先锋期货期权日报-2025-04-03

1. Report Overview - Report Title: Pioneer Futures Option Daily Report - Report Date: April 3, 2025 [1] 2. Option Volatility Ranking 2.1 Volatility Data Table - The report provides the implied volatility, historical volatility, and true range of various option targets, along with their rankings [3][5]. - For example, sn2505 has an implied volatility of 2.3% (ranked 1st), a 30 - day historical volatility of 2.2% (ranked 1st), and a true range of 4.0% (ranked 3rd) [3]. 2.2 Volatility Interpretation - The implied volatility reflects the market's expectation of future fluctuations, and higher values indicate a greater possibility of significant market movements. - The 30 - day historical volatility shows the actual past market size. A smaller value than the implied volatility may suggest that the option price is relatively high. - The true range reflects the intraday market size of the target [6]. 3. Exchange - Specific 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 805,815 contracts, the open interest is 907,998 contracts, the volume ratio of call to put options is 1.07, and the weighted average implied volatility is 14.49% [19][22]. - Volatility Trading: Different months: sell options in months with higher volatility curves and buy in months with lower curves; for the same month, sell options with points above the curve and buy those below [25]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.5% at the settlement price and 3.21% at the counter - price [28][30]. 3.1.2 Huatai - Baoying CSI 300ETF - Basic Information: The trading volume of the main Huatai - Baoying CSI 300ETF options is 769,534 contracts, the open interest is 806,155 contracts, the volume ratio of call to put options is 1.02, and the weighted average implied volatility is 14.79% [30][33]. - Volatility Trading: Similar trading suggestions as Shanghai 50ETF [37]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 1.70% at the settlement price and 0.53% at the counter - price [40][41]. 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main Southern CSI 500ETF options is 1,141,238 contracts, the open interest is 621,033 contracts, the volume ratio of call to put options is 0.93, and the weighted average implied volatility is 19.44% [42][44]. - Volatility Trading: Similar trading suggestions as above [46]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 34.7% at the settlement price and 8.07% at the counter - price [50][52]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main Huaxia Shanghai Science and Technology Innovation Board 50ETF options is 521,429 contracts, the open interest is 1,050,117 contracts, the volume ratio of call to put options is 1.2, and the weighted average implied volatility is 26.8% [53][55]. - Volatility Trading: Similar trading suggestions as above [57]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.8% at the settlement price and 1.36% at the counter - price [61][63]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main E Fund Shanghai Science and Technology Innovation Board 50ETF options is 102,909 contracts, the open interest is 238,951 contracts, the volume ratio of call to put options is 1.44, and the weighted average implied volatility is 27.77% [64][65]. - Volatility Trading: Similar trading suggestions as above [68]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.1% at the settlement price and 1.70% at the counter - price [72][74]. 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 114,179 contracts, the open interest is 158,152 contracts, the volume ratio of call to put options is 0.92, and the weighted average implied volatility is 15.31% [75][77]. - Volatility Trading: Similar trading suggestions as above [79]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.9% at the settlement price and 0.98% at the counter - price [83][84]. 3.2.2 E Fund ChiNext ETF - Basic Information: The trading volume of the main E Fund ChiNext ETF options is 1,112,769 contracts, the open interest is 958,928 contracts, the volume ratio of call to put options is 0.96, and the weighted average implied volatility is 22.64% [85][87]. - Volatility Trading: Similar trading suggestions as above [89]. - Risk - Free Arbitrage: No specific data provided in the given text.