a 先锋期货期权日报 2025-8-26 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 | | | zn2510 | 32.0% | 1 | 0.0% | 65 | 0.0% | 66 | | 科创板50etf8月 | 3.8% | 2 | 2.4% | 6 | 2.7% | 6 | | 科创50etf8月 | 3.6% | 3 | 2.3% | 7 | 2.6% | 8 | | ps2510 | 3.5% | 4 | 3.5% ...

Report Summary 1. Report Industry Investment Rating No information provided in the document. 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 various underlying assets. It also provides detailed information on options of different ETFs and futures contracts on multiple exchanges, including basic information, volatility trading suggestions, and risk - free arbitrage analysis. 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 on the day was 1,012,222 lots, the open interest was 991,286 lots, the trading volume ratio of call options to put options was 1.46, and the weighted average implied volatility was 18.54% [21]. - **Volatility Trading**: Suggestions are to sell options in months with higher implied volatility curves and buy those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.9% at the settlement price and 2.97% at the counter - price [27][29]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: The trading volume of the main options of Huatai - Berry CSI 300ETF on the day was 872,051 lots, the open interest was 669,322 lots, the trading volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 19.02% [33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in lower - curve months; for the same month, follow the rule of high - point selling and low - point buying [36]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.9% at the settlement price and 4.14% at the counter - price [40][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,459,211 lots, the open interest was 750,941 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 23.16% [45]. - **Volatility Trading**: Volatility trading suggestions are the same as above [51][52]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.6% at the settlement price and 2.72% at the counter - price [54][56]. - **1.4 Huaxia SSE STAR 50 ETF** - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50 ETF on the day was 1,053,911 lots, the open interest was 818,616 lots, the trading volume ratio of call options to put options was 1.99, and the weighted average implied volatility was 35.53% [59]. - **Volatility Trading**: Follow the same volatility trading rules [65]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.3% at the settlement price and 5.97% at the counter - price [67][69]. - **1.5 E Fund SSE STAR 50 ETF** - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50 ETF on the day was 240,600 lots, the open interest was 269,707 lots, the trading volume ratio of call options to put options was 2.07, and the weighted average implied volatility was 38.61% [72]. - **Volatility Trading**: Adopt the same volatility trading suggestions [76]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 24.0% at the settlement price and 1.58% at the counter - price [79][81]. 3.2 Shenzhen Stock Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 217,214 lots, the open interest was 179,258 lots, the trading volume ratio of call options to put options was 1.12, and the weighted average implied volatility was 22.01% [85]. - **Volatility Trading**: No detailed information on volatility trading results was given, but the document mentions volatility trading in general terms for other similar options [86]. - **Risk - free Arbitrage**: No information provided in the document.

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the volatility data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time volatility of the day. It also provides basic information, volatility trading suggestions, and risk - free arbitrage analysis for options on different ETFs in multiple exchanges [3][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 of the Shanghai 50ETF on the day was 1,209,336 lots, the open interest was 979,212 lots, the volume ratio of call options to put options was 2.18, and the weighted average implied volatility was 21.91% [19][21]. - **Volatility Trading**: Suggestions are to sell the month with the curve above and buy the month with the curve below for different months; sell the option with the point above the curve and buy the option with the point below the curve for the same month [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.8% at the settlement price and 5.84% at the counter - price [27][29]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of the Huatai - Berry SSE 300ETF on the day was 1,136,160 lots, the open interest was 727,636 lots, the volume ratio of call options to put options was 1.81, and the weighted average implied volatility was 22.03% [30][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month with the curve above and buy the month with the curve below for different months; sell the option with the point above the curve and buy the option with the point below the curve for the same month [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.60% at the settlement price and 2.76% at the counter - price [40][42]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of the Southern CSI 500ETF on the day was 1,672,302 lots, the open interest was 803,626 lots, the volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 25.92% [43][45]. - **Volatility Trading**: The same volatility trading suggestions as above [48]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 45.4% at the settlement price and 10.5% at the counter - price [51][53]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of the Huaxia SSE STAR 50ETF on the day was 1,176,662 lots, the open interest was 869,482 lots, the volume ratio of call options to put options was 2.44, and the weighted average implied volatility was 36.6% [54][55]. - **Volatility Trading**: Similar trading suggestions [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.9% at the settlement price and 3.32% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of the E Fund SSE STAR 50ETF on the day was 323,811 lots, the open interest was 284,791 lots, the volume ratio of call options to put options was 2.37, and the weighted average implied volatility was 38.96% [65][67]. - **Volatility Trading**: The same trading suggestions [69]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.9% at the settlement price and 6.56% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of the Harvest SSE 300ETF on the day was 248,529 lots, the open interest was 172,423 lots, the volume ratio of call options to put options was 1.47, and the weighted average implied volatility was 24.27% [76][79]. - **Volatility Trading**: Similar trading suggestions [82][83]. - **Risk - Free Arbitrage**: No detailed risk - free arbitrage data provided.

先锋期货期权日报 2025-8-13 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。 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 | 标的当同 | 排名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 中波索日 | | 真实波幅 | | | 1c2510 | 4.0% | 1 | 4.0% | 2 | 6.3% | 2 | | ps2510 | 3.8% | 2 | 4.3% | 1 | 3.6% | 6 | | si2510 | 3.3% | 3 | 3.3% | 5 | 3.8% | 4 | | ao2509 | 2.5% | 4 | 2.9% | 6 | 3.1% | 8 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents data on the volatility of various futures and ETF options, including implied volatility, historical volatility, and real - time volatility. It also provides T - type quotation tables for different ETF options, along with trading suggestions for volatility and potential returns from risk - free arbitrage [3][19][23]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50ETF - **Basic Information**: The trading volume of the main SSE 50ETF options on this day was 478,863 lots, the open interest was 929,034 lots, the volume ratio of call options to put options was 1.35, and the weighted average implied volatility was 13.56% [21]. - **Volatility Trading**: Suggestions are to sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.45% at the settlement price and 1.00% at the counter - price [27][29]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options on this day was 420,997 lots, the open interest was 746,251 lots, the volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 14.13% [33]. - **Volatility Trading**: Similar to SSE 50ETF, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [35]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.20% at the settlement price and 0.18% at the counter - price [39][40]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options on this day was 898,356 lots, the open interest was 745,967 lots, the volume ratio of call options to put options was 1.33, and the weighted average implied volatility was 14.79% [43]. - **Volatility Trading**: The same trading suggestions as above, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [45]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.7% at the settlement price and 8.96% at the counter - price [49][51]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options on this day was 265,461 lots, the open interest was 931,593 lots, the volume ratio of call options to put options was 1.68, and the weighted average implied volatility was 24.28% [54]. - **Volatility Trading**: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.4% at the settlement price and 3.20% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options on this day was 50,678 lots, the open interest was 253,221 lots, the volume ratio of call options to put options was 1.6, and the weighted average implied volatility was 24.71% [67]. - **Volatility Trading**: Similar trading suggestions, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [69]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.59% at the settlement price and 0.43% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main Harvest SSE 300ETF options on this day was 87,577 lots, the open interest was 149,030 lots, the volume ratio of call options to put options was 1.28, and the weighted average implied volatility was 15.24% [79]. - **Volatility Trading**: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [81]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5% at the settlement price and 0.82% at the counter - price [85][87].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the daily data of futures and options, including the implied volatility, historical volatility, and real - time volatility of various option targets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for options on different ETFs from multiple exchanges [3][6]. 3. Summary by Directory 3.1 Upper - Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 651,474 lots, the open interest is 920,026 lots, the trading volume ratio of call to put options is 1.29, and the weighted average implied volatility is 13.88% [19][21]. - **Volatility Trading**: Suggest selling options with curves or points above and buying those below [23]. - **Risk - Free Arbitrage**: The minimum annualized return is 8.00% at the settlement price and 1.78% at the counter - price [27][29]. - **1.2 Huatai - Baorui CSI 300ETF** - **Basic Information**: The trading volume of the main options is 554,874 lots, the open interest is 734,306 lots, the trading volume ratio of call to put options is 1.32, and the weighted average implied volatility is 14.14% [30][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve or high - point options and buy low ones [37]. - **Risk - Free Arbitrage**: The minimum annualized return is 3.62% at the settlement price and 0.39% at the counter - price [40][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 816,723 lots, the open interest is 750,069 lots, the trading volume ratio of call to put options is 1.16, and the weighted average implied volatility is 15.33% [43][45]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [47]. - **Risk - Free Arbitrage**: The minimum annualized return is 51.6% at the settlement price and 10.8% at the counter - price [51][53]. - **1.4 Huaxia Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 269,625 lots, the open interest is 903,284 lots, the trading volume ratio of call to put options is 1.73, and the weighted average implied volatility is 24.47% [54][56]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [58]. - **Risk - Free Arbitrage**: The minimum annualized return is 7.30% at the settlement price and 2.13% at the counter - price [62][64]. - **1.5 E Fund Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 62,645 lots, the open interest is 252,359 lots, the trading volume ratio of call to put options is 1.76, and the weighted average implied volatility is 24.37% [65][67]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [69]. - **Risk - Free Arbitrage**: The minimum annualized return is 10.1% at the settlement price, and there is no return at the counter - price [73][75]. 3.2 Shenzhen - Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main options is 103,182 lots, the open interest is 146,512 lots, the trading volume ratio of call to put options is 1.13, and the weighted average implied volatility is 15.29% [76][79]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [84]. - **Risk - Free Arbitrage**: The minimum annualized return is 17.2% at the settlement price and 1.33% at the counter - price [86][88].

1. Report Industry Investment Rating - Not provided in the content 2. Report's Core View - The report presents the daily data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real daily amplitude. It also provides T - type quotes, trading volume, open interest, and implied volatility data of options on different ETFs and futures. Additionally, it offers volatility trading suggestions and calculates the minimum annualized return of the optimal arbitrage portfolio for different options [3][19][25] 3. Summary According to the Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options is 525,793 lots, the open interest is 951,075 lots, the trading volume ratio of call options to put options is 1.23, and the weighted average implied volatility is 14.27%. The T - type quotes of call and put options at different strike prices are provided [19][21] - **Volatility Trading**: Different months: sell the months with the curve on top and buy the months with the curve below; same month: sell the options with points on the curve above and buy the options with points on the curve below [25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.77% at the settlement price and 1.26% at the counter - party price [28][30] 3.1.2 Huatai - Berry SSE 300 ETF - **Basic Information**: The trading volume of the main options is 507,718 lots, the open interest is 739,326 lots, the trading volume ratio of call options to put options is 1.22, and the weighted average implied volatility is 14.55%. The T - type quotes of call and put options at different strike prices are provided [31][34] - **Volatility Trading**: Similar trading suggestions as SSE 50 ETF [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.98% at the settlement price and 2.27% at the counter - party price [41][43] 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main options is 974,072 lots, the open interest is 754,518 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 16.28%. The T - type quotes of call and put options at different strike prices are provided [44][46] - **Volatility Trading**: Similar trading suggestions as above [50] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.4% at the settlement price and 9.35% at the counter - party price [53][55] 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options is 375,872 lots, the open interest is 900,656 lots, the trading volume ratio of call options to put options is 1.52, and the weighted average implied volatility is 24.95%. The T - type quotes of call and put options at different strike prices are provided [56][58] - **Volatility Trading**: Similar trading suggestions as above [60] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.3% at the settlement price and 0.60% at the counter - party price [65][67] 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options is 80,703 lots, the open interest is 252,728 lots, the trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 25.38%. The T - type quotes of call and put options at different strike prices are provided [68][70] - **Volatility Trading**: Similar trading suggestions as above [72] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.10% at the settlement price, and there is no return at the counter - party price [76][78] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300 ETF - **Basic Information**: The trading volume of the main options is 96,931 lots, the open interest is 144,746 lots, the trading volume ratio of call options to put options is 1.3, and the weighted average implied volatility is 15.44%. The T - type quotes of call and put options at different strike prices are provided [79][82] - **Volatility Trading**: Similar trading suggestions as above [86] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.6% at the settlement price and 0.43% at the counter - party price [89][91]

Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: July 30, 2025 [1] 1. Report Industry Investment Rating - Not provided in the document 2. Core Viewpoints - The report presents the implied volatility, historical volatility, and real - time volatility of various option targets, and provides T - type quotes, volatility trading suggestions, and risk - free arbitrage information for multiple ETF options on different exchanges [3][19][22] 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 on this day was 1,175,716 lots, the open interest was 785,819 lots, the volume ratio of call options to put options was 1.58, and the weighted average implied volatility was 16.12% [19][21] - **Volatility Trading**: Sell options in months with higher curves or points on the curve, and buy options in months with lower curves or points on the curve [23] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 2.90% at the settlement price and 1.33% at the counter - party price [27][29] 3.1.2 Huatai - Baoying CSI 300ETF - **Basic Information**: The trading volume of the main options of 300ETF on this day was 873,682 lots, the open interest was 633,506 lots, the volume ratio of call options to put options was 1.38, and the weighted average implied volatility was 16.14% [30][33] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options and buy low - curve options [36] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 2.67% at the settlement price and 0.30% at the counter - party price [40][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of 500ETF on this day was 1,199,087 lots, the open interest was 669,585 lots, the volume ratio of call options to put options was 1.07, and the weighted average implied volatility was 18.82% [43][45] - **Volatility Trading**: Sell high - curve options and buy low - curve options [49] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 37.8% at the settlement price and 8.15% at the counter - party price [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of Science and Technology Innovation 50ETF on this day was 695,552 lots, the open interest was 934,567 lots, the volume ratio of call options to put options was 1.89, and the weighted average implied volatility was 28.17% [55][57] - **Volatility Trading**: Sell high - curve options and buy low - curve options [59] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 8.66% at the settlement price and 2.79% at the counter - party price [63][65] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of Science and Technology Innovation 50ETF on this day was 156,459 lots, the open interest was 257,539 lots, the volume ratio of call options to put options was 2.18, and the weighted average implied volatility was 28.69% [66][68] - **Volatility Trading**: Sell high - curve options and buy low - curve options [70] - **Risk - free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 6.12% at the settlement price and 1.16% at the counter - party price [74][76] 3.2 Shenzhen Stock Exchange Options - Specific option information for Shenzhen Stock Exchange is not fully presented in the provided text, only the headings are given 3.3 China Financial Futures Exchange Options - Specific option information for China Financial Futures Exchange is not fully presented in the provided text, only the headings are given 3.4 Zhengzhou Commodity Exchange Options - Specific option information for Zhengzhou Commodity Exchange is not fully presented in the provided text, only the headings are given 3.5 Dalian Commodity Exchange Options - Specific option information for Dalian Commodity Exchange is not fully presented in the provided text, only the headings are given 3.6 Shanghai Futures Exchange Options - Specific option information for Shanghai Futures Exchange is not fully presented in the provided text, only the headings are given 3.7 Shanghai International Energy Exchange Options - Specific option information for Shanghai International Energy Exchange is not fully presented in the provided text, only the headings are given 3.8 Guangzhou Futures Exchange Options - Specific option information for Guangzhou Futures Exchange is not fully presented in the provided text, only the headings are given

Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: July 23, 2025 [1] Industry Investment Rating - Not provided in the report Core Viewpoints - The report provides detailed data on various option products, including implied volatility, historical volatility, and real - time volatility, to assist investors in making trading decisions [3][5][6] Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 866,440 lots, the open interest was 535,949 lots, the trading volume ratio of call options to put options was 1.78, and the weighted average implied volatility was 17.11% [19][21] - **Volatility Trading**: Suggestions include selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling the options with points above the curve and buying those below for the same month [23] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 3.84% at the settlement price and 0.53% at the counter - price [27][29] 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day was 772,000 lots, the open interest was 526,544 lots, the trading volume ratio of call options to put options was 1.76, and the weighted average implied volatility was 17.39% [30][33] - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the options of the month with the upper curve and buy those of 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 [34] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 2.66% at the settlement price and 0.04% at the counter - price [38][40] 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 848,679 lots, the open interest was 465,938 lots, the trading volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 20.19% [41][43] - **Volatility Trading**: Follow the rule of selling the options of the month with the upper curve and buying those of the month with the lower curve for different months; selling the options with points above the curve and buying those below for the same month [45] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 25.1% at the settlement price and 5.50% at the counter - price [50][52] 1.4 Huaxia SSE STAR Market 50ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR Market 50ETF on the day was 602,584 lots, the open interest was 682,078 lots, the trading volume ratio of call options to put options was 2.35, and the weighted average implied volatility was 27.3% [53][55] - **Volatility Trading**: Sell the options of the month with the upper curve and buy those of 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 [57] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 4.18% at the settlement price and 1.28% at the counter - price [61][63] 1.5 E Fund SSE STAR Market 50ETF - **Basic Information**: The trading volume of the main options of E Fund SSE STAR Market 50ETF on the day was 158,400 lots, the open interest was 174,325 lots, the trading volume ratio of call options to put options was 2.54, and the weighted average implied volatility was 28.37% [64][66] - **Volatility Trading**: Similar to other products, sell the options of the month with the upper curve and buy those of 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 [69] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 6.73% at the settlement price and 0.87% at the counter - price [72][74] 2. Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of Harvest SSE 300ETF on the day was 83,094 lots, the open interest was 71,654 lots, the trading volume ratio of call options to put options was 2.37, and the weighted average implied volatility was 18.17% [75][78] - **Volatility Trading**: Sell the options of the month with the upper curve and buy those of 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 [80] - **Risk - free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 8.70% at the settlement price and 0.09% at the counter - price [84][86] 2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options of E Fund ChiNext ETF on the day was 941,105 lots, the open interest was 609,208 lots, the trading volume ratio of call options to put options was 1.66, and the weighted average implied volatility was 25.67% [87][89] - **Volatility Trading**: Not fully detailed in the provided content - **Risk - free Arbitrage**: Not provided in the report

1. Report Industry Investment Rating - No information provided in the report 2. Core Viewpoints - The report presents a comprehensive analysis of various options in multiple exchanges, including their basic information, trading volumes, open interests, volume ratios of call and put options, weighted average implied volatilities, and provides volatility trading suggestions and no - risk arbitrage opportunities [3][21][23] 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 696,475 lots, the open interest is 940,239 lots, the volume ratio of call and put options is 1.2, and the weighted average implied volatility is 14.65% [19][21] - **Volatility Trading**: Suggestions are to sell the month with the curve above and buy the month with the curve below for different months; sell the option with the point above the curve and buy the option with the point below the curve for the same month [23] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 20.6% at the settlement price and 1.63% at the counter - price [23][27][29] 3.1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options is 749,160 lots, the open interest is 351,922 lots, the volume ratio of call and put options is 0.58, and the weighted average implied volatility is 19.26% [30][32] - **Volatility Trading**: Similar to Shanghai 50ETF, sell the curve - above month and buy the curve - below month for different months; sell the point - above option and buy the point - below option for the same month [36] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 2.87% at the settlement price and 0.52% at the counter - price [39][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,076,342 lots, the open interest is 679,205 lots, the volume ratio of call and put options is 1.09, and the weighted average implied volatility is 16.98% [43][45] - **Volatility Trading**: The same trading suggestions as above for different and same months [50] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 67.1% at the settlement price and 12.7% at the counter - price [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 577,910 lots, the open interest is 580,782 lots, the volume ratio of call and put options is 1.99, and the weighted average implied volatility is 32.7% [55][57] - **Volatility Trading**: Follow the same rules for different and same months [59] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 5.83% at the settlement price and 0.85% at the counter - price [63][65] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 92,944 lots, the open interest is 281,020 lots, the volume ratio of call and put options is 1.83, and the weighted average implied volatility is 24.49% [66][68] - **Volatility Trading**: Adopt the same trading suggestions [70] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 40.2% at the settlement price and 0.45% at the counter - price [74][76] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options is 93,508 lots, the open interest is 125,985 lots, the volume ratio of call and put options is 1.31, and the weighted average implied volatility is 16.25% [77][80] - **Volatility Trading**: Use the same trading rules [82] - **No - Risk Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 31.0% at the settlement price and 1.77% at the counter - price [86][88]