a 先锋期货期权日报 2025-8-25 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 | | | 科创50etf8月 | 5.0% | 1 | 2.3% | 7 | 5.3% | 2 | | 科创板50etf8月 | 4.9% | 2 | 2.4% | 6 | 5.4% | 1 | | ps2510 | 3.7% | 3 | 3.5% | 2 | 3.4% | 7 | | lc2510 | 3.4% | 4 | 4.0% | ...

先锋期货期权日报 2025-8-22 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 | | | 科创50etf8月 | 3.8% | 1 | 2.2% | 9 | 8.8% | 2 | | ps2510 | 3.5% | 2 | 3.9% | 2 | 2.7% | 8 | | lc2510 | 3.1% | 3 | 4.6% | 1 | 6.1% | 3 | | 科创板50etf8月 | 3.0% | 4 | 2.3% | 8 ...

Group 1: General Information - The report is the Pioneer Futures Options Daily Report dated August 15, 2025 [1] - It provides data on the implied volatility of at - the - money options, 30 - day historical volatility, and the true daily range of various option targets, along with rankings [3][5] - The volatility data are daily - based and can be directly compared. Higher implied volatility implies a greater likelihood of significant market movements, and differences between historical and implied volatility can indicate option price trends [6] Group 2: Industry Investment Rating - No industry investment rating is provided in the report Group 3: Core Viewpoints - The report presents detailed data on option targets' volatility and trading information, offering reference for different types of traders such as trend traders, option sellers, and intraday traders based on the volatility characteristics [6] - It also provides basic information, volatility trading suggestions, and risk - free arbitrage analysis for options on various ETFs and commodities across different exchanges Group 4: Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: Presents the T - type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices. The trading volume of the main - contract options is 1,163,646 lots, the open interest is 969,586 lots, the call - to - put volume ratio is 1.77, and the weighted average implied volatility is 17.15% [19][21] - Volatility Trading: Suggests selling options with higher - positioned curves (either across different months or within the same month) and buying those with lower - positioned curves based on the implied volatility curves [23] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity yields a minimum annualized return of 14.6% at the settlement price and 3.74% at the counter - party price [27][29] 1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - Basic Information: Displays the T - type quotation table of 300ETF options. The trading volume of the main - contract options is 1,027,221 lots, the open interest is 732,654 lots, the call - to - put volume ratio is 1.64, and the weighted average implied volatility is 18.61% [30][33] - Volatility Trading: Similar to the Shanghai 50ETF, it recommends selling high - curve options and buying low - curve options according to the implied volatility curves [37] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity has a minimum annualized return of 11.8% at the settlement price and 2.65% at the counter - party price [40][42] 1.3 Southern China Securities 500ETF - Basic Information: Shows the T - type quotation table of 500ETF options. The trading volume of the main - contract options is 1,691,096 lots, the open interest is 778,728 lots, the call - to - put volume ratio is 1.43, and the weighted average implied volatility is 20.63% [43][45] - Volatility Trading: Advises selling high - curve options and buying low - curve options based on the implied volatility curves [49] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity offers a minimum annualized return of 15.5% at the settlement price and 3.42% at the counter - party price [52][54] 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: Presents the T - type quotation table of Science and Technology Innovation 50ETF options. The trading volume of the main - contract options is 737,709 lots, the open interest is 923,760 lots, the call - to - put volume ratio is 2.39, and the weighted average implied volatility is 29.49% [55][57] - Volatility Trading: Suggests selling high - curve options and buying low - curve options according to the implied volatility curves [62] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity gives a minimum annualized return of 15.6% at the settlement price and 0.93% at the counter - party price [64][66] 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: Displays the T - type quotation table of Science and Technology Innovation 50ETF options. The trading volume of the main - contract options is 182,129 lots, the open interest is 269,106 lots, the call - to - put volume ratio is 2.19, and the weighted average implied volatility is 30.56% [67][69] - Volatility Trading: Recommends selling high - curve options and buying low - curve options based on the implied volatility curves [71] - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity yields a minimum annualized return of 15.6% at the settlement price and 1.90% at the counter - party price [75][77] 2. Shenzhen Stock Exchange Options 2.1 Harvest Shanghai - Shenzhen 300ETF - Basic Information: Presents the T - type quotation table of Shenzhen 300ETF options. The trading volume of the main - contract options is 232,529 lots, the open interest is 158,549 lots, the call - to - put volume ratio is 1.4, and the weighted average implied volatility is 22.03% [78][81] - Volatility Trading: Advises selling high - curve options and buying low - curve options according to the implied volatility curves [83] - Risk - Free Arbitrage: No specific risk - free arbitrage data are provided in the extracted content Other Exchanges' Options - The report also has a directory for options on the China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange, but detailed data are not fully presented in the provided content for all of them. Only the directory structure and general analysis directions are given, including basic information, volatility trading, and risk - free arbitrage for each option type [8][9][10][11][12][13][14][15][16][17][18]

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents the option daily report of Pioneer Futures on August 14, 2025, including the volatility data of various option targets and the basic information, volatility trading, and risk - free arbitrage analysis of options on multiple exchanges [3][19]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main - force options of Shanghai 50ETF is 1,504,832 lots, the position is 960,669 lots, the trading volume ratio of call options to put options is 1.87, and the weighted - average implied volatility is 15.46% [21]. - **Volatility Trading**: Suggestions are given based on the implied volatility curves of call options with different strike prices and different Deltas, such as selling the months or options above the curve and buying those below [24]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 3.94% at the settlement price and 0.93% at the counter - price [27][29]. - **1.2 Huatai - Baorui CSI 300ETF** - **Basic Information**: The trading volume of the main - force options is 1,105,047 lots, the position is 727,031 lots, the trading volume ratio of call options to put options is 1.71, and the weighted - average implied volatility is 16.41% [33]. - **Volatility Trading**: Similar volatility trading suggestions are provided according to the implied volatility curves [36]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 7.24% at the settlement price and 0.70% at the counter - price [40][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main - force options is 1,528,831 lots, the position is 776,258 lots, the trading volume ratio of call options to put options is 1.3, and the weighted - average implied volatility is 18.79% [45]. - **Volatility Trading**: Volatility trading suggestions are given based on the implied volatility curves [48]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 26.7% at the settlement price and 7.73% at the counter - price [52][54]. - **1.4 Huaxia Shanghai - Science and Technology Innovation Board 50ETF** - **Basic Information**: The trading volume of the main - force options is 1,306,982 lots, the position is 893,513 lots, the trading volume ratio of call options to put options is 2.13, and the weighted - average implied volatility is 27.76% [57]. - **Volatility Trading**: Volatility trading suggestions are made according to the implied volatility curves [61]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 26.0% at the settlement price and 1.75% at the counter - price [64][66]. - **1.5 E Fund Shanghai - Science and Technology Innovation Board 50ETF** - **Basic Information**: The trading volume of the main - force options is 319,275 lots, the position is 263,988 lots, the trading volume ratio of call options to put options is 2.42, and the weighted - average implied volatility is 29.98% [68]. - **Volatility Trading**: Volatility trading suggestions are provided based on the implied volatility curves [72]. - **Risk - Free Arbitrage**: The minimum annualized rate of return of the optimal arbitrage portfolio held to maturity is 17.5% at the settlement price and 1.12% at the counter - price [75][77]. 3.2 Shenzhen Stock Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main - force options of Shenzhen 300ETF is 195,481 lots, the position is 151,071 lots, the trading volume ratio of call options to put options is 2.32, and the weighted - average implied volatility is 17.88% [81]. - **Volatility Trading**: Volatility trading suggestions are given according to the implied volatility curves [85].

1. Report Industry Investment Rating - Not provided in the content 2. Core Views of the Report - On July 31, 2025, all stock indices fluctuated and declined. The trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 196.18 billion yuan, an increase of 9.09 billion yuan from the previous day [3]. - The manufacturing PMI in July was 49.3, a decrease of 0.4 percentage points from the previous month, indicating a decline in manufacturing prosperity and the continued existence of insufficient effective domestic demand [3]. - Considering that the Politburo meeting in July mainly emphasized the implementation of existing policies, incremental policies may need to wait for the Fourth Plenary Session of the 20th CPC Central Committee in October. In the short term, the driving force of policy -利好 expectations will gradually weaken [3]. - Since late June, some stocks have achieved significant gains, and some profit - taking funds have a need to take profits. Therefore, the stock indices have a short - term need for technical consolidation [3]. - Given that the trading volume of the stock market is still at a high level, the downward space of the stock indices is expected to be limited. It is expected that the stock indices will mainly fluctuate within a range in the short term [3]. - Currently, the implied volatility of options has rebounded. Considering that the stock indices are upward in the medium and long term, investors can continue to hold bull spreads or ratio spreads for a mild long - position view [3]. 3. Summaries According to Relevant Catalogs 3.1 Option Indicators - On July 31, 2025, 50ETF fell 1.50% to 2.899; 300ETF (Shanghai Stock Exchange) fell 1.82% to 4.155; 300ETF (Shenzhen Stock Exchange) fell 1.88% to 4.284; the CSI 300 Index fell 1.82% to 4075.59; the CSI 1000 Index fell 0.85% to 6661.19; 500ETF (Shanghai Stock Exchange) fell 1.44% to 6.297; 500ETF (Shenzhen Stock Exchange) fell 1.41% to 2.517; the ChiNext ETF fell 1.88% to 2.301; the Shenzhen 100ETF fell 2.00% to 2.884; the SSE 50 Index fell 1.54% to 2775.99; the STAR 50ETF fell 0.99% to 1.10; and E Fund STAR 50ETF fell 1.01% to 1.07 [5]. - The trading volume PCR and position PCR of various options changed compared with the previous trading day. For example, the trading volume PCR of SSE 50ETF options was 92.57 (the previous trading day was 85.10), and the position PCR was 89.67 (the previous trading day was 100.85) [6]. - The implied volatility of the at - the - money options in August 2025 and the 30 - trading - day historical volatility of the underlying assets of various options are provided. For example, the implied volatility of the at - the - money options of SSE 50ETF options in August 2025 was 14.87%, and the 30 - trading - day historical volatility of the underlying asset was 8.07% [7]. 3.2 Relevant Charts - **SSE 50ETF Options**: Include charts of SSE 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [9][11][13]. - **SSE 300ETF Options**: Include charts of SSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [18][19]. - **SZSE 300ETF Options**: Include charts of SZSE 300ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [21][22]. - **CSI 300 Index Options**: Include charts of CSI 300 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [33][34]. - **CSI 1000 Index Options**: Include charts of CSI 1000 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [46][47]. - **SSE 500ETF Options**: Include charts of SSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [57][58]. - **SZSE 500ETF Options**: Include charts of SZSE 500ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [70][71]. - **ChiNext ETF Options**: Include charts of ChiNext ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [82][83]. - **Shenzhen 100ETF Options**: Include charts of Shenzhen 100ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [95][96]. - **SSE 50 Index Options**: Include charts of SSE 50 index trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [108][109]. - **STAR 50ETF Options**: Include charts of STAR 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [122][123]. - **E Fund STAR 50ETF Options**: Include charts of E Fund STAR 50ETF trends, option volatility, trading volume PCR, position PCR, implied volatility curves, and various - term at - the - money implied volatility [125][126].

Group 1: Report Overview - Report Title: Pioneer Futures Option Daily Report [1] - Date: July 22, 2025 [1] Group 2: Option Volatility Ranking - The report provides a ranking of option underlying assets based on at-the-money option implied volatility, 30-day historical volatility, and daily true range [3][5]. - For example, zc509 has an at-the-money option implied volatility of 5.1%, ranking 1st; ps2509 has a 30-day historical volatility of 3.1%, ranking 1st; and fg509 has a daily true range of 6.7%, ranking 2nd [3]. Group 3: Option Trading Analysis by Exchange 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 800,140 lots, the open interest was 621,524 lots, the trading volume ratio of call options to put options was 1.71, and the weighted average implied volatility was 17.22% [21]. - **Volatility Trading**: Suggestions include selling the month with the curve above and buying the month with the curve below for different months; selling options with points above the curve and buying options with points below the curve for the same month [23]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 235% when traded at the settlement price and 33.6% when traded at the counterparty price [27][29]. 3.1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main options of Huatai-PineBridge CSI 300ETF on the day was 656,899 lots, the open interest was 418,736 lots, the trading volume ratio of call options to put options was 1.8, and the weighted average implied volatility was 20.07% [33]. - **Volatility Trading**: Similar trading suggestions as for Shanghai 50ETF [37]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 117% when traded at the settlement price and 29.5% when traded at the counterparty price [41][43]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 906,135 lots, the open interest was 438,698 lots, the trading volume ratio of call options to put options was 1.35, and the weighted average implied volatility was 21.18% [46]. - **Volatility Trading**: Similar trading suggestions as above [49]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 155% when traded at the settlement price and 25.7% when traded at the counterparty price [53][55]. 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50 ETF on the day was 405,641 lots, the open interest was 562,902 lots, the trading volume ratio of call options to put options was 1.91, and the weighted average implied volatility was 24.49% [58]. - **Volatility Trading**: Similar trading suggestions as before [60]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 4.78% when traded at the settlement price and 2.14% when traded at the counterparty price [64][66]. 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50 ETF on the day was 93,595 lots, the open interest was 124,079 lots, the trading volume ratio of call options to put options was 1.74, and the weighted average implied volatility was 25.93% [69]. - **Volatility Trading**: Similar trading suggestions as other ETFs [71]. - **Risk-Free Arbitrage**: The minimum annualized rate of return for the optimal arbitrage portfolio held to maturity is 4.02% when traded at the settlement price and 1.56% when traded at the counterparty price [75][77]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 89,876 lots, the open interest was 83,549 lots, the trading volume ratio of call options to put options was 1.62, and the weighted average implied volatility was 24.13% [81]. - **Volatility Trading**: Similar trading suggestions as other ETFs [85].

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report The report presents the daily data of futures and options, including the implied volatility, historical volatility, and true range of various option targets. It also provides detailed information on the basic data, volatility trading, and risk - free arbitrage of options on different ETFs and commodities across multiple exchanges. Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on the day was 999,636 lots, the open interest was 816,864 lots, the volume ratio of call options to put options was 1.47, and the weighted - average implied volatility was 13.97% [19][21]. - **Volatility Trading**: Suggestions include selling the month with the curve on top and buying the month with the curve below for different months; selling options with points above the curve and buying those below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 20.1% at the settlement price and 1.35% at the counter - price [27][29]. 1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main 300ETF options on the day was 785,928 lots, the open interest was 574,155 lots, the volume ratio of call options to put options was 1.43, and the weighted - average implied volatility was 14.48% [30][32]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell the month with the curve on top and buy the month with the curve below for different months; sell options with points above the curve and buy those below for the same month [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 27.5% at the settlement price and 3.30% at the counter - price [39][40]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on the day was 858,727 lots, the open interest was 566,098 lots, the volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 15.3% [41][43]. - **Volatility Trading**: The same trading suggestions as above for different and same - month options [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 21.8% at the settlement price and 5.60% at the counter - price [50][52]. 1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main STAR 50ETF options on the day was 958,790 lots, the open interest was 620,586 lots, the volume ratio of call options to put options was 1.07, and the weighted - average implied volatility was 32.23% [53][55]. - **Volatility Trading**: Follow the general volatility trading suggestions [62]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 7.94% at the settlement price and 0.63% at the counter - price [63][65]. 1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main STAR 50ETF options on the day was 94,808 lots, the open interest was 159,401 lots, the volume ratio of call options to put options was 1.43, and the weighted - average implied volatility was 30.06% [66][68]. - **Volatility Trading**: Adopt the common volatility trading strategies [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 3.51% at the settlement price and 0.05% at the counter - price [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main Shenzhen 300ETF options on the day was 173,124 lots, the open interest was 122,576 lots, the volume ratio of call options to put options was 0.92, and the weighted - average implied volatility was 20.52% [77][80]. - **Volatility Trading**: Use the standard volatility trading suggestions [82]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 41.3% at the settlement price and 2.28% at the counter - price [86][88].

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].

Core Viewpoint - The expansion of risk management tools in the STAR Market is expected to accelerate with the implementation of the "1+6" policy measures by the China Securities Regulatory Commission (CSRC) [1] Group 1: Policy and Regulatory Developments - The CSRC has issued opinions to enhance the inclusiveness and adaptability of the STAR Market, focusing on the introduction of more STAR Market ETF options and futures options [1] - The emphasis on expanding risk management tools is a key aspect of the STAR Market reform, aimed at attracting long-term capital [1][3] Group 2: Current Financial Instruments - The launch of the STAR 50 ETF options on June 5, 2023, marked the introduction of the first on-exchange options product based on the STAR 50 Index, which includes both call and put options [2] - The STAR 50 ETF options have seen significant trading activity, with a cumulative trading volume of 153 million contracts for the Huaxia STAR 50 ETF options and 78 million contracts for the E Fund STAR 50 ETF options as of 2024 [2] Group 3: Market Dynamics and Future Trends - The introduction of STAR 50 ETF options has improved market pricing efficiency and attracted more investors, thereby enhancing the liquidity of the underlying ETF market [3] - The STAR Market has developed a multi-tiered index system, with a total of 88 STAR Market ETFs and a total scale exceeding 250 billion yuan as of mid-June 2025 [3] - There is a growing need for more derivative products to meet the risk hedging demands of various sectors, as the existing STAR 50 ETF options have limited coverage [3][4] Group 4: Recommendations for Future Products - Analysts suggest prioritizing the launch of STAR 50 index futures and options to meet institutional hedging needs, as well as considering options for STAR 100 and STAR 200 indices to cover mid-cap and small-cap tech stocks [4] - The development of industry-specific derivatives, such as semiconductor and AI ETF options, is recommended to mitigate sector volatility risks [4] - Future expansion of derivative products is expected to enhance the risk management framework of the STAR Market, attracting more market makers and institutional investors, thereby improving market liquidity and pricing efficiency [5]