1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the daily data of various futures and ETF options, including the implied volatility, historical volatility, and real - time volatility of different underlying assets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for options on multiple exchanges such as the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc. [3][19][31] 3. Summary According to the 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 686,104 lots, the open interest is 859,749 lots, the trading volume ratio of call and put options is 0.93, and the weighted average implied volatility is 11.61%. The T - type quotation table shows the prices of call and put options at different strike prices and expiration months. [19][22] - **Volatility Trading**: Suggestions are to sell options in the month with the upper curve and buy those in the month with the lower curve for different months; sell options above the curve and buy those below the curve for the same month. [26] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.9% at the settlement price and 3.07% at the counter - party price. [29][31] 3.1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - **Basic Information**: The trading volume of the main options is 450,034 lots, the open interest is 657,340 lots, the trading volume ratio of call and put options is 1.03, and the weighted average implied volatility is 11.98%. The T - type quotation table shows option prices. [32][34] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options and buy low - curve options. [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.6% at the settlement price and 1.34% at the counter - party price. [41][44] 3.1.3 Southern China Securities 500ETF - **Basic Information**: The trading volume of the main options is 1,023,413 lots, the open interest is 747,160 lots, the trading volume ratio of call and put options is 0.99, and the weighted average implied volatility is 13.77%. The T - type quotation table shows option prices. [45][47] - **Volatility Trading**: Follow the rule of selling high - curve and buying low - curve options. [51] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.6% at the settlement price and 5.05% at the counter - party price. [54][56] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 215,122 lots, the open interest is 956,542 lots, the trading volume ratio of call and put options is 1.42, and the weighted average implied volatility is 25.72%. The T - type quotation table shows option prices. [57][59] - **Volatility Trading**: Adopt the strategy of selling high - curve and buying low - curve options. [63] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 24.2% at the settlement price and 4.52% at the counter - party price. [66][68] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 67,240 lots, the open interest is 116,813 lots, the trading volume ratio of call and put options is 0.61, and the weighted average implied volatility is 26.34%. The T - type quotation table shows option prices. [69][71] - **Volatility Trading**: Use the strategy of selling high - curve and buying low - curve options. [75] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 20.4% at the settlement price and 5.05% at the counter - party price. [78][80] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest Shanghai - Shenzhen 300ETF - **Basic Information**: The T - type quotation table shows the prices of call and put options at different strike prices and expiration months for the Harvest Shanghai - Shenzhen 300ETF. [81] - **Volatility Trading**: No relevant content provided. - **Risk - Free Arbitrage**: No relevant content provided.

先锋期货期权日报 2025-6-17 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 | | | ad2511 | 32.0% | 1 | 0.0% | 64 | 0.0% | 64 | | pg2507 | 3.0% | 2 | 1.5% | 10 | 2.0% | 8 | | sc2508 | 2.8% | 3 | 2.3% | 1 | 4.7% | 1 | | eb2507 | 2.5% | 4 | 1.6% | 8 | 2 ...

1. Report Information - Report Name: Pioneer Futures Option Daily Report [1] - Date: June 11, 2025 [1] 2. Option Volatility Ranking 2.1 Volatility Data - The report provides the implied volatility, 30 - day historical volatility, and real - time volatility of various option targets, including sc2507, br2507, etc. For example, sc2507 has an implied volatility of 2.4%, a 30 - day historical volatility of 2.0%, and a real - time volatility of 1.7% [3]. 2.2 Volatility Analysis - Implied volatility reflects market expectations of future fluctuations. Higher values indicate a greater likelihood of significant market movements, which is of interest to trend traders. - The 30 - day historical volatility reflects past actual market movements. If it is lower than the implied volatility, option prices may be relatively high, which is relevant for option sellers. - Real - time volatility reflects the intraday market movement, which is important for intraday traders [6]. 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: On the reporting day, the trading volume of the main Shanghai 50ETF options was 717,671 contracts, the open interest was 1,002,999 contracts, the trading volume ratio of call options to put options was 1.25, and the weighted - average implied volatility was 13.12% [22]. - **Volatility Trading**: Different execution prices and different months have different implied volatility curves. The trading suggestion is to sell options with higher - position curves and buy those with lower - position curves [26]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.43% at the settlement price and 0.84% at the counter - price [32][33]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options was 672,788 contracts, the open interest was 837,164 contracts, the trading volume ratio of call options to put options was 1.34, and the weighted - average implied volatility was 13.82% [36]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options with higher - position curves and buy those with lower - position curves [40]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 3.52% at the settlement price and 0.35% at the counter - price [43][45]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options was 972,339 contracts, the open interest was 886,322 contracts, the trading volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 16.06% [48]. - **Volatility Trading**: Follow the rule of selling high - curve options and buying low - curve options [52]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 39.4% at the settlement price and 8.66% at the counter - price [55][57]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options was 284,026 contracts, the open interest was 1,041,625 contracts, the trading volume ratio of call options to put options was 1.57, and the weighted - average implied volatility was 23.74% [60]. - **Volatility Trading**: Adopt the strategy of selling high - curve options and buying low - curve options [62]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 22.0% at the settlement price and 4.93% at the counter - price [66][68]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options was 77,318 contracts, the open interest was 296,583 contracts, the trading volume ratio of call options to put options was 1.19, and the weighted - average implied volatility was 22.72% [71]. - **Volatility Trading**: Use the strategy of selling high - curve options and buying low - curve options [75]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 28.7% at the settlement price and 3.33% at the counter - price [78][80]. Other exchanges such as the Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange also have corresponding option analysis in the table of contents, but specific data is not provided in the given text.

先锋期货期权日报 2025-6-3 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 | 1.9% | 5 | 3.9% | 5 | | sc2507 | 2.4% | 2 | 2.3% | 2 | 4.5% | 2 | | si2507 | 2.3% | 3 | 1.6% | 12 | 1.8% | 28 | | lc2507 | 2.3% | 4 | 1.7% | 10 | 2.6 ...

先锋期货期权日报 2025-5-28 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。 平值期权隐含波动率反映了市场对该品种未来波动的预期，数值越大越可能有大行情 （趋势交易者可以关注排名靠前的品种）；标的 30 天历史波动率则反映了该品种过去实际 的行情大小，数值比前者小意味着期权价格可能偏贵（期权卖方可以关注与前者排名的差 异）；而标的当日真实波幅则反映了该品种当日日内行情的大小（日内交易者可以关注排名 靠前的品种）。 期市有风险,投资需谨慎 目录 | 1.上交所期权 | | --- | | 1.1 上证 50ETF . | | 1.1.1 基本信息 ……………………………………………………………………………………１ | | 1.1.2 波动率交易 …………………… ...

先锋期货期权日报 2025-5-19 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 | | | ao2506 | 3.4% | 1 | 2.4% | 1 | 8.8% | 1 | | sn2506 | 2.4% | 2 | 1.0% | 31 | 1.4% | 26 | | eb2506 | 2.4% | 3 | 1.8% | 7 | 1.9% | 13 | | ps2507 | 2.4% | 4 | 1.9% | 6 | 2. ...

先锋期货期权日报 2025-5-13 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。 数据来源：IfinD、先锋期货投资咨询部 注：本表波动率均为日化波动率，单位已统一，相互可直接比较和做差 平值期权隐含波动率反映了市场对该品种未来波动的预期，数值越大越可能有大行情 （趋势交易者可以关注排名靠前的品种）；标的 30 天历史波动率则反映了该品种过去实际 的行情大小，数值比前者小意味着期权价格可能偏贵（期权卖方可以关注与前者排名的差 异）；而标的当日真实波幅则反映了该品种当日日内行情的大小（日内交易者可以关注排名 靠前的品种）。 期市有风险,投资需谨慎 目录 | 1.上交所期权 | | --- | | 1.1 上证 50ETF . | | 1.1.1 基本信息 ……………………………………………………………………………………１ | | 1.1.2 波动率交易 …………………………………………………………………………………………2 | | 1.1.3 无风险套利 ...

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents a comprehensive analysis of various options, including those from different exchanges such as the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc., with a focus on their basic information, volatility trading, and risk - free arbitrage opportunities. It offers data on option prices, trading volumes, open interests, implied volatilities, and provides trading suggestions based on volatility curves. 3. Summary by Directory 3.1. Shanghai Stock Exchange Options - **1.1. Shanghai 50ETF** - **Basic Information**: The trading volume of the main options of Shanghai 50ETF is 621,333 lots, the open interest is 781,208 lots, the trading volume ratio of call and put options is 1.11, and the weighted - average implied volatility is 13.58% [19][22]. - **Volatility Trading**: Suggestions are to sell the options in the month with the upper curve and buy those in the month with the lower curve for different months; and sell the options with points above the curve and buy those below the curve for the same month [24]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.69% at the settlement price and no return is available at the counter - price [28][30]. - **1.2. Huatai - Berich CSI 300ETF** - **Basic Information**: The trading volume of the main options is 593,133 lots, the open interest is 609,330 lots, the trading volume ratio of call and put options is 0.96, and the weighted - average implied volatility is 14.66% [31][33]. - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF based on volatility curves [36]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.53% at the settlement price and 1.46% at the counter - price [40][41]. - **1.3. Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 861,064 lots, the open interest is 630,035 lots, the trading volume ratio of call and put options is 0.95, and the weighted - average implied volatility is 17.81% [42][45]. - **Volatility Trading**: Trading suggestions based on volatility curves are the same as above [47]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 43.4% at the settlement price and 9.39% at the counter - price [51][53]. - **1.4. Huaxia Shanghai Science and Technology Innovation 50ETF** - **Basic Information**: The trading volume of the main options is 416,662 lots, the open interest is 684,440 lots, the trading volume ratio of call and put options is 1.01, and the weighted - average implied volatility is 25.54% [54][56]. - **Volatility Trading**: Similar trading suggestions according to volatility curves [58]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 29.6% at the settlement price and 5.96% at the counter - price [62][64]. - **1.5. E Fund Shanghai Science and Technology Innovation 50ETF** - **Basic Information**: The trading volume of the main options is 73,929 lots, the open interest is 157,824 lots, the trading volume ratio of call and put options is 1.23, and the weighted - average implied volatility is 26.36% [65][66]. - **Volatility Trading**: Trading suggestions based on volatility curves are consistent [70]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.2% at the settlement price and 7.46% at the counter - price [73][75]. 3.2. Shenzhen Stock Exchange Options - **2.1. Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main options is 88,481 lots, the open interest is 143,169 lots, the trading volume ratio of call and put options is 0.81, and the weighted - average implied volatility is 16.65% [76][79]. - **Volatility Trading**: Suggestions are to sell the options in the month with the upper curve and buy those in the month with the lower curve for different months; and sell the options with points above the curve and buy those below the curve for the same month [83][84]. - **Risk - free Arbitrage**: No risk - free arbitrage data is provided in the given text. 3.3. Option Volatility Ranking The report provides a ranking of the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time volatility of various underlying assets, which can help different types of traders (trend traders, option sellers, intraday traders) identify potential trading opportunities [3][5][6].

先锋期货期权日报 2025-4-25 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 | 2.7% | 3 | 1.8% | 19 | | au2506 | 2.3% | 2 | 1.8% | 21 | 2.4% | 7 | | sn2506 | 2.3% | 3 | 2.4% | 7 | 1.6% | 21 | | ag2506 | 2.3% | 4 | 2.1% | 14 | 1 ...

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report presents a comprehensive analysis of various option products, including their basic information, volatility trading, and risk - free arbitrage opportunities. It also provides data on option trading volume, open interest, and implied volatility for different underlying assets, along with volatility trading suggestions based on implied volatility curves. 3. Summary by Directory 3.1 Upper - Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main options of Shanghai 50ETF is 371,702 lots, the open interest is 530,323 lots, the trading volume ratio of call options to put options is 1.2, and the weighted - average implied volatility is 14.54% [19][22]. - **Volatility Trading**: Suggestions are to sell the options in the month with the upper curve and buy those in the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.59% at the settlement price and 1.35% at the counter - price [28][30]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: The trading volume of the main options is 416,085 lots, the open interest is 466,123 lots, the trading volume ratio of call options to put options is 1.18, and the weighted - average implied volatility is 15.37% [31][33]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell the upper - curve options and buy the lower - curve ones [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.95% at the settlement price and 2.88% at the counter - price [39][41]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 549,037 lots, the open interest is 427,610 lots, the trading volume ratio of call options to put options is 1.15, and the weighted - average implied volatility is 20.7% [42][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 35.2% at the settlement price and 9.12% at the counter - price [52][54]. - **1.4 Huaxia Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 277,714 lots, the open interest is 508,135 lots, the trading volume ratio of call options to put options is 1.16, and the weighted - average implied volatility is 26.67% [55][57]. - **Volatility Trading**: Adopt the same volatility trading rules [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.2% at the settlement price and 10.1% at the counter - price [63][65]. - **1.5 E Fund Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 63,563 lots, the open interest is 164,169 lots, the trading volume ratio of call options to put options is 1.68, and the weighted - average implied volatility is 32.5% [66][68]. - **Volatility Trading**: Apply the same volatility trading suggestions [70]. - **Risk - Free Arbitrage**: No specific risk - free arbitrage data is provided in the given content. 3.2 Option Volatility and Ranking - The report provides a list of option underlying assets' at - the - money implied volatility, 30 - day historical volatility, and daily true range, along with their rankings. At - the - money implied volatility reflects market expectations of future fluctuations, 30 - day historical volatility reflects past actual market movements, and daily true range reflects intraday market movements [3][6].