先锋期货期权日报-2025-04-08

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the option market data of various underlying assets on April 8, 2025, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of the day. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for different exchange - listed options [3][4][6]. 3. Summary by Directory 3.1. Shanghai Stock Exchange Options 3.1.1. Shanghai 50ETF - Basic Information: The trading volume of the main options is 1,327,067 lots, the open interest is 995,843 lots, the trading volume ratio of call options to put options is 1.23, and the weighted average implied volatility is 27.22% [19][22]. - Volatility Trading: Different months: sell the month with the curve on top, buy the month with the curve below; same month: sell the option with the point on the curve above, buy the option with the point below [24]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 89.4% at the settlement price and 26.9% at the counter - price [28][30]. 3.1.2. Huatai - Berry CSI 300ETF - Basic Information: The trading volume of the main options is 1,140,414 lots, the open interest is 806,814 lots, the trading volume ratio of call options to put options is 1.01, and the weighted average implied volatility is 31.73% [31][33]. - Volatility Trading: Similar to the Shanghai 50ETF, sell the month or option with the curve or point above, buy the one below [37]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 73.2% at the settlement price and 24.9% at the counter - price [40][42]. 3.1.3. Southern CSI 500ETF - Basic Information: The trading volume of the main options is 1,386,820 lots, the open interest is 646,442 lots, the trading volume ratio of call options to put options is 0.84, and the weighted average implied volatility is 40.85% [43][46]. - Volatility Trading: Follow the rule of selling high and buying low on the volatility curve [51]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 35.4% at the settlement price and 23.9% at the counter - price [53][55]. 3.1.4. Huaxia Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main options is 1,024,532 lots, the open interest is 993,129 lots, the trading volume ratio of call options to put options is 0.87, and the weighted average implied volatility is 57.71% [56][58]. - Volatility Trading: Adopt the strategy of selling high and buying low on the volatility curve [62]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 67.0% at the settlement price and 22.4% at the counter - price [65][67]. 3.1.5. E Fund Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main options is 227,894 lots, the open interest is 257,582 lots, the trading volume ratio of call options to put options is 0.96, and the weighted average implied volatility is 55.69% [68][70]. - Volatility Trading: Sell the month or option with the higher position on the volatility curve and buy the lower one [72]. - Risk - Free Arbitrage: No specific data provided.