call options to put options was 1.04, and the weighted - average implied volatility was 30.57%. A T - type quotation table of option prices at different strike prices was provided. [89][91] - **Volatility Trading**: Similar volatility trading suggestions were given. [93]