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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]