Report Information - Report Name: Pioneer Futures Options Daily Report - Date: May 21, 2025 [1] Core Data Options Volatility Ranking - The table shows the implied volatility, historical volatility, and true range of various option targets, along with their rankings [3][5] Shanghai Stock Exchange Options Shanghai 50ETF - The trading volume of the main options is 648,739 lots, the open interest is 795,306 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 13% [22] Huatai-PineBridge CSI 300ETF - The trading volume of the main options is 473,954 lots, the open interest is 613,367 lots, the trading volume ratio of call options to put options is 1.1, and the weighted average implied volatility is 13.51% [33] Southern CSI 500ETF - The trading volume of the main options is 683,791 lots, the open interest is 644,131 lots, the trading volume ratio of call options to put options is 1.14, and the weighted average implied volatility is 17.11% [45] Huaxia SSE STAR Market 50ETF - The trading volume of the main options is 220,040 lots, the open interest is 821,906 lots, the trading volume ratio of call options to put options is 1.57, and the weighted average implied volatility is 25.02% [57] E Fund SSE STAR Market 50ETF - The trading volume of the main options is 34,798 lots, the open interest is 220,760 lots, the trading volume ratio of call options to put options is 1.54, and the weighted average implied volatility is 25.82% [69] Shenzhen Stock Exchange Options Harvest CSI 300ETF - The trading volume of the main options is 88,831 lots, the open interest is 141,426 lots, the trading volume ratio of call options to put options is 0.71, and the weighted average implied volatility is 17.47% [81] E Fund ChiNext ETF - The basic information table shows the call and put option prices at different strike prices [89] Volatility Trading Recommendations - 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 on the curve below [24][37][50] Risk-Free Arbitrage Returns Shanghai Stock Exchange Options Shanghai 50ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 14.7% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 1.67% [28][30] Huatai-PineBridge CSI 300ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 10.9% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 1.39% [40][41] Southern CSI 500ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 52.1% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 11.0% [52][54] Huaxia SSE STAR Market 50ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 35.3% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 3.12% [64][66] E Fund SSE STAR Market 50ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 34.0% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.79% [75][77] Shenzhen Stock Exchange Options Harvest CSI 300ETF - Settled at the settlement price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 19.0% - Settled at the counterparty price: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 0.11% [87][88]
先锋期货期权日报-20250521
Xian Feng Qi Huo·2025-05-21 09:04