先锋期货期权日报 2025-11-24 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 | | | lc2601 | 3.3% | 1 | 3.7% | 1 | 3.2% | 4 | | ps2601 | 3.0% | 2 | 2.4% | 2 | 2.0% | 16 | | fg601 | 2.4% | 3 | 1.4% | 10 | 3.7% | 2 | | 科创50etf11月 | 2.3% | 4 | 1.6% | 7 | ...

先锋期货期权日报 2025-11-20 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 | | | lc2601 | 3.7% | 1 | 3.0% | 1 | 4.8% | 2 | | ps2601 | 2.8% | 2 | 2.3% | 2 | 6.0% | 1 | | si2601 | 2.5% | 3 | 1.8% | 7 | 4.0% | 4 | | ag2512 | 2.3% | 4 | 2.1% | 3 | 3.2% ...

先锋期货期权日报 2025-11-19 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 | | | lc2601 | 3.5% | 1 | 3.0% | 1 | 6.6% | 1 | | ps2601 | 2.7% | 2 | 2.3% | 3 | 5.1% | 3 | | si2601 | 2.4% | 3 | 1.6% | 9 | 6.5% | 2 | | ag2512 | 2.2% | 4 | 2.3% | 2 | 3.9% ...

先锋期货期权日报 2025-11-18 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 | | | lc2601 | 3.4% | 1 | 2.9% | 1 | 4.4% | 1 | | ps2601 | 2.6% | 2 | 2.1% | 3 | 2.2% | 13 | | ag2512 | 2.3% | 3 | 2.2% | 2 | 2.8% | 2 | | 科创板50etf3月 | 2.2% | 4 | 1.8% | 5 | ...

先锋期货期权日报 2025-11-17 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 | | | fg512 | 3.4% | 1 | 1.7% | 9 | 3.4% | 2 | | lc2601 | 2.5% | 2 | 2.2% | 1 | 5.7% | 1 | | ps2601 | 2.5% | 3 | 2.0% | 6 | 2.8% | 8 | | sc2512 | 2.4% | 4 | 1.3% | 21 | 1.4% ...

Report Summary This report is the Pioneer Futures Options Daily Report for November 10, 2025, presenting data on option targets' volatility and detailed information on options from multiple exchanges, including basic info, volatility trading, and risk - free arbitrage. 1. Option Target Volatility Data - **Volatility Ranking Table**: The report provides a table ranking option targets by at - the - money implied volatility, 30 - day historical volatility, and daily true range. For example, fg512 ranks 1st in at - the - money implied volatility with 3.4%, while lc2601 ranks 1st in daily true range with 5.7% [3]. - **Volatility Explanation**: At - the - money implied volatility reflects market expectations of future fluctuations, 30 - day historical volatility shows past actual market movements, and daily true range indicates intraday market size. Trend traders can focus on targets with high at - the - money implied volatility rankings, option sellers can consider the difference between at - the - money implied and 30 - day historical volatility rankings, and intraday traders can pay attention to high daily true range rankings [6]. 2. Exchange - Specific Option Information 2.1 Shanghai Stock Exchange Options - **Basic Information**: For various ETFs like SSE 50 ETF, Huatai - Berry SSE 300 ETF, Southern CSI 500 ETF, etc., the report provides T - type quotation tables showing call and put option prices at different strike prices, as well as trading volume, open interest, call - put volume ratio, and weighted average implied volatility. For instance, the trading volume of SSE 50 ETF's main - contract options is 521,565 lots, open interest is 888,165 lots, call - put volume ratio is 1.32, and weighted average implied volatility is 14.95% [20][22]. - **Volatility Trading**: Volatility trading suggestions are to sell options in months with higher volatility curves and buy those in lower - curve months, and sell options with higher points on the curve and buy those with lower points within the same month [25]. - **Risk - Free Arbitrage**: The report calculates the minimum annualized return of the optimal arbitrage portfolio for each ETF option when trading at settlement price and counter - party price. For example, for SSE 50 ETF, the minimum annualized return at settlement price is 6.17%, and at counter - party price is 1.46% [29][31]. 2.2 Shenzhen Stock Exchange Options - **Basic Information**: Similar to the Shanghai Stock Exchange, it provides basic information for ETFs such as Harvest SSE 300 ETF and E Fund ChiNext ETF, including T - type quotation tables, trading volume, open interest, call - put volume ratio, and weighted average implied volatility. For example, the trading volume of Harvest SSE 300 ETF's main - contract options is 95,773 lots, open interest is 152,935 lots, call - put volume ratio is 1.11, and weighted average implied volatility is 16.67% [78][80]. - **Volatility Trading**: Offers the same volatility trading suggestions as the Shanghai Stock Exchange [87]. - **Risk - Free Arbitrage**: Calculates the minimum annualized return of the optimal arbitrage portfolio at settlement price and counter - party price. For example, for Harvest SSE 300 ETF, the minimum annualized return at settlement price is 24.3%, and at counter - party price is 2.34% [88][89].

1. Report Industry Investment Rating No information provided in the report. 2. Core Views of the Report - From November 3rd to 7th, 2025, the Shanghai Composite Index rose with fluctuations during the week, while the Shenzhen Component Index opened slightly lower and fluctuated. The performance of different ETFs varied, with 50ETF and Huatai-PineBridge CSI 300ETF showing certain increases, and Southern CSI 500ETF having a small increase. In the options market, the average daily trading volume and total open interest of various ETF options increased. Volatility decreased, with short - term volatility significantly dropping, and the implied volatility curve structure slightly shifting to the right. The market risk preference declined. Considering the current situation, the probability of implied volatility strengthening in the future is relatively high, and a volatility strategy of selling high is recommended [2][3][4]. 3. Summary by Directory 3.1. Spot and Futures Market Review 3.1.1. Underlying Asset Market - From November 3rd to 7th, the Shanghai Composite Index rose 1.08% compared to the previous week, closing at 3997.56 with lower trading volume. The Shenzhen Component Index opened slightly lower, fluctuated during the week, and closed at 13404.06 with lower trading volume. 50ETF opened at 3.153 and closed at 3.186, rising 0.82% with a turnover of 11.564 billion. Huatai - PineBridge CSI 300ETF opened at 4.752 and closed at 4.795, rising 0.82% with a turnover of 19.074 billion. Southern CSI 500ETF opened at 7.427 and closed at 7.440, rising 0.05% with a turnover of 7.169 billion [8]. 3.1.2. Index Futures Market - From November 3rd to 7th, all IH contracts of stock index futures closed up. Contract IH2511 rose 0.76%. All IF contracts closed up, with contract IF2511 rising 0.57%. All IC contracts closed down, with contract IC2511 falling 0.30% [9]. 3.2. Options Market Review 3.2.1. Trading and Open Interest - From November 3rd to 7th, the average daily trading volume and total open interest of 50ETF options increased. The average daily trading volume was 864,446 contracts, an increase of 31,600 contracts compared to the previous week. The total open interest was 1,530,207 contracts, an increase of 69,092 contracts from the previous weekend. The total open interest PCR was 0.97, up 0.07 from the previous weekend. For Huatai - PineBridge CSI 300ETF options, the average daily trading volume was 1,031,324 contracts, an increase of 43,523 contracts compared to the previous week. The total open interest was 1,376,297 contracts, an increase of 116,890 contracts from the previous weekend. The total open interest PCR was 1.12, up 0.09 from the previous weekend. For Southern CSI 500ETF options, the average daily trading volume was 1,513,130 contracts, an increase of 90,928 contracts compared to the previous week. The total open interest was 1,361,584 contracts, an increase of 40,101 contracts from the previous weekend. The total open interest PCR was 1.26, basically unchanged from the previous weekend [13][16][21]. 3.2.2. Volatility - **Historical Volatility**: As of November 7th, the 5 - day historical rolling volatility of 50ETF dropped to 9.69%, around the 25th percentile of the five - year historical level. The 5 - day, 10 - day, 20 - day, and 40 - day historical volatilities were 9.69%, 10.60%, 11.57%, and 11.90% respectively. The 5 - day historical rolling volatility of Huatai - PineBridge CSI 300ETF dropped to 12.63%, around the 50th percentile of the five - year historical level, with corresponding historical volatilities of 12.63%, 15.12%, 15.91%, and 16.82%. The 5 - day historical rolling volatility of Southern CSI 500ETF dropped to 18.52%, around the 50th percentile of the five - year historical level, with corresponding historical volatilities of 18.52%, 19.76%, 22.32%, and 22.34% [25][29][31]. - **Implied Volatility**: On November 7th, for each options variety's 2025 - 11 and 2025 - 12 contracts, the implied volatility of at - the - money contracts declined, while the implied volatility of out - of - the - money contracts remained at a relatively high level. The implied volatility curve structure slightly shifted to the right. For the 500ETF, which had a relatively large decline, the valuation of put contracts was relatively high, indicating a decline in market risk preference [34]. - **Comparison of Historical and Implied Volatility Trends**: Short - term volatility significantly declined. The volatility of 50ETF dropped below 10%, and the weekly volatility of 300ETF and 500ETF dropped from the 75th percentile to the 50th percentile of the historical level. Monthly volatility also declined further, and the implied volatility mainly decreased during the week. Currently, the implied volatility level is still lower than the historical volatility, and it is believed that the probability of implied volatility strengthening in the future is relatively high [41]. 3.3. Investment Recommendations - In terms of strategies, the weekly market first fell and then rose. Small - cap growth stocks declined more, while large - cap stocks were relatively stable and performed slightly better than small - cap stocks. The open interest PCR level showed different trends according to the rise and fall of the underlying assets, and the current level is around the historical median. Considering the implied volatility, the overall level has decreased. On the implied volatility curve, the volatility of at - the - money contracts decreased, but the implied volatility of out - of - the - money contracts remained high, indicating a decline in market risk preference. Given that the current implied volatility level is lower than the historical volatility, if the market fluctuates significantly, the volatility level may suddenly rise. Therefore, a volatility strategy of selling high is still recommended [4][44].

1. Report Overview - Report Title: Pioneer Futures Options Daily Report - Report Date: November 7, 2025 [1] 2. Option Underlying Volatility Ranking 2.1 Ranking Table - The report provides a ranking table of option underlying volatility, including at - the - money option implied volatility, 30 - day historical volatility, and daily true range, along with their respective rankings for multiple option underlyings such as ps2601, lc2601, etc. [3][4] 2.2 Volatility Interpretation - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying. Larger values indicate a higher probability of significant market movements, which can be of interest to trend traders. - 30 - day historical volatility reflects the actual past price movements of the underlying. If its value is smaller than the implied volatility, it may suggest that option prices are relatively expensive, which can be considered by option sellers. - The daily true range reflects the intraday price movements of the underlying, and intraday traders can focus on the top - ranked varieties. [5] 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on this day was 389,163 contracts, the open interest was 885,597 contracts, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 13.56%. A T - type quotation table of option prices at different strike prices was provided. [19][21] - **Volatility Trading**: Volatility trading suggestions were given, such as selling options in months with higher implied volatility curves and buying those in months with lower curves; selling options with points above the curve and buying those below the curve within the same month. [24][25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 7.02% when traded at the settlement price and 0.90% when traded at the counter - party price. [29][31] 3.1.2 Huatai - Peregrine CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options on this day was 556,898 contracts, the open interest was 782,003 contracts, the trading volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 14.97%. A T - type quotation table of option prices at different strike prices was provided. [32][34] - **Volatility Trading**: Similar volatility trading suggestions were given as for the Shanghai 50ETF. [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 12.3% when traded at the settlement price and 1.85% when traded at the counter - party price. [41][42] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on this day was 1,014,468 contracts, the open interest was 782,415 contracts, the trading volume ratio of call options to put options was 1.07, and the weighted - average implied volatility was 19.39%. A T - type quotation table of option prices at different strike prices was provided. [43][45] - **Volatility Trading**: Similar volatility trading suggestions were given. [50] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 47.4% when traded at the settlement price and 9.64% when traded at the counter - party price. [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main Huaxia Shanghai Science and Technology Innovation Board 50ETF options on this day was 662,205 contracts, the open interest was 1,207,182 contracts, the trading volume ratio of call options to put options was 1.21, and the weighted - average implied volatility was 33.73%. A T - type quotation table of option prices at different strike prices was provided. [55][56] - **Volatility Trading**: Similar volatility trading suggestions were given. [58] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 13.8% when traded at the settlement price and 2.73% when traded at the counter - party price. [62][63] 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main E Fund Shanghai Science and Technology Innovation Board 50ETF options on this day was 125,567 contracts, the open interest was 286,032 contracts, the trading volume ratio of call options to put options was 1.24, and the weighted - average implied volatility was 34.11%. A T - type quotation table of option prices at different strike prices was provided. [66][67] - **Volatility Trading**: Similar volatility trading suggestions were given. [69] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 25.6% when traded at the settlement price and 4.81% when traded at the counter - party price. [73][75] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Shenzhen 300ETF options on this day was 71,269 contracts, the open interest was 151,936 contracts, the trading volume ratio of call options to put options was 0.94, and the weighted - average implied volatility was 16.43%. A T - type quotation table of option prices at different strike prices was provided. [76][78] - **Volatility Trading**: Similar volatility trading suggestions were given. [85] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 15.1% when traded at the settlement price and 0.72% when traded at the counter - party price. [86][88] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on this day was 1,327,104 contracts, the open interest was 1,147,035 contracts, the trading volume ratio of call options to put options was 1.04, and the weighted - average implied volatility was 30.57%. A T - type quotation table of option prices at different strike prices was provided. [89][91] - **Volatility Trading**: Similar volatility trading suggestions were given. [93]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents the option market data of various underlying assets on November 5, 2025, including the volatility rankings of option underlying assets, and details the basic information, volatility trading, and risk - free arbitrage of 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. Summary by Directory 3.1 Option Market Volatility Ranking - The report lists the rankings of implied volatility, 30 - day historical volatility, and daily real volatility of multiple option underlying assets. For example, ps2512 ranks first in implied volatility with 3.0%, and the ChiNext ETF in November ranks first in daily real volatility with 3.5% [3]. - The implied volatility reflects the market's expectation of future fluctuations, the 30 - day historical volatility reflects past actual market conditions, and the daily real volatility reflects the intraday market size [5]. 3.2 Shanghai Stock Exchange Options 3.2.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 617,615 lots, the open interest is 923,189 lots, the trading volume ratio of call options to put options is 1.15, and the weighted average implied volatility is 15.3% [19][21]. - **Volatility Trading**: Suggest selling the options with higher curves (either different months or within the same month) and buying those with lower curves [26]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.30% at the settlement price and 1.82% at the counter - party price [29][31]. 3.2.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options is 844,891 lots, the open interest is 785,895 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 16.3% [32][34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve options and buy low - curve options [42]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.7% at the settlement price and 3.38% at the counter - party price [43][44]. 3.2.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,371,819 lots, the open interest is 784,203 lots, the trading volume ratio of call options to put options is 1.09, and the weighted average implied volatility is 20.72% [45][47]. - **Volatility Trading**: Follow the rule of selling high - curve options and buying low - curve options [52]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 53.4% at the settlement price and 11.6% at the counter - party price [54][56]. 3.2.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options is 929,079 lots, the open interest is 1,226,025 lots, the trading volume ratio of call options to put options is 1.13, and the weighted average implied volatility is 36.41% [57][58]. - **Volatility Trading**: Sell high - curve options and buy low - curve options [62]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.2% at the settlement price and 4.26% at the counter - party price [65][67]. 3.2.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: The trading volume of the main options is 152,265 lots, the open interest is 296,804 lots, the trading volume ratio of call options to put options is 1.47, and the weighted average implied volatility is 37.56% [70][71]. - **Volatility Trading**: Adopt the strategy of selling high - curve options and buying low - curve options [73]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 17.0% at the settlement price and 2.89% at the counter - party price [77][79]. 3.3 Shenzhen Stock Exchange Options 3.3.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options is 117,267 lots, the open interest is 157,869 lots, the trading volume ratio of call options to put options is 1.07, and the weighted average implied volatility is 17.57% [80][82]. - **Volatility Trading**: Sell high - curve options and buy low - curve options [88]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.8% at the settlement price and 2.62% at the counter - party price [90][91]. 3.3.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options is 1,771,559 lots, the open interest is 1,154,686 lots, the trading volume ratio of call options to put options is 1.22, and the weighted average implied volatility is 33.44% [92][94]. - **Volatility Trading**: Follow the rule of selling high - curve options and buying low - curve options [96].

1. Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: November 4, 2025 [1] 2. Option Underlying Market Volatility Ranking - The report provides a ranking of option underlying market volatility, including implied volatility of at - the - money options, 30 - day historical volatility, and daily true range for various option underlyings such as ps2512, lc2512, etc. [3][4] - Explanation of volatility indicators: At - the - money option implied volatility reflects market expectations of future volatility; 30 - day historical volatility reflects past actual market movements; daily true range reflects intraday market movements [5] 3. Directory Summary 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50ETF - **Basic Information**: Presents the T - type quotation table of SSE 50ETF options, including call and put option prices at different strike prices and expiration months. The trading volume of the main options is 620,628 lots, the open interest is 908,604 lots, the volume ratio of call to put options is 1.41, and the weighted average implied volatility is 15.48% [19][21] - **Volatility Trading**: Provides implied volatility curves of call options at different strike prices and deltas, and gives trading suggestions: sell the month with the upper curve and buy the month with the lower curve for different months; sell options with points above the curve and buy options with points below the curve for the same month [22][25] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.16% at the settlement price and 1.63% at the counter - price [28][30] 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: Presents the T - type quotation table of Huatai - Berry SSE 300ETF options. The trading volume of the main options is 758,603 lots, the open interest is 760,840 lots, the volume ratio of call to put options is 1.26, and the weighted average implied volatility is 16.59% [31][33] - **Volatility Trading**: Similar to SSE 50ETF, provides implied volatility curves and trading suggestions [34][37] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.58% at the settlement price and 1.99% at the counter - price [40][41] 3.1.3 Southern CSI 500ETF - **Basic Information**: Presents the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main options is 1,395,214 lots, the open interest is 787,917 lots, the volume ratio of call to put options is 0.97, and the weighted average implied volatility is 21.25% [42][44] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [45][46] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.4% at the settlement price and 8.91% at the counter - price [50][52] 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: Presents the T - type quotation table of Huaxia SSE STAR 50ETF options. The trading volume of the main options is 892,069 lots, the open interest is 1,190,316 lots, the volume ratio of call to put options is 1.32, and the weighted average implied volatility is 37.68% [53][55] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [56][59] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.4% at the settlement price and 0.99% at the counter - price [62][63] 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 138,409 lots, the open interest is 290,526 lots, the volume ratio of call to put options is 1.63, and the weighted average implied volatility is 37.89%. Presents the T - type quotation table [65][66] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [67][68] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.4% at the settlement price and 2.86% at the counter - price [72][74] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: Presents the T - type quotation table of Harvest SSE 300ETF options. The trading volume of the main options is 113,987 lots, the open interest is 156,678 lots, the volume ratio of call to put options is 1.29, and the weighted average implied volatility is 17.89% [75][77] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [78][79] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.4% at the settlement price and 2.70% at the counter - price [83][85] 3.2.2 E Fund ChiNext ETF - **Basic Information**: Presents the T - type quotation table of E Fund ChiNext ETF options. The trading volume of the main options is 1,532,022 lots, the open interest is 1,111,146 lots, the volume ratio of call to put options is 1.11, and the weighted average implied volatility is 33.38% [86][88] - **Volatility Trading**: Provides implied volatility curves and trading suggestions [89][91] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.9% at the settlement price and 2.67% at the counter - price [94][96]