Report Date - The report is dated April 7, 2025 [1] Option Underlying Volatility Ranking Overall Ranking - The report provides a ranking of option underlying assets based on implied volatility, 30 - day historical volatility, and daily true range. For example, the "Gem etf4 month" ranks 1st in implied volatility (5.0%), 2nd in 30 - day historical volatility (2.9%), and 1st in daily true range (17.2%) [3] Volatility Explanation - Implied volatility reflects market expectations of future price fluctuations, historical volatility shows past actual price movements, and daily true range indicates intraday price movements [5] Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai Stock Exchange 50ETF - **Basic Information**: The trading volume of the main - contract options is 2,087,696 lots, the open interest is 971,494 lots, the trading volume ratio of call to put options is 1.27, and the weighted - average implied volatility is 42.64% [18][21] - **Volatility Trading**: Suggestions include selling options in months with higher implied - volatility curves and buying those in lower - curve months; selling options with higher points on the curve and buying those with lower points in the same month [25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 18.7% at the settlement price and 37.5% at the counter - price [28][30] 1.2 Huatai - Peregrine CSI 300ETF - **Basic Information**: The trading volume of the main - contract options is 1,629,367 lots, the open interest is 755,999 lots, the trading volume ratio of call to put options is 1.44, and the weighted - average implied volatility is 48.99% [31][33] - **Volatility Trading**: Similar trading suggestions as above are provided [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 75.2% at the settlement price and 62.1% at the counter - price [40][41] 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main - contract options is 1,559,573 lots, the open interest is 626,185 lots, the trading volume ratio of call to put options is 1.03, and the weighted - average implied volatility is 50.09% [42][44] - **Volatility Trading**: The same trading suggestions apply [51] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 104% at the settlement price and 44.3% at the counter - price [52][54] 1.4 Huaxia Shanghai Stock Exchange Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options is 1,821,325 lots, the open interest is 924,001 lots, the trading volume ratio of call to put options is 0.88, and the weighted - average implied volatility is 77.74% [55][57] - **Volatility Trading**: Similar trading advice is given [61] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 87.1% at the settlement price and 44.5% at the counter - price [64][65] 1.5 E Fund Shanghai Stock Exchange Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options is 322,569 lots, the open interest is 232,670 lots, the trading volume ratio of call to put options is 0.86, and the weighted - average implied volatility is 78.44% [68][67] - **Volatility Trading**: The same trading strategy is recommended [70] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 41.6% at the settlement price and 50.8% at the counter - price [74][76] 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - contract options is 242,898 lots, the open interest is 192,309 lots, the trading volume ratio of call to put options is 1.96, and the weighted - average implied volatility is 46.38% [77][79] - **Volatility Trading**: Suggestions are consistent with previous ones [81] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 32.6% at the settlement price and 64.2% at the counter - price [85][87] 2.2 E Fund GEM ETF - **Basic Information**: The trading volume of the main - contract options is 1,922,780 lots, the open interest is 934,427 lots, the trading volume ratio of call to put options is 1.36, and the weighted - average implied volatility is 76.94% [88][90] - **Volatility Trading**: Similar trading suggestions are provided [95]