| 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 | | | zc511 | 10.1% | 1 | 0.0% | 66 | 0.0% | 66 | | ps2511 | 2.9% | 2 | 1.4% | 14 | 4.2% | 5 | | 科创板50etf10月 | 2.8% | 3 | 2.4% | 2 | 6.5% | 2 | | 科创50etf10月 | 2.8% | 4 | 2.4% | 1 | 6.7% | 1 | | lc2511 | 2.6% | 5 | 1.4% | 17 | 1.8% | 35 | | 创业板etf10月 | 2.2% | 6 | 2.2% | 3 | 5.3% | 3 | | fg511 | 2.2% | 7 | 1.9% | 5 | 2.5% | 13 | | ag2511 | 2.2% | 8 | 1.5% | 11 | 4.7% | 4 | | sn2511 | 2.0% | ...

Group 1 - The report introduces a volatility timing strategy using straddle options in the A-share market, which can reduce the maximum drawdown of asset allocation by approximately 5% and improve the Calmar ratio by over 0.1 [1][67]. - The report emphasizes that while the A-share market lacks direct volatility index derivatives, investors can construct equivalent volatility strategies using existing ETF options, enhancing risk management and opportunity capture [6][20]. - The analysis indicates that extreme volatility spikes often occur after volatility has dropped to historically low levels, suggesting a potential "coiling" effect before significant market movements [60][68]. Group 2 - The report details that single-leg strategies for trading 300ETF options exhibit high volatility and drawdown, making them unsuitable for risk-averse funds [24][44]. - In contrast, straddle strategies show lower volatility and drawdown, with annualized volatility generally below 0.1, making them more stable for investors [48][45]. - The report finds that selling straddle options can provide stable excess returns, while buying options tends to be less effective due to high premiums and infrequent large market movements [57][59]. Group 3 - The report proposes a volatility timing approach where selling straddle options is switched to buying when volatility falls to historical low thresholds (5%, 10%, 15%), effectively reducing drawdown from 21.4% to 13.5% and increasing annualized returns from 3.5% to 5.8% [63][66]. - Incorporating the volatility timing straddle strategy into traditional stock-bond portfolios can significantly enhance performance metrics, including a reduction in maximum drawdown and an increase in the Calmar ratio [67][1].

1. Report Information - Report Name: Pioneer Futures Option Daily Report [1] - Report Date: September 2, 2025 [1] 2. Option Underlying Volatility Ranking 2.1 Ranking Explanation - The table shows the ranking of option underlying based on at-the-money implied volatility, 30-day historical volatility, and daily true range [3]. - The at-the-money implied volatility reflects the market's expectation of future price movement of the underlying, with higher values indicating a greater likelihood of significant price changes [5]. - The 30-day historical volatility shows the actual historical price movements of the underlying, and a lower value compared to the implied volatility may suggest that the option price is relatively expensive [5]. - The daily true range represents the intraday price movement of the underlying on the day [5]. 2.2 Top Rankings - **At-the-money Implied Volatility**: ps2510 ranks first with 4.5% [3]. - **30-day Historical Volatility**: lc2510 ranks first with 3.3% [3]. - **Daily True Range**: The创业板etf9月 ranks first with 4.9% [3]. 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 1,076,227 lots, the open interest is 1,248,294 lots, the trading volume ratio of call to put options is 1.62, and the weighted average implied volatility is 22.37% [20]. - **Volatility Trading**: Sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [23]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.60% at the settlement price and 1.41% at the counterparty price [26][28]. 3.1.2 Huatai-PineBridge CSI 300ETF - **Basic Information**: The trading volume of the main Huatai-PineBridge CSI 300ETF options is 1,169,972 lots, the open interest is 985,481 lots, the trading volume ratio of call to put options is 1.33, and the weighted average implied volatility is 21.71% [31]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [34]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 29.7% at the settlement price and 2.01% at the counterparty price [38][39]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options is 1,979,658 lots, the open interest is 981,865 lots, the trading volume ratio of call to put options is 1.04, and the weighted average implied volatility is 25.75% [42]. - **Volatility Trading**: Follow the same strategy as above, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [45]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 66.8% at the settlement price and 15.6% at the counterparty price [50][52]. 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50 ETF options is 1,657,235 lots, the open interest is 1,550,085 lots, the trading volume ratio of call to put options is 1.53, and the weighted average implied volatility is 50.24% [55]. - **Volatility Trading**: Adopt the same volatility trading strategy, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [59]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.7% at the settlement price and 2.42% at the counterparty price [63][64]. 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50 ETF options is 360,178 lots, the open interest is 430,779 lots, the trading volume ratio of call to put options is 1.58, and the weighted average implied volatility is 50.98% [67]. - **Volatility Trading**: Use the same volatility trading approach, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [69]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 27.2% at the settlement price and 6.03% at the counterparty price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main Harvest CSI 300ETF options is 225,860 lots, the open interest is 217,157 lots, the trading volume ratio of call to put options is 1.31, and the weighted average implied volatility is 24.33% [80]. - **Volatility Trading**: Apply the same volatility trading strategy, sell options in months with higher implied volatility curves and buy those in months with lower curves; sell options with higher points on the curve and buy those with lower points within the same month [83]. - **Risk-free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.3% at the settlement price and 2.19% at the counterparty price [86][88].

Report Summary Core View - The report provides daily volatility data, including the implied volatility index, historical volatility, and their spread for various financial and commodity options [2]. - The implied volatility index reflects the 30 - day implied volatility trend as of the previous trading day for financial options and the implied volatility change trend of the main contract for commodity options, calculated through weighted two - level implied volatility of at - the - money options in the main month [2]. - The difference between the implied volatility index and historical volatility indicates the relative level of implied volatility compared to historical volatility [2]. Implied Volatility and Historical Volatility Analysis - Multiple charts show the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) for different options such as 300 Index, 50ETF, 1000 Index, 500ETF, and various commodity options including beans, corn, sugar, cotton, methanol, etc [3]. Implied Volatility and Volatility Spread Quantile Ranking - Implied volatility quantiles represent the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, while a low quantile means it is low [4]. - The implied volatility quantile rankings are provided for different options, e.g., 300 Index has a quantile of 0.90, 50ETF has 0.63, and corn has 0.51 [5]. - The historical volatility quantile rankings are also presented, but specific data is not fully detailed in the given text [4].

1. Report Information - Report Title: Pioneer Futures Options Daily Report [1] - Report Date: August 25, 2025 [1] 2. Option Volatility Ranking 2.1 Ranking Table | Target | At - the - money Option Implied Volatility | Rank | 30 - day Historical Volatility of the Target | Rank | Daily True Range of the Target | Rank | | --- | --- | --- | --- | --- | --- | --- | |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%|1|3.8%|3| |si2510|3.0%|5|3.0%|3|3.1%|8| |创业板etf8月|3.0%|6|1.6%|11|3.6%|5| |深证100etf8月|2.3%|7|1.1%|23|2.5%|11| |br2510|2.2%|8|1.5%|14|3.6%|4| |jd2510|2.1%|9|1.0%|31|1.5%|33| |fg510|2.1%|10|2.6%|4|3.5%|6| |ao2510|2.1%|11|2.0%|9|2.6%|10| |中证500etf8月|2.1%|12|1.1%|26|2.1%|16| |500etf8月|2.1%|13|1.0%|30|2.1%|17| |sh510|2.0%|14|1.5%|13|2.3%|13| |sa510|2.0%|15|2.5%|5|1.8%|25| |沪深300etf8月|2.0%|16|0.9%|35|2.1%|19| |sc2510|1.9%|17|1.3%|17|1.0%|52| |50etf8月|1.9%|18|0.9%|34|2.0%|22| |px510|1.8%|19|1.0%|29|1.3%|39| |mo2509|1.8%|20|1.0%|32|1.9%|24| |300etf8月|1.7%|21|0.9%|36|2.0%|21| |ho2509|1.7%|22|0.9%|37|2.0%|20| |cj601|1.7%|23|1.4%|15|2.3%|12| |ag2510|1.7%|24|1.1%|22|2.8%|9| |ni2510|1.6%|25|0.7%|47|1.0%|51| |sf510|1.6%|26|2.2%|8|1.4%|35| |ap510|1.6%|27|0.9%|39|1.6%|27| |io2509|1.6%|28|0.8%|40|2.1%|18| |sn2510|1.5%|29|0.6%|51|1.9%|23| |p2510|1.5%|30|1.0%|27|1.4%|37| |ur510|1.4%|31|1.3%|18|0.9%|56| |ru2601|1.4%|32|1.2%|19|2.2%|14| |sm510|1.4%|33|1.8%|10|1.4%|36| |rb2510|1.4%|34|1.4%|16|1.5%|31| |ta510|1.3%|35|1.0%|28|1.5%|30| |rm511|1.3%|36|1.5%|12|1.6%|26| |bz2603|1.2%|37|0.6%|52|0.6%|63| |pg2510|1.2%|38|0.9%|33|1.5%|32| |i2510|1.2%|39|1.1%|25|2.2%|15| |eb2510|1.2%|40|0.8%|42|1.6%|28| |lh2511|1.1%|41|0.8%|45|1.3%|40| |ma510|1.1%|42|1.2%|20|1.0%|50| |pf510|1.1%|43|0.9%|38|1.1%|47| |au2510|1.1%|44|0.5%|56|1.3%|41| |cu2510|1.0%|45|0.5%|58|1.5%|29| |b2510|1.0%|46|0.8%|44|0.9%|55| |oi511|1.0%|47|1.1%|24|1.0%|48| |v2510|0.9%|48|1.1%|21|1.2%|42| |lg2511|0.9%|49|0.8%|43|1.2%|45| |pr512|0.9%|50|0.7%|50|0.9%|53| |pb2510|0.9%|51|0.4%|62|0.8%|60| |m2511|0.9%|52|0.8%|41|1.4%|34| |zn2510|0.9%|53|0.6%|53|1.2%|43| |eg2510|0.8%|54|0.7%|46|0.8%|59| |pk510|0.8%|55|0.3%|65|1.2%|46| |y2511|0.8%|56|0.7%|48|1.2%|44| |al2510|0.7%|57|0.4%|63|0.9%|57| |ad2511|0.7%|58|0.3%|64|0.8%|58| |l2510|0.7%|59|0.5%|55|0.6%|64| |a2511|0.7%|60|0.7%|49|0.8%|61| |cf511|0.6%|61|0.5%|54|1.0%|49| |c2511|0.6%|62|0.4%|61|1.3%|38| |cs2511|0.6%|63|0.5%|57|0.9%|54| [3][5] 2.2 Volatility Explanation - At - the - money option implied volatility reflects the market's expectation of the future volatility of the variety. A larger value indicates a higher probability of significant market movements. Trend traders can focus on the top - ranked varieties. - The 30 - day historical volatility of the target reflects the actual past market movements of the variety. If this value is smaller than the implied volatility, it means the option price may be relatively expensive. Option sellers can focus on the difference in rankings between the two. - The daily true range of the target reflects the intraday market movements of the variety. Intraday traders can focus on the top - ranked varieties [6] 3. Exchange Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options on this day was 1,221,294 contracts, the open interest was 706,054 contracts, the trading volume ratio of call options to put options was 2.16, and the weighted average implied volatility was 38.23% [21] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [23] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 128%; when trading at the counter - price, it is 26.0% [27][29] 3.1.2 Huatai - Berry SSE 300 ETF - **Basic Information**: The trading volume of the Huatai - Berry SSE 300 ETF's main options on this day was 1,129,506 contracts, the open interest was 455,848 contracts, the trading volume ratio of call options to put options was 1.87, and the weighted average implied volatility was 29.67% [32] - **Volatility Trading**: Similar to the SSE 50 ETF, for different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [37] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 34.2%; when trading at the counter - price, it is 11.8% [39][41] 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the Southern CSI 500 ETF's main options on this day was 1,690,014 contracts, the open interest was 603,757 contracts, the trading volume ratio of call options to put options was 1.56, and the weighted average implied volatility was 32.05% [44] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [46] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 161%; when trading at the counter - price, it is 21.1% [50][52] 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the Huaxia SSE STAR 50 ETF's main options on this day was 1,815,057 contracts, the open interest was 750,981 contracts, the trading volume ratio of call options to put options was 2.11, and the weighted average implied volatility was 75.14% [55] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [58] - **Risk - free Arbitrage**: When trading at the settlement price, the minimum annualized return of the optimal arbitrage portfolio held until maturity is 351%; when trading at the counter - price, it is 63.6% [61][63] 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the E Fund SSE STAR 50 ETF's main options on this day was 429,587 contracts, the open interest was 249,455 contracts, the trading volume ratio of call options to put options was 2.27, and the weighted average implied volatility was 79.05% [66] - **Volatility Trading**: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [71] - **Risk - free Arbitrage**: No specific data provided in the report 3.2 Shenzhen Stock Exchange Options - **Options Include**:嘉实沪深 300ETF, E Fund ChiNext ETF,嘉实中证 500ETF, E Fund SZSE 100 ETF. The report only provides the directory, and no detailed data is given for these options [8][9] 3.3 CFFEX Options - **Options Include**: SSE 300, CSI 1000, SSE 50. The report only provides the directory, and no detailed data is given for these options [9] 3.4 Zhengzhou Commodity Exchange Options - **Options Include**: Sugar, Cotton, PTA, Methanol, Rapeseed Meal, Steam - coal, Peanut, Rapeseed Oil, p - Xylene, Caustic Soda, Staple Fiber, Soda Ash, Urea, Manganese Silicon, Ferrosilicon, Apple, Red Date, Glass, Bottle Chip. The report only provides the directory, and no detailed data is given for these options [10][11][12] 3.5 Dalian Commodity Exchange Options - **Options Include**: Soybean Meal, Corn, Iron Ore, LPG, LLDPE, PVC, PP, Palm Oil, Soybean No.1, Soybean No.2, Soybean Oil, Ethylene Glycol, Styrene, Egg, Corn Starch, Live Pig, Log, Pure Benzene. The report only provides the directory, and no detailed data is given for these options [13][14][15] 3.6 Shanghai Futures Exchange Options - **Options Include**: Copper, Rubber, Gold, Aluminum, Zinc, Silver, Rebar, Synthetic Rubber, Lead, Tin, Alumina, Cast Aluminum Alloy. The report only provides the directory, and no detailed data is given for these options [16][17] 3.7 Shanghai International Energy Exchange Options - **Options Include**: Crude Oil. The report only provides the directory, and no detailed data is given for this option [17] 3.8 Guangzhou Futures Exchange Options - **Options Include**: Industrial Silicon, Lithium Carbonate, Polysilicon. The report only provides the directory, and no detailed data is given for these options [18]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the daily option data of various underlying assets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time volatility of the day. It also provides trading suggestions for volatility trading and the minimum annualized return for risk - free arbitrage of different options on the Shanghai Stock Exchange, Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange [3][6][25]. 3. Summary According to the Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of the Shanghai 50ETF on the day was 1,230,718 lots, the open interest was 810,259 lots, the trading volume ratio of call options to put options was 1.83, and the weighted average implied volatility was 21.41% [21]. - **Volatility Trading**: Different months - sell the month with the curve above and buy the month with the curve below; same month - sell the option with the point above the curve and buy the option with the point below the curve [25]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 31.8% at the settlement price and 3.10% at the counter - price [28][30]. 3.1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - **Basic Information**: The trading volume of the main options of the 300ETF on the day was 1,081,531 lots, the open interest was 543,409 lots, the trading volume ratio of call options to put options was 1.8, and the weighted average implied volatility was 18.78% [34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the curve above and buy the curve below for different months, and sell the point above and buy the point below for the same month [38]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 21.8% at the settlement price and 8.44% at the counter - price [41][43]. 3.1.3 Southern China Securities 500ETF - **Basic Information**: The trading volume of the main options of the 500ETF on the day was 1,649,826 lots, the open interest was 707,570 lots, the trading volume ratio of call options to put options was 1.39, and the weighted average implied volatility was 23.45% [46]. - **Volatility Trading**: The same trading suggestions as above [48]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 27.7% at the settlement price and 1.69% at the counter - price [52][54]. 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the Science and Technology Innovation 50ETF on the day was 2,147,328 lots, the open interest was 710,562 lots, the trading volume ratio of call options to put options was 2.36, and the weighted average implied volatility was 54.24% [57]. - **Volatility Trading**: Follow the general volatility trading suggestions [61]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 47.2% at the settlement price and 5.91% at the counter - price [64][66]. 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the Science and Technology Innovation 50ETF on the day was 560,522 lots, the open interest was 249,762 lots, the trading volume ratio of call options to put options was 2.07, and the weighted average implied volatility was 50.01% [69]. - **Volatility Trading**: Adopt the same volatility trading strategies [71]. - **Risk - Free Arbitrage**: No specific data provided in the text. 3.2 Other Exchanges' Options The report also lists the options on the Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange, including basic information, volatility trading, and risk - free arbitrage for each underlying asset, but detailed data for some parts are not fully presented in the provided text [8][9][10][11][12][13][14][15][16][17][18].

Group 1: Implied Volatility Index and Its Calculation - The implied volatility index of financial options reflects the 30 - day implied volatility (IV) trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the IV of the two strike - prices above and below the at - the - money option of the front - month contract, reflecting the IV change trend of the front - month contract [2] - The difference between the IV index and historical volatility (HV) indicates the relative level of IV to HV. A larger difference means higher IV relative to HV, and a smaller difference means lower IV relative to HV [2] Group 2: Implied Volatility and Historical Volatility Difference Graph - The document presents graphs showing the IV, HV, and IV - HV differences for various financial and commodity options, including 300 - stock index, 50ETF, 1000 - stock index, 500ETF, and many commodity options such as soybeans, corn, sugar, cotton, etc [3] Group 3: Implied Volatility Quantile and Volatility Spread Quantile Ranking - Implied volatility quantiles represent the current level of a variety's IV in history. A high quantile means the current IV is high, and a low quantile means the current IV is low. The volatility spread is calculated as the IV index minus the historical volatility [4] - The implied volatility quantile rankings are provided for different options, such as 50ETF with a quantile of 0.79, 300 - stock index with 0.80, iron ore with 0.37, PVC with 0.46, etc [5][7]

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

Key Points of the Report Core Concepts - The implied volatility index of financial options reflects the 30 - day implied volatility trend as of the previous trading day. The implied volatility index of commodity options is obtained by weighting the implied volatilities of the two - point - up and - down options at the at - the - money strike price of the main contract month, reflecting the implied volatility change trend of the main contract [2]. - The difference between the implied volatility index and historical volatility shows the relative level of implied volatility to historical volatility. A larger difference means the implied volatility is relatively higher, and a smaller difference means it is relatively lower [2]. - The implied volatility quantile represents the current implied volatility level of a variety in history. A high quantile means the current implied volatility is high, and a low quantile means it is low. The volatility spread is the implied volatility index minus the historical volatility [4]. Implied Volatility and Historical Volatility Data - The report presents the implied volatility (IV), historical volatility (HV), and their differences (IV - HV) of various options, including 300 Index, 50ETF, 1000 Index, 500ETF, and many commodity options such as soybean meal, corn, sugar, cotton, etc. [3] Implied Volatility Quantile and Volatility Spread Quantile Ranking - The report shows the ranking of implied volatility quantiles and historical volatility quantiles of different varieties, such as 300 Index, PVC, PTA, corn, etc. [4][5]

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]