国投期货 韩泽文 期货从业号: F03108100 投资咨询号: Z0021517 9 天 日期 标的物价格 标的涨跌幅 当月IV 次月IV 2025/9/29 3.109 1.04% 18.66% 17.92% 2025/9/30 3.126 0.55% 18.25% 17.67% 2025/10/9 3.161 1.12% 15.19% 16.05% 【50ETF】 近1年 当月IV分位数 70.60% 67.30% 46.90% 近2年 当月IV分位数 当月合约距离到期还剩 80.70% 77.90% 57.40% 近1年 次月IV分位数 57.30% 56.10% 48.90% 近2年 次月IV分位数 73.30% 71.30% 62.90% 2025年10月9日 金融期权波动率 0% 10% 20% 30% ATM IV(M1) ATM IV(M2) ATM IV(Q1) ATM IV(Q2) ATM IV期限结构 今日 昨日 0% 20% 40% 60% 80% 2.00 2.50 3.00 3.50 2022/9/30 2023/3/6 2023/8/1 2023/12/27 2024/5/31 ...

1. Report Industry Investment Rating - No information provided in the given documents 2. Report's Core View - No clear core view is presented in the provided documents. The reports mainly focus on presenting data related to various ETFs and indices, including price, volatility, and skew index over a certain period. 3. Summary by Related Catalogs 3.1 General Data (13 - day data) - For 50ETF, from Sep 23 - 25, 2025, the price increased from 3.054 to 3.087, with the highest daily increase of 0.59% on Sep 24. The monthly IV decreased from 21.49% to 17.69% [1]. - For Shanghai 300ETF, from Sep 23 - 25, 2025, the price rose from 4.622 to 4.695, with the highest daily increase of 0.89% on Sep 24. The monthly IV fluctuated between 16.03% and 19.72% [3]. - For Shenzhen 300ETF, from Sep 23 - 25, 2025, the price increased from 4.762 to 4.844, with the highest daily increase of 1.01% on Sep 24. The monthly IV changed from 17.19% to 19.19% [7]. - For Shanghai CSI 500ETF, from Sep 23 - 25, 2025, the price went up from 7.277 to 7.441, with the highest daily increase of 2.25% on Sep 25. The monthly IV increased from 16.69% to 26.03% [14]. - For Shenzhen CSI 500ETF, from Sep 23 - 25, 2025, the price first rose from 2.906 to 2.972 and then slightly dropped to 2.970. The monthly IV increased from 16.57% to 26.58% [22]. - For ChiNext ETF, from Sep 23 - 25, 2025, the price increased from 3.093 to 3.211, with the highest daily increase of 2.17% on Sep 24. The monthly IV changed from 30.72% to 41.46% [26]. - For Shenzhen 100ETF, from Sep 23 - 25, 2025, the price rose from 3.494 to 3.595, with the highest daily increase of 1.75% on Sep 24. The monthly IV fluctuated between 25.27% and 29.03% [33]. - For Science and Technology Innovation 50ETF, from Sep 23 - 25, 2025, the price increased from 1.475 to 1.548, with the highest daily increase of 3.73% on Sep 24. The monthly IV increased from 41.63% to 50.25% [41]. - For STAR 50ETF, from Sep 23 - 25, 2025, the price rose from 1.442 to 1.513, with the highest daily increase of 3.68% on Sep 24. The monthly IV increased from 41.58% to 49.81% [48]. - For 300 Index, from Sep 23 - 25, 2025, the price increased from 4519.778 to 4593.488, with the highest daily increase of 1.02% on Sep 24. The monthly IV decreased from 20.20% to 18.16% [55]. - For 1000 Index, from Sep 23 - 25, 2025, the price first rose from 7408.069 to 7534.222 and then dropped to 7506.512. The monthly IV fluctuated between 27.42% and 28.25% [63]. - For Shanghai - Shenzhen 50 Index, from Sep 23 - 25, 2025, the price increased from 2919.515 to 2952.735, with the highest daily increase of 0.68% on Sep 24. The monthly IV decreased from 19.89% to 19.08% [68]. 3.2 IV Quantile Data - For 50ETF, the monthly IV quantile in the past 1 - year was between 63.60% and 84.80%, and in the past 2 - year was between 74.80% and 91.00% [1]. - For Shanghai 300ETF, the monthly IV quantile in the past 1 - year was between 47.30% and 77.90%, and in the past 2 - year was between 60.30% and 83.20% [3]. - For Shenzhen 300ETF, the monthly IV quantile in the past 1 - year was between 55.50% and 72.20%, and in the past 2 - year was between 70.90% and 84.00% [7]. - For Shanghai CSI 500ETF, the monthly IV quantile in the past 1 - year was between 21.60% and 80.80%, and in the past 2 - year was between 26.10% and 86.90% [14]. - For Shenzhen CSI 500ETF, the monthly IV quantile in the past 1 - year was between 22.40% and 80.00%, and in the past 2 - year was between 26.70% and 86.50% [22]. - For ChiNext ETF, the monthly IV quantile in the past 1 - year was between 61.60% and 91.70%, and in the past 2 - year was between 78.90% and 94.80% [26]. - For Shenzhen 100ETF, the monthly IV quantile in the past 1 - year was between 70.60% and 86.50%, and in the past 2 - year was between 83.20% and 92.40% [33]. - For Science and Technology Innovation 50ETF, the monthly IV quantile in the past 1 - year was between 73.80% and 87.30%, and in the past 2 - year was between 88.90% and 94.40% [41]. - For STAR 50ETF, the monthly IV quantile in the past 1 - year was between 78.30% and 88.70%, and in the past 2 - year was between 86.90% and 94.60% [48]. - For 300 Index, the monthly IV quantile in the past 1 - year was between 53.40% and 80.50%, and in the past 2 - year was between 62.40% and 83.00% [55]. - For 1000 Index, the monthly IV quantile in the past 1 - year was between 56.70% and 79.90%, and in the past 2 - year was between 70.60% and 79.10% [63]. - For Shanghai - Shenzhen 50 Index, the monthly IV quantile in the past 1 - year was between 65.30% and 90.20%, and in the past 2 - year was between 59.10% and 95.00% [68]. 3.3 Skew Index Data - For 50ETF, the skew index on Sep 25, 2025, was 82.18, decreasing from 83.73 the previous day [2]. - For Shanghai 300ETF, the skew index on Sep 25, 2025, was 98.87, increasing from 94.55 the previous day [5]. - For Shenzhen 300ETF, the skew index on Sep 25, 2025, was 96.50, increasing from 95.51 the previous day [12]. - For Shanghai CSI 500ETF, the skew index on Sep 25, 2025, was 100.56, decreasing from 103.35 the previous day [17]. - For Shenzhen CSI 500ETF, the skew index on Sep 25, 2025, was 98.83, decreasing from 99.08 the previous day [25]. - For ChiNext ETF, the skew index on Sep 25, 2025, was 99.99, increasing from 95.76 the previous day [30]. - For Shenzhen 100ETF, the skew index on Sep 25, 2025, was 98.60, increasing from 96.56 the previous day [37]. - For Science and Technology Innovation 50ETF, the skew index on Sep 25, 2025, was 98.68, increasing from 88.91 the previous day [44]. - For STAR 50ETF, the skew index on Sep 25, 2025, was 94.06, increasing from 91.22 the previous day [51]. - For 300 Index, no skew index data is provided. - For 1000 Index, no skew index data is provided. - For Shanghai - Shenzhen 50 Index, no skew index data is provided.

1. Report Industry Investment Rating - No information provided regarding the report industry investment rating 2. Report's Core View - No clear core view is presented in the provided content 3. Summary by Related Catalogs 3.1 50ETF - From September 18 - 22, 2025, the price fluctuated, with a -1.30% drop on the 18th, -0.10% on the 19th, and a 0.30% increase on the 22nd; the current month IV ranged from 17.80% - 19.45%, and the next month IV from 18.87% - 20.13% [1] - The current month IV quantiles in the past 1 - 2 years were 65.30% - 76.70%, and the next month IV quantiles were 66.20% - 86.00% [1] 3.2 Shanghai 300ETF - From September 18 - 22, 2025, the price rose gradually, with a -1.27% drop on the 18th, a 0.22% increase on the 19th, and a 0.33% increase on the 22nd; the current month IV ranged from 17.76% - 18.21%, and the next month IV from 19.55% - 20.47% [3] - The current month IV quantiles in the past 1 - 2 years were 62.40% - 74.80%, and the next month IV quantiles were 66.60% - 84.50% [3] 3.3 Shenzhen 300ETF - From September 18 - 22, 2025, the price increased steadily, with a -1.42% drop on the 18th, a 0.32% increase on the 19th, and a 0.36% increase on the 22nd; the current month IV ranged from 18.46% - 19.73%, and the next month IV from 20.50% - 21.64% [9] - The current month IV quantiles in the past 1 - 2 years were 63.20% - 82.60%, and the next month IV quantiles were 70.30% - 86.80% [9] 3.4 Shanghai CSI 500ETF - From September 18 - 22, 2025, the price had minor fluctuations, with a 0.14% increase on the 18th, a -1.30% drop on the 19th, and a 0.36% increase on the 22nd; the current month IV ranged from 22.20% - 24.13%, and the next month IV from 25.49% - 25.82% [13] - The current month IV quantiles in the past 1 - 2 years were 59.10% - 80.10%, and the next month IV quantiles were 76.70% - 87.50% [13] 3.5 Shenzhen CSI 500ETF - From September 18 - 22, 2025, the price increased slightly, with a -1.05% drop on the 18th, a -0.34% drop on the 19th, and a 0.69% increase on the 22nd; the current month IV ranged from 20.78% - 24.98%, and the next month IV from 25.90% - 48.50% [19] - The current month IV quantiles in the past 1 - 2 years were 65.70% - 86.20%, and the next month IV quantiles were 76.70% - 87.30% [19] 3.6 ChiNext ETF - From September 18 - 22, 2025, the price increased slightly, with a -1.67% drop on the 18th, a -0.16% drop on the 19th, and a 0.65% increase on the 22nd; the current month IV ranged from 34.48% - 38.92%, and the next month IV from 42.19% - 43.81% [23] - The current month IV quantiles in the past 1 - 2 years were 74.20% - 92.80%, and the next month IV quantiles were 90.70% - 96.40% [23] 3.7 Shenzhen 100ETF - From September 18 - 22, 2025, the price increased steadily, with a -1.00% drop on the 18th, a 0.38% increase on the 19th, and a 0.55% increase on the 22nd; the current month IV ranged from 23.77% - 25.70%, and the next month IV from 27.03% - 27.77% [32] - The current month IV quantiles in the past 1 - 2 years were 64.40% - 85.00%, and the next month IV quantiles were 77.60% - 90.60% [32] 3.8 Science and Technology Innovation 50ETF - From September 18 - 22, 2025, the price increased significantly, with a 0.69% increase on the 18th, a -1.31% drop on the 19th, and a 3.35% increase on the 22nd; the current month IV ranged from 45.63% - 50.03%, and the next month IV from 50.07% - 54.41% [39] - The current month IV quantiles in the past 1 - 2 years were 81.60% - 94.20%, and the next month IV quantiles were 87.70% - 96.60% [39] 3.9 STAR 50ETF - From September 18 - 22, 2025, the price increased significantly, with a 0.64% increase on the 18th, a -1.20% drop on the 19th, and a 3.51% increase on the 22nd; the current month IV ranged from 38.30% - 49.22%, and the next month IV from 48.55% - 52.77% [46] - The current month IV quantiles in the past 1 - 2 years were 83.60% - 95.50%, and the next month IV quantiles were 70.60% - 93.60% [46] 3.10 CSI 300 Index - From September 18 - 22, 2025, the price increased steadily, with a -1.16% drop on the 18th, a 0.08% increase on the 19th, and a 0.46% increase on the 22nd; the current month IV ranged from 17.81% - 21.19%, and the next month IV from 20.05% - 21.24% [52] - The current month IV quantiles in the past 1 - 2 years were 61.60% - 86.90%, and the next month IV quantiles were 64.40% - 85.00% [52] 3.11 CSI 1000 Index - From September 18 - 22, 2025, the price increased slightly, with a -1.04% drop on the 18th, a -0.51% drop on the 19th, and a 0.69% increase on the 22nd; the current month IV ranged from 19.76% - 28.60%, and the next month IV from 25.77% - 27.61% [60] - The current month IV quantiles in the past 1 - 2 years were 26.50% - 80.50%, and the next month IV quantiles were 56.70% - 85.00% [60] 3.12 SSE 50 Index - From September 18 - 22, 2025, the price increased slightly, with a -1.35% drop on the 18th, a -0.11% drop on the 19th, and a 0.43% increase on the 22nd; the current month IV ranged from 20.16% - 20.74%, and the next month IV from 57.39% - 80.72% [65] - The current month IV quantiles in the past 1 - 2 years were 74.20% - 99.50%, and the next month IV quantiles were 74.60% - 99.10% [65]

1. Report Industry Investment Rating There is no information about the report industry investment rating in the provided content. 2. Report's Core View There is no clear statement of the report's core view in the given text. 3. Summary by Related Catalogs 3.1 General Information - The report provides data on various ETFs and indices, including 50ETF, Shanghai 300ETF, Shenzhen 300ETF, Shanghai CSI 500ETF, Shenzhen CSI 500ETF, ChiNext ETF, Shenzhen 100ETF, Science and Technology Innovation 50ETF, Science and Technology Innovation Board 50ETF, 300 Index, 1000 Index, and Shanghai Composite 50 Index [1][3][7][14][21][25][35][43][50][57][63][69] 3.2 Price and Volatility Data - For each ETF and index, the report shows the price, price change, implied volatility (IV) for the current and next months over a 5 - day period from September 15 - 17, 2025 [1][3][7][14][21][25][35][43][50][57][63][69] - It also presents the IV quantiles for the current and next months over the past 1 and 2 years [1][3][7][14][21][25][35][43][50][57][63][69] 3.3 Volatility Structure and Trends - ATM IV term structures for different months (M1, M2, Q1, Q2, etc.) are provided, comparing the current day with the previous day [1][3][7][14][21][25][35][43][50][57][60][65][70] - Intraday trends of different - month at - the - money (ATM) IV are shown [1][3][7][14][21][25][35][43][50][60][65][70] 3.4 Skew Index and Smile Curve - The skew index for the main contract month is calculated as the ratio of the implied volatility of a call option with a delta of 0.75 to that of a call option with a delta of 0.25, and its values for the past five days are given [2][5][13][17][24][30][39][46][53][62][68][73] - The smile curves for the main contract months of each ETF and index option are presented [2][5][13][16][24][29][38][45][52][62][68][73] 3.5 Other Related Data - The relationship between price, open interest PCR, IV, and trading volume is shown through historical trend charts for each ETF and index [2][5][13][19][24][31][41][48][55][62][68][73] - Intraday synthetic - futures spreads and historical synthetic - futures spreads for some indices are provided [62][68][73]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints No explicit core viewpoints are presented in the given content. The data mainly focuses on the price, volatility, and related indicators of various financial products such as ETFs and indices. 3. Summary by Product 50ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 3.059 to 3.122, with a maximum daily increase of 1.63%. The current month IV ranged from 15.16% - 16.24%, and the next month IV from 17.60% - 18.58% [1]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 48.90% - 67.40%, and the next month IV quantiles were 58.60% - 80.50% [1]. Shanghai 300ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 4.528 to 4.660, with a maximum daily increase of 2.69%. The current month IV ranged from 14.58% - 17.98%, and the next month IV from 18.37% - 20.32% [4]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 31.80% - 73.80%, and the next month IV quantiles were 59.90% - 84.70% [4]. Shenzhen 300ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 4.671 to 4.800, with a maximum daily increase of 2.56%. The current month IV ranged from 15.27% - 18.07%, and the next month IV from 18.76% - 20.31% [8]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 39.50% - 76.20%, and the next month IV quantiles were 60.50% - 84.00% [8]. Shanghai CSI 500ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 7.006 to 7.224, with a maximum daily increase of 3.11%. The current month IV ranged from 19.27% - 21.34%, and the next month IV from 22.92% - 24.33% [16]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 38.70% - 67.20%, and the next month IV quantiles were 59.90% - 81.60% [16]. Shenzhen CSI 500ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 2.800 to 2.891, with a maximum daily increase of 3.14%. The current month IV ranged from 19.63% - 21.80%, and the next month IV from 23.46% - 24.69% [22]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 42.00% - 70.30%, and the next month IV quantiles were 61.60% - 81.30% [22]. ChiNext ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 2.845 to 3.025, with a maximum daily increase of 5.22%. The current month IV on September 9 - 10 was 32.85% - 33.59%, and the next month IV was 35.81% - 35.99% [26]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 72.60% - 86.00%, and the next month IV quantiles were 82.20% - 91.10% [26]. Shenzhen 100ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 3.314 to 3.451, with a maximum daily increase of 3.82%. The current month IV ranged from 20.52% - 25.02%, and the next month IV from 24.00% - 26.67% [36]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 55.90% - 83.40%, and the next month IV quantiles were 66.20% - 88.30% [36]. Science and Technology Innovation 50ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 1.307 to 1.393, with a maximum daily increase of 5.45%. The current month IV ranged from 35.02% - 43.96%, and the next month IV from 39.70% - 45.48% [44]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 65.30% - 93.20%, and the next month IV quantiles were 77.60% - 90.30% [44]. Science and Technology Innovation Board 50ETF - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 1.277 to 1.361, with a maximum daily increase of 5.50%. The current month IV ranged from 38.59% - 48.40%, and the next month IV from 40.15% - 47.41% [51]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 75.10% - 93.60%, and the next month IV quantiles were 73.40% - 91.30% [51]. 300 Index - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 4436.258 to 4548.035. The current month IV ranged from 13.77% - 16.79%, and the next month IV from 18.80% - 20.23% [59]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 29.30% - 67.00%, and the next month IV quantiles were 59.10% - 80.30% [59]. 1000 Index - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 7226.028 to 7399.885. The current month IV ranged from 20.56% - 22.39%, and the next month IV from 24.87% - 25.65% [61]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 31.00% - 50.50%, and the next month IV quantiles were 55.10% - 72.10% [61]. Shanghai Composite 50 Index - **Price and Volatility**: From September 9 - 11, 2025, the price increased from 2928.632 to 2983.083. The current month IV ranged from 14.52% - 16.95%, and the next month IV from 65.29% - 71.83% [75]. - **IV Quantiles**: The current month IV quantiles in the past 1 - 2 years were 30.60% - 66.60%, and the next month IV quantiles were 97.10% - 99.70% [75].

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]