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 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

先锋期货期权日报 2025-5-15 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 | | | ao2506 | 2.2% | 1 | 1.6% | 9 | 4.1% | 2 | | sn2506 | 2.2% | 2 | 1.1% | 27 | 1.2% | 44 | | ps2507 | 2.2% | 3 | 2.1% | 2 | 2.5% | 10 | | eb2506 | 2.2% | 4 | 1.8% | 6 | 2. ...

先锋期货期权日报 2025-5-14 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 | | | ps2507 | 2.4% | 1 | 2.1% | 1 | 3.3% | 11 | | sn2506 | 2.4% | 2 | 1.2% | 24 | 1.5% | 44 | | eb2506 | 2.2% | 3 | 1.8% | 6 | 4.1% | 4 | | br2506 | 2.2% | 4 | 1.9% | 5 | 2. ...

先锋期货期权日报 2025-5-12 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天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | sc2506 | 3.3% | 1 | 2.0% | 2 | 2.7% | 19 | | fg506 | 2.5% | 2 | 1.5% | 10 | 2.7% | 17 | | ps2507 | 2.4% | 3 | 2.2% | 1 | 5.5% | 2 | | sn2506 | 2.3% | 4 | 1.2% | 21 | 1. ...

先锋期货期权日报 2025-5-7 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 | | | sc2506 | 2.7% | 1 | 2.9% | 3 | 2.3% | 20 | | ps2506 | 2.4% | 2 | 1.7% | 27 | 4.7% | 1 | | sn2506 | 2.3% | 3 | 2.2% | 13 | 1.7% | 39 | | br2506 | 2.1% | 4 | 2.5% | 6 | 2. ...

1. Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: April 28, 2025 [1] 2. Core Data 2.1 Option Volatility Ranking - The report provides the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of the day for various option targets, along with their rankings [3][5] 2.2 Exchange - Specific Option Data - **Shanghai Stock Exchange Options**: - **SSE 50 ETF**: The trading volume of the main options is 445,784 lots, the open interest is 673,060 lots, the trading volume ratio of call and put options is 1, and the weighted average implied volatility is 14.62% [22] - **Huatai - Berich SSE 300 ETF**: The trading volume of the main options is 377,724 lots, the open interest is 562,154 lots, the trading volume ratio of call and put options is 0.97, and the weighted average implied volatility is 15.66% [34] - **Southern CSI 500 ETF**: The trading volume of the main options is 603,625 lots, the open interest is 562,720 lots, the trading volume ratio of call and put options is 0.94, and the weighted average implied volatility is 20.84% [47] - **China AMC SSE STAR 50 ETF**: The trading volume of the main options is 236,372 lots, the open interest is 614,878 lots, the trading volume ratio of call and put options is 1.13, and the weighted average implied volatility is 26.56% [57] - **E Fund SSE STAR 50 ETF**: The trading volume of the main options is 46,927 lots, the open interest is 143,584 lots, the trading volume ratio of call and put options is 1.3, and the weighted average implied volatility is 28.05% [69] - **Shenzhen Stock Exchange Options**: - **Harvest SZSE 300 ETF**: The trading volume of the main options is 44,659 lots, the open interest is 118,204 lots, the trading volume ratio of call and put options is 1.05, and the weighted average implied volatility is 16.65% [82] 3. Core Views 3.1 Volatility Trading - For different months, sell the options of the month with the curve above and buy the options of the month with the curve below; for the same month, sell the options with points above the curve and buy the options with points below the curve [25][38][48] 3.2 Risk - Free Arbitrage - Different ETF options have different minimum annualized yields for the optimal arbitrage portfolio held to maturity when trading at the settlement price and the counter - party price [29][31][41] 4. Directory Summary 4.1 Shanghai Stock Exchange Options - **SSE 50 ETF**: Includes basic information (T - type quotation table, trading volume, open interest, etc.), volatility trading (implied volatility curve analysis), and risk - free arbitrage (optimal arbitrage portfolio yield) [19][22][23] - **Huatai - Berich SSE 300 ETF**: Similar to SSE 50 ETF, with its own basic information, volatility trading, and risk - free arbitrage analysis [32][35][41] - **Southern CSI 500 ETF**: Covers basic information, volatility trading, and risk - free arbitrage [44][48][52] - **China AMC SSE STAR 50 ETF**: Contains basic information, volatility trading, and risk - free arbitrage [55][58][64] - **E Fund SSE STAR 50 ETF**: Includes basic information, volatility trading, and risk - free arbitrage [67][70][76] 4.2 Shenzhen Stock Exchange Options - **Harvest SZSE 300 ETF**: Comprises basic information, volatility trading, and risk - free arbitrage [79][83]

1. Report Industry Investment Rating No relevant content provided. 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 the day for various underlying assets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage analysis for options on different ETFs across multiple exchanges [3][19][24]. 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 is 407,440 lots, the open interest is 660,353 lots, the trading volume ratio of call options to put options is 1.46, and the weighted average implied volatility is 20.16% [19][22]. - **Volatility Trading**: Suggestions include selling options in months with higher implied volatility curves and buying those in months with lower curves; for the same month, sell options with points above the curve and buy those below [24]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 45.6% at the settlement price and 3.60% at the counter - party price [24][28][30]. 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry CSI 300ETF is 301,423 lots, the open interest is 424,838 lots, the trading volume ratio of call options to put options is 1.04, and the weighted average implied volatility is 15.91% [30][31][33]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell options in months with higher curves and buy those in lower - curve months; for the same month, follow the curve - point rule [40]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 7.33% at the settlement price and 2.25% at the counter - party price [40][41][43]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF is 453,489 lots, the open interest is 432,642 lots, the trading volume ratio of call options to put options is 0.98, and the weighted average implied volatility is 26.7% [44][47]. - **Volatility Trading**: Adopt the same strategy as above for different and same - month options [49]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 83.9% at the settlement price and 11.0% at the counter - party price [53][55]. 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of Huaxia Shanghai Science and Technology Innovation 50ETF is 256,668 lots, the open interest is 851,491 lots, the trading volume ratio of call options to put options is 1.31, and the weighted average implied volatility is 45.31% [56][58]. - **Volatility Trading**: Follow the curve - based trading suggestions [60]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 656% at the settlement price and 144% at the counter - party price [64][65]. 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of E Fund Shanghai Science and Technology Innovation 50ETF is 84,166 lots, the open interest is 161,095 lots, the trading volume ratio of call options to put options is 1.64, and the weighted average implied volatility is 32.58% [66][68]. - **Volatility Trading**: Use the curve - based trading strategy [70]. - **Risk - Free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 37.3% at the settlement price and 8.58% at the counter - party price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF is 87,131 lots, the open interest is 154,861 lots, the trading volume ratio of call options to put options is 1.03, and the weighted average implied volatility is 28.97% [77][80]. - **Volatility Trading**: Sell options in months with higher implied volatility curves and buy those in lower - curve months; for the same month, follow the point - on - curve rule [84][85].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents a comprehensive analysis of various options, including their basic information, volatility trading, and risk - free arbitrage opportunities. It also provides data on the trading volume, open interest, volume ratio of call and put options, and weighted - average implied volatility of the underlying assets of these options. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: Presented the T - type quotation table of SSE 50 ETF options, including call and put option prices at different strike prices and expiration months. The trading volume of the main - contract options was 549,253 lots, the open interest was 746,563 lots, the volume ratio of call and put options was 1.32, and the weighted - average implied volatility was 19.95% [19][22]. - **Volatility Trading**: Provided implied volatility curves of call options at different strike prices and Deltas, and gave trading suggestions: sell options in months with higher curves and buy those in months with lower curves; sell options with points above the curve and buy those with points below the curve [26]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 67.2% at the settlement price and 4.81% at the counter - price [29][31]. 3.1.2 Huatai - Baoying CSI 300 ETF - **Basic Information**: Presented the T - type quotation table of Huatai - Baoying CSI 300 ETF options. The trading volume of the main - contract options was 452,760 lots, the open interest was 515,506 lots, the volume ratio of call and put options was 1.22, and the weighted - average implied volatility was 19.77% [32][34]. - **Volatility Trading**: Similar to SSE 50 ETF, provided implied volatility curves and trading suggestions [39]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 51.0% at the settlement price and 5.47% at the counter - price [41][42]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: Presented the T - type quotation table of Southern CSI 500 ETF options. The trading volume of the main - contract options was 779,457 lots, the open interest was 475,828 lots, the volume ratio of call and put options was 0.94, and the weighted - average implied volatility was 25.86% [43][46]. - **Volatility Trading**: Provided implied volatility curves and trading suggestions [48]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 153% at the settlement price and 25.8% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: Presented the T - type quotation table of Huaxia SSE STAR Market 50 ETF options. The trading volume of the main - contract options was 319,166 lots, the open interest was 903,715 lots, the volume ratio of call and put options was 1.25, and the weighted - average implied volatility was 39.03% [55][57]. - **Volatility Trading**: Provided implied volatility curves and trading suggestions [61]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 327% at the settlement price and 67.1% at the counter - price [66][67]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: Presented the T - type quotation table of E Fund SSE STAR Market 50 ETF options. The trading volume of the main - contract options was 88,580 lots, the open interest was 261,982 lots, the volume ratio of call and put options was 1.15, and the weighted - average implied volatility was 39.86% [68][70]. - **Volatility Trading**: Provided implied volatility curves and trading suggestions [72]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 263% at the settlement price and 42.2% at the counter - price [76][78]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF - **Basic Information**: Presented the T - type quotation table of Harvest CSI 300 ETF options. The trading volume of the main - contract options was 106,649 lots, the open interest was 180,426 lots, the volume ratio of call and put options was 1.13, and the weighted - average implied volatility was 30.19% [79][82]. - **Volatility Trading**: Provided implied volatility curves and trading suggestions [87]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 48.2% at the settlement price and 0.42% at the counter - price [89][90]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: Presented the T - type quotation table of E Fund ChiNext ETF options. The trading volume of the main - contract options was 898,179 lots, the open interest was 892,753 lots, the volume ratio of call and put options was 0.98, and the weighted - average implied volatility was 35% [91][93]. - **Volatility Trading**: Provided implied volatility curves and trading suggestions [97]. - **No content on risk - free arbitrage was provided.** 3.3 Other Exchanges' Options The report also listed options on CFFEX, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange, but detailed data and analysis were not provided in the given text. 3.4 Option Target Volatility Ranking The report provided a ranking of the implied volatility, 30 - day historical volatility, and daily true volatility of various option targets, which can assist different types of traders in making decisions. For example, trend traders can focus on targets with high implied volatility rankings, option sellers can pay attention to the difference between implied and historical volatility rankings, and intraday traders can focus on targets with high daily true volatility rankings [3][6].