先锋期货期权日报-20250422

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the daily data of futures and options, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of the day for various underlying assets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage analysis for options on different ETFs across multiple exchanges [3][19][24]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options of Shanghai 50ETF is 407,440 lots, the open interest is 660,353 lots, the trading volume ratio of call options to put options is 1.46, and the weighted average implied volatility is 20.16% [19][22]. - Volatility Trading: Suggestions include selling options in months with higher implied volatility curves and buying those in months with lower curves; for the same month, sell options with points above the curve and buy those below [24]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 45.6% at the settlement price and 3.60% at the counter - party price [24][28][30]. 3.1.2 Huatai - Berry CSI 300ETF - Basic Information: The trading volume of the main options of Huatai - Berry CSI 300ETF is 301,423 lots, the open interest is 424,838 lots, the trading volume ratio of call options to put options is 1.04, and the weighted average implied volatility is 15.91% [30][31][33]. - Volatility Trading: Similar to Shanghai 50ETF, sell options in months with higher curves and buy those in lower - curve months; for the same month, follow the curve - point rule [40]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 7.33% at the settlement price and 2.25% at the counter - party price [40][41][43]. 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options of Southern CSI 500ETF is 453,489 lots, the open interest is 432,642 lots, the trading volume ratio of call options to put options is 0.98, and the weighted average implied volatility is 26.7% [44][47]. - Volatility Trading: Adopt the same strategy as above for different and same - month options [49]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 83.9% at the settlement price and 11.0% at the counter - party price [53][55]. 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options of Huaxia Shanghai Science and Technology Innovation 50ETF is 256,668 lots, the open interest is 851,491 lots, the trading volume ratio of call options to put options is 1.31, and the weighted average implied volatility is 45.31% [56][58]. - Volatility Trading: Follow the curve - based trading suggestions [60]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 656% at the settlement price and 144% at the counter - party price [64][65]. 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options of E Fund Shanghai Science and Technology Innovation 50ETF is 84,166 lots, the open interest is 161,095 lots, the trading volume ratio of call options to put options is 1.64, and the weighted average implied volatility is 32.58% [66][68]. - Volatility Trading: Use the curve - based trading strategy [70]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 37.3% at the settlement price and 8.58% at the counter - party price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main options of Harvest CSI 300ETF is 87,131 lots, the open interest is 154,861 lots, the trading volume ratio of call options to put options is 1.03, and the weighted average implied volatility is 28.97% [77][80]. - Volatility Trading: Sell options in months with higher implied volatility curves and buy those in lower - curve months; for the same month, follow the point - on - curve rule [84][85].