以下文章来源于紫金天风期货研究所 ，作者金融量化组 紫金天风期货研究所 . 紫金天风期货研究所官方订阅号 文 | 贾瑞斌 来源 | 紫金天风期货研究所 编辑 | 杨兰 审核 | 浦电路交易员 中秋降至，市场即将迎来长达8天的休市期。本公众号已对节假日期间应持仓或持币做过相关指引，简洁来说，对于持仓过节的投资 者来说，风险和机遇并存。除了通过资产标的持仓参与市场外，可以用期权这个相对占用资金小，风险可控的方式来参与。本文主 要基于以往思路，聚焦分析国庆假期中的期权组合的优劣（全部采用收盘作为计算依据），本文不构成投资建议。 01 摘要 、 当前市场各板块呈现差异化特征：原油和LPG波动率扩张，贵金属走势与宏观背离且隐含波动率高企，工业金属及新能源金属分化明 显，农产品内部结构差异显著。节前上需针对性布局，能源化工侧重波动率交易，贵金属避免卖权风险，工业金属分波动放大与弱势品 种施策，农产品关注油脂类看空波动率机会及菜粕特殊操作。国庆前后需聚焦隐含波动率、偏度结构等核心维度，高波动品种以价差组 合控风险，低波动品种控仓收权利金，同时跟踪宏观与政策动态应对风险。 02 各品种市场概况 首先，我们对过去三年国庆节前后 ...

Core Viewpoint - The article discusses the relationship between volatility and risk, emphasizing that understanding volatility is crucial for becoming an excellent investor, as it is a tangible risk rather than a mere psychological issue [8][40]. Academic Perspective: Volatility = Risk - The Sharpe Ratio is highlighted as a key metric for evaluating fund performance, indicating that returns should be assessed in relation to the risks taken [10]. - Traditional financial theories define risk as the uncertainty of future returns, represented by price volatility [11]. - Historical examples illustrate that even if an investor believes in a company's future recovery, immediate financial needs can force them to sell at a loss due to volatility [12]. - The article argues that higher volatility necessitates higher expected returns as compensation, exemplified by the comparison of different funds and their respective drawdowns during market adjustments [14][15]. Practical Perspective: Volatility ≠ Risk - Warren Buffett's perspective is presented, asserting that volatility does not equate to risk; instead, the true risk is the permanent loss of capital [18][21]. - Buffett emphasizes that good companies can have high volatility without being poor investments, while low volatility can accompany poor business performance [19]. - The article notes that Buffett's views on volatility have evolved, initially seeing it as a source of profit but later recognizing it as a neutral concept [23][26]. Trading Perspective: Volatility = Return - The article discusses how risk-averse investors dislike volatility, while risk-seeking investors view it as an opportunity for returns [28][30]. - It explains that volatility can be treated as a tradable commodity, with strategies like options trading reflecting this dynamic [31][32]. - The article highlights that different trading strategies exist based on attitudes towards volatility, such as trend trading and grid trading, each with its own risk and return profiles [36][38]. Conclusion - The article concludes that volatility is an inherent aspect of the financial world, prompting investors to distinguish between what can be controlled and what cannot, as well as what can be judged and what cannot [44].

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: September 17, 2025 1. Option Underlying Volatility Ranking - The report provides a ranking of option underlying volatility, including the implied volatility of at-the-money options, 30-day historical volatility, and the true range of the underlying on the day [3][4]. - The top-ranked underlying in terms of implied volatility of at-the-money options are the September contracts of Science and Technology Innovation Board 50 ETF and the September contract of Science and Technology Innovation 50 ETF, with values of 3.5% and 3.4% respectively [3]. - The top-ranked underlying in terms of 30-day historical volatility are also the September contracts of Science and Technology Innovation Board 50 ETF and the September contract of Science and Technology Innovation 50 ETF, with values of 3.4% and 3.3% respectively [3]. - The top-ranked underlying in terms of the true range of the underlying on the day are the September contract of Science and Technology Innovation 50 ETF and the September contract of Science and Technology Innovation 50 ETF, with values of 3.1% and 3.0% respectively [3]. 2. Exchange Options Analysis 2.1 Shanghai Stock Exchange Options 2.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 605,762 lots, the open interest was 1,273,240 lots, the volume ratio of call options to put options was 1.66, and the weighted average implied volatility was 23.84% [20]. - **Volatility Trading**: The report provides implied volatility curves for different strike prices and deltas of Shanghai 50ETF call options, and suggests selling options with higher implied volatility and buying options with lower implied volatility [23]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 18.8% when traded at the settlement price and 3.26% when traded at the counterparty price [27][29]. 2.1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main options of Huatai-PineBridge CSI 300ETF on the day was 771,046 lots, the open interest was 943,234 lots, the volume ratio of call options to put options was 1.57, and the weighted average implied volatility was 22.76% [32]. - **Volatility Trading**: Similar to Shanghai 50ETF, the report provides implied volatility curves and trading suggestions [37]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 9.34% when traded at the settlement price and 3.92% when traded at the counterparty price [39][41]. 2.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,513,052 lots, the open interest was 904,760 lots, the volume ratio of call options to put options was 1.37, and the weighted average implied volatility was 26.98% [44]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [48]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 50.9% when traded at the settlement price and 12.5% when traded at the counterparty price [51][53]. 2.1.4 ChinaAMC Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options of ChinaAMC Shanghai Science and Technology Innovation Board 50ETF on the day was 1,178,321 lots, the open interest was 1,635,232 lots, the volume ratio of call options to put options was 1.83, and the weighted average implied volatility was 55.29% [56]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [59]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 25.6% when traded at the settlement price and 5.62% when traded at the counterparty price [63][64]. 2.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options of E Fund Shanghai Science and Technology Innovation Board 50ETF on the day was 268,348 lots, the open interest was 452,951 lots, the volume ratio of call options to put options was 1.93, and the weighted average implied volatility was 53.79% [67]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [70]. - **Risk-Free Arbitrage**: The optimal arbitrage portfolio held to maturity has a minimum annualized yield of 41.0% when traded at the settlement price and 12.3% when traded at the counterparty price [74][76]. 2.2 Shenzhen Stock Exchange Options 2.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 132,683 lots, the open interest was 226,327 lots, the volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 24.19% [80]. - **Volatility Trading**: The report provides implied volatility curves and trading suggestions [82].

Core Viewpoint - The article discusses the relationship between volatility and risk, emphasizing that while volatility is often equated with risk, it can also represent potential returns depending on the investor's perspective [6][34]. Group 1: Academic Perspective on Volatility - Volatility is defined as risk in traditional finance, where it represents the uncertainty of future returns [7][9]. - The Sharpe Ratio is highlighted as a key metric for evaluating fund performance, taking into account the risk taken to achieve returns [8][10]. - Historical volatility is used to quantify risk, with higher volatility indicating greater risk and necessitating higher expected returns [11][12]. Group 2: Practical Perspective on Volatility - Warren Buffett and other value investors argue against equating volatility with risk, focusing instead on the risk of permanent capital loss [15][18]. - The article presents a dichotomy where risk-averse investors view volatility as something to avoid, while risk-seeking investors see it as an opportunity for profit [23][34]. - Different investment strategies are discussed, including those that embrace volatility for potential gains, such as grid trading and trend trading [31][32]. Group 3: Trading Perspective on Volatility - Volatility can be viewed as a tradable commodity, with options pricing reflecting historical volatility [26][27]. - The article explains that risk is a commodity that can be bought and sold, with different strategies catering to varying attitudes towards volatility [25][28]. - The concept of "volatility = returns" is explored, indicating that higher volatility can lead to greater profit opportunities for certain investors [22][24]. Group 4: Conclusion on Volatility - The article concludes that volatility is an inherent aspect of the financial world, influencing investor behavior and creating opportunities for profit [39][40]. - It emphasizes the importance of understanding what can be controlled and what cannot in the context of volatility and investment strategies [38][39].

Group 1 - The article discusses the importance of understanding volatility in investment, emphasizing that it is a significant risk factor that can impact investor returns [3][4][11] - It contrasts two funds: Fund A with a 15% annualized return but high volatility, and Fund B with a 10% return and low volatility, suggesting that investors in Fund B may achieve better average returns due to lower drawdowns [10][11] - The article highlights that while volatility is often viewed as a risk, some investment experts, like Warren Buffett, argue that it should not be equated with risk, focusing instead on the risk of permanent capital loss [12][14] Group 2 - The article explains that volatility can be seen as a source of potential returns, particularly in trading strategies that embrace market fluctuations [15][20] - It outlines different investor attitudes towards volatility: risk-averse investors view it as a risk to avoid, while risk-seeking investors see it as an opportunity for profit [23][24] - The discussion includes various trading strategies that leverage volatility, such as grid trading and trend trading, which require different approaches to managing risk and returns [20][22]

二 〇 二 五 年 度 2025 年 9 月 14 日 国 泰 君 安 期 货 研 究 保护性看跌策略领跑期权策略 | 张雪慧 | 投资咨询从业资格号：Z0015363 | zhangxuehui@gtht.com | | --- | --- | --- | | 张银 | 投资咨询从业资格号：Z0018397 | zhangyin2@gtht.com | 报告导读： 本周沪深 300 股指期权策略表现中，保护性看跌策略领跑期权策略，本周录得 0.97%的收益。 本周上证 50ETF 期权策略表现中，卖出看跌策略领跑期权策略，本周录得 1.41%的收益。 本周中证 1000 股指期权策略表现中，备兑策略领跑期权策略，本周录得 1.35%的收益。 注释 1：累计收益为自 2024 年 1 月 1 日至今的表现； 注释 2：每个策略中的每份仓位本金均为 2024 年 1 月 1 日与基准等市值的金额，即所有策略都不加 杠杆，也不考虑组合保证金。 请务必阅读正文之后的免责条款部分 1 期货研究 所 | 目录 | | | | | | | --- | --- | --- | --- | --- | --- | | 1. ...

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core View of the Report The report provides a comprehensive analysis of various options, including their basic information, volatility trading, and risk - free arbitrage opportunities. It also presents the trading data such as trading volume, open interest, and implied volatility of the main options of different underlying assets [18][30][42]. 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 1,047,333 lots, open interest is 1,300,702 lots, the trading volume ratio of call options to put options is 1.51, and the weighted - average implied volatility is 19.4% [18][20]. - **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 [23]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 5.70% at the settlement price and 1.34% at the counter - price [27][29]. 3.1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - **Basic Information**: The trading volume of the main options is 1,224,660 lots, open interest is 1,035,492 lots, the trading volume ratio of call options to put options is 1.34, and the weighted - average implied volatility is 19.18% [30][32]. - **Volatility Trading**: Similar to the Shanghai 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 [34]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 9.53% at the settlement price and 1.08% at the counter - price [38][41]. 3.1.3 Southern China Securities 500ETF - **Basic Information**: The trading volume of the main options is 1,843,623 lots, open interest is 983,733 lots, the trading volume ratio of call options to put options is 1.35, and the weighted - average implied volatility is 22.68% [42][44]. - **Volatility Trading**: The same trading suggestions as above [46]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 43.7% at the settlement price and 7.54% at the counter - price [51][53]. 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 1,652,693 lots, open interest is 1,542,108 lots, the trading volume ratio of call options to put options is 1.77, and the weighted - average implied volatility is 45% [54][56]. - **Volatility Trading**: Follow the general volatility trading suggestions [59]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 24.1% at the settlement price and 3.19% at the counter - price [62][63]. 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options is 387,485 lots, open interest is 465,269 lots, the trading volume ratio of call options to put options is 1.93, and the weighted - average implied volatility is 46.13% [64][66]. - **Volatility Trading**: Adopt the common volatility trading strategies [69]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 12.3% at the settlement price and 3.33% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest Shanghai - Shenzhen 300ETF - **Basic Information**: The trading volume of the main options is 225,037 lots, open interest is 243,935 lots, the trading volume ratio of call options to put options is 1.55, and the weighted - average implied volatility is 22.4% [76][79]. - **Volatility Trading**: Use the standard volatility trading methods [85]. - **Risk - Free Arbitrage**: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 9.24% at the settlement price and 0.22% at the counter - price [87][89]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options is 3,025,900 lots, open interest is 1,444,931 lots, the trading volume ratio of call options to put options is 1.57, and the weighted - average implied volatility is 43.34% [90][92]. - **Volatility Trading**: Follow the general volatility trading rules [95]. - **No information about risk - free arbitrage is provided in the given text for this part.**

先锋期货期权日报 2025-9-1 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 | | | ps2509 | 4.9% | 1 | 4.3% | 1 | 4.1% | 3 | | lc2509 | 3.6% | 2 | 3.7% | 3 | 2.9% | 7 | | si2509 | 3.4% | 3 | 3.3% | 4 | 5.0% | 2 | | fg509 | 2.6% | 4 | 4.2% | 2 | 2.3% | ...

1. Report Information - Report Title: Pioneer Futures Options Daily Report [1] - Report Date: August 25, 2025 [1] 2. Option Volatility Ranking 2.1 Ranking Table | Target | At - the - money Option Implied Volatility | Rank | 30 - day Historical Volatility of the Target | Rank | Daily True Range of the Target | Rank | | --- | --- | --- | --- | --- | --- | --- | |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%|1|3.8%|3| |si2510|3.0%|5|3.0%|3|3.1%|8| |创业板etf8月|3.0%|6|1.6%|11|3.6%|5| |深证100etf8月|2.3%|7|1.1%|23|2.5%|11| |br2510|2.2%|8|1.5%|14|3.6%|4| |jd2510|2.1%|9|1.0%|31|1.5%|33| |fg510|2.1%|10|2.6%|4|3.5%|6| |ao2510|2.1%|11|2.0%|9|2.6%|10| |中证500etf8月|2.1%|12|1.1%|26|2.1%|16| |500etf8月|2.1%|13|1.0%|30|2.1%|17| |sh510|2.0%|14|1.5%|13|2.3%|13| |sa510|2.0%|15|2.5%|5|1.8%|25| |沪深300etf8月|2.0%|16|0.9%|35|2.1%|19| |sc2510|1.9%|17|1.3%|17|1.0%|52| |50etf8月|1.9%|18|0.9%|34|2.0%|22| |px510|1.8%|19|1.0%|29|1.3%|39| |mo2509|1.8%|20|1.0%|32|1.9%|24| |300etf8月|1.7%|21|0.9%|36|2.0%|21| |ho2509|1.7%|22|0.9%|37|2.0%|20| |cj601|1.7%|23|1.4%|15|2.3%|12| |ag2510|1.7%|24|1.1%|22|2.8%|9| |ni2510|1.6%|25|0.7%|47|1.0%|51| |sf510|1.6%|26|2.2%|8|1.4%|35| |ap510|1.6%|27|0.9%|39|1.6%|27| |io2509|1.6%|28|0.8%|40|2.1%|18| |sn2510|1.5%|29|0.6%|51|1.9%|23| |p2510|1.5%|30|1.0%|27|1.4%|37| |ur510|1.4%|31|1.3%|18|0.9%|56| |ru2601|1.4%|32|1.2%|19|2.2%|14| |sm510|1.4%|33|1.8%|10|1.4%|36| |rb2510|1.4%|34|1.4%|16|1.5%|31| |ta510|1.3%|35|1.0%|28|1.5%|30| |rm511|1.3%|36|1.5%|12|1.6%|26| |bz2603|1.2%|37|0.6%|52|0.6%|63| |pg2510|1.2%|38|0.9%|33|1.5%|32| |i2510|1.2%|39|1.1%|25|2.2%|15| |eb2510|1.2%|40|0.8%|42|1.6%|28| |lh2511|1.1%|41|0.8%|45|1.3%|40| |ma510|1.1%|42|1.2%|20|1.0%|50| |pf510|1.1%|43|0.9%|38|1.1%|47| |au2510|1.1%|44|0.5%|56|1.3%|41| |cu2510|1.0%|45|0.5%|58|1.5%|29| |b2510|1.0%|46|0.8%|44|0.9%|55| |oi511|1.0%|47|1.1%|24|1.0%|48| |v2510|0.9%|48|1.1%|21|1.2%|42| |lg2511|0.9%|49|0.8%|43|1.2%|45| |pr512|0.9%|50|0.7%|50|0.9%|53| |pb2510|0.9%|51|0.4%|62|0.8%|60| |m2511|0.9%|52|0.8%|41|1.4%|34| |zn2510|0.9%|53|0.6%|53|1.2%|43| |eg2510|0.8%|54|0.7%|46|0.8%|59| |pk510|0.8%|55|0.3%|65|1.2%|46| |y2511|0.8%|56|0.7%|48|1.2%|44| |al2510|0.7%|57|0.4%|63|0.9%|57| |ad2511|0.7%|58|0.3%|64|0.8%|58| |l2510|0.7%|59|0.5%|55|0.6%|64| |a2511|0.7%|60|0.7%|49|0.8%|61| |cf511|0.6%|61|0.5%|54|1.0%|49| |c2511|0.6%|62|0.4%|61|1.3%|38| |cs2511|0.6%|63|0.5%|57|0.9%|54| [3][5] 2.2 Volatility Explanation - At - the - money option implied volatility reflects the market's expectation of the future volatility of the variety. A larger value indicates a higher probability of significant market movements. Trend traders can focus on the top - ranked varieties. - The 30 - day historical volatility of the target reflects the actual past market movements of the variety. If this value is smaller than the implied volatility, it means the option price may be relatively expensive. Option sellers can focus on the difference in rankings between the two. - The daily true range of the target reflects the intraday market movements of the variety. Intraday traders can focus on the top - ranked varieties [6] 3. Exchange Option Analysis 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 on this day was 1,221,294 contracts, the open interest was 706,054 contracts, the trading volume ratio of call options to put options was 2.16, and the weighted average implied volatility was 38.23% [21] - **Volatility Trading**: 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] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 128%; when trading at the counter - price, it is 26.0% [27][29] 3.1.2 Huatai - Berry SSE 300 ETF - **Basic Information**: The trading volume of the Huatai - Berry SSE 300 ETF's main options on this day was 1,129,506 contracts, the open interest was 455,848 contracts, the trading volume ratio of call options to put options was 1.87, and the weighted average implied volatility was 29.67% [32] - **Volatility Trading**: Similar to the SSE 50 ETF, 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 [37] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 34.2%; when trading at the counter - price, it is 11.8% [39][41] 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the Southern CSI 500 ETF's main options on this day was 1,690,014 contracts, the open interest was 603,757 contracts, the trading volume ratio of call options to put options was 1.56, and the weighted average implied volatility was 32.05% [44] - **Volatility Trading**: 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 [46] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 161%; when trading at the counter - price, it is 21.1% [50][52] 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the Huaxia SSE STAR 50 ETF's main options on this day was 1,815,057 contracts, the open interest was 750,981 contracts, the trading volume ratio of call options to put options was 2.11, and the weighted average implied volatility was 75.14% [55] - **Volatility Trading**: 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 [58] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 351%; when trading at the counter - price, it is 63.6% [61][63] 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the E Fund SSE STAR 50 ETF's main options on this day was 429,587 contracts, the open interest was 249,455 contracts, the trading volume ratio of call options to put options was 2.27, and the weighted average implied volatility was 79.05% [66] - **Volatility Trading**: 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 [71] - **Risk - free Arbitrage**: No specific data provided in the report 3.2 Shenzhen Stock Exchange Options - **Options Include**:嘉实沪深 300ETF, E Fund ChiNext ETF,嘉实中证 500ETF, E Fund SZSE 100 ETF. The report only provides the directory, and no detailed data is given for these options [8][9] 3.3 CFFEX Options - **Options Include**: SSE 300, CSI 1000, SSE 50. The report only provides the directory, and no detailed data is given for these options [9] 3.4 Zhengzhou Commodity Exchange Options - **Options Include**: Sugar, Cotton, PTA, Methanol, Rapeseed Meal, Steam - coal, Peanut, Rapeseed Oil, p - Xylene, Caustic Soda, Staple Fiber, Soda Ash, Urea, Manganese Silicon, Ferrosilicon, Apple, Red Date, Glass, Bottle Chip. The report only provides the directory, and no detailed data is given for these options [10][11][12] 3.5 Dalian Commodity Exchange Options - **Options Include**: Soybean Meal, Corn, Iron Ore, LPG, LLDPE, PVC, PP, Palm Oil, Soybean No.1, Soybean No.2, Soybean Oil, Ethylene Glycol, Styrene, Egg, Corn Starch, Live Pig, Log, Pure Benzene. The report only provides the directory, and no detailed data is given for these options [13][14][15] 3.6 Shanghai Futures Exchange Options - **Options Include**: Copper, Rubber, Gold, Aluminum, Zinc, Silver, Rebar, Synthetic Rubber, Lead, Tin, Alumina, Cast Aluminum Alloy. The report only provides the directory, and no detailed data is given for these options [16][17] 3.7 Shanghai International Energy Exchange Options - **Options Include**: Crude Oil. The report only provides the directory, and no detailed data is given for this option [17] 3.8 Guangzhou Futures Exchange Options - **Options Include**: Industrial Silicon, Lithium Carbonate, Polysilicon. The report only provides the directory, and no detailed data is given for these options [18]

1. Report Industry Investment Rating No relevant content provided. 2. Core View 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 - time volatility of the day. It also provides trading suggestions for volatility trading and the minimum annualized return for risk - free arbitrage of different options on the Shanghai Stock Exchange, Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange [3][6][25]. 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 the Shanghai 50ETF on the day was 1,230,718 lots, the open interest was 810,259 lots, the trading volume ratio of call options to put options was 1.83, and the weighted average implied volatility was 21.41% [21]. - **Volatility Trading**: Different months - sell the month with the curve above and buy the month with the curve below; same month - sell the option with the point above the curve and buy the option with the point below the curve [25]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 31.8% at the settlement price and 3.10% at the counter - price [28][30]. 3.1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - **Basic Information**: The trading volume of the main options of the 300ETF on the day was 1,081,531 lots, the open interest was 543,409 lots, the trading volume ratio of call options to put options was 1.8, and the weighted average implied volatility was 18.78% [34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the curve above and buy the curve below for different months, and sell the point above and buy the point below for the same month [38]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 21.8% at the settlement price and 8.44% at the counter - price [41][43]. 3.1.3 Southern China Securities 500ETF - **Basic Information**: The trading volume of the main options of the 500ETF on the day was 1,649,826 lots, the open interest was 707,570 lots, the trading volume ratio of call options to put options was 1.39, and the weighted average implied volatility was 23.45% [46]. - **Volatility Trading**: The same trading suggestions as above [48]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 27.7% at the settlement price and 1.69% 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 of the Science and Technology Innovation 50ETF on the day was 2,147,328 lots, the open interest was 710,562 lots, the trading volume ratio of call options to put options was 2.36, and the weighted average implied volatility was 54.24% [57]. - **Volatility Trading**: Follow the general volatility trading suggestions [61]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 47.2% at the settlement price and 5.91% at the counter - price [64][66]. 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the Science and Technology Innovation 50ETF on the day was 560,522 lots, the open interest was 249,762 lots, the trading volume ratio of call options to put options was 2.07, and the weighted average implied volatility was 50.01% [69]. - **Volatility Trading**: Adopt the same volatility trading strategies [71]. - **Risk - Free Arbitrage**: No specific data provided in the text. 3.2 Other Exchanges' Options The report also lists the options on 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, including basic information, volatility trading, and risk - free arbitrage for each underlying asset, but detailed data for some parts are not fully presented in the provided text [8][9][10][11][12][13][14][15][16][17][18].