a 先锋期货期权日报 2025-8-25 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 | | | 科创50etf8月 | 5.0% | 1 | 2.3% | 7 | 5.3% | 2 | | 科创板50etf8月 | 4.9% | 2 | 2.4% | 6 | 5.4% | 1 | | ps2510 | 3.7% | 3 | 3.5% | 2 | 3.4% | 7 | | lc2510 | 3.4% | 4 | 4.0% | ...

先锋期货期权日报 2025-8-22 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 | | | 科创50etf8月 | 3.8% | 1 | 2.2% | 9 | 8.8% | 2 | | ps2510 | 3.5% | 2 | 3.9% | 2 | 2.7% | 8 | | lc2510 | 3.1% | 3 | 4.6% | 1 | 6.1% | 3 | | 科创板50etf8月 | 3.0% | 4 | 2.3% | 8 ...

Report Industry Investment Rating No relevant information provided. Core Viewpoints No clear core viewpoints are presented in the given text. The report mainly provides data on various option products, including their prices, trading volumes, open interests, and implied volatilities, along with some trading suggestions for volatility trading and no - risk arbitrage. Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on the day was 918,708 lots, the open interest was 930,895 lots, the trading volume ratio of call options to put options was 1.54, and the weighted - average implied volatility was 18.03% [22]. - **Volatility Trading**: Suggestions include selling the month with the curve above and buying the month with the curve below for different months; selling options with points above the curve and buying options with points below the curve for the same month [24]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.7% at the settlement price and 2.00% at the counter - price [28][30]. 1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options on the day was 854,566 lots, the open interest was 628,127 lots, the trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 18.05% [34]. - **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 options with points above the curve and buy options with points below the curve for the same month [38]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 20.2% at the settlement price and 1.61% at the counter - price [41][43]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on the day was 1,394,196 lots, the open interest was 759,763 lots, the trading volume ratio of call options to put options was 1.29, and the weighted - average implied volatility was 22.49% [46]. - **Volatility Trading**: The same trading suggestions as above for different and same months [48]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.3% at the settlement price and 2.89% at the counter - price [52][54]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main Huaxia Shanghai Science and Technology Innovation 50ETF options on the day was 1,002,164 lots, the open interest was 769,146 lots, the trading volume ratio of call options to put options was 2.24, and the weighted - average implied volatility was 33.28% [57]. - **Volatility Trading**: Follow the same rules for different and same months [62]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 56.2% at the settlement price and 8.08% at the counter - price [64][66]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main E Fund Shanghai Science and Technology Innovation 50ETF options on the day was 225,524 lots, the open interest was 264,533 lots, the trading volume ratio of call options to put options was 2.71, and the weighted - average implied volatility was 33.47% [68]. - **Volatility Trading**: Adopt the same trading suggestions for different and same months [73].

Group 1: General Information - The report is the Pioneer Futures Options Daily Report dated August 15, 2025 [1] - It provides data on the implied volatility of at - the - money options, 30 - day historical volatility, and the true daily range of various option targets, along with rankings [3][5] - The volatility data are daily - based and can be directly compared. Higher implied volatility implies a greater likelihood of significant market movements, and differences between historical and implied volatility can indicate option price trends [6] Group 2: Industry Investment Rating - No industry investment rating is provided in the report Group 3: Core Viewpoints - The report presents detailed data on option targets' volatility and trading information, offering reference for different types of traders such as trend traders, option sellers, and intraday traders based on the volatility characteristics [6] - It also provides basic information, volatility trading suggestions, and risk - free arbitrage analysis for options on various ETFs and commodities across different exchanges Group 4: Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: Presents the T - type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices. The trading volume of the main - contract options is 1,163,646 lots, the open interest is 969,586 lots, the call - to - put volume ratio is 1.77, and the weighted average implied volatility is 17.15% [19][21] - Volatility Trading: Suggests selling options with higher - positioned curves (either across different months or within the same month) and buying those with lower - positioned curves based on the implied volatility curves [23] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity yields a minimum annualized return of 14.6% at the settlement price and 3.74% at the counter - party price [27][29] 1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - Basic Information: Displays the T - type quotation table of 300ETF options. The trading volume of the main - contract options is 1,027,221 lots, the open interest is 732,654 lots, the call - to - put volume ratio is 1.64, and the weighted average implied volatility is 18.61% [30][33] - Volatility Trading: Similar to the Shanghai 50ETF, it recommends selling high - curve options and buying low - curve options according to the implied volatility curves [37] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity has a minimum annualized return of 11.8% at the settlement price and 2.65% at the counter - party price [40][42] 1.3 Southern China Securities 500ETF - Basic Information: Shows the T - type quotation table of 500ETF options. The trading volume of the main - contract options is 1,691,096 lots, the open interest is 778,728 lots, the call - to - put volume ratio is 1.43, and the weighted average implied volatility is 20.63% [43][45] - Volatility Trading: Advises selling high - curve options and buying low - curve options based on the implied volatility curves [49] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity offers a minimum annualized return of 15.5% at the settlement price and 3.42% at the counter - party price [52][54] 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: Presents the T - type quotation table of Science and Technology Innovation 50ETF options. The trading volume of the main - contract options is 737,709 lots, the open interest is 923,760 lots, the call - to - put volume ratio is 2.39, and the weighted average implied volatility is 29.49% [55][57] - Volatility Trading: Suggests selling high - curve options and buying low - curve options according to the implied volatility curves [62] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity gives a minimum annualized return of 15.6% at the settlement price and 0.93% at the counter - party price [64][66] 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: Displays the T - type quotation table of Science and Technology Innovation 50ETF options. The trading volume of the main - contract options is 182,129 lots, the open interest is 269,106 lots, the call - to - put volume ratio is 2.19, and the weighted average implied volatility is 30.56% [67][69] - Volatility Trading: Recommends selling high - curve options and buying low - curve options based on the implied volatility curves [71] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity yields a minimum annualized return of 15.6% at the settlement price and 1.90% at the counter - party price [75][77] 2. Shenzhen Stock Exchange Options 2.1 Harvest Shanghai - Shenzhen 300ETF - Basic Information: Presents the T - type quotation table of Shenzhen 300ETF options. The trading volume of the main - contract options is 232,529 lots, the open interest is 158,549 lots, the call - to - put volume ratio is 1.4, and the weighted average implied volatility is 22.03% [78][81] - Volatility Trading: Advises selling high - curve options and buying low - curve options according to the implied volatility curves [83] - Risk - Free Arbitrage: No specific risk - free arbitrage data are provided in the extracted content Other Exchanges' Options - The report also has a directory for options on the China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange, but detailed data are not fully presented in the provided content for all of them. Only the directory structure and general analysis directions are given, including basic information, volatility trading, and risk - free arbitrage for each option type [8][9][10][11][12][13][14][15][16][17][18]

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents the option daily report of Pioneer Futures on August 14, 2025, including the volatility data of various option targets and the basic information, volatility trading, and risk - free arbitrage analysis of options on multiple exchanges [3][19]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main - force options of Shanghai 50ETF is 1,504,832 lots, the position is 960,669 lots, the trading volume ratio of call options to put options is 1.87, and the weighted - average implied volatility is 15.46% [21]. - **Volatility Trading**: Suggestions are given based on the implied volatility curves of call options with different strike prices and different Deltas, such as selling the months or options above the curve and buying those below [24]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 3.94% at the settlement price and 0.93% at the counter - price [27][29]. - **1.2 Huatai - Baorui CSI 300ETF** - **Basic Information**: The trading volume of the main - force options is 1,105,047 lots, the position is 727,031 lots, the trading volume ratio of call options to put options is 1.71, and the weighted - average implied volatility is 16.41% [33]. - **Volatility Trading**: Similar volatility trading suggestions are provided according to the implied volatility curves [36]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 7.24% at the settlement price and 0.70% at the counter - price [40][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main - force options is 1,528,831 lots, the position is 776,258 lots, the trading volume ratio of call options to put options is 1.3, and the weighted - average implied volatility is 18.79% [45]. - **Volatility Trading**: Volatility trading suggestions are given based on the implied volatility curves [48]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 26.7% at the settlement price and 7.73% at the counter - price [52][54]. - **1.4 Huaxia Shanghai - Science and Technology Innovation Board 50ETF** - **Basic Information**: The trading volume of the main - force options is 1,306,982 lots, the position is 893,513 lots, the trading volume ratio of call options to put options is 2.13, and the weighted - average implied volatility is 27.76% [57]. - **Volatility Trading**: Volatility trading suggestions are made according to the implied volatility curves [61]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 26.0% at the settlement price and 1.75% at the counter - price [64][66]. - **1.5 E Fund Shanghai - Science and Technology Innovation Board 50ETF** - **Basic Information**: The trading volume of the main - force options is 319,275 lots, the position is 263,988 lots, the trading volume ratio of call options to put options is 2.42, and the weighted - average implied volatility is 29.98% [68]. - **Volatility Trading**: Volatility trading suggestions are provided based on the implied volatility curves [72]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 17.5% at the settlement price and 1.12% at the counter - price [75][77]. 3.2 Shenzhen Stock Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main - force options of Shenzhen 300ETF is 195,481 lots, the position is 151,071 lots, the trading volume ratio of call options to put options is 2.32, and the weighted - average implied volatility is 17.88% [81]. - **Volatility Trading**: Volatility trading suggestions are given according to the implied volatility curves [85].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report is a futures and options daily report from Pioneer Futures on August 12, 2025. It presents volatility data of various option underlying assets and offers trading suggestions for different types of options on multiple exchanges. 3. Summary by Directory 3.1 Options on the Shanghai Stock Exchange - **1.1 Shanghai 50ETF** - **Basic Information**: Provided the T - type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices. The trading volume of the main - contract options was 945,946 lots, the open interest was 956,178 lots, the trading volume ratio of call to put options was 1.55, and the weighted - average implied volatility was 13.46% [19][21]. - **Volatility Trading**: Suggested selling options in months with higher implied volatility curves and buying those in months with lower curves. For options in the same month, sell options above the curve and buy those below [25]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 6.30% at the settlement price and 0.74% at the counter - price [28][30]. - **1.2 Huatai - Ba瑞 CSI 300ETF** - **Basic Information**: Provided the T - type quotation table of Huatai - Ba瑞 CSI 300ETF options. The trading volume of the main - contract options was 694,870 lots, the open interest was 734,255 lots, the trading volume ratio of call to put options was 1.46, and the weighted - average implied volatility was 13.77% [31][34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in months with lower curves. For the same month, sell options above the curve and buy those below [37]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 8.46% at the settlement price and 0.66% at the counter - price [41][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: Provided the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main - contract options was 910,867 lots, the open interest was 793,757 lots, the trading volume ratio of call to put options was 1.37, and the weighted - average implied volatility was 15.05% [43][45]. - **Volatility Trading**: Similar trading suggestions as above [49]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 43.9% at the settlement price and 9.12% at the counter - price [52][54]. - **1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF** - **Basic Information**: Provided the T - type quotation table of Huaxia Shanghai Science and Technology Innovation Board 50ETF options. The trading volume of the main - contract options was 802,085 lots, the open interest was 893,215 lots, the trading volume ratio of call to put options was 1.78, and the weighted - average implied volatility was 24.87% [55][57]. - **Volatility Trading**: Similar trading suggestions as above [59]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 20.9% at the settlement price and 1.92% at the counter - price [64][66]. - **1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF** - **Basic Information**: Provided the T - type quotation table of E Fund Shanghai Science and Technology Innovation Board 50ETF options. The trading volume of the main - contract options was 167,234 lots, the open interest was 249,762 lots, the trading volume ratio of call to put options was 1.91, and the weighted - average implied volatility was 25.13% [67][68]. - **Volatility Trading**: Similar trading suggestions as above [72]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 7.11% at the settlement price and 0.99% at the counter - price [75][77]. 3.2 Options on the Shenzhen Stock Exchange - **2.1 Harvest CSI 300ETF** - **Basic Information**: Provided the T - type quotation table of Harvest CSI 300ETF options. The trading volume of the main - contract options was 125,214 lots, the open interest was 152,364 lots, the trading volume ratio of call to put options was 1.34, and the weighted - average implied volatility was 15.78% [78][81]. - **Volatility Trading**: Similar trading suggestions as above [87]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 16.0% at the settlement price and 0.74% at the counter - price [90][92].

Group 1: Report Information - Report title: Pioneer Futures Options Daily Report [1] - Report date: August 7, 2025 [1] Group 2: Options Volatility Ranking - The report provides the implied volatility, historical volatility, and true range of various option targets, along with their rankings [3][5] - For example, ps2510 has an implied volatility of 3.4% (ranked 1st), a 30 - day historical volatility of 4.4% (ranked 1st), and a true range of 3.8% (ranked 2nd) [3] Group 3: Volatility Analysis and Trading Suggestions - The implied volatility of at - the - money options reflects the market's expectation of future price fluctuations; the 30 - day historical volatility reflects past price movements; and the true range reflects the intraday price movement [6] - Volatility trading suggestions: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [23][37][47] Group 4: Exchange - Specific Option Analysis 4.1 Shanghai Stock Exchange Options 4.1.1 Shanghai 50ETF - Basic information: The trading volume of the main options is 691,988 lots, the open interest is 938,390 lots, the volume ratio of call to put options is 1.35, and the weighted average implied volatility is 13.25% [21] - Volatility trading: Based on the implied volatility curves [23][25][26] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.44% at the settlement price and 0.32% at the counter - price [27][29] 4.1.2 Huatai - Berry SSE 300ETF - Basic information: The trading volume of the main options is 592,003 lots, the open interest is 737,739 lots, the volume ratio of call to put options is 1.27, and the weighted average implied volatility is 14.27% [33] - Volatility trading: Based on the implied volatility curves [35][36][39] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.66% at the settlement price and 1.47% at the counter - price [40][42] 4.1.3 Southern CSI 500ETF - Basic information: The trading volume of the main options is 1,067,360 lots, the open interest is 765,766 lots, the volume ratio of call to put options is 1.18, and the weighted average implied volatility is 14.92% [45] - Volatility trading: Based on the implied volatility curves [48][49][50] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 63.5% at the settlement price and 13.7% at the counter - price [51][53] 4.1.4 Huaxia SSE STAR 50ETF - Basic information: The trading volume of the main options is 522,602 lots, the open interest is 919,347 lots, the volume ratio of call to put options is 1.75, and the weighted average implied volatility is 24.24% [56] - Volatility trading: Based on the implied volatility curves [58][61][62] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.67% at the settlement price and 0.87% at the counter - price [63][65] 4.1.5 E Fund SSE STAR 50ETF - Basic information: The trading volume of the main options is 132,102 lots, the open interest is 251,057 lots, the volume ratio of call to put options is 1.94, and the weighted average implied volatility is 25.02% [68] - Volatility trading: Based on the implied volatility curves [70][72][73] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.5% at the settlement price, and there is no return at the counter - price [74][76] 4.2 Shenzhen Stock Exchange Options 4.2.1 Harvest SSE 300ETF - Basic information: The trading volume of the main options is 118,126 lots, the open interest is 147,672 lots, the volume ratio of call to put options is 1.16, and the weighted average implied volatility is 15.7% [80] - Volatility trading: Based on the implied volatility curves [82][85][87]

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The report presents the daily option data of various underlying assets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real amplitude of the day. It also provides T - type quotes, trading volume, open interest, and implied volatility data of major options for different ETFs, along with volatility trading suggestions and risk - free arbitrage information [3][19][21]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The settlement prices of call and put options with different strike prices are given. The trading volume of the main SSE 50 ETF options is 1,164,740 lots, the open interest is 874,482 lots, the trading volume ratio of call to put options is 1.39, and the weighted average implied volatility is 15.69% [19][21]. - **Volatility Trading**: Suggestions are to sell the options with curves or points above and buy those below, both for different months and the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.51% at the settlement price and 1.03% at the counter - price [27][29]. 3.1.2 Huatai - Peregrine CSI 300 ETF - **Basic Information**: The settlement prices of call and put options with different strike prices are provided. The trading volume of the main 300ETF options is 1,105,748 lots, the open interest is 687,327 lots, the trading volume ratio of call to put options is 1.14, and the weighted average implied volatility is 16.21% [30][33]. - **Volatility Trading**: Similar to SSE 50 ETF, sell options with curves or points above and buy those below [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.11% at the settlement price and 0.48% at the counter - price [40][42]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The settlement prices of call and put options with different strike prices are shown. The trading volume of the main 500ETF options is 1,436,251 lots, the open interest is 729,488 lots, the trading volume ratio of call to put options is 1, and the weighted average implied volatility is 18.4% [43][45]. - **Volatility Trading**: The same trading suggestions as above [49]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 43.0% at the settlement price and 9.76% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The settlement prices of call and put options with different strike prices are presented. The trading volume of the main STAR Market 50ETF options is 784,137 lots, the open interest is 887,492 lots, the trading volume ratio of call to put options is 1.72, and the weighted average implied volatility is 26.74% [55][57]. - **Volatility Trading**: Follow the general volatility trading suggestions [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.0% at the settlement price and 1.39% at the counter - price [63][65]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The settlement prices of call and put options with different strike prices are given. The trading volume of the main STAR Market 50ETF options is 169,681 lots, the open interest is 259,867 lots, the trading volume ratio of call to put options is 1.78, and the weighted average implied volatility is 27.69% [66][68]. - **Volatility Trading**: Adopt the same volatility trading strategies [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.56% at the settlement price and 0.53% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF - **Basic Information**: The settlement prices of call and put options with different strike prices are provided. The trading volume of the main Shenzhen 300ETF options is 162,970 lots, the open interest is 131,069 lots, the trading volume ratio of call to put options is 1.29, and the weighted average implied volatility is 17.14% [77][80]. - **Volatility Trading**: Use the common volatility trading suggestions [84][85]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.7% at the settlement price, and there is no return at the counter - price [89][91].

Report Information - Report Name: Pioneer Futures Options Daily Report - Report Date: July 29, 2025 - Data Sources: IfinD, Pioneer Futures Investment Consulting Department, Shanghai Stock Exchange, Shenzhen Stock Exchange [3][5][19][32][78] Core Data Option Volatility Data - The report provides the at-the-money option implied volatility, 30-day historical volatility, and the real daily amplitude of various option underlying assets, such as ps2509, 1c2509, si2509, etc. The at-the-money option implied volatility of fg509 ranks first at 4.4%, the 30-day historical volatility of fg509 ranks first at 4.4%, and the real daily amplitude of fg509 ranks first at 7.4% [3]. Option Trading Data - For Shanghai Stock Exchange options: - The trading volume of the main options of SSE 50ETF is 581,375 contracts, the open interest is 773,202 contracts, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 16.7% [21]. - The trading volume of the main options of Huatai-PineBridge CSI 300ETF is 548,486 contracts, the open interest is 628,301 contracts, the trading volume ratio of call options to put options is 1.4, and the weighted average implied volatility is 16.95% [33]. - The trading volume of the main options of Southern CSI 500ETF is 932,611 contracts, the open interest is 610,204 contracts, the trading volume ratio of call options to put options is 1.47, and the weighted average implied volatility is 18.65% [45]. - The trading volume of the main options of Huaxia SSE STAR 50 ETF is 605,611 contracts, the open interest is 890,446 contracts, the trading volume ratio of call options to put options is 1.79, and the weighted average implied volatility is 28.07% [57]. - The trading volume of the main options of E Fund SSE STAR 50 ETF is 133,499 contracts, the open interest is 249,375 contracts, the trading volume ratio of call options to put options is 2.07, and the weighted average implied volatility is 28.99% [68]. - For Shenzhen Stock Exchange options: - The trading volume of the main options of Harvest CSI 300ETF is 87,277 contracts, the open interest is 103,161 contracts, the trading volume ratio of call options to put options is 1.92, and the weighted average implied volatility is 17.9% [81]. Core Views - The at-the-money option implied volatility reflects the market's expectation of the future volatility of the underlying asset. A higher value indicates a greater possibility of significant market movements, which trend traders can focus on. - The 30-day historical volatility reflects the actual past market movements of the underlying asset. If this value is smaller than the implied volatility, it may suggest that the option price is relatively expensive, which option sellers can pay attention to. - The real daily amplitude reflects the intraday market movements of the underlying asset, which intraday traders can focus on [6]. Directory Summary 1. Shanghai Stock Exchange Options - **SSE 50ETF**: - **Basic Information**: The report provides the T - type quotation table of SSE 50ETF options, including call and put option prices at different strike prices and expiration months, as well as trading volume, open interest, and implied volatility data [19][21]. - **Volatility Trading**: Suggestions are to sell options in months with higher volatility curves and buy those in months with lower curves; sell options above the curve and buy those below the curve within the same month [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.84% at the settlement price and 1.71% at the counter - party price [27][29]. - **Huatai - PineBridge CSI 300ETF**: - **Basic Information**: The T - type quotation table of Huatai - PineBridge CSI 300ETF options is provided, along with trading volume, open interest, and implied volatility data [30][33]. - **Volatility Trading**: Similar trading suggestions as SSE 50ETF [36]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.91% at the settlement price and 0.47% at the counter - party price [40][42]. - **Southern CSI 500ETF**: - **Basic Information**: The T - type quotation table of Southern CSI 500ETF options is provided, along with trading volume, open interest, and implied volatility data [43][45]. - **Volatility Trading**: Similar trading suggestions as above [49]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 37.8% at the settlement price and 8.78% at the counter - party price [52][54]. - **Huaxia SSE STAR 50 ETF**: - **Basic Information**: The T - type quotation table of Huaxia SSE STAR 50 ETF options is provided, along with trading volume, open interest, and implied volatility data [55][57]. - **Volatility Trading**: Similar trading suggestions as above [59]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.21% at the settlement price and 1.28% at the counter - party price [63][65]. - **E Fund SSE STAR 50 ETF**: - **Basic Information**: The T - type quotation table of E Fund SSE STAR 50 ETF options is provided, along with trading volume, open interest, and implied volatility data [66][68]. - **Volatility Trading**: Similar trading suggestions as above [72]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.96% at the settlement price and 1.83% at the counter - party price [75][77]. 2. Shenzhen Stock Exchange Options - **Harvest CSI 300ETF**: - **Basic Information**: The T - type quotation table of Harvest CSI 300ETF options is provided, along with trading volume, open interest, and implied volatility data [78][81]. - **Volatility Trading**: Similar trading suggestions as above [85]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.69% at the settlement price and 0.15% at the counter - party price [89][91].

Group 1: Report Overview - Report Title: Pioneer Futures Option Daily Report [1] - Date: July 22, 2025 [1] Group 2: Option Volatility Ranking - The report provides a ranking of option underlying assets based on at-the-money option implied volatility, 30-day historical volatility, and daily true range [3][5]. - For example, zc509 has an at-the-money option implied volatility of 5.1%, ranking 1st; ps2509 has a 30-day historical volatility of 3.1%, ranking 1st; and fg509 has a daily true range of 6.7%, ranking 2nd [3]. Group 3: Option Trading Analysis by Exchange 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 was 800,140 lots, the open interest was 621,524 lots, the trading volume ratio of call options to put options was 1.71, and the weighted average implied volatility was 17.22% [21]. - **Volatility Trading**: Suggestions include selling the month with the curve above and buying the month with the curve below for different months; selling options with points above the curve and buying options with points below the curve for the same month [23]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 235% when traded at the settlement price and 33.6% when traded at the counterparty price [27][29]. 3.1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main options of Huatai-PineBridge CSI 300ETF on the day was 656,899 lots, the open interest was 418,736 lots, the trading volume ratio of call options to put options was 1.8, and the weighted average implied volatility was 20.07% [33]. - **Volatility Trading**: Similar trading suggestions as for Shanghai 50ETF [37]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 117% when traded at the settlement price and 29.5% when traded at the counterparty price [41][43]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 906,135 lots, the open interest was 438,698 lots, the trading volume ratio of call options to put options was 1.35, and the weighted average implied volatility was 21.18% [46]. - **Volatility Trading**: Similar trading suggestions as above [49]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 155% when traded at the settlement price and 25.7% when traded at the counterparty price [53][55]. 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50 ETF on the day was 405,641 lots, the open interest was 562,902 lots, the trading volume ratio of call options to put options was 1.91, and the weighted average implied volatility was 24.49% [58]. - **Volatility Trading**: Similar trading suggestions as before [60]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 4.78% when traded at the settlement price and 2.14% when traded at the counterparty price [64][66]. 3.1.5 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 93,595 lots, the open interest was 124,079 lots, the trading volume ratio of call options to put options was 1.74, and the weighted average implied volatility was 25.93% [69]. - **Volatility Trading**: Similar trading suggestions as other ETFs [71]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 4.02% when traded at the settlement price and 1.56% when traded at the counterparty price [75][77]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 89,876 lots, the open interest was 83,549 lots, the trading volume ratio of call options to put options was 1.62, and the weighted average implied volatility was 24.13% [81]. - **Volatility Trading**: Similar trading suggestions as other ETFs [85].