Core Points - The Shanghai Stock Exchange announced the expiration and exercise dates for five ETF options, which will expire on November 26, 2025 [1] - Investors are advised to closely monitor the trading and exercise of these options and prepare accordingly [1] Group 1: Options Details - The five ETF options include: 50ETF options (510050), 300ETF options (510300), 500ETF options (510500), Sci-Tech 50ETF options (588000), and Sci-Tech Board 50ETF options (588080) [1] - The last trading day, exercise day, and expiration day for these options are all set for November 26, 2025 [1] Group 2: Exercise Procedures - On the exercise day, holders of call options must prepare sufficient funds, while holders of put options must have the underlying assets ready [2] - The underlying assets transferred from margin accounts to securities accounts cannot be used for the same day's option exercise settlement [2] - The underlying assets obtained through exercising call options can be sold starting from the next trading day after the exercise settlement [2]

先锋期货期权日报 2025-11-21 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | lc2601 | 3.2% | 1 | 3.6% | 1 | 8.7% | 1 | | ps2601 | 2.8% | 2 | 2.3% | 2 | 3.5% | 10 | | si2601 | 2.2% | 3 | 1.8% | 7 | 2.2% | 24 | | ag2512 | 2.1% | 4 | 2.2% | 3 | 4. ...

Core Insights - The Shanghai Stock Exchange (SSE) held its annual International Investors Conference, focusing on the theme of "Value Leading, Open Empowerment" for the next five years [1] - SSE Chairman Qiu Yong outlined five key development areas for the SSE, emphasizing risk prevention, regulatory strength, and high-quality development [1] Market Performance - The total market capitalization of the stock market surpassed 60 trillion yuan, with a trading volume of 546 trillion yuan, representing growth of 40% and 96% respectively during the "14th Five-Year Plan" period [2] - The bond custody volume reached 19.1 trillion yuan, a 44% increase, making it the largest bond market among global exchanges [2] - The fund market's total market capitalization was 4.2 trillion yuan, with a trading volume of 133 trillion yuan, reflecting growth of 359% and 221% respectively [2] Quality Improvement Initiatives - During the "14th Five-Year Plan," SSE implemented reforms to enhance the quality of listed companies, with average annual revenue and net profit growth rates of 3.8% and 4.6% respectively [3] - The SSE has seen significant activity in mergers and acquisitions, with 1,061 asset restructuring disclosures and 114 major asset restructurings [3] - The total amount of dividends and buybacks exceeded 7.6 trillion yuan, accounting for over 70% of the total market dividends [3] International Capital Inflow - The A-share market has shown a stable upward trend, with international capital continuing to flow into the Chinese market, bolstered by improved investor confidence [4] - Global asset management firms expressed optimism about the long-term investment value of the Chinese market due to macroeconomic stability and policy optimization [5] Cross-Border Investment Opportunities - SSE has made progress in institutional openness, enhancing the Qualified Foreign Institutional Investor (QFII) system and improving transparency and predictability in the policy environment [5] - The SSE has deepened its mutual connectivity mechanisms, with significant trading volumes in cross-border products, including a cumulative transaction of 103 trillion yuan through the Shanghai-Hong Kong Stock Connect [5] - The SSE launched the China-Singapore Exchange's Asia 100 Index series during the conference, further promoting international collaboration [5] Future Development Directions - The "15th Five-Year Plan" emphasizes the need to steadily expand institutional openness, providing guidance for capital market cooperation [6] - SSE aims to create a more open and inclusive market ecosystem, offering diverse products and efficient services to global investors [6]

Core Insights - The Shanghai Stock Exchange (SSE) is hosting its seventh annual International Investor Conference on November 12, 2025, focusing on strategic signals for the next five years [1] - SSE Chairman Qiu Yong emphasized the importance of risk prevention, strong regulation, and promoting high-quality development as the main themes for the exchange's future [1] Group 1: Market Attractiveness - SSE's market scale has significantly expanded during the 14th Five-Year Plan period, with the STAR Market seeing substantial growth in both quantity and quality of listed companies [4][5] - The STAR Market has added 379 new companies, with 22 previously unprofitable firms achieving profitability post-listing, and a total market capitalization of approximately 10 trillion yuan [4] - The average annual compound growth rates for revenue and net profit of listed companies in the Shanghai market are 3.8% and 4.6%, respectively, indicating a solid foundation for high-quality economic development [5] Group 2: Strategic Focus Areas - SSE aims to enhance the issuance and listing processes, refinancing, and mergers and acquisitions to guide capital towards advanced technologies and future industries [6] - The exchange is committed to fostering a market ecosystem that encourages rational, value, and long-term investments, attracting more long-term capital [6] - SSE plans to improve corporate governance and information disclosure quality while promoting dividend repurchases [6] Group 3: International Capital Inflow - The A-share market has shown a stable upward trend, with international capital continuing to flow into China, bolstered by improved investor confidence [8] - Global asset management firms express optimism about the long-term investment value of the Chinese market, driven by macroeconomic stability and policy optimization [8] - SSE has made significant progress in cross-border investment mechanisms, with the Stock Connect program seeing a cumulative transaction volume of 103 trillion yuan, a 288% increase [8][9] Group 4: Product and Index Development - The SSE has developed over 3,500 new indices during the 14th Five-Year Plan, with the ETF product scale increasing from 0.9 trillion yuan to 4.1 trillion yuan, reflecting a 35% annual growth rate [7] - The exchange's cross-border index products have exceeded 320 billion yuan, enhancing its international influence [9] - The SSE has collaborated with the Singapore Exchange to launch the China Securities Index Singapore Exchange Asia 100 Index series, further promoting international cooperation [9]

Core Viewpoint - The Shanghai Stock Exchange (SSE) aims to enhance its global competitiveness by focusing on risk prevention, strong regulation, and high-quality development over the next five years, as articulated by SSE Chairman Qiu Yong at the International Investors Conference [3]. Group 1: Development Focus Areas - The SSE will concentrate on fostering new productive forces by optimizing key systems such as issuance, refinancing, and mergers and acquisitions, directing capital towards cutting-edge technologies and advanced manufacturing [4]. - The SSE aims to cultivate a market ecosystem that promotes rational, value, and long-term investments, encouraging more medium to long-term capital to enter the market [4]. - The SSE will work on improving corporate governance and information disclosure quality among listed companies, while also reinforcing dividend and buyback practices [4]. - The SSE plans to steadily expand institutional openness, broaden cross-border investment channels, and enrich its international product system [4]. - The SSE will better coordinate development and security, continuously enhancing technology-enabled regulation and services, and improving risk monitoring and early warning mechanisms [4]. Group 2: Market Attractiveness - The total market capitalization of the stock market has surpassed 60 trillion yuan, with trading volume reaching 546 trillion yuan, representing growth of 40% and 96% respectively during the 13th Five-Year Plan, ranking 3rd and 4th globally [5]. - The bond custody volume is 19.1 trillion yuan, a 44% increase, making it the largest bond market among global exchanges [5]. - The mutual fund market has a total market value of 4.2 trillion yuan and a trading volume of 133 trillion yuan, reflecting growth of 359% and 221% respectively, with ETF market value and trading volume ranking 2nd and 1st in Asia [5]. - The SSE has seen significant qualitative improvements alongside quantitative growth, particularly due to the ongoing effects of the Sci-Tech Innovation Board reforms [5]. Group 3: Sci-Tech Innovation Board Achievements - The Sci-Tech Innovation Board has welcomed 379 new companies during the 14th Five-Year Plan, with 22 previously unprofitable companies achieving profitability post-listing [6]. - Among the companies listed under the fifth set of standards, 21 have launched core products, and 16 have reported revenues exceeding 100 million yuan [6]. - The total market capitalization of the Sci-Tech Innovation Board is approximately 10 trillion yuan, establishing it as a preferred listing destination for "hard tech" companies in China [6]. Group 4: Corporate Quality and Investment Value - The SSE has implemented reforms to enhance the quality of listed companies and investment value, with average annual compound growth rates of 3.8% in revenue and 4.6% in net profit during the 14th Five-Year Plan [7]. - Since the introduction of the "Six Mergers and Acquisitions Guidelines," there have been 1,061 disclosed asset restructurings and 114 major asset restructurings, with year-on-year increases of 11% and 78% respectively [7]. - The total amount of dividends and buybacks by listed companies has exceeded 7.6 trillion yuan, accounting for over 70% of the total market dividends, reflecting a growth of 51.2% [7]. Group 5: International Capital Inflow - The A-share market has shown a stable upward trend this year, with major indices rising and investor confidence recovering, leading to a continuous inflow of international capital [8]. - The SSE's collaborative development across stock, bond, fund, derivatives, and REITs markets, along with effective green finance initiatives, has strengthened foreign investors' confidence in long-term investments in China [8]. - The SSE has deepened its mutual connectivity mechanisms and enriched cross-border products, with significant progress in institutional openness, including the inclusion of stock ETFs in the Hong Kong Stock Connect [8]. - The SSE's cross-border index product scale has exceeded 320 billion yuan, enhancing its international influence [9].

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - Today, all stock indices fluctuated and consolidated. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 1964.8 billion yuan, a decrease of 49.1 billion yuan compared to the previous day. In the short term, the fermentation rhythm of policy - favorable expectations and the profit - taking rhythm of funds are in a game, and the stock indices are in a volatile and repeated market. In the medium and long term, the policy - favorable expectations and the trend of capital inflow into the stock market together form strong support for the stock indices. Especially next year is the beginning of the "15th Five - Year Plan", and the policy - favorable expectations support the stock indices to rise in the medium and long term. However, the incremental policy signals have weakened in the short term. As the stock valuation has risen significantly, the willingness of profit - making funds to take profits has increased, and the stock indices technically need to consolidate. Overall, with multiple factors at play, the stock indices will mainly fluctuate within a range in the short term. Currently, the implied volatility of options is at a relatively low historical quantile level. Considering the medium - and long - term upward trend of the stock indices, the idea of maintaining a bull spread is recommended [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On November 12, 2025, the 50ETF rose 0.53% to close at 3.197; the 300ETF (Shanghai Stock Exchange) rose 0.04% to close at 4.765; the 300ETF (Shenzhen Stock Exchange) fell 0.06% to close at 4.912; the CSI 300 Index fell 0.13% to close at 4645.91; the CSI 1000 Index fell 0.72% to close at 7486.38; the 500ETF (Shanghai Stock Exchange) fell 0.51% to close at 7.356; the 500ETF (Shenzhen Stock Exchange) fell 0.54% to close at 2.937; the GEM ETF fell 0.16% to close at 3.108; the Shenzhen 100ETF rose 0.09% to close at 3.528; the SSE 50 Index rose 0.32% to close at 3044.30; the Science and Technology Innovation 50ETF fell 0.55% to close at 1.45; the E Fund Science and Technology Innovation 50ETF fell 0.50% to close at 1.41 [5]. - The trading volume PCR and position PCR of various options on November 12, 2025, and their changes compared to the previous trading day are provided in detail, including those of 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), GEM ETF options, Shenzhen 100ETF options, SSE 50 Index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [6]. - The implied volatility of at - the - money options in November 2025 and the 30 - trading - day historical volatility of the underlying assets for various options are also provided, such as 50ETF options, 300ETF options (Shanghai and Shenzhen Stock Exchanges), CSI 300 Index options, CSI 1000 Index options, 500ETF options (Shanghai and Shenzhen Stock Exchanges), GEM ETF options, Shenzhen 100ETF options, SSE 50 Index options, Science and Technology Innovation 50ETF options, and E Fund Science and Technology Innovation 50ETF options [7][8]. 3.2 Relevant Charts - **SSE 50ETF Options**: Include charts of the SSE 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [9]. - **Shanghai Stock Exchange 300ETF Options**: Include charts of the Shanghai Stock Exchange 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [18]. - **Shenzhen Stock Exchange 300ETF Options**: Include charts of the Shenzhen Stock Exchange 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [31]. - **CSI 300 Index Options**: Include charts of the CSI 300 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [43]. - **CSI 1000 Index Options**: Include charts of the CSI 1000 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [56]. - **Shanghai Stock Exchange 500ETF Options**: Include charts of the Shanghai Stock Exchange 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [70]. - **Shenzhen Stock Exchange 500ETF Options**: Include charts of the Shenzhen Stock Exchange 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [83]. - **GEM ETF Options**: Include charts of the GEM ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [96]. - **Shenzhen 100ETF Options**: Include charts of the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [109]. - **SSE 50 Index Options**: Include charts of the SSE 50 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [122]. - **Science and Technology Innovation 50ETF Options**: Include charts of the Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [135]. - **E Fund Science and Technology Innovation 50ETF Options**: Include charts of the E Fund Science and Technology Innovation 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and each - term at - the - money implied volatility [144].

Group 1: Report Investment Rating - No information provided Group 2: Core Views - The stock market experiences sector rotation, with funds flowing from the technology sector to the chemical and consumer sectors, and the bond market shows a tendency of oscillating upward [2][3] - In the stock index futures market, it is recommended to transfer technology funds to the price - rising chain and continue the dumbbell - style allocation [3][7] - In the stock index options market, it is advisable to continue holding covered positions for additional income [3][8] - In the treasury bond futures market, the bond market is expected to oscillate upward [4][9] Group 3: Summary by Directory 1. Market Views Stock Index Futures - On Monday, the Shanghai Composite Index rebounded in a U - shape, with a rotation to low - lying sectors. High - beta sectors retreated, while value and defensive sectors rose. Due to the policy window period and recent volume contraction, it is recommended to transfer technology funds to the price - rising chain and continue the dumbbell - style allocation. The operation suggestion is to hold a long position in the Dividend ETF + IM. [3][7] - The basis points of IF, IH, IC, and IM for the current month are - 8.85, 0.94, - 41, and - 54.45 respectively, changing by - 3.06, 0.49, - 5.09, and - 5.98 points compared to the previous trading day. The inter - period spreads (current month - next month) are 14.2, 0.8, 67, and 87.8 points respectively, with a month - on - month change of 0.6, 0.2, 5.2, and 6.4 points. The positions of IF, IH, IC, and IM change by 10827, 5768, 8841, and - 1747 lots respectively. [7] Stock Index Options - The trading volume of each option variety rebounded slightly but remained at a low - liquidity level since October. The option sentiment index was weak, especially for technology - sector options. Option volatility varied, with the implied volatility of the Science and Technology Innovation 50 ETF option strengthening and that of the CSI 300 stock index option weakening. It is recommended to continue holding covered positions for additional income. [8] Treasury Bond Futures - Most treasury bond futures rose yesterday. The T, TF, TS, and TL main contracts changed by 0.01%, 0.02%, 0.00%, and 0.22% respectively. The central bank's large - scale net injection supported the bond market. In October, the CPI improved, and the core CPI increased significantly. The central bank restarted treasury bond trading, and the short - term factors driving bond yields down were lacking. The stock - bond seesaw effect may weaken, and the restart of treasury bond trading may boost bond market sentiment. The operation suggestions include a trend strategy of oscillating upward, a hedging strategy of paying attention to long - position substitution at high basis levels, a basis strategy of looking for positive spreads and basis widening, and a curve strategy of appropriately paying attention to curve steepening. [4][9] - The trading volumes of T, TF, TS, and TL for the current quarter are 58830, 49109, 24929, and 96097 lots respectively, with a one - day change of 3915, 4624, - 1360, and - 3686 lots. The positions are 231393, 138398, 67365, and 129150 lots respectively, with a one - day change of - 4216, - 4021, - 700, and 1495 lots. The inter - period spreads (current quarter - next quarter) are 0.225, 0.030, 0.052, and 0.250 yuan respectively, with a one - day change of - 0.025, - 0.010, 0, and 0.010 yuan. The cross - variety spreads and basis points also have corresponding changes. [8][9][10] 2. Economic Calendar - The economic data to be released this week includes China's October new RMB loans, social financing scale, M2 money supply annual rate, the US October CPI annual rate, China's October total retail sales of consumer goods annual rate, and China's October industrial added value above designated size annual rate. [12] 3. Important Information and News Tracking - The Asset Management Association of China is soliciting opinions on the "Guidelines for the Management of the Thematic Investment Style of Publicly Offered Securities Investment Funds" to standardize the style drift problem of thematic investment funds. [13] - The State Council General Office issued measures to promote private investment, including expanding access, removing obstacles, and strengthening support. [13] - Two departments issued a guidance on promoting new energy consumption and regulation, with goals set for 2030 and 2035. [13] - China successfully launched the 13th group of low - orbit satellite Internet satellites. [14] - The US Senate reached an agreement to end the federal government shutdown. [15] 4. Derivatives Market Monitoring - The report mentions data monitoring of stock index futures, stock index options, and treasury bond futures, but no specific data content is provided. [16][20][32]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints No clear core viewpoints are presented in the given content. The report mainly provides detailed data on various financial products such as ETFs and indices, including price, volatility, and skew index information. 3. Summary by Related Catalogs 3.1 50ETF - From November 6 - 10, 2025, the price fluctuated, with a 1.27% increase on the 6th, a 0.13% decrease on the 7th, and a 0.47% increase on the 10th. The current month IV ranged from 12.51% - 12.80%, and the next - month IV from 14.78% - 14.89% [1]. - The near - 1 - year current month IV quantile was 21.60% - 22.00%, and the near - 2 - year quantile was 20.00% - 22.00%. The near - 1 - year next - month IV quantile was 35.40% - 40.00%, and the near - 2 - year quantile was 45.40% - 48.60% [1]. - The skew index today was 92.65, compared to 102.82 yesterday [2]. 3.2 Shanghai 300ETF - From November 6 - 10, 2025, the price fluctuated, with a 1.48% increase on the 6th, a 0.21% decrease on the 7th, and a 0.25% increase on the 10th. The current month IV ranged from 14.37% - 14.53%, and the next - month IV from 15.94% - 16.28% [3]. - The near - 1 - year current month IV quantile was 28.90% - 30.20%, and the near - 2 - year quantile was 37.80% - 39.60%. The near - 1 - year next - month IV quantile was 46.80%, and the near - 2 - year quantile was 53.90% - 57.70% [3]. - The skew index today was 102.05, compared to 104.72 yesterday [5]. 3.3 Shenzhen 300ETF - From November 6 - 10, 2025, the price fluctuated, with a 1.54% increase on the 6th, a 0.30% decrease on the 7th, and a 0.38% increase on the 10th. The current month IV ranged from 14.58% - 14.95%, and the next - month IV from 16.41% - 16.74% [6]. - The near - 1 - year current month IV quantile was 31.40% - 34.20%, and the near - 2 - year quantile was 40.80% - 46.00%. The near - 1 - year next - month IV quantile was 47.40% - 50.40%, and the near - 2 - year quantile was 59.40% - 61.90% [6]. - The skew index today was 99.49, compared to 104.41 yesterday [12]. 3.4 Shanghai CSI 500ETF - From November 6 - 10, 2025, the price fluctuated, with a 1.89% increase on the 6th, a 1.50% increase on the 7th, and a 0.04% decrease on the 10th. The current month IV ranged from 18.55% - 18.71%, and the next - month IV from 19.92% - 20.13% [16]. - The near - 1 - year current month IV quantile was 34.20% - 35.50%, and the near - 2 - year quantile was 38.40% - 40.20%. The near - 1 - year next - month IV quantile was 46.80% - 57.00%, and the near - 2 - year quantile was 48.10% - 56.20% [16]. - The skew index today was 102.88, compared to 106.34 yesterday [21]. 3.5 Shenzhen CSI 500ETF - From November 6 - 10, 2025, the price fluctuated, with a 1.67% increase on the 6th, a 0.37% decrease on the 7th, and a 0.17% increase on the 10th. The current month IV ranged from 18.65% - 18.98%, and the next - month IV from 20.12% - 20.31% [26]. - The near - 1 - year current month IV quantile was 34.20%, and the near - 2 - year quantile was 39.80% - 40.40%. The near - 1 - year next - month IV quantile was 45.10% - 56.60%, and the near - 2 - year quantile was 54.30% - 56.40% [26]. - The skew index today was 102.13, compared to 106.11 yesterday [31]. 3.6 ChiNext ETF - From November 6 - 10, 2025, the price decreased, with a 1.88% increase on the 6th, a 0.50% decrease on the 7th, and a 0.85% decrease on the 10th. The current month IV ranged from 28.49% - 29.04%, and the next - month IV from 30.04% - 30.61% [32]. - The near - 1 - year current month IV quantile was 57.10% - 58.30%, and the near - 2 - year quantile was 69.30% - 71.50%. The near - 1 - year next - month IV quantile was 59.90% - 73.70%, and the near - 2 - year quantile was 73.70% - 75.60% [32]. - The skew index today was 98.35, compared to 102.10 yesterday [37]. 3.7 Shenzhen 100ETF - From November 6 - 10, 2025, the price fluctuated, with a 1.82% increase on the 6th, a 0.64% decrease on the 7th, and a 0.22% increase on the 10th. The current month IV ranged from 19.96% - 20.37%, and the next - month IV from 21.33% - 22.33% [41]. - The near - 1 - year current month IV quantile was 49.70% - 51.80%, and the near - 2 - year quantile was 60.90% - 62.50%. The near - 1 - year next - month IV quantile was 52.30% - 56.50%, and the near - 2 - year quantile was 66.30% - 69.70% [41]. - The skew index today was 101.73, compared to 104.78 yesterday [44]. 3.8 Science and Technology Innovation 50ETF - From November 6 - 10, 2025, the price decreased, with a 3.36% increase on the 6th, a 1.46% decrease on the 7th, and a 0.61% decrease on the 10th. The current month IV ranged from 31.64% - 32.60%, and the next - month IV from 33.27% - 34.03% [50]. - The near - 1 - year current month IV quantile was 50.20% - 67.40%, and the near - 2 - year quantile was 59.00% - 73.90%. The near - 1 - year next - month IV quantile was 52.20% - 73.90%, and the near - 2 - year quantile was 59.90% - 74.80% [50]. - The skew index today was 93.39, compared to 96.47 yesterday [52]. 3.9 Star 50ETF - From November 6 - 10, 2025, the price decreased, with a 3.39% increase on the 6th, a 1.37% decrease on the 7th, and a 0.69% decrease on the 10th. The current month IV ranged from 31.37% - 32.95%, and the next - month IV from 32.71% - 34.12% [55]. - The near - 1 - year current month IV quantile was 53.80% - 70.10%, and the near - 2 - year quantile was 56.50% - 75.40%. The near - 1 - year next - month IV quantile was 50.60% - 73.30%, and the near - 2 - year quantile was 56.50% - 72.00% [55]. - The skew index today was 93.79, compared to 97.75 yesterday [58]. 3.10 300 Index - From November 6 - 10, 2025, the price fluctuated, with a 1.43% increase on the 6th, a 0.31% decrease on the 7th, and a 0.35% increase on the 10th. The current month IV ranged from 13.35% - 13.87%, and the next - month IV from 16.42% - 16.54% [63]. - The near - 1 - year current month IV quantile was 21.20% - 30.60%, and the near - 2 - year quantile was 21.40% - 31.00%. The near - 1 - year next - month IV quantile was 42.80% - 57.40%, and the near - 2 - year quantile was 54.80% - 57.40% [63]. - The skew index today was 104.41, compared to 105.33 yesterday [66]. 3.11 1000 Index - From November 6 - 10, 2025, the price fluctuated, with a 1.17% increase on the 6th, a 0.13% decrease on the 7th, and a 0.28% increase on the 10th. The current month IV ranged from 17.52% - 17.98%, and the next - month IV from 19.98% - 20.18% [67]. - The near - 1 - year current month IV quantile was 14.20% - 22.00%, and the near - 2 - year quantile was 16.30% - 19.40%. The near - 1 - year next - month IV quantile was 23.20% - 25.70%, and the near - 2 - year quantile was 19.20% - 25.70% [67]. - The skew index today was 113.60, compared to 117.24 yesterday [70]. 3.12 Shanghai 50 Index - From November 6 - 10, 2025, the price fluctuated, with a 1.22% increase on the 6th, a 0.21% decrease on the 7th, and a 0.51% increase on the 10th. The current month IV ranged from 12.91% - 13.21%, and the next - month IV from 49.93% - 62.00% [71]. - The near - 1 - year current month IV quantile was 15.10% - 20.20%, and the near - 2 - year quantile was 15.90% - 20.20%. The near - 1 - year next - month IV quantile was 91.00% - 91.40%, and the near - 2 - year quantile was 95.50% - 95.70% [71]. - The skew index today was 101.83, compared to 101.00 yesterday [76].

1. Report Summary - Report Date: November 3, 2025 [1] - Report Name: Pioneer Futures Options Daily Report 2. Options Underlying Volatility Ranking - The report presents a ranking of options underlying based on three volatility metrics: implied volatility of at - the - money options, 30 - day historical volatility of the underlying, and the underlying's true range on the day. For example, ps2512 ranks first in implied volatility of at - the - money options with 3.1%, while rm601 ranks first in the underlying's true range on the day with 4.8% [3][4]. - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety, the 30 - day historical volatility reflects the past actual market size, and the true range on the day reflects the intraday market size [5]. 3. Exchange - Specific Options Analysis 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 is 632,460 lots, the open interest is 897,163 lots, the trading volume ratio of call options to put options is 1.45, and the weighted average implied volatility is 15.93% [19][21]. - **Volatility Trading**: Volatility trading suggestions include selling the month with the curve on top and buying the month with the curve below for different months, and selling the option with the point above the curve and buying the option with the point below the curve for the same month [26]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.67% when trading at the settlement price and 1.16% when trading at the counter - party price [28][30]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day is 670,871 lots, the open interest is 740,234 lots, the trading volume ratio of call options to put options is 1.23, and the weighted average implied volatility is 16.61% [31][33]. - **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, and sell the option with the point above the curve and buy the option with the point below the curve for the same month [37]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.45% when trading at the settlement price and 0.18% when trading at the counter - party price [40][42]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day is 1,244,691 lots, the open interest is 790,230 lots, the trading volume ratio of call options to put options is 0.9, and the weighted average implied volatility is 20.66% [43][45]. - **Volatility Trading**: Follow the same volatility trading suggestions as above [49]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 25.3% when trading at the settlement price and 5.60% when trading at the counter - party price [52][54]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50ETF on the day is 995,460 lots, the open interest is 1,173,825 lots, the trading volume ratio of call options to put options is 1.15, and the weighted average implied volatility is 37.4% [55][57]. - **Volatility Trading**: Adopt the same volatility trading strategies [62]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.3% when trading at the settlement price and 0.66% when trading at the counter - party price [64][66]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50ETF on the day is 194,205 lots, the open interest is 286,584 lots, the trading volume ratio of call options to put options is 1.34, and the weighted average implied volatility is 38.24% [67][68]. - **Volatility Trading**: Use the same volatility trading methods [72]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.6% when trading at the settlement price and 2.75% when trading at the counter - party price [76][78]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options of Harvest SSE 300ETF on the day is 126,768 lots, the open interest is 151,843 lots, the trading volume ratio of call options to put options is 0.96, and the weighted average implied volatility is 17.72% [79][81]. - **Volatility Trading**: Apply the same volatility trading suggestions [87]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.4% when trading at the settlement price and 1.52% when trading at the counter - party price [89][91].

Group 1: Report Summary - The report is the Pioneer Futures Options Daily Report dated October 29, 2025, presenting data on option implied volatility, historical volatility, and real - time volatility of various underlying assets, along with information on different exchanges' option products [1][3] Group 2: Option Volatility Ranking - The table shows the ranking of at - the - money option implied volatility, 30 - day historical volatility, and daily real - time volatility of multiple underlying assets. For example, ps2512 has the highest at - the - money option implied volatility of 2.6% and the highest daily real - time volatility of 3.4% [3] Group 3: Explanation of Volatility Indicators - At - the - money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset. Higher values suggest a greater likelihood of significant market movements. 30 - day historical volatility reflects the actual past price movements of the underlying asset. If it is lower than the implied volatility, the option price may be relatively high. The daily real - time volatility reflects the intraday price movements of the underlying asset [6] Group 4: Exchange - Specific Option Information 4.1 Shanghai Stock Exchange Options - **Shanghai 50ETF**: The trading volume of the main options is 405,811 lots, the open interest is 741,948 lots, the trading volume ratio of call options to put options is 1.57, and the weighted average implied volatility is 16.23%. Volatility trading and risk - free arbitrage strategies are provided, with the lowest annualized return of 6.48% for the optimal arbitrage portfolio at the settlement price and 0.87% at the counter - party price [20][22][28] - **Huatai - Baoying CSI 300ETF**: The trading volume of the main options is 555,860 lots, the open interest is 653,745 lots, the trading volume ratio of call options to put options is 1.36, and the weighted average implied volatility is 17.2%. The lowest annualized return of the optimal arbitrage portfolio is 3.89% at the settlement price and 1.00% at the counter - party price [30][33][41] - **Southern CSI 500ETF**: The trading volume of the main options is 1,125,835 lots, the open interest is 699,515 lots, the trading volume ratio of call options to put options is 1.21, and the weighted average implied volatility is 20.44%. The lowest annualized return of the optimal arbitrage portfolio is 33.9% at the settlement price and 7.21% at the counter - party price [44][46][52] - **Huaxia Shanghai Science and Technology Innovation Board 50ETF**: The trading volume of the main options is 844,973 lots, the open interest is 1,038,411 lots, the trading volume ratio of call options to put options is 1.78, and the weighted average implied volatility is 37.57%. The lowest annualized return of the optimal arbitrage portfolio is 17.6% at the settlement price and 3.96% at the counter - party price [55][57][63] - **E Fund Shanghai Science and Technology Innovation Board 50ETF**: The trading volume of the main options is 148,138 lots, the open interest is 252,084 lots, the trading volume ratio of call options to put options is 2.14, and the weighted average implied volatility is 37.4%. The lowest annualized return of the optimal arbitrage portfolio is 15.0% at the settlement price and 3.07% at the counter - party price [67][75] 4.2 Shenzhen Stock Exchange Options - **Harvest CSI 300ETF**: The trading volume of the main options is 70,155 lots, the open interest is 120,034 lots, the trading volume ratio of call options to put options is 1.86, and the weighted average implied volatility is 19.01%. The lowest annualized return of the optimal arbitrage portfolio is 12.1% at the settlement price and 0.23% at the counter - party price [78][80][88] - **E Fund ChiNext ETF**: The trading volume of the main options is 1,477,866 lots, the open interest is 953,760 lots, the trading volume ratio of call options to put options is 1.38, and the weighted average implied volatility is 35.11%. The lowest annualized return of the optimal arbitrage portfolio is 11.7% at the settlement price and 2.02% at the counter - party price [90][92][98]