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先锋期货期权日报-20250515
Xian Feng Qi Huo· 2025-05-15 09:04
先锋期货期权日报 2025-5-15 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 | | | ao2506 | 2.2% | 1 | 1.6% | 9 | 4.1% | 2 | | sn2506 | 2.2% | 2 | 1.1% | 27 | 1.2% | 44 | | ps2507 | 2.2% | 3 | 2.1% | 2 | 2.5% | 10 | | eb2506 | 2.2% | 4 | 1.8% | 6 | 2. ...
先锋期货期权日报-20250514
Xian Feng Qi Huo· 2025-05-14 09:03
先锋期货期权日报 2025-5-14 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 | | | ps2507 | 2.4% | 1 | 2.1% | 1 | 3.3% | 11 | | sn2506 | 2.4% | 2 | 1.2% | 24 | 1.5% | 44 | | eb2506 | 2.2% | 3 | 1.8% | 6 | 4.1% | 4 | | br2506 | 2.2% | 4 | 1.9% | 5 | 2. ...
先锋期货期权日报-20250513
Xian Feng Qi Huo· 2025-05-13 09:33
先锋期货期权日报 2025-5-13 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。 数据来源:IfinD、先锋期货投资咨询部 注:本表波动率均为日化波动率,单位已统一,相互可直接比较和做差 平值期权隐含波动率反映了市场对该品种未来波动的预期,数值越大越可能有大行情 (趋势交易者可以关注排名靠前的品种);标的 30 天历史波动率则反映了该品种过去实际 的行情大小,数值比前者小意味着期权价格可能偏贵(期权卖方可以关注与前者排名的差 异);而标的当日真实波幅则反映了该品种当日日内行情的大小(日内交易者可以关注排名 靠前的品种)。 期市有风险,投资需谨慎 目录 | 1.上交所期权 | | --- | | 1.1 上证 50ETF . | | 1.1.1 基本信息 ……………………………………………………………………………………1 | | 1.1.2 波动率交易 …………………………………………………………………………………………2 | | 1.1.3 无风险套利 ...
先锋期货期权日报-20250512
Xian Feng Qi Huo· 2025-05-12 09:08
先锋期货期权日报 2025-5-12 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 | | | sc2506 | 3.3% | 1 | 2.0% | 2 | 2.7% | 19 | | fg506 | 2.5% | 2 | 1.5% | 10 | 2.7% | 17 | | ps2507 | 2.4% | 3 | 2.2% | 1 | 5.5% | 2 | | sn2506 | 2.3% | 4 | 1.2% | 21 | 1. ...
先锋期货期权日报-20250507
Xian Feng Qi Huo· 2025-05-07 09:02
先锋期货期权日报 2025-5-7 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 | | | sc2506 | 2.7% | 1 | 2.9% | 3 | 2.3% | 20 | | ps2506 | 2.4% | 2 | 1.7% | 27 | 4.7% | 1 | | sn2506 | 2.3% | 3 | 2.2% | 13 | 1.7% | 39 | | br2506 | 2.1% | 4 | 2.5% | 6 | 2. ...
先锋期货期权日报-20250506
Xian Feng Qi Huo· 2025-05-06 09:06
Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents a comprehensive analysis of various options, including those from different exchanges such as the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc., with a focus on their basic information, volatility trading, and risk - free arbitrage opportunities. It offers data on option prices, trading volumes, open interests, implied volatilities, and provides trading suggestions based on volatility curves. 3. Summary by Directory 3.1. Shanghai Stock Exchange Options - **1.1. Shanghai 50ETF** - **Basic Information**: The trading volume of the main options of Shanghai 50ETF is 621,333 lots, the open interest is 781,208 lots, the trading volume ratio of call and put options is 1.11, and the weighted - average implied volatility is 13.58% [19][22]. - **Volatility Trading**: Suggestions are to sell the options in the month with the upper curve and buy those in the month with the lower curve for different months; and sell the options with points above the curve and buy those below the curve for the same month [24]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.69% at the settlement price and no return is available at the counter - price [28][30]. - **1.2. Huatai - Berich CSI 300ETF** - **Basic Information**: The trading volume of the main options is 593,133 lots, the open interest is 609,330 lots, the trading volume ratio of call and put options is 0.96, and the weighted - average implied volatility is 14.66% [31][33]. - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF based on volatility curves [36]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.53% at the settlement price and 1.46% at the counter - price [40][41]. - **1.3. Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 861,064 lots, the open interest is 630,035 lots, the trading volume ratio of call and put options is 0.95, and the weighted - average implied volatility is 17.81% [42][45]. - **Volatility Trading**: Trading suggestions based on volatility curves are the same as above [47]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 43.4% at the settlement price and 9.39% at the counter - price [51][53]. - **1.4. Huaxia Shanghai Science and Technology Innovation 50ETF** - **Basic Information**: The trading volume of the main options is 416,662 lots, the open interest is 684,440 lots, the trading volume ratio of call and put options is 1.01, and the weighted - average implied volatility is 25.54% [54][56]. - **Volatility Trading**: Similar trading suggestions according to volatility curves [58]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 29.6% at the settlement price and 5.96% at the counter - price [62][64]. - **1.5. E Fund Shanghai Science and Technology Innovation 50ETF** - **Basic Information**: The trading volume of the main options is 73,929 lots, the open interest is 157,824 lots, the trading volume ratio of call and put options is 1.23, and the weighted - average implied volatility is 26.36% [65][66]. - **Volatility Trading**: Trading suggestions based on volatility curves are consistent [70]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.2% at the settlement price and 7.46% at the counter - price [73][75]. 3.2. Shenzhen Stock Exchange Options - **2.1. Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main options is 88,481 lots, the open interest is 143,169 lots, the trading volume ratio of call and put options is 0.81, and the weighted - average implied volatility is 16.65% [76][79]. - **Volatility Trading**: Suggestions are to sell the options in the month with the upper curve and buy those in the month with the lower curve for different months; and sell the options with points above the curve and buy those below the curve for the same month [83][84]. - **Risk - free Arbitrage**: No risk - free arbitrage data is provided in the given text. 3.3. Option Volatility Ranking The report provides a ranking of the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time volatility of various underlying assets, which can help different types of traders (trend traders, option sellers, intraday traders) identify potential trading opportunities [3][5][6].
先锋期货期权日报-20250428
Xian Feng Qi Huo· 2025-04-28 09:04
1. Report Information - Report Title: Pioneer Futures Option Daily Report - Report Date: April 28, 2025 [1] 2. Core Data 2.1 Option Volatility Ranking - The report provides the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of the day for various option targets, along with their rankings [3][5] 2.2 Exchange - Specific Option Data - **Shanghai Stock Exchange Options**: - **SSE 50 ETF**: The trading volume of the main options is 445,784 lots, the open interest is 673,060 lots, the trading volume ratio of call and put options is 1, and the weighted average implied volatility is 14.62% [22] - **Huatai - Berich SSE 300 ETF**: The trading volume of the main options is 377,724 lots, the open interest is 562,154 lots, the trading volume ratio of call and put options is 0.97, and the weighted average implied volatility is 15.66% [34] - **Southern CSI 500 ETF**: The trading volume of the main options is 603,625 lots, the open interest is 562,720 lots, the trading volume ratio of call and put options is 0.94, and the weighted average implied volatility is 20.84% [47] - **China AMC SSE STAR 50 ETF**: The trading volume of the main options is 236,372 lots, the open interest is 614,878 lots, the trading volume ratio of call and put options is 1.13, and the weighted average implied volatility is 26.56% [57] - **E Fund SSE STAR 50 ETF**: The trading volume of the main options is 46,927 lots, the open interest is 143,584 lots, the trading volume ratio of call and put options is 1.3, and the weighted average implied volatility is 28.05% [69] - **Shenzhen Stock Exchange Options**: - **Harvest SZSE 300 ETF**: The trading volume of the main options is 44,659 lots, the open interest is 118,204 lots, the trading volume ratio of call and put options is 1.05, and the weighted average implied volatility is 16.65% [82] 3. Core Views 3.1 Volatility Trading - For different months, sell the options of the month with the curve above and buy the options of the month with the curve below; for the same month, sell the options with points above the curve and buy the options with points below the curve [25][38][48] 3.2 Risk - Free Arbitrage - Different ETF options have different minimum annualized yields for the optimal arbitrage portfolio held to maturity when trading at the settlement price and the counter - party price [29][31][41] 4. Directory Summary 4.1 Shanghai Stock Exchange Options - **SSE 50 ETF**: Includes basic information (T - type quotation table, trading volume, open interest, etc.), volatility trading (implied volatility curve analysis), and risk - free arbitrage (optimal arbitrage portfolio yield) [19][22][23] - **Huatai - Berich SSE 300 ETF**: Similar to SSE 50 ETF, with its own basic information, volatility trading, and risk - free arbitrage analysis [32][35][41] - **Southern CSI 500 ETF**: Covers basic information, volatility trading, and risk - free arbitrage [44][48][52] - **China AMC SSE STAR 50 ETF**: Contains basic information, volatility trading, and risk - free arbitrage [55][58][64] - **E Fund SSE STAR 50 ETF**: Includes basic information, volatility trading, and risk - free arbitrage [67][70][76] 4.2 Shenzhen Stock Exchange Options - **Harvest SZSE 300 ETF**: Comprises basic information, volatility trading, and risk - free arbitrage [79][83]
先锋期货期权日报-20250425
Xian Feng Qi Huo· 2025-04-25 10:24
先锋期货期权日报 2025-4-25 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现,未来的回报也无法保证,投资者可能会损失本金。 在任何情况下,我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任,投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下,我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | sc2506 | 2.7% | 1 | 2.7% | 3 | 1.8% | 19 | | au2506 | 2.3% | 2 | 1.8% | 21 | 2.4% | 7 | | sn2506 | 2.3% | 3 | 2.4% | 7 | 1.6% | 21 | | ag2506 | 2.3% | 4 | 2.1% | 14 | 1 ...
先锋期货期权日报-20250424
Xian Feng Qi Huo· 2025-04-24 09:33
| 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 | | | sc2506 | 2.7% | 1 | 2.7% | 3 | 4.0% | 1 | | au2506 | 2.3% | 2 | 1.8% | 21 | 3.8% | 2 | | ag2506 | 2.3% | 3 | 2.1% | 14 | 2.4% | 7 | | ps2506 | 2.1% | 4 | 1.5% | 30 | 3.4% | 3 | | sn2506 | 2.1% | 5 | 2.4% | 8 | 1.8% | 22 | | br2506 | 2.0% | 6 | 2.5% | 5 | 2.2% | 10 | | fg506 | 1.8% | 7 | 1.7% | 24 | 2.8% | 6 | | i2506 | 1.8% | 8 | 1.6% | 27 | 1.9% | 15 | | eb2506 | 1.7% | 9 | 2.3% | ...
先锋期货期权日报-20250423
Xian Feng Qi Huo· 2025-04-23 09:02
Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report presents a comprehensive analysis of various option products, including their basic information, volatility trading, and risk - free arbitrage opportunities. It also provides data on option trading volume, open interest, and implied volatility for different underlying assets, along with volatility trading suggestions based on implied volatility curves. 3. Summary by Directory 3.1 Upper - Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main options of Shanghai 50ETF is 371,702 lots, the open interest is 530,323 lots, the trading volume ratio of call options to put options is 1.2, and the weighted - average implied volatility is 14.54% [19][22]. - **Volatility Trading**: Suggestions are to sell the options in the month with the upper curve and buy those in the month with the lower curve for different months; sell the options with points above the curve and buy those below for the same month [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.59% at the settlement price and 1.35% at the counter - price [28][30]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: The trading volume of the main options is 416,085 lots, the open interest is 466,123 lots, the trading volume ratio of call options to put options is 1.18, and the weighted - average implied volatility is 15.37% [31][33]. - **Volatility Trading**: Similar to Shanghai 50ETF, sell the upper - curve options and buy the lower - curve ones [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.95% at the settlement price and 2.88% at the counter - price [39][41]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 549,037 lots, the open interest is 427,610 lots, the trading volume ratio of call options to put options is 1.15, and the weighted - average implied volatility is 20.7% [42][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 35.2% at the settlement price and 9.12% at the counter - price [52][54]. - **1.4 Huaxia Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 277,714 lots, the open interest is 508,135 lots, the trading volume ratio of call options to put options is 1.16, and the weighted - average implied volatility is 26.67% [55][57]. - **Volatility Trading**: Adopt the same volatility trading rules [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 44.2% at the settlement price and 10.1% at the counter - price [63][65]. - **1.5 E Fund Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 63,563 lots, the open interest is 164,169 lots, the trading volume ratio of call options to put options is 1.68, and the weighted - average implied volatility is 32.5% [66][68]. - **Volatility Trading**: Apply the same volatility trading suggestions [70]. - **Risk - Free Arbitrage**: No specific risk - free arbitrage data is provided in the given content. 3.2 Option Volatility and Ranking - The report provides a list of option underlying assets' at - the - money implied volatility, 30 - day historical volatility, and daily true range, along with their rankings. At - the - money implied volatility reflects market expectations of future fluctuations, 30 - day historical volatility reflects past actual market movements, and daily true range reflects intraday market movements [3][6].