1. Report Summary - **Report Title**: Pioneer Futures Options Daily Report - **Report Date**: October 31, 2025 - **Report Type**: Futures and Options Market Analysis 2. Core Views - The report provides a comprehensive analysis of the options market, including the volatility rankings of various option underlying assets, and offers trading suggestions for volatility trading and risk - free arbitrage in different exchange - listed options [3][5]. 3. Key Information by Category 3.1 Option Underlying Volatility Ranking - The report presents a list of option underlying assets' volatility rankings, including at - the - money implied volatility, 30 - day historical volatility, and daily true volatility. For example, 'ps2512' has an at - the - money implied volatility of 2.7%, ranking 1st; 30 - day historical volatility of 2.1%, ranking 6th; and daily true volatility of 2.9%, ranking 5th [3]. 3.2 Exchange - Listed Options Analysis 3.2.1 Shanghai Stock Exchange Options - **Shanghai 50ETF**: The trading volume of the main options is 755,468 lots, the open interest is 848,612 lots, the trading volume ratio of call options to put options is 1.16, and the weighted average implied volatility is 15.82%. Volatility trading suggestions are to sell the month with the upper curve and buy the month with the lower curve for different months; sell the option with the upper point on the curve and buy the option with the lower point on the curve for the same month. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 6.58% at the settlement price and 1.26% at the counter - party price [19][22][26]. - **Huatai - Berich CSI 300ETF**: The trading volume of the main options is 797,684 lots, the open interest is 720,276 lots, the trading volume ratio of call options to put options is 1.24, and the weighted average implied volatility is 16.72%. Similar volatility trading suggestions are provided. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 3.54% at the settlement price and 1.23% at the counter - party price [29][34][38]. - **Southern CSI 500ETF**: The trading volume of the main options is 1,271,310 lots, the open interest is 772,262 lots, the trading volume ratio of call options to put options is 1.09, and the weighted average implied volatility is 20.48%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 22.8% at the settlement price and 5.57% at the counter - party price [40][47][49]. - **Huaxia SSE STAR 50 ETF**: The trading volume of the main options is 1,127,777 lots, the open interest is 1,153,991 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 37.07%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 12.7% at the settlement price and 1.58% at the counter - party price [52][56][60]. - **E Fund SSE STAR 50 ETF**: The trading volume of the main options is 218,476 lots, the open interest is 277,730 lots, the trading volume ratio of call options to put options is 1.41, and the weighted average implied volatility is 37.35%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 23.5% at the settlement price and 4.61% at the counter - party price [63][69][72]. 3.2.2 Shenzhen Stock Exchange Options - **Harvest CSI 300ETF**: The trading volume of the main options is 116,253 lots, the open interest is 146,481 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 17.51%. The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.65% at the settlement price and 0.10% at the counter - party price [75][83][86]. - **E Fund ChiNext ETF**: The trading volume of the main options is 1,736,584 lots, the open interest is 1,044,215 lots, the trading volume ratio of call options to put options is 1.09, and the weighted average implied volatility is 33.19% [89][91].