期货研究报告 投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2026 年 1 月 8 日 金融期权 专业研究·创造价值 股指延续震荡盘整 核心观点 今日各股指均延续震荡盘整。沪深京三市成交额 28262 亿元，较上日缩 量 553 亿元。股指大幅上行之后，技术面上需要一定时间震荡整固。不过目 前股市成交金额仍然处于较高水平，融资资金买入额保持较高水平，说明目 前市场情绪仍相对乐观。政策面利好预期以及资金净流入趋势这两个主线 逻辑不变，由于股指已经突破前期的震荡区间上沿，后续股指大概率保持相 对强势。总的来说，预计短期内股指震荡偏强运行。 期权方面，目前持仓量 PCR 与隐含波动率均有所回升，可以牛市价差 的思路对待。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 电话：0571-87006873 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本人承诺以勤勉的职业态度， 独立、客观地出具本报告。本 报告清晰准确地反 ...

期货研究报告 今日各股指均震荡盘整。沪深京三市成交额 28815 亿元，较上日放量 493 亿元。政策面利好预期以及资金净流入趋势构成驱动股指上行的主要逻 辑。政策面，中央经济工作会议的政策逐渐进入落实阶段，政策利好预期持 续发酵。资金面，融资资金买入金额由假期前的 2200 亿元左右飙升至 3000 亿元左右，反应出杠杆资金的入市热情较高。股指已经突破前期震荡区间上 沿，由于政策面利好预期以及资金净流入趋势这两个主线逻辑不变，后续股 指大概率保持强势。总的来说，预计短期内股指震荡偏强运行。 投资咨询业务资格：证监许可【2011】1778 号 金融期权 | 日报 2026 年 1 月 7 日 金融期权 专业研究·创造价值 股市成交金额维持高位，股指震荡盘整 核心观点 期权方面，目前持仓量 PCR 与隐含波动率均有所回升，可以牛市价差 的思路对待。 （仅供参考，不构成任何投资建议） 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本人承诺以勤勉的职业态度， 独立、客观地出具本报告。本 报告清晰准确地反映了本人的 研究观点。本人 ...

Report Industry Investment Rating - Not provided in the given content Core Viewpoints - On December 12, 2025, all stock indices oscillated and rebounded. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 2.12 trillion yuan, an increase of 233.5 billion yuan from the previous day [3]. - The Central Economic Work Conference pointed out that in 2026, China will continue to implement a more proactive fiscal policy and a moderately loose monetary policy. The key tasks for next year are to focus on domestic demand and build a strong domestic market, and to adhere to innovation - driven development and cultivate new growth drivers. Policy benefits in expanding domestic demand and supporting technological innovation will continue and intensify, which will play a positive role in stabilizing total economic demand and promoting structural transformation and upgrading. The risk appetite of the stock market has recovered, driving the stock index to rebound [3]. - External risk factors have eased, and the domestic liquidity environment is relatively loose. In the short term, the risk appetite of the stock market is relatively positive and optimistic. Overall, the expectation of policy benefits is gradually fermenting, and the stock index will be mainly oscillating and strengthening in the short term [3]. - For options, considering the long - term upward trend of the stock index, a bull spread or ratio spread strategy with a moderately bullish view can be adopted [3]. Summary by Relevant Catalogs 1 Option Indicators - **ETF and Index Performance**: On December 12, 2025, 50ETF rose 0.45% to 3.134; 300ETF (Shanghai Stock Exchange) rose 0.56% to 4.694; 300ETF (Shenzhen Stock Exchange) rose 0.55% to 4.766; the CSI 300 Index rose 0.63% to 4580.95; the CSI 1000 Index rose 0.81% to 7370.94; 500ETF (Shanghai Stock Exchange) rose 1.17% to 7.285; 500ETF (Shenzhen Stock Exchange) rose 1.20% to 2.872; the ChiNext ETF rose 0.89% to 3.174; the Shenzhen 100ETF rose 0.58% to 3.449; the SSE 50 Index rose 0.59% to 2994.64; the STAR 50ETF rose 1.87% to 1.42; and the E Fund STAR 50ETF rose 1.63% to 1.37 [5]. - **Volume and Position PCR**: The report provides the volume PCR and position PCR of various options on December 12, 2025, and their values on the previous trading day, including 50ETF options, SSE 300ETF options, etc [6]. - **Implied Volatility and Historical Volatility**: The report presents the implied volatility of at - the - money options in December 2025 and the 30 - trading - day historical volatility of the underlying assets for various options, such as 50ETF options, SSE 300ETF options [7][8]. 2 Relevant Charts - **SSE 50ETF Options**: The report includes charts of the SSE 50ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [9][10][11]. - **SSE 300ETF Options**: There are charts of the SSE 300ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [20][21][22]. - **SZSE 300ETF Options**: Charts cover the SZSE 300ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [32][33][34]. - **CSI 300 Index Options**: The report shows charts of the CSI 300 index trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [44][45][46]. - **CSI 1000 Index Options**: There are charts of the CSI 1000 index trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [57][58][59]. - **SSE 500ETF Options**: Charts include the SSE 500ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [71][72][73]. - **SZSE 500ETF Options**: The report provides charts of the SZSE 500ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [84][85][86]. - **ChiNext ETF Options**: There are charts of the ChiNext ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [97][98][99]. - **Shenzhen 100ETF Options**: The report shows charts of the Shenzhen 100ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [110][111][112]. - **SSE 50 Index Options**: Charts cover the SSE 50 index trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [123][124][125]. - **STAR 50ETF Options**: There are charts of the STAR 50ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [136][137][138]. - **E Fund STAR 50ETF Options**: The report provides charts of the E Fund STAR 50ETF trend, option volatility, volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [145][146][147].

Report Industry Investment Rating - Not specified in the provided content Core Viewpoints - Today, all stock indices fluctuated and consolidated. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets throughout the day was 1.79 trillion yuan, a decrease of 126 billion yuan compared to the previous day. The policy side indicated that in 2026, a more proactive fiscal policy and a moderately loose monetary policy will continue to be implemented, sending out positive signals [4]. - The expectation of policy benefits is gradually fermenting, and market risk appetite is rising. However, it is still necessary to wait for more policy details to be introduced in the subsequent Central Economic Work Conference. In the short term, due to the strong resilience of macro - economic data and the fact that the Politburo meeting's statement on aggregate policies did not exceed expectations, the stock indices still need to fluctuate and consolidate in the short term and are currently within the fluctuation range [4]. - Overall, the expectation of policy benefits is gradually fermenting, and in the short term, the stock indices will mainly fluctuate strongly. For options, considering the long - term upward trend of the stock indices, a bull spread or ratio spread strategy with a mild bullish view can be adopted [4]. Summary by Relevant Catalogs 1 Option Indicators - **Stock Index Performance**: On December 10, 2025, the 50ETF fell 0.32% to close at 3.132; the 300ETF (Shanghai Stock Exchange) fell 0.13% to close at 4.702; the 300ETF (Shenzhen Stock Exchange) fell 0.17% to close at 4.775; the CSI 300 Index fell 0.14% to close at 4591.83; the CSI 1000 Index rose 0.37% to close at 7408.24; the 500ETF (Shanghai Stock Exchange) rose 0.54% to close at 7.263; the 500ETF (Shenzhen Stock Exchange) rose 0.56% to close at 2.860; the GEM ETF rose 0.13% to close at 3.192; the Shenzhen 100ETF rose 0.23% to close at 3.475; the SSE 50 Index fell 0.31% to close at 2988.64; the STAR 50ETF rose 0.07% to close at 1.42; the E Fund STAR 50ETF remained unchanged at 1.37 [6]. - **Volume PCR and Open Interest PCR**: The volume PCR and open interest PCR of various options changed compared to the previous trading day. For example, the volume PCR of SSE 50ETF options was 85.15 (previous day: 79.26), and the open interest PCR was 97.51 (previous day: 100.45) [7]. - **Implied Volatility and Historical Volatility**: The implied volatility and 30 - day historical volatility of the 2025 December at - the - money options of various options were reported. For instance, the implied volatility of the SSE 50ETF options' 2025 December at - the - money options was 11.35%, and the 30 - day historical volatility of the underlying was 11.09% [8]. 2 Related Charts - **SSE 50ETF Options**: Charts include the SSE 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [10][11][12]. - **SSE 300ETF Options**: Charts cover the SSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [21][22][23]. - **SZSE 300ETF Options**: Charts involve the SZSE 300ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [33][34][35]. - **CSI 300 Index Options**: Charts include the CSI 300 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [36][37][38]. - **CSI 1000 Index Options**: Charts cover the CSI 1000 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [49][50][51]. - **SSE 500ETF Options**: Charts involve the SSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [62][63][64]. - **SZSE 500ETF Options**: Charts include the SZSE 500ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [75][76][77]. - **GEM ETF Options**: Charts cover the GEM ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [88][89][90]. - **Shenzhen 100ETF Options**: Charts involve the Shenzhen 100ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [101][102][103]. - **SSE 50 Index Options**: Charts include the SSE 50 index trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [115][116][117]. - **STAR 50ETF Options**: Charts cover the STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [128][129][130]. - **E Fund STAR 50ETF Options**: Charts involve the E Fund STAR 50ETF trend, option volatility, volume PCR, open interest PCR, implied volatility curve, and each - term at - the - money implied volatility [135][136][137].

期货研究报告 金融期权 | 日报 2025 年 12 月 4 日 金融期权 专业研究·创造价值 短期内股指延续区间震荡 核心观点 今日各股指均震荡小幅反弹。沪深京三市全天成交额 15617 亿元，较 上日缩量 1219 亿元。目前股指仍然处于震荡整理阶段，市场缺乏主线，资 金交投热情有所下降。一方面，短期内缺乏政策利好的主线，临近年末资金 交投热情下降，资金了结暂时离场的意愿较强，限制了股指的短线上行空 间。另一方面，未来政策面利好预期以及长线资金入市趋势不变，股指的支 撑力量较强，且中央经济工作会议的政策利好预期逐渐发酵，投资者风险偏 好不悲观。总的来说，短期内股指延续区间震荡。 期权方面，考虑到股指中长线向上，可以牛市价差或者比例价差温和 看涨的思路对待。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 投资咨询业务资格：证监许可【2011】1778 号 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 电话：0571-87006873 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本 ...

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]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - On November 21, 2025, all stock indices declined significantly, showing weakness throughout the day. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1.9836 trillion yuan, an increase of 261 billion yuan from the previous day. The main reasons for this correction were the weakening marginal drive of domestic policy incentives and the risk transmission from overseas stock markets. After entering November, the incremental policy signals weakened, and there was little need for further policy tightening this year, leading to a short - term decline in the policy expectations driving the stock market up. Overseas, the statements of Fed officials were inconsistent, and the expectation of interest rate cuts was uncertain. Coupled with the bubble risk in AI assets where investment and returns were difficult to match, US stock AI assets led by NVIDIA significantly corrected, putting pressure on domestic technology stocks under risk transmission. In general, with the weakening of positive drives and the increasing of negative factors, the profit - taking sentiment in the stock market rose, triggering a short - term correction of the stock indices. Attention should be paid to the risk of over - decline caused by the concentrated release of market pessimism. In the medium and long term, the positive policy expectations and the trend of continuous capital inflow remained unchanged. After short - term shock consolidation, the stock indices were not pessimistic in the long term. In general, the short - term market game intensified, and the stock indices mainly fluctuated within a range in the short term. For options, considering the medium - and long - term upward trend of the stock indices, a bull spread strategy could be adopted after a significant correction of the stock indices [3]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On November 21, 2025, the 50ETF fell 1.74% to close at 3.101; the 300ETF (Shanghai Stock Exchange) fell 2.40% to close at 4.564; the 300ETF (Shenzhen Stock Exchange) fell 2.34% to close at 4.713; the CSI 300 Index fell 2.44% to close at 4453.61; the CSI 1000 Index fell 3.72% to close at 7067.70; the 500ETF (Shanghai Stock Exchange) fell 3.46% to close at 6.922; the 500ETF (Shenzhen Stock Exchange) fell 3.42% to close at 2.767; the GEM ETF fell 4.03% to close at 2.904; the Shenzhen 100ETF fell 2.71% to close at 3.272; the SSE 50 Index fell 1.74% to close at 2955.85; the STAR 50ETF fell 3.22% to close at 1.35; the E Fund STAR 50ETF fell 3.25% to close at 1.31 [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 102.19 (previous trading day: 93.94), and the position PCR was 78.37 (previous trading day: 87.28) [6]. - The implied volatility of at - the - money options in December 2025 and the 30 - trading - day historical volatility of the underlying assets of various options were provided. For example, the implied volatility of at - the - money SSE 50ETF options in December 2025 was 12.63%, and the 30 - trading - day historical volatility of the underlying asset was 12.66% [7]. 3.2 Related Charts - **SSE 50ETF Options**: Charts included the SSE 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [9][11][13][17]. - **SSE 300ETF Options**: Charts covered the SSE 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [20][22][24][30]. - **SZSE 300ETF Options**: Charts involved the SZSE 300ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [33][35][37][41]. - **CSI 300 Index Options**: Charts included the CSI 300 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [45][47][49][55]. - **CSI 1000 Index Options**: Charts covered the CSI 1000 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [58][61][63][69]. - **SSE 500ETF Options**: Charts involved the SSE 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [72][74][76][82]. - **SZSE 500ETF Options**: Charts included the SZSE 500ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [85][89][93][96]. - **GEM ETF Options**: Charts covered the GEM ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [99][101][103][108]. - **Shenzhen 100ETF Options**: Charts involved the Shenzhen 100ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [109][110][112][118]. - **SSE 50 Index Options**: Charts included the SSE 50 Index trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [121][124][126][133]. - **STAR 50ETF Options**: Charts covered the STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [136][138][140][144]. - **E Fund STAR 50ETF Options**: Charts involved the E Fund STAR 50ETF trend, option volatility, trading volume PCR, position PCR, implied volatility curve, and at - the - money implied volatility of different tenors [147][149].

1. Report Industry Investment Rating - No relevant content provided 2. Core Views of the Report - On November 18, 2025, all stock indices declined slightly, showing a weak performance throughout the day. The total trading volume of the Shanghai, Shenzhen, and Beijing stock markets was 1946 billion yuan, an increase of 15.6 billion yuan from the previous day. In the short term, the incremental policy signals in November weakened, and geopolitical factors triggered an increase in risk - aversion sentiment. As the stock indices approached previous highs, the willingness of profit - taking funds to stop profits increased, and there was a need for technical consolidation of the stock indices. Overall, the stock indices are currently in a short - term volatile period where the expectation of policy benefits and the profit - taking rhythm of funds are in a game. In the long term, the expectation of policy benefits and the trend of capital inflow into the stock market jointly form strong support for the stock indices. In general, the short - term long - short game has intensified, and the stock indices will mainly fluctuate within a range in the short term. Since the implied volatility of options is currently at a relatively low historical quantile level and considering the long - term upward trend of the stock indices, the idea of a bull spread is maintained [4]. 3. Summary According to Relevant Catalogs 3.1 Option Indicators - On November 18, 2025, the 50ETF fell 0.28% to close at 3.150; the 300ETF (Shanghai Stock Exchange) fell 0.57% to close at 4.683; the 300ETF (Shenzhen Stock Exchange) fell 0.49% to close at 4.832; the CSI 300 Index fell 0.65% to close at 4568.19; the CSI 1000 Index fell 1.00% to close at 7448.10; the 500ETF (Shanghai Stock Exchange) fell 1.01% to close at 7.262; the 500ETF (Shenzhen Stock Exchange) fell 0.96% to close at 2.899; the GEM ETF fell 1.07% to close at 3.051; the Shenzhen 100ETF fell 0.59% to close at 3.380; the SSE 50 Index fell 0.30% to close at 3003.02; the STAR 50ETF rose 0.35% to close at 1.43; the E Fund STAR 50ETF rose 0.36% to close at 1.38 [6]. - The trading volume PCR and position PCR of various options on November 18, 2025, and their changes compared with the previous trading day are provided in detail, including 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, STAR 50ETF options, and E Fund STAR 50ETF options [7]. - The implied volatility of at - the - money options and the 30 - trading - day historical volatility of the underlying assets of various options in November or December 2025 are provided, including 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, STAR 50ETF options, and E Fund STAR 50ETF options [8][9]. 3.2 Relevant Charts - For each type of option (such as 50ETF options, 300ETF options, etc.), multiple charts are provided, including the trend of the underlying asset, option volatility, trading volume PCR, position PCR, implied volatility curve, and the implied volatility of at - the - money options for different terms. These charts show the historical data from 2023 to 2025, providing a visual display of the changes in option - related indicators over time [10][21][34] etc.

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].