Report Industry Investment Rating - Not provided in the report Core Viewpoints - The report predicts that Zhengzhou cotton (Zhengmian) is likely to fluctuate, with limited upward and downward space. The supply side features a large number of new flowers on the market, with a significant increase in production this year but the increase may be less than expected. The demand side enters a relatively off - season after the peak season, and previous negative factors have been mostly reflected in the market. Meanwhile, future Sino - US trade policies may have a significant impact on the market [7]. - It is expected that the future trend of US cotton will mostly be in a fluctuating state, while Zhengzhou cotton is expected to show a slightly stronger fluctuating trend. For trading strategies, it is recommended to wait and see for arbitrage and options [8][9][10]. Summary by Relevant Catalogs First Part: Market Information - **Futures Market**: The closing prices of CF01, CF05, and CF09 contracts of cotton futures are 13,600, 13,615, and 13,780 respectively, with corresponding increases of 5, 10, and 25. The closing prices of CY01, CY05, and CY09 contracts of cotton yarn futures are 19,920, 0, and 0 respectively, with corresponding increases of 45, - 19,920, and - 20,085. There are also data on trading volume, open interest, and their changes [2]. - **Spot Market**: The price of CCIndex3128B is 14,859 yuan/ton, up 16 yuan/ton; the price of Cot A is 76.45 cents/pound, up 77.40 cents/pound; the price of (FC Index):M: to - port price is 75.60 cents/pound, down 0.80 cents/pound. There are also prices and price changes of other spot products [2]. - **Spread**: In cotton inter - period spreads, the spread between January and May is - 15, down 5; between May and September is - 165, down 15; between September and January is 180, up 20. In cotton yarn inter - period spreads, the spread between January and May is 19,920, up 19,965; between May and September is 0, up 165; between September and January is - 19,920, down - 20,130. There are also cross - variety spreads and internal - external spreads [2]. Second Part: Market News and Views Cotton Market News - On November 3, 2025, the price of China Cotton Price Index 3128B was 14,859 yuan/ton, down 1 yuan/ton from last Friday; the price of 2129B was 15,137 yuan/ton, up 7 yuan/ton. The delivery price of machine - picked cotton in Xinjiang was 14,530 yuan/ton for 3128B, down 10 yuan/ton; 14,820 yuan/ton for 2129B, unchanged from last Friday. The main contract of Zhengzhou cotton opened higher and then fluctuated downward on Friday, with the basis quote basically stable and the spot transaction price relatively stable [4]. - On November 2, 2025, the acquisition index of machine - picked cotton in Xinjiang was 6.30 yuan/kg, down 0.01 yuan/kg from the previous day; the acquisition index of hand - picked cotton was 7.04 yuan/kg, unchanged from the previous day. In Aksu, the lint percentage of seed cotton purchased by some ginneries was 0.5% - 1.0% lower than last year, and the purchase price of high - lint - percentage seed cotton remained at about 6.4 - 6.5 yuan/kg [5]. - In September 2025, Japan's clothing imports entered the peak season, with both the import volume and value increasing significantly compared to the previous month. The import value was 372.276 billion yen (equivalent to 2.524 billion US dollars), a year - on - year increase of 7.52% and a month - on - month increase of 13.12%. The import volume was 110,000 tons, a year - on - year increase of 5.13% and a month - on - month increase of 21.91%. From January to September, Japan's cumulative clothing import value was 2,685.447 billion yen (equivalent to 18.103 billion US dollars), a year - on - year increase of 5.1%, and the cumulative import volume was 713,200 tons, a year - on - year increase of 6.69% [5]. - As of October 27, 2025, the total cotton inventory in Zhangjiagang Free Trade Zone was 33,100 tons, a year - on - year decrease of 0.42%. Among them, bonded cotton was 3.07 tons, a year - on - year decrease of 0.43%; non - bonded cotton was 2,200 tons, a year - on - year decrease of 0.26%. In terms of the origin of imported cotton, in the cotton inventory of Zhangjiagang Free Trade Zone, US cotton accounted for 26.64%, a year - on - year decrease of 20.87 percentage points; Brazilian cotton accounted for 23.38%, a year - on - year increase of 4.37 percentage points; Australian cotton accounted for 45.94%, a year - on - year increase of 14.29 percentage points; other countries and regions accounted for 4.05%, a year - on - year increase of 2.21 percentage points. The net inbound volume was - 807.15 tons, with 1,154.15 tons out of storage and 347 tons into storage. The inventory in Zhangjiagang decreased slightly, and cotton imports continued to recover in September and October, with an increase in US and Brazilian cotton arriving in Hong Kong, but the outbound speed accelerated, leading to a decline in storage capacity [6]. Trading Logic - In terms of fundamentals, with a large number of new flowers on the market in November, there may be some selling and hedging pressure in the market. Although this year's cotton production is a bumper harvest, the expected increase may be less than previously thought. On the demand side, after the peak season, the market enters a relatively off - season. Overall, with a large number of new flowers on the market on the supply side and a significant increase in production this year but the increase may be less than expected, and with average recent orders on the demand side but previous negative factors already reflected in the market, Zhengzhou cotton is expected to fluctuate, with limited upward and downward space. In addition, there may be trade negotiations between China and the US, and the Sino - US tariff agreement expires in November, so future Sino - US trade policies may have a significant impact on the market [7]. Trading Strategies - **Unilateral**: It is expected that the future trend of US cotton will mostly be in a fluctuating state, while Zhengzhou cotton is expected to show a slightly stronger fluctuating trend [8]. - **Arbitrage**: Wait and see [9]. - **Options**: Wait and see [10]. Cotton Yarn Industry News - Although the macro - atmosphere improved slightly last week and market confidence recovered to some extent, the actual downstream demand did not improve significantly, and there was still significant hedging pressure on cotton. After some quotes of pure cotton yarn were tentatively raised, the market returned to calm, and most actual transaction prices changed little. Due to the lack of order support, only a few varieties had good sales, such as C40, high - count export varieties, and low - count compact - spun yarn. Most air - jet spun and combed yarns had relatively slow sales, and the market mainly consisted of small, urgent, and necessary orders. In the future, it is necessary to continue to pay attention to the recovery of downstream demand and the trend of Zhengzhou cotton. The current tax - included cash price of high - compact C32S produced in Jiangsu is 21,300 - 21,500 yuan/ton, subject to negotiation for actual orders [10]. - The spot market for all - cotton grey cloth remained weak, with insufficient trading atmosphere. The quantity and price of pure - cotton cloth in the spot market were weak, so fabric mills mostly purchased raw materials as needed. Downstream customers mainly placed necessary orders. With weak terminal demand, the operation space was reduced, and most customers adopted a wait - and - see attitude towards the fabric mills' dumping information. Even if the price was discounted, they were reluctant to stock up without orders [10]. Third Part: Options - **Option Contract Data**: On November 3, 2025, for the option contract CF601C13400.CZC, the underlying contract price was 13,600, the closing price was 260, and the decline was 10.0%. For CF601P13000.CZC, the closing price was 25, and the decline was 34.2%. For CF601P12400.CZC, the closing price was 8, and the decline was 60.0%. There are also data on implied volatility, Delta, Gamma, Vega, Theta, theoretical leverage, and actual leverage [12]. - **Volatility and Trading Suggestion**: The 120 - day historical volatility (HV) of cotton decreased slightly compared to the previous day. The implied volatility of CF601 - C - 13400 was 7.5%, that of CF601 - P - 13000 was 10.8%, and that of CF601 - P - 12400 was 14.7%. The PCR of the main contract of Zhengzhou cotton was 0.7135, and the PCR of the trading volume of the main contract was 0.7629. The trading volumes of both call and put options decreased today. It is recommended to wait and see for options [13][14]. Fourth Part: Relevant Attachments - The report provides multiple charts, including the chart of the internal - external market cotton price difference under 1% tariff, the charts of cotton basis for January, May, and September, the charts of the spread between CY05 and CF05, CY01 and CF01, CF9 - 1, and CF5 - 9 [15][19][20].

1. Report Summary - Report Date: November 3, 2025 [1] - Report Name: Pioneer Futures Options Daily Report 2. Options Underlying Volatility Ranking - The report presents a ranking of options underlying based on three volatility metrics: implied volatility of at - the - money options, 30 - day historical volatility of the underlying, and the underlying's true range on the day. For example, ps2512 ranks first in implied volatility of at - the - money options with 3.1%, while rm601 ranks first in the underlying's true range on the day with 4.8% [3][4]. - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety, the 30 - day historical volatility reflects the past actual market size, and the true range on the day reflects the intraday market size [5]. 3. Exchange - Specific Options Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day is 632,460 lots, the open interest is 897,163 lots, the trading volume ratio of call options to put options is 1.45, and the weighted average implied volatility is 15.93% [19][21]. - **Volatility Trading**: Volatility trading suggestions include selling the month with the curve on top and buying the month with the curve below for different months, and selling the option with the point above the curve and buying the option with the point below the curve for the same month [26]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.67% when trading at the settlement price and 1.16% when trading at the counter - party price [28][30]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day is 670,871 lots, the open interest is 740,234 lots, the trading volume ratio of call options to put options is 1.23, and the weighted average implied volatility is 16.61% [31][33]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell the month with the curve on top and buy the month with the curve below for different months, and sell the option with the point above the curve and buy the option with the point below the curve for the same month [37]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.45% when trading at the settlement price and 0.18% when trading at the counter - party price [40][42]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day is 1,244,691 lots, the open interest is 790,230 lots, the trading volume ratio of call options to put options is 0.9, and the weighted average implied volatility is 20.66% [43][45]. - **Volatility Trading**: Follow the same volatility trading suggestions as above [49]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 25.3% when trading at the settlement price and 5.60% when trading at the counter - party price [52][54]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50ETF on the day is 995,460 lots, the open interest is 1,173,825 lots, the trading volume ratio of call options to put options is 1.15, and the weighted average implied volatility is 37.4% [55][57]. - **Volatility Trading**: Adopt the same volatility trading strategies [62]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.3% when trading at the settlement price and 0.66% when trading at the counter - party price [64][66]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50ETF on the day is 194,205 lots, the open interest is 286,584 lots, the trading volume ratio of call options to put options is 1.34, and the weighted average implied volatility is 38.24% [67][68]. - **Volatility Trading**: Use the same volatility trading methods [72]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.6% when trading at the settlement price and 2.75% when trading at the counter - party price [76][78]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of Harvest SSE 300ETF on the day is 126,768 lots, the open interest is 151,843 lots, the trading volume ratio of call options to put options is 0.96, and the weighted average implied volatility is 17.72% [79][81]. - **Volatility Trading**: Apply the same volatility trading suggestions [87]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.4% when trading at the settlement price and 1.52% when trading at the counter - party price [89][91].

So let's look at selling a cash-secured put to take advantage of the high implied volatility around the earnings announcement. A cash-secured put involves selling an at-the-money or out-of-the-money put option and simultaneously setting aside enough cash to buy the stock. The goal is to either have the put expire worthless and keep the premium, or to take assignment and acquire the stock below the current price. They are very similar to a covered call and are quite easy to understand once you know the bas ...

1. Report Summary - **Report Title**: Pioneer Futures Options Daily Report - **Report Date**: October 31, 2025 - **Report Type**: Futures and Options Market Analysis 2. Core Views - The report provides a comprehensive analysis of the options market, including the volatility rankings of various option underlying assets, and offers trading suggestions for volatility trading and risk - free arbitrage in different exchange - listed options [3][5]. 3. Key Information by Category 3.1 Option Underlying Volatility Ranking - The report presents a list of option underlying assets' volatility rankings, including at - the - money implied volatility, 30 - day historical volatility, and daily true volatility. For example, 'ps2512' has an at - the - money implied volatility of 2.7%, ranking 1st; 30 - day historical volatility of 2.1%, ranking 6th; and daily true volatility of 2.9%, ranking 5th [3]. 3.2 Exchange - Listed Options Analysis 3.2.1 Shanghai Stock Exchange Options - **Shanghai 50ETF**: The trading volume of the main options is 755,468 lots, the open interest is 848,612 lots, the trading volume ratio of call options to put options is 1.16, and the weighted average implied volatility is 15.82%. Volatility trading suggestions are to sell the month with the upper curve and buy the month with the lower curve for different months; sell the option with the upper point on the curve and buy the option with the lower point on the curve for the same month. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 6.58% at the settlement price and 1.26% at the counter - party price [19][22][26]. - **Huatai - Berich CSI 300ETF**: The trading volume of the main options is 797,684 lots, the open interest is 720,276 lots, the trading volume ratio of call options to put options is 1.24, and the weighted average implied volatility is 16.72%. Similar volatility trading suggestions are provided. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 3.54% at the settlement price and 1.23% at the counter - party price [29][34][38]. - **Southern CSI 500ETF**: The trading volume of the main options is 1,271,310 lots, the open interest is 772,262 lots, the trading volume ratio of call options to put options is 1.09, and the weighted average implied volatility is 20.48%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 22.8% at the settlement price and 5.57% at the counter - party price [40][47][49]. - **Huaxia SSE STAR 50 ETF**: The trading volume of the main options is 1,127,777 lots, the open interest is 1,153,991 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 37.07%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 12.7% at the settlement price and 1.58% at the counter - party price [52][56][60]. - **E Fund SSE STAR 50 ETF**: The trading volume of the main options is 218,476 lots, the open interest is 277,730 lots, the trading volume ratio of call options to put options is 1.41, and the weighted average implied volatility is 37.35%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 23.5% at the settlement price and 4.61% at the counter - party price [63][69][72]. 3.2.2 Shenzhen Stock Exchange Options - **Harvest CSI 300ETF**: The trading volume of the main options is 116,253 lots, the open interest is 146,481 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 17.51%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.65% at the settlement price and 0.10% at the counter - party price [75][83][86]. - **E Fund ChiNext ETF**: The trading volume of the main options is 1,736,584 lots, the open interest is 1,044,215 lots, the trading volume ratio of call options to put options is 1.09, and the weighted average implied volatility is 33.19% [89][91].

1. Report Industry Investment Rating No information provided in the given content. 2. Core Views of the Report Soft Commodity Sector - **Sugar**: Global sugar supply surplus expectations suppress international sugar prices. In the short - term, ICE raw sugar is expected to remain weak. In China, although there are some positive factors, the medium - long - term pressure on Zhengzhou sugar prices remains, and the rebound space is limited [3]. - **Pulp**: The market risk preference is boosted, but the supply of wood pulp remains high, and the demand improvement is limited. The pulp valuation is not high, but the upward drive is weak, and the rise height may be restricted [4]. - **Double - offset Paper**: The improvement in demand for finished paper is limited, and there is supply pressure. Although there is some cost support, the price is difficult to rise significantly [6]. - **Cotton**: The tariff adjustment in Sino - US trade negotiations supports textile and clothing exports. However, the supply pressure in the northern hemisphere still exists, and the domestic cotton price is expected to fluctuate in a low - level range [8]. Fresh Fruit and Vegetable Sector - **Apple**: The new season's apples have smaller fruit sizes and lower high - quality fruit rates, which support the futures price. However, the lack of consumption growth restricts the upward space. The futures price is expected to fluctuate strongly [9]. - **Jujube**: The futures price has fallen from a high level. The inventory depletion speed has slowed down, and new jujubes are on the market. The futures price is expected to be in a shock - falling state [9]. 3. Summary According to the Directory First Part: Sector Strategy Recommendation Fresh Fruit Futures | Variety | Recommended Strategy | Main Logic | Support Range | Pressure Range | | --- | --- | --- | --- | --- | | Apple 2605 | Hold long positions cautiously | Smaller fruit sizes and lower high - quality fruit rates in the new season, the futures price center moves up | 7900 - 8000 | 9700 - 9800 | | Jujube 2601 | Short at high prices | High futures premium, there is pressure for the futures and spot prices to converge | 10000 - 12000 | 11000 - 11300 | [19] Soft Commodity Futures | Variety | Recommended Strategy | Main Logic | Support Range | Pressure Range | | --- | --- | --- | --- | --- | | Sugar 2601 | Short on rebound | Short - term rebound under the boost of good news, but new sugar is about to be listed, and the global supply - demand is expected to weaken | 5380 - 5400 | 5530 - 5500 | | Pulp 2601 | Short within the range | The valuation is not high, but there is still supply pressure, and the overall increase in finished paper prices is limited | 4800 - 4900 | 5200 - 5300 | | Double - offset Paper 2601 | Short on rebound | The cost support has increased slightly, but the demand still suppresses the price under high supply elasticity | 4100 - 4200 | 4400 - 4500 | | Cotton 2601 | Reduce short positions | The increase in new cotton production is slightly less than expected, and the Sino - US trade relationship eases | 13200 - 13300 | 13700 - 13800 | [19] Second Part: Market News Changes Apple Market - **Fundamental Information**: In September 2025, the export volume of fresh apples was about 70,800 tons, a month - on - month increase of 3.50% and a year - on - year decrease of 6.32% [20]. - **Spot Market**: The mainstream apple prices in the producing areas remained stable. The trading in Shandong was at its peak, and the acquisition in Shaanxi was in the later stage. The market arrival volume in the sales areas increased, and the sales of high - quality goods were good [20][21]. Jujube Market The physical inventory of 36 sample points was 9103 tons, a month - on - month decrease of 1.04% and a year - on - year increase of 109.22%. New jujubes have not been concentratedly harvested, and some merchants have started to purchase [22]. Sugar Market China has suspended the import of all syrups and premixes since October 27. The sugar production in India in the 2025/26 season is expected to reach 34.9 million tons, a year - on - year increase of 19%. The EU has raised the yield forecast of sugar beets [24]. Pulp Market As of October 27, the weekly pulp inventory in sample areas decreased by 1.58% month - on - month. As of October 28, the steam consumption of a thermal power plant in Baoding decreased, and the operating rate of household paper decreased [26]. Double - offset Paper Market As of October 29, the average theoretical gross profit margin of the double - offset paper industry decreased, and the cost decline was narrower than the revenue decline, resulting in a continuous decline in profitability [27]. Cotton Market In September 2025, Japan's clothing imports increased significantly. The tariff on textile and clothing exports to the US has been reduced, and the export competitiveness will be restored [28]. Third Part: Market Review Futures Market | Variety | Closing Price | Daily Change | Daily Change Rate | | --- | --- | --- | --- | | Apple 2601 | 9268 | 70 | 0.76% | | Jujube 2601 | 10225 | - 270 | - 2.57% | | Sugar 2601 | 5472 | - 22 | - 0.40% | | Pulp 2511 | 4846 | 10 | 0.21% | | Cotton 2601 | 13600 | - 20 | - 0.15% | [29] Spot Market | Variety | Spot Price | Month - on - Month Change | Year - on - Year Change | | --- | --- | --- | --- | | Apple (yuan/jin) | 3.75 | 0 | 0.55 | | Jujube (yuan/kg) | 9.40 | - 0.10 | - 5.30 | | Sugar (yuan/ton) | 5750 | 0 | - 790 | | Pulp (Shandong Silver Star) | 5500 | 0 | - 700 | | Double - offset Paper (Sun Tianyang - Tianjin) | 4450 | 0 | - 450 | | Cotton (yuan/ton) | 14843 | 3 | - 593 | [34] Fourth Part: Basis Situation No specific summary information provided in the given content, only relevant charts are mentioned. Fifth Part: Inter - month Spread Situation | Variety | Spread | Current Value | Month - on - Month Change | Year - on - Year Change | Prediction | Recommended Strategy | | --- | --- | --- | --- | --- | --- | --- | | Apple | 1 - 5 | - 456 | 172 | 264 | Oscillatory decline | Short at high prices | | Jujube | 9 - 1 | - 80 | - 75 | - 175 | Range oscillation | Wait - and - see | | Sugar | 1 - 5 | 65 | 1 | 53 | Oscillatory fluctuation | Wait - and - see | | Cotton | 1 - 5 | - 10 | - 5 | 55 | Range fluctuation | Short at high prices | [52] Sixth Part: Futures Position Situation No specific summary information provided in the given content, only relevant charts are mentioned. Seventh Part: Futures Warehouse Receipt Situation | Variety | Warehouse Receipt Quantity | Month - on - Month Change | Year - on - Year Change | | --- | --- | --- | --- | | Apple | 0 | 0 | 0 | | Jujube | 0 | 0 | 0 | | Sugar | 7541 | - 84 | - 2359 | | Pulp | 224942 | - 486 | - 146925 | | Cotton | 2434 | - 26 | - 865 | [80] Eighth Part: Option - related Data No specific summary information provided in the given content, only relevant charts are mentioned.

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - The supply - side acquisition progress of cotton has entered a peak, with acquisition prices basically stable and slightly rising recently, around 6.2 yuan/kg. The demand - side shows little change. Considering the results of Sino - US economic and trade consultations, Zhengzhou cotton is expected to be slightly stronger in the short - term [6]. - For the cotton market, it is expected that the future trend of US cotton will likely be volatile, while Zhengzhou cotton is expected to show a slightly stronger volatile trend. For the cotton trading strategy, it is recommended to wait and see for arbitrage and options [7][8][9]. - In the cotton yarn industry, the trading volume of the pure cotton yarn market is average, with prices remaining stable. Some manufacturers plan to reduce prices to sell goods. Order demand is generally weak, but there are re - order situations due to Double 11, and high - count yarn orders for export are good. The price of all - cotton grey cloth is stable with a slight downward trend, and the inventory of manufacturers is accumulating [9]. 3. Summary by Directory First Part: Market Information - **Futures Market**: It shows the closing prices, price changes, trading volumes, and open interest of various cotton and cotton yarn futures contracts such as CF01, CF05, CY01, etc. For example, the closing price of CF01 contract is 13,600, with a decrease of 20, and the trading volume is 211,342 hands [2]. - **Spot Market**: Lists the prices and price changes of various cotton and cotton yarn spot products, such as the price of CCIndex3128B is 14,843 yuan/ton, with an increase of 13 yuan/ton, and the price of CY IndexC32S is 20,475 yuan/ton, remaining unchanged [2]. - **Price Spreads**: Includes cotton inter - period spreads, cotton yarn inter - period spreads, cross - variety spreads, and internal - external price spreads. For example, the 1 - month to 5 - month cotton inter - period spread is - 10, with a decrease of 5 [2]. Second Part: Market News and Views - **Cotton Market News**: - The Xinjiang cotton road transportation price index on October 30, 2025, was 0.1803 yuan/ton·km, remaining unchanged from the previous period. It is expected to show an overall fluctuating upward trend in the short term [4]. - On October 29, 2025, the machine - picked cotton acquisition index in Xinjiang was 6.28 yuan/kg, a decrease of 0.02 yuan/kg from the previous day, and the hand - picked cotton acquisition index was 7.05 yuan/kg, remaining unchanged [4]. - In September 2025, Japan's clothing imports entered the peak season, with both import volume and value increasing significantly compared to the previous month. The import value was 372.276 billion yen (equivalent to 2.524 billion US dollars), a year - on - year increase of 7.52% and a month - on - month increase of 13.12%. The import volume was 110,000 tons, a year - on - year increase of 5.13% and a month - on - month increase of 21.91% [5]. - The US will cancel the 10% so - called "fentanyl tariff" on Chinese goods, and the 24% counter - tariff on Chinese goods will continue to be suspended for one year. China will adjust its counter - measures accordingly, and both sides agree to extend some tariff exclusion measures [5][6]. - **Trading Logic**: The supply - side acquisition progress is at a peak, and acquisition prices are stable with a slight increase. The demand - side changes little. Considering the Sino - US economic and trade consultation results, Zhengzhou cotton is expected to be slightly stronger in the short term [6]. - **Trading Strategy**: - Unilateral: It is expected that the future trend of US cotton will likely be volatile, while Zhengzhou cotton is expected to show a slightly stronger volatile trend [7]. - Arbitrage: Wait and see [8]. - Options: Wait and see [9]. - **Cotton Yarn Industry News**: - The night - session of Zhengzhou cotton rose yesterday. The trading volume of the pure cotton yarn market is average, with prices remaining stable. Some manufacturers plan to reduce prices to sell goods. Overall order demand is weak, but there are re - order situations due to Double 11, and high - count yarn orders for export are good. The price of Xinjiang - produced high - grade compact - spun C32S is 21,600 - 21,800 yuan/ton [9]. - The price of all - cotton grey cloth is stable with a slight downward trend. Due to weak downstream demand, downstream customers make small - scale purchases. The sales of medium - and high - count grey cloth are not as expected, and the inventory of manufacturers is accumulating [9]. Third Part: Options - **Option Data**: Lists the option contract names, underlying contract prices, closing prices, price changes, implied volatility (IV), and other data of cotton options on October 28, 2025, such as the closing price of CF601C13400.CZC is 240, with a decrease of 10.4% [11]. - **Volatility Judgment**: On October 28, 2025, the 120 - day historical volatility (HV) of cotton decreased slightly compared to the previous day. The implied volatility of CF601 - C - 13400 is 7.5%, that of CF601 - P - 13000 is 10%, and that of CF601 - P - 12400 is 13.5% [11]. - **Option Strategy**: Wait and see [13]. Fourth Part: Related Attachments - It includes multiple charts such as the internal - external cotton price spread under 1% tariff, cotton 1 - month basis, cotton 5 - month basis, etc., which visually show the price trends and relationships of cotton and cotton yarn [15][16][17] [18][19][21][22][23][24][26].

1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints - The report presents the option market data of various ETFs and futures on October 30, 2025, including option prices, trading volumes, open interests, implied volatilities, etc. It also provides volatility trading suggestions and no - risk arbitrage returns for different options [3][21][22] 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the Shanghai 50ETF's main - contract options is 716,537 lots, the open interest is 766,270 lots, the trading volume ratio of call options to put options is 1.41, and the weighted - average implied volatility is 15.68% [21] - **Volatility Trading**: Sell the options with the upper curve in different months or points on the upper curve in the same month, and buy the corresponding lower ones [22] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 2.03% at the settlement price and 0.63% at the counter - price [26][28] 3.1.2 Huatai - Ber瑞沪深 300ETF - **Basic Information**: The trading volume of the main - contract options is 790,805 lots, the open interest is 660,654 lots, the trading volume ratio of call options to put options is 1.46, and the weighted - average implied volatility is 16.41% [31] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high and buy low based on the curve position [37] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.10% at the settlement price and 1.25% at the counter - price [39][41] 3.1.3 Southern China CSI 500ETF - **Basic Information**: The trading volume of the main - contract options is 1,263,496 lots, the open interest is 728,253 lots, the trading volume ratio of call options to put options is 1.14, and the weighted - average implied volatility is 20.61% [44] - **Volatility Trading**: Follow the rule of selling high and buying low on the volatility curve [49] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.5% at the settlement price and 6.36% at the counter - price [51][53] 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options is 1,085,084 lots, the open interest is 1,074,857 lots, the trading volume ratio of call options to put options is 1.64, and the weighted - average implied volatility is 36.68% [55] - **Volatility Trading**: Sell the upper - curve options and buy the lower - curve ones [57] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.0% at the settlement price and 3.81% at the counter - price [61][62] 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main - contract options is 183,339 lots, the open interest is 258,779 lots, the trading volume ratio of call options to put options is 2.27, and the weighted - average implied volatility is 36.56% [64] - **Volatility Trading**: Adopt the strategy of selling high and buying low on the volatility curve [68][69] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 17.6% at the settlement price and 4.69% at the counter - price [73][75] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main - contract options is 125,725 lots, the open interest is 134,920 lots, the trading volume ratio of call options to put options is 1.47, and the weighted - average implied volatility is 17.79% [78] - **Volatility Trading**: Sell options on the upper curve and buy those on the lower curve [84] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.1% at the settlement price and 1.89% at the counter - price [86][87] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main - contract options is 1,827,537 lots, the open interest is 1,014,874 lots, the trading volume ratio of call options to put options is 1.22, and the weighted - average implied volatility is 34.38% [90] - **Volatility Trading**: Follow the high - selling and low - buying rule on the volatility curve [92] - **No - risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.1% at the settlement price and 2.96% at the counter - price [96][98]

Core Insights - The SIBO volatility index has decreased to its lowest level in nearly two weeks, indicating a calm surface in the market, but underlying issues may still exist [1] - Individual stock volatility is significantly higher than the index level, suggesting that while the overall market appears stable, specific stocks are experiencing substantial fluctuations [2][4] Volatility Measures - The VIX EQ index, which measures single stock volatility, has recently reached an all-time high, indicating increased anxiety around earnings and valuations, particularly for high-profile tech stocks [3][4] - The widening spread between VIX EQ and VIX typically occurs before earnings announcements, reflecting heightened expectations for stock movements [3] Market Dynamics - The current market environment shows a notable dispersion in stock performance, with large-cap stocks like Apple and Amazon experiencing greater volatility compared to smaller stocks [5] - Despite significant individual stock volatility, the overall index volatility remains muted due to the uncorrelated movements of different sectors [5][6] Investor Sentiment - There has been a noticeable increase in hedging demand among investors, particularly as they seek downside protection and aim to lock in year-to-date gains [9] - The options market is reflecting a low level of volatility, leading to cheaper premiums for both call and put options, which may encourage increased trading activity [16] Bond Market Observations - The bond market has shown a decline in yields while inflation expectations are rising, suggesting that the Federal Reserve may prioritize labor market conditions over inflation risks [12] - This easing of financial conditions has contributed to positive performance across various asset classes [13] Future Outlook - The upcoming earnings season and potential interest rate cuts by the Federal Reserve are expected to influence market volatility, with options pricing indicating a 3% potential move in either direction for the S&P 500 ETF [14][15] - Investors are currently assessing the low levels of volatility as an opportunity to hedge against potential market shifts [17]

Market Summary - The market experienced significant volatility, with the index initially dropping over 1% to below 3880 points before rebounding in the afternoon, ultimately closing at 3922 points, up 0.22% [1][14] - The trading volume remained stable, maintaining above 1.6 trillion [1][14] - The market's upward movement was influenced by expectations surrounding the conclusion of the Fourth Plenary Session, leading to speculation and trading strategies focused on shorting at higher levels as long as historical highs are not breached [1][14] Technical Analysis - Key support level identified at 3880 points, with resistance at 3930 points and a critical point at 3920 [4][15] - The market's performance indicated a deep V-shaped rebound, with a long lower shadow on the daily candlestick chart, suggesting potential for further fluctuations [1][14] Options Market - The options market saw significant activity, with a notable rebound in put options after an initial surge in call options during the morning session [9][10] - The volatility index showed a slight increase, reflecting the market's response to the fluctuations in the underlying index, with a closing volatility of 15.09% [10][13] - The first trading day of new contracts was marked by intense competition between bullish and bearish positions, leading to rapid changes in option values [9][10]

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