先锋期货期权日报-2025-04-02

1. Report Information - Report Name: Pioneer Futures Options Daily Report - Report Date: April 2, 2025 [1] 2. Options Volatility Ranking - The report provides a ranking of options based on at-the-money implied volatility, 30-day historical volatility, and daily real volatility for various underlying assets, including sn2505, fg505, sc2505, etc. [3][5] - At-the-money implied volatility reflects the market's expectation of future price fluctuations, historical volatility shows past price movements, and daily real volatility indicates intraday price changes. [6] 3. Exchange Options Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF Options - Basic Information: The trading volume of the main SSE 50 ETF options was 421,338 contracts, with an open interest of 876,755 contracts. The trading volume ratio of call to put options was 1.19, and the weighted average implied volatility was 14.76%. [19][22] - Volatility Trading: Suggestions include selling options in months with higher implied volatility curves and buying those in months with lower curves, and selling options with higher points on the curve and buying those with lower points within the same month. [24] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 9.25% at the settlement price and 2.27% at the counterparty price. [28][30] 3.1.2 Huatai-PineBridge CSI 300 ETF Options - Basic Information: The trading volume of the main Huatai-PineBridge CSI 300 ETF options was 391,108 contracts, with an open interest of 763,503 contracts. The trading volume ratio of call to put options was 1.18, and the weighted average implied volatility was 14.66%. [31][33] - Volatility Trading: Similar trading suggestions as for SSE 50 ETF options. [35] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 4.38% at the settlement price and 1.28% at the counterparty price. [41][42] 3.1.3 Southern CSI 500 ETF Options - Basic Information: The trading volume of the main Southern CSI 500 ETF options was 685,199 contracts, with an open interest of 558,955 contracts. The trading volume ratio of call to put options was 1.07, and the weighted average implied volatility was 18.47%. [43][46] - Volatility Trading: Similar trading suggestions as above. [50] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 40.8% at the settlement price and 9.41% at the counterparty price. [53][55] 3.1.4 Huaxia SSE STAR 50 ETF Options - Basic Information: The trading volume of the main Huaxia SSE STAR 50 ETF options was 347,121 contracts, with an open interest of 1,022,065 contracts. The trading volume ratio of call to put options was 1.16, and the weighted average implied volatility was 27.48%. [56][58] - Volatility Trading: Similar trading suggestions as above. [62] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 19.0% at the settlement price and 0.43% at the counterparty price. [65][67] 3.1.5 E Fund SSE STAR 50 ETF Options - Basic Information: The trading volume of the main E Fund SSE STAR 50 ETF options was 53,245 contracts, with an open interest of 225,816 contracts. The trading volume ratio of call to put options was 1.55, and the weighted average implied volatility was 28.05%. [68][69] - Volatility Trading: Similar trading suggestions as above. [76] - Risk-Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 13.4% at the settlement price and 0.15% at the counterparty price. [78][80] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF Options - Basic Information: The trading volume of the main Harvest CSI 300 ETF options was 63,905 contracts, with an open interest of 154,109 contracts. The trading volume ratio of call to put options was 1.1, and the weighted average implied volatility was 15.27%. [81][84] - Volatility Trading: Similar trading suggestions as above. [86]