1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the option market data of various underlying assets on April 8, 2025, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of the day. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for different exchange - listed options [3][4][6]. 3. Summary by Directory 3.1. Shanghai Stock Exchange Options 3.1.1. Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 1,327,067 lots, the open interest is 995,843 lots, the trading volume ratio of call options to put options is 1.23, and the weighted average implied volatility is 27.22% [19][22]. - **Volatility Trading**: 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 below [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 89.4% at the settlement price and 26.9% at the counter - price [28][30]. 3.1.2. Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options is 1,140,414 lots, the open interest is 806,814 lots, the trading volume ratio of call options to put options is 1.01, and the weighted average implied volatility is 31.73% [31][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month or option with the curve or point above, buy the one below [37]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 73.2% at the settlement price and 24.9% at the counter - price [40][42]. 3.1.3. Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,386,820 lots, the open interest is 646,442 lots, the trading volume ratio of call options to put options is 0.84, and the weighted average implied volatility is 40.85% [43][46]. - **Volatility Trading**: Follow the rule of selling high and buying low on the volatility curve [51]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 35.4% at the settlement price and 23.9% at the counter - price [53][55]. 3.1.4. Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options is 1,024,532 lots, the open interest is 993,129 lots, the trading volume ratio of call options to put options is 0.87, and the weighted average implied volatility is 57.71% [56][58]. - **Volatility Trading**: Adopt the strategy of selling high and buying low on the volatility curve [62]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 67.0% at the settlement price and 22.4% at the counter - price [65][67]. 3.1.5. E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options is 227,894 lots, the open interest is 257,582 lots, the trading volume ratio of call options to put options is 0.96, and the weighted average implied volatility is 55.69% [68][70]. - **Volatility Trading**: Sell the month or option with the higher position on the volatility curve and buy the lower one [72]. - **Risk - Free Arbitrage**: No specific data provided.

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]

Report Summary 1) Report Industry Investment Rating No relevant information provided. 2) Core View of the Report - The static valuation range of the synthetic rubber futures fundamentals is 12,800 - 13,800 yuan/ton. Due to the neutral fundamentals of butadiene, the dynamic valuation range is expected to fluctuate mainly. The upper valuation high of the fundamentals is around 13,700 - 13,800 yuan/ton on the disk. When the main BR2405 contract has a premium of about 200 yuan/ton over the market price in Shandong area, there is a risk - free arbitrage space of holding spot and shorting the disk, which will increase the pressure on the upper space of the disk. The butadiene is expected to support the price of cis - butadiene rubber from the cost side, and the theoretical valuation bottom range of the disk is 12,800 yuan/ton [1][3]. - In the short term, butadiene shows a pattern of fluctuating with support. Low - price spot has demand support, and some enterprises raised their quotes by 100 yuan/ton yesterday. Against the background of continuous rise in crude oil and a slight increase in butadiene, it supports the cis - butadiene rubber futures [3]. 3) Summary According to the Catalog [Fundamental Tracking] - **Futures Market**: The closing price of the main cis - butadiene rubber contract (05 contract) increased by 65 yuan/ton to 13,600 yuan/ton, the trading volume decreased by 16,107 lots to 86,377 lots, the open interest decreased by 3,164 lots to 27,477 lots, and the trading volume decreased by 109,684 ten - thousand yuan to 585,363 ten - thousand yuan [1]. - **Spread Data**: The basis of Shandong cis - butadiene rubber minus the futures main contract decreased by 65 to 100, the monthly spread of BR04 - BR05 increased by 25 to - 50. The prices of cis - butadiene rubber in North China, East China, and South China remained unchanged, and the market price of Shandong cis - butadiene rubber (delivery product) remained unchanged at 13,700 yuan/ton. The prices of Qilu styrene - butadiene rubber (model 1502 and 1712) remained unchanged, the mainstream price of butadiene in Jiangsu remained unchanged at 11,100 yuan/ton, and the mainstream price in Shandong decreased by 25 yuan/ton to 11,250 yuan/ton [1]. - **Fundamentals**: The cis - butadiene rubber operating rate increased by 0.96 percentage points to 58.9261%, the theoretical full cost of cis - butadiene rubber increased by 103 yuan/ton to 14,036 yuan/ton, and the profit of cis - butadiene rubber decreased by 103 yuan/ton to - 236 yuan/ton [1]. [Industry News] - The static and dynamic valuation ranges of the synthetic rubber futures fundamentals are analyzed, and the upper and lower valuation limits are given. The cost - based calculation of the full cost of cis - butadiene rubber is also provided [1][3]. - The short - term trend of butadiene is analyzed, and it is pointed out that the cis - butadiene rubber futures is supported by the rise of butadiene and crude oil. Attention should be paid to the transaction volume of butadiene and the explicit inventory data of synthetic rubber and butadiene [3]. [Trend Intensity] The trend intensity of synthetic rubber is 0, indicating a neutral trend [3].