Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents a comprehensive analysis of various options, including those from different exchanges such as the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc., with a focus on their basic information, volatility trading, and risk - free arbitrage opportunities. It offers data on option prices, trading volumes, open interests, implied volatilities, and provides trading suggestions based on volatility curves. 3. Summary by Directory 3.1. Shanghai Stock Exchange Options - 1.1. Shanghai 50ETF - Basic Information: The trading volume of the main options of Shanghai 50ETF is 621,333 lots, the open interest is 781,208 lots, the trading volume ratio of call and put options is 1.11, and the weighted - average implied volatility is 13.58% [19][22]. - Volatility Trading: Suggestions are to sell the options in the month with the upper curve and buy those in the month with the lower curve for different months; and sell the options with points above the curve and buy those below the curve for the same month [24]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.69% at the settlement price and no return is available at the counter - price [28][30]. - 1.2. Huatai - Berich CSI 300ETF - Basic Information: The trading volume of the main options is 593,133 lots, the open interest is 609,330 lots, the trading volume ratio of call and put options is 0.96, and the weighted - average implied volatility is 14.66% [31][33]. - Volatility Trading: Similar trading suggestions as Shanghai 50ETF based on volatility curves [36]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.53% at the settlement price and 1.46% at the counter - price [40][41]. - 1.3. Southern CSI 500ETF - Basic Information: The trading volume of the main options is 861,064 lots, the open interest is 630,035 lots, the trading volume ratio of call and put options is 0.95, and the weighted - average implied volatility is 17.81% [42][45]. - Volatility Trading: Trading suggestions based on volatility curves are the same as above [47]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 43.4% at the settlement price and 9.39% at the counter - price [51][53]. - 1.4. Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options is 416,662 lots, the open interest is 684,440 lots, the trading volume ratio of call and put options is 1.01, and the weighted - average implied volatility is 25.54% [54][56]. - Volatility Trading: Similar trading suggestions according to volatility curves [58]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 29.6% at the settlement price and 5.96% at the counter - price [62][64]. - 1.5. E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options is 73,929 lots, the open interest is 157,824 lots, the trading volume ratio of call and put options is 1.23, and the weighted - average implied volatility is 26.36% [65][66]. - Volatility Trading: Trading suggestions based on volatility curves are consistent [70]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.2% at the settlement price and 7.46% at the counter - price [73][75]. 3.2. Shenzhen Stock Exchange Options - 2.1. Harvest CSI 300ETF - Basic Information: The trading volume of the main options is 88,481 lots, the open interest is 143,169 lots, the trading volume ratio of call and put options is 0.81, and the weighted - average implied volatility is 16.65% [76][79]. - Volatility Trading: Suggestions are to sell the options in the month with the upper curve and buy those in the month with the lower curve for different months; and sell the options with points above the curve and buy those below the curve for the same month [83][84]. - Risk - free Arbitrage: No risk - free arbitrage data is provided in the given text. 3.3. Option Volatility Ranking The report provides a ranking of the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time volatility of various underlying assets, which can help different types of traders (trend traders, option sellers, intraday traders) identify potential trading opportunities [3][5][6].
先锋期货期权日报-20250506
Xian Feng Qi Huo·2025-05-06 09:06