Group 1: Report Information - Report Name: Pioneer Futures Option Daily Report [1] - Report Date: November 20, 2025 [1] Group 2: Option Volatility Ranking - The table presents the at - the - money option implied volatility, 30 - day historical volatility, and the real - time volatility of various underlying assets, along with their rankings [3][5] - lc2601 ranks first in at - the - money option implied volatility (3.7%), ps2601 ranks first in real - time volatility (6.0%), and si2601 ranks seventh in 30 - day historical volatility (1.8%) [3] Group 3: Volatility Analysis and Trading Suggestions - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset; the 30 - day historical volatility reflects past price movements; and the real - time volatility reflects the intraday price movements [6] - Trend traders can focus on assets with high at - the - money option implied volatility rankings; option sellers can pay attention to the difference between the rankings of at - the - money option implied volatility and 30 - day historical volatility; intraday traders can focus on assets with high real - time volatility rankings [6] Group 4: Option Information on Different Exchanges Shanghai Stock Exchange Options - **Shanghai 50ETF**: The trading volume of the main options is 592,113 lots, the open interest is 760,839 lots, the trading volume ratio of call and put options is 1.23, and the weighted average implied volatility is 14.61% [22] - **Huatai - Berry Shanghai and Shenzhen 300ETF**: The trading volume of the main options is 721,573 lots, the open interest is 669,897 lots, the volume ratio of call and put options is 1.3, and the weighted average implied volatility is 16.39% [32] - **Southern China Securities 500ETF**: The trading volume of the main options is 1,112,589 lots, the open interest is 655,335 lots, the volume ratio of call and put options is 1.22, and the weighted average implied volatility is 20.48% [42] - **Huaxia Shanghai Science and Technology Innovation 50ETF**: The trading volume of the main options is 822,220 lots, the open interest is 1,175,269 lots, the volume ratio of call and put options is 1.38, and the weighted average implied volatility is 33.78% [53] - **E Fund Shanghai Science and Technology Innovation 50ETF**: The trading volume of the main options is 143,672 lots, the open interest is 287,821 lots, the volume ratio of call and put options is 1.68, and the weighted average implied volatility is 35.49% [64] Shenzhen Stock Exchange Options - **Harvest Shanghai and Shenzhen 300ETF**: The trading volume of the main options is 135,832 lots, the open interest is 165,258 lots, the volume ratio of call and put options is 1.12, and the weighted average implied volatility is 20.78% [77] - **E Fund ChiNext ETF**: The trading volume of the main options is 1,610,253 lots, the open interest is 1,172,939 lots, the volume ratio of call and put options is 1.21, and the weighted average implied volatility is 30.15% [88] Group 5: Volatility Trading and Arbitrage Suggestions Volatility Trading - For options on different exchanges, the general volatility trading suggestions are to sell options in months with higher implied volatility curves and buy those in months with lower curves; for options in the same month, sell options with higher points on the curve and buy those with lower points [23][35][47] Arbitrage - For various ETF options, the optimal arbitrage portfolio has different minimum annualized yields when trading at the settlement price and the counter - party price. For example, for Shanghai 50ETF, the minimum annualized yield is 19.2% at the settlement price and 0.86% at the counter - party price [27][29]

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 | ...

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report presents a comprehensive analysis of various option products, including their basic information, volatility trading, and risk - free arbitrage opportunities. It also provides data on option trading volume, open interest, and implied volatility for different underlying assets, along with volatility trading suggestions based on implied volatility curves. 3. Summary by Directory 3.1 Upper - Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main options of Shanghai 50ETF is 371,702 lots, the open interest is 530,323 lots, the trading volume ratio of call options to put options is 1.2, and the weighted - average implied volatility is 14.54% [19][22]. - **Volatility Trading**: Suggestions are to sell the options in the month with the upper curve and buy those in the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.59% at the settlement price and 1.35% at the counter - price [28][30]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: The trading volume of the main options is 416,085 lots, the open interest is 466,123 lots, the trading volume ratio of call options to put options is 1.18, and the weighted - average implied volatility is 15.37% [31][33]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell the upper - curve options and buy the lower - curve ones [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.95% at the settlement price and 2.88% at the counter - price [39][41]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 549,037 lots, the open interest is 427,610 lots, the trading volume ratio of call options to put options is 1.15, and the weighted - average implied volatility is 20.7% [42][45]. - **Volatility Trading**: Follow the same volatility trading suggestions as above [49]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 35.2% at the settlement price and 9.12% at the counter - price [52][54]. - **1.4 Huaxia Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 277,714 lots, the open interest is 508,135 lots, the trading volume ratio of call options to put options is 1.16, and the weighted - average implied volatility is 26.67% [55][57]. - **Volatility Trading**: Adopt the same volatility trading rules [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.2% at the settlement price and 10.1% at the counter - price [63][65]. - **1.5 E Fund Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 63,563 lots, the open interest is 164,169 lots, the trading volume ratio of call options to put options is 1.68, and the weighted - average implied volatility is 32.5% [66][68]. - **Volatility Trading**: Apply the same volatility trading suggestions [70]. - **Risk - Free Arbitrage**: No specific risk - free arbitrage data is provided in the given content. 3.2 Option Volatility and Ranking - The report provides a list of option underlying assets' at - the - money implied volatility, 30 - day historical volatility, and daily true range, along with their rankings. At - the - money implied volatility reflects market expectations of future fluctuations, 30 - day historical volatility reflects past actual market movements, and daily true range reflects intraday market movements [3][6].