Market Performance - The stock market experienced a significant upward trend on August 20, with the Shanghai Composite Index rising by 1.04%, the Shenzhen Component Index by 0.89%, the ChiNext Index by 0.23%, and the STAR Market 50 Index by 3.23% [1] - All four major indices closed in the green, with the Shanghai 50 Index increasing by 1.23%, the CSI 300 Index by 1.14%, the CSI 500 Index by 1.09%, and the CSI 1000 Index by 0.86% [1] Options Market Activity - The trading volume of various options increased overall, with specific figures showing that the 50ETF options had a trading volume of 1,709,339 contracts and a turnover of 612 million yuan [2] - The 300ETF options recorded a trading volume of 1,887,385 contracts with a turnover of 942 million yuan, while the 500ETF options had a trading volume of 2,431,663 contracts and a turnover of 2.282 billion yuan [2] - The ChiNext ETF options had a trading volume of 2,648,667 contracts and a turnover of 1.328 billion yuan, indicating robust market activity [2] Implied Volatility - The implied volatility for various options is currently elevated, with the 50ETF options at 0.1826 and the 300ETF options at 0.1902, reflecting a positive market sentiment [3] - The implied volatility for the ChiNext ETF options is at 0.3542, which is among the highest, indicating strong market expectations for future price movements [3] Market Outlook - The market sentiment is positive, with expectations for continued upward movement in the stock indices, suggesting that investors may consider buying on dips [4] - Investors holding stocks are advised to roll over out-of-the-money call options to enhance profits, while being cautious of potential risks as the main ETF options contracts are set to expire next Wednesday [4]

Group 1: Report Overview - Report Name: Pioneer Futures Options Daily Report [1] - Date: July 7, 2025 [1] Group 2: Option Underlying Volatility Ranking - A table presents the implied volatility, historical volatility, and true range of various option underlying assets, along with their rankings [3][5] - The implied volatility reflects the market's expectation of future price fluctuations of the underlying asset; the historical volatility reflects the actual price fluctuations in the past; and the true range reflects the intraday price fluctuations [6] Group 3: Exchange Option Analysis - Shanghai Stock Exchange 1.1 Shanghai 50ETF - **Basic Information**: Provides the call and put option prices at different strike prices and expiration months, as well as the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [19][21] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones, both for different months and within the same month [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.74% at the settlement price and none at the counter - price [27][29] 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [30][32] - **Volatility Trading**: Similar to the Shanghai 50ETF, it suggests selling options with higher implied volatility curves and buying those with lower ones [36] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 5.86% at the settlement price and 0.35% at the counter - price [41][42] 1.3 Southern CSI 500ETF - **Basic Information**: Provides the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [43][45] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones [47] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 55.3% at the settlement price and 11.8% at the counter - price [51][53] 1.4 Huaxia SSE STAR 50ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [54][56] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones [58] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 7.59% at the settlement price and 1.36% at the counter - price [62][64] 1.5 E Fund SSE STAR 50ETF - **Basic Information**: Provides the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [65][67] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones [69] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 16.0% at the settlement price and 1.22% at the counter - price [73][75] Group 4: Exchange Option Analysis - Shenzhen Stock Exchange 2.1 Harvest SSE 300ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [76][79] - **Volatility Trading**: Suggests selling options with higher implied volatility curves and buying those with lower ones [83] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 18.6% at the settlement price and 0.83% at the counter - price [87][89] 2.2 E Fund ChiNext ETF - **Basic Information**: Provides the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [90][92] - **Volatility Trading**: Implied volatility curves are presented, but specific trading suggestions are similar to other sections [94]

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: June 27, 2025 1. Option Volatility Ranking 1.1 Volatility Data - The report provides data on the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of various option targets such as sc2508, ps2508, etc. For example, sc2508 has an implied volatility of 2.4%, a 30 - day historical volatility of 3.4%, and a true range of 2.0% [3]. 1.2 Volatility Significance - Implied volatility reflects market expectations of future price fluctuations, historical volatility shows past price movements, and the true range represents intraday price movements. Trend traders can focus on options with high implied volatility rankings, option sellers can compare the rankings of implied and historical volatility, and intraday traders can focus on options with high true - range rankings [6]. 2. Exchange - Specific Option Analysis 2.1 Shanghai Stock Exchange Options 2.1.1 Shanghai 50ETF - **Basic Information**: Presents call and put option prices at different strike prices and maturities. The trading volume of the main - contract options is 1,027,227 lots, the open interest is 766,910 lots, the call - to - put volume ratio is 1.59, and the weighted - average implied volatility is 14.61% [19][32]. - **Volatility Trading**: Suggests selling options in months with higher volatility curves and buying 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]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.69% at the settlement price and 1.21% at the counter - party price [27][29]. 2.1.2 Huatai - Peregrine CSI 300ETF - **Basic Information**: Provides call and put option prices. The trading volume of the main - contract options is 875,848 lots, the open interest is 660,574 lots, the call - to - put volume ratio is 1.59, and the weighted - average implied volatility is 14.61% [30][32]. - **Volatility Trading**: Similar trading suggestions as for the Shanghai 50ETF [35]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.14% at the settlement price and 0.22% at the counter - party price [39][42]. 2.1.3 Southern CSI 500ETF - **Basic Information**: Gives call and put option prices. The trading volume of the main - contract options is 1,005,791 lots, the open interest is 622,669 lots, the call - to - put volume ratio is 1.87, and the weighted - average implied volatility is 17.08% [43][45]. - **Volatility Trading**: Follows the same volatility trading rules [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 28.3% at the settlement price and 6.30% at the counter - party price [51][53]. 2.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: Lists call and put option prices. The trading volume of the main - contract options is 405,690 lots, the open interest is 631,319 lots, the call - to - put volume ratio is 2.3, and the weighted - average implied volatility is 24.45% [54][56]. - **Volatility Trading**: Adheres to the general volatility trading suggestions [60]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.4% at the settlement price and 3.39% at the counter - party price [63][64]. 2.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - **Basic Information**: Provides call and put option prices. The trading volume of the main - contract options is 84,748 lots, the open interest is 168,445 lots, the call - to - put volume ratio is 2.32, and the weighted - average implied volatility is 25.78% [65][67]. - **Volatility Trading**: Follows the standard volatility trading rules [71]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.9% at the settlement price and 4.33% at the counter - party price [74][76]. 2.2 Shenzhen Stock Exchange Options 2.2.1 Harvest CSI 300ETF - **Basic Information**: Presents call and put option prices. The trading volume of the main - contract options is 83,486 lots, the open interest is 92,178 lots, the call - to - put volume ratio is 1.4, and the weighted - average implied volatility is 15.01% [77][80]. - **Volatility Trading**: Similar volatility trading advice [82]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.49% at the settlement price and 0.36% at the counter - party price [86][87]. 2.2.2 E Fund ChiNext ETF - **Basic Information**: Gives call and put option prices. The trading volume of the main - contract options is 1,147,176 lots, the open interest is 771,429 lots, the call - to - put volume ratio is 1.95, and the weighted - average implied volatility is 21.6% [88][90]. - **Volatility Trading**: Follows the common volatility trading rules [93]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 33.9% at the settlement price and 7.56% at the counter - party price [97][99]. 2.2.3 Harvest CSI 500ETF - **Basic Information**: Lists call and put option prices. The trading volume of the main - contract options is 104,737 lots, the open interest is 109,900 lots, the call - to - put volume ratio is 2.23, and the weighted - average implied volatility is 16.57% [100][102]. - **Volatility Trading**: Adheres to the general volatility trading suggestions [103].

Report Information - Report Date: June 26, 2025 [1] - Analyst: Fan Lijun from Guotou Futures Core Data Summary 50ETF - **Price and Volatility**: On June 24 - 26, 2025, the price ranged from 2.792 to 2.832. 5HV, 10HV, and 20HV showed fluctuations, with 5HV reaching 12.17% on June 25. The implied volatility (IV) also changed, with the monthly IV reaching 15.07% on June 25 [2]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 88%, and the minimum was 2% [7]. - **Skew Index**: The skew index of the main contract month was 91.48 on June 26 [9]. Shanghai 300ETF - **Price and Volatility**: From June 24 - 26, 2025, the price varied between 3.936 and 4.001. 5HV, 10HV, and 20HV had changes, with 5HV reaching 14.81% on June 25. The monthly IV was 14.85% on June 25 [11]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 110%, and the minimum was 1% [18]. - **Skew Index**: The skew index of the main contract month was 91.48 on June 26 [17]. Shenzhen 300ETF - **Price and Volatility**: During June 24 - 26, 2025, the price was between 4.059 and 4.126. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 14.83% on June 25. The monthly IV was 15.70% on June 25 [21]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 111%, and the minimum was 1% [29]. - **Skew Index**: The skew index of the main contract month was 90.04 on June 26 [27]. Shanghai CSI 500ETF - **Price and Volatility**: From June 23 - 25, 2025, the price ranged from 5.712 to 5.913. 5HV, 10HV, and 20HV changed, with 5HV reaching 20.36% on June 25. The monthly IV was 16.74% on June 25 [31]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 102%, and the minimum was 5% [38]. - **Skew Index**: The skew index of the main contract month was 90.75 on June 25 [37]. Shenzhen CSI 500ETF - **Price and Volatility**: On June 24 - 26, 2025, the price was between 2.320 and 2.361. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 19.69% on June 25. The monthly IV was 18.99% on June 25 [40]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 434%, and the minimum was 5% [49]. - **Skew Index**: The skew index of the main contract month was 91.14 on June 26 [47]. GEM ETF - **Price and Volatility**: From June 24 - 26, 2025, the price varied from 2.044 to 2.109. 5HV, 10HV, and 20HV changed, with 5HV reaching 30.91% on June 25. The monthly IV was 24.91% on June 25 [52]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 253%, and the minimum was 4% [59]. - **Skew Index**: The skew index of the main contract month was 86.99 on June 26 [58]. Shenzhen 100ETF - **Price and Volatility**: During June 24 - 26, 2025, the price was between 2.680 and 2.732. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 18.89% on June 25. The monthly IV was 18.83% on June 25 [63]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 134%, and the minimum was 4% [70]. - **Skew Index**: The skew index of the main contract month was 98.36 on June 26 [69]. Science and Technology Innovation 50ETF - **Price and Volatility**: From June 24 - 26, 2025, the price ranged from 1.029 to 1.048. 5HV, 10HV, and 20HV changed, with 5HV reaching 18.72% on June 26. The monthly IV was 20.49% on June 26 [72]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 222%, and the minimum was 5% [80]. - **Skew Index**: The skew index of the main contract month was 80.28 on June 26 [78]. Science and Technology Innovation 50ETF E Fund - **Price and Volatility**: On June 24 - 26, 2025, the price was between 1.003 and 1.022. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 18.87% on June 26. The monthly IV was 20.97% on June 26 [86]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 219%, and the minimum was 4% [90]. - **Skew Index**: The skew index of the main contract month was 79.72 on June 26 [88]. 300 Index - **Price and Volatility**: From June 24 - 26, 2025, the price ranged from 3904.034 to 3960.066. 5HV, 10HV, and 20HV changed, with 5HV reaching 14.19% on June 25. The monthly IV was 17.09% on June 25 [93]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 99%, and the minimum was 1% [94]. - **Skew Index**: The skew index of the main contract month was 85.71 on June 26 [94]. 1000 Index - **Price and Volatility**: On June 24 - 26, 2025, the price was between 6194.666 and 6276.163. 5HV, 10HV, and 20HV fluctuated, with 5HV reaching 23.05% on June 25. The monthly IV was 19.27% on June 25 [95]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 128%, and the minimum was 8% [104]. - **Skew Index**: The skew index of the main contract month was 91.75 on June 26 [103]. SSE 50 Index - **Price and Volatility**: From June 24 - 26, 2025, the price ranged from 2715.922 to 2747.728. 5HV, 10HV, and 20HV changed, with 5HV reaching 11.06% on June 25. The monthly IV was 14.56% on June 25 [105]. - **Historical Volatility Cone**: The maximum historical volatility of 5 - day HV in the past 12 months was 80%, and the minimum was 2% [110]. - **Skew Index**: The skew index of the main contract month was 85.47 on June 26 [109].

Report Summary 1. Report Industry Investment Rating No industry investment rating information is provided in the content. 2. Core Viewpoints There is no explicit core viewpoint presented in the given content. The report mainly offers a large amount of data on various ETFs and indexes, including historical volatility, implied volatility, skew index, and price trends. 3. Summary by Related Catalogs 3.1 50ETF - The current month's contract has 5 days until expiration [5] - Data on price, historical volatility, implied volatility, and their respective quantiles from May 19 - 21, 2025 are provided [2] - Information on historical volatility cones, skew index, and option smile curves is also included [7][9] 3.2 Shanghai 300ETF - The current month's contract has 5 days until expiration [10] - Similar data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [10] - Historical volatility cones, skew index, and option smile curves are also covered [16][15] 3.3 Shenzhen 300ETF - The current month's contract has 5 days until expiration [20] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [20] - Information on historical volatility cones, skew index, and option smile curves is provided [28][27] 3.4 Shanghai CSI 500ETF - The current month's contract has 5 days until expiration [31] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are given [31] - Historical volatility cones, skew index, and option smile curves are also included [38][37] 3.5 Shenzhen CSI 500ETF - The current month's contract has 5 days until expiration [42] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [42] - Information on historical volatility cones, skew index, and option smile curves is provided [51][49] 3.6 GEM ETF - The current month's contract has 5 days until expiration [57] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [57] - Historical volatility cones, skew index, and option smile curves are also covered [62][64] 3.7 Shenzhen 100ETF - The current month's contract has 5 days until expiration [65] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are given [65] - Historical volatility cones, skew index, and option smile curves are also included [72][71] 3.8 Science and Technology Innovation 50ETF - The current month's contract has 5 days until expiration [74] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [74] - Historical volatility cones, skew index, and option smile curves are also covered [81][80] 3.9 Science and Technology Innovation 50ETF E Fund - The current month's contract has 5 days until expiration [89] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [89] - Historical volatility cones, skew index, and option smile curves are also included [92][91] 3.10 300 Index - The current month's contract has 21 days until expiration [96] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are given [96] - Historical volatility cones, skew index, and option smile curves are also included [97] 3.11 1000 Index - The current month's contract has 21 days until expiration [98] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are presented [98] - Historical volatility cones, skew index, and option smile curves are also covered [102][106] 3.12 Shanghai 50 Index - The current month's contract has 21 days until expiration [107] - Data on price, historical volatility, implied volatility, and their quantiles from May 19 - 21, 2025 are shown [107] - Historical volatility cones, skew index, and option smile curves are also included [113][112]

1. Report Industry Investment Rating - No information provided in the content 2. Report Core Viewpoints - No clear core viewpoints are presented in the given content 3. Summary by Related Catalogs 3.1 50ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 2.628 to 2.672, 5HV increased from 44.61% to 46.81%, 10HV from 30.39% to 31.50%, 20HV from 25.02% to 25.41%, and the current month IV decreased from 24.88% to 18.89% [2] - The主力月份skew指数 decreased from 121.27 yesterday to 110.07 today [9] 3.2 Shanghai 300ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 3.730 to 3.829, 5HV increased from 47.87% to 53.42%, 10HV from 33.33% to 36.11%, 20HV from 26.38% to 27.60%, and the current month IV decreased from 27.91% to 20.10% [12] - The主力月份skew指数 decreased from 121.27 yesterday to 110.07 today [17] 3.3 Shenzhen 300ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 3.764 to 3.851, 5HV increased from 47.35% to 52.24%, 10HV from 32.97% to 35.37%, 20HV from 26.13% to 27.17%, and the current month IV decreased from 27.08% to 20.02% [22] - The主力月份skew指数 decreased from 118.98 yesterday to 113.77 today [24] 3.4 Shanghai CSI 500ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 5.313 to 5.535, 5HV increased from 68.57% to 76.41%, 10HV from 47.60% to 52.03%, 20HV from 35.15% to 37.25%, and the current month IV decreased from 33.43% to 26.15% [29] - The主力月份skew指数 decreased from 122.70 yesterday to 119.74 today [35] 3.5 Shenzhen CSI 500ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 2.124 to 2.211, 5HV increased from 72.18% to 79.08%, 10HV from 49.85% to 53.89%, 20HV from 36.61% to 38.55%, and the current month IV decreased from 36.59% to 26.74% [40] - The主力月份skew指数 decreased from 126.40 yesterday to 114.78 today [48] 3.6 ChiNext ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 1.804 to 1.863, 5HV increased from 88.62% to 95.31%, 10HV from 61.71% to 65.09%, 20HV from 45.89% to 47.45%, and the current month IV decreased from 50.69% to 35.49% [53] - The主力月份skew指数 decreased from 123.29 yesterday to 110.32 today [58] 3.7 Shenzhen 100ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 2.487 to 2.556, 5HV increased from 62.39% to 69.02%, 10HV from 44.15% to 47.24%, 20HV from 33.89% to 35.32%, and the current month IV decreased from 33.80% to 26.31% [61] - The主力月份skew指数 decreased from 125.64 yesterday to 119.23 today [68] 3.8 Science and Technology Innovation 50ETF - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 0.986 to 1.042, 5HV increased from 67.29% to 80.42%, 10HV from 46.97% to 54.31%, 20HV from 35.16% to 39.91%, and the current month IV decreased from 44.19% to 35.44% [73] - The主力月份skew指数 decreased from 125.78 yesterday to 111.76 today [79] 3.9 Science and Technology Innovation 50ETF E Fund - The current month contract has 9 days until expiration. From April 8 - 10, 2025, the underlying price rose from 0.960 to 1.015, 5HV increased from 60.70% to 75.14%, 10HV from 42.41% to 50.74%, 20HV from 32.30% to 37.48%, and the current month IV decreased from 43.30% to 33.92% [83] - The主力月份skew指数 decreased from 124.60 yesterday to 110.24 today [90] 3.10 300 Index - The current month contract has 6 days until expiration. From April 8 - 10, 2025, the underlying price rose from 3650.759 to 3735.115, 5HV increased from 52.80% to 56.84%, 10HV from 36.31% to 38.39%, 20HV from 28.02% to 28.88%, and the current month IV decreased from 28.54% to 20.68% [94] - The主力月份skew指数 decreased from 116.65 yesterday to 110.46 today [101] 3.11 1000 Index - The current month contract has 6 days until expiration. From April 8 - 10, 2025, the underlying price rose from 5530.019 to 5784.585, 5HV increased from 80.82% to 89.38%, 10HV from 56.19% to 60.89%, 20HV from 41.21% to 43.55%, and the current month IV decreased from 42.12% to 31.88% [103] - The主力月份skew指数 decreased from 126.71 yesterday to 126.20 today [107] 3.12 Shanghai Composite 50 Index - The current month contract has 6 days until expiration. From April 8 - 10, 2025, the underlying price rose from 2574.353 to 2612.619, 5HV increased from 44.77% to 46.63%, 10HV from 30.43% to 31.40%, 20HV from 24.88% to 25.15%, and the current month IV decreased from 26.37% to 19.55% [113] - The主力月份skew指数 decreased from 120.10 yesterday to 112.34 today [121]

Investment Rating - The report does not explicitly state an investment rating for the industry or specific ETFs analyzed. Core Insights - The report provides detailed volatility data for various ETFs, including 50ETF,沪300ETF, 深300ETF, 沪中证500ETF, 创业板ETF, and 深证100ETF, highlighting their implied volatility (IV) and historical volatility (HV) trends over recent days. - The implied volatility for the 50ETF on March 18, 2025, was recorded at 16.16%, with a historical volatility of 15.36% over 20 days, indicating a relatively stable market condition [2][3][4]. - The report notes a skew index for the main month of the 50ETF at 82.83, suggesting a slight preference for puts over calls in the options market [9]. - For the沪300ETF, the implied volatility on March 18, 2025, was 15.63%, with a 20-day historical volatility of 14.48%, reflecting a similar stability [11][12]. - The report indicates that the 创业板ETF had an implied volatility of 23.46% on March 18, 2025, which is higher compared to other ETFs, suggesting greater market uncertainty or potential for price movement [52][53]. Summary by Sections 50ETF Analysis - The 50ETF's price on March 18, 2025, was 2.800, with an implied volatility of 16.16% and a 20-day historical volatility of 15.36% [2][3]. - The report shows a decreasing trend in the implied volatility over the past few days, indicating a potential stabilization in market expectations [4][5]. 沪300ETF Analysis - The 沪300ETF's price on March 18, 2025, was 4.103, with an implied volatility of 15.63% and a 20-day historical volatility of 14.48% [11][12]. - The report highlights a consistent pattern in the implied volatility, suggesting a stable outlook for this ETF [12]. 深300ETF Analysis - The 深300ETF's price on March 18, 2025, was 4.207, with an implied volatility of 15.56% and a 20-day historical volatility of 14.70% [22][23]. - The report indicates a slight decrease in implied volatility, reflecting a potential reduction in market uncertainty [23]. 沪中证500ETF Analysis - The 沪中证500ETF's price on March 18, 2025, was 6.126, with an implied volatility of 20.04% and a 20-day historical volatility of 16.95% [29][30]. - The report notes a higher implied volatility compared to other ETFs, indicating greater market expectations for price movements [30]. 创业板ETF Analysis - The 创业板ETF's price on March 18, 2025, was 2.185, with an implied volatility of 23.46% and a 20-day historical volatility of 24.33% [52][53]. - The report suggests that this ETF is experiencing higher volatility, which may present both risks and opportunities for investors [53]. 深证100ETF Analysis - The 深证100ETF's price on March 18, 2025, was 2.845, with an implied volatility of 18.43% and a 20-day historical volatility of 17.53% [62][63]. - The report indicates a stable trend in implied volatility, suggesting a balanced market outlook [63].

Investment Rating - The report does not explicitly state an investment rating for the industry or specific ETFs analyzed Core Insights - The report provides detailed volatility metrics for various ETFs, including 50ETF, Hu300ETF, Shen300ETF, and others, indicating a range of implied volatility (IV) and historical volatility (HV) levels across different time frames [6][10][20][54][60][69] - The analysis includes skew indices for the main contract months, reflecting market sentiment and expectations regarding future volatility [9][15][23][36][48][65] - The report highlights the historical volatility ranges, with maximum values reaching up to 434% for ShenZheng 500ETF, indicating significant fluctuations in the market [25][51][67] Summary by Relevant Sections 50ETF Analysis - The 50ETF showed an implied volatility of 13.77% on March 12, 2025, with historical volatility (HV) values of 12.91% (5-day), 12.77% (10-day), and 11.70% (20-day) [6] - The skew index for the main contract month was recorded at 87.47 on the same date, indicating a slight decrease from previous days [9] Hu300ETF Analysis - The Hu300ETF had an implied volatility of 13.93% on March 12, 2025, with HV values of 11.43% (5-day), 12.58% (10-day), and 11.89% (20-day) [10] - The skew index for the main contract month was noted at 87.47, reflecting market sentiment [14] Shen300ETF Analysis - The Shen300ETF reported an implied volatility of 13.96% on March 12, 2025, with HV values of 11.99% (5-day), 12.99% (10-day), and 12.27% (20-day) [20] - The skew index for the main contract month was 93.53, indicating a shift in market expectations [23] Other ETFs Analysis - The report also covers the performance of the ChiNext ETF, with an implied volatility of 23.16% on March 12, 2025, and HV values of 19.19% (5-day), 23.96% (10-day), and 23.74% (20-day) [54] - The skew index for the ChiNext ETF was recorded at 89.02, suggesting a stable market outlook [59] Historical Volatility Insights - Historical volatility metrics for various ETFs indicate significant fluctuations, with maximum values reaching 434% for ShenZheng 500ETF and 253% for ChiNext ETF [25][51] - The report provides a comprehensive view of the volatility landscape, highlighting the potential for investment opportunities based on historical trends and current market conditions [38][66]

Investment Rating - The report does not explicitly state an investment rating for the industry or specific ETFs analyzed. Core Insights - The report provides detailed volatility metrics for various ETFs, including the 50ETF, Hu300ETF, and others, indicating a range of implied volatility (IV) and historical volatility (HV) levels, which are critical for assessing market conditions and potential investment opportunities. Summary by Relevant Sections 50ETF Analysis - As of February 20, 2025, the 50ETF price was 2.708 with an implied volatility (IV) of 14.04% and a 20-day historical volatility (20HV) of 9.50% [2][3][8] - The one-year IV percentile was 42.00%, indicating a moderate level of volatility compared to historical data [2][3][8] Hu300ETF Analysis - On February 20, 2025, the Hu300ETF price was 4.021, with an IV of 14.52% and a 20HV of 10.07% [13][14] - The one-year IV percentile was 42.00%, suggesting a similar volatility profile to the 50ETF [13][14] Deep300ETF Analysis - The Deep300ETF was priced at 4.122 on February 20, 2025, with an IV of 14.97% and a 20HV of 10.49% [23][24] - The one-year IV percentile was 47.70%, indicating slightly higher volatility compared to the Hu300ETF [23][24] ChiNext ETF Analysis - The ChiNext ETF had a price of 2.184 on February 20, 2025, with an IV of 24.59% and a 20HV of 22.98% [55][56] - The one-year IV percentile was 50.60%, reflecting a higher volatility environment compared to the other ETFs analyzed [55][56] Skew Index and Smile Curve - The skew index for the main months of the 50ETF, Hu300ETF, and Deep300ETF showed variations, with the 50ETF at 100.42 on the latest date, indicating market sentiment towards volatility [10][19][26] - The smile curves for these ETFs suggest varying levels of demand for options at different strike prices, which can indicate market expectations for future volatility [12][18][25] Historical Volatility Metrics - Historical volatility metrics for the ETFs indicate a maximum of 88% for the 50ETF and 110% for the Hu300ETF, suggesting significant past price fluctuations [11][21][28] - The report highlights the importance of these metrics in understanding the risk and potential return profiles of the ETFs [11][21][28]