先锋期货期权日报-20250523

Report Summary 1. Report Information - Report Name: Pioneer Futures Options Daily Report - Date: May 23, 2025 [1] 2. Option Volatility Ranking - The report provides a ranking of options based on at-the-money option implied volatility, 30-day historical volatility, and daily true range for various underlying assets. For example, ao2506 ranks first in at-the-money option implied volatility with 2.4%, and sm507 ranks first in daily true range with 5.1% [3][5]. 3. Core Views - At-the-money option implied volatility reflects the market's expectation of future price fluctuations of the underlying asset. Higher values indicate a greater likelihood of significant price movements, which can be of interest to trend traders. - The 30-day historical volatility reflects the actual price movements of the underlying asset in the past. If this value is smaller than the implied volatility, it may suggest that option prices are relatively expensive, which can be of interest to option sellers. - The daily true range reflects the intraday price movements of the underlying asset, which can be of interest to intraday traders [6]. 4. Exchange Option Analysis 4.1 Shanghai Stock Exchange Options - 上证50ETF (SSE 50 ETF): - Basic Information: The trading volume of the main options is 836,591 contracts, the open interest is 745,131 contracts, the trading volume ratio of call options to put options is 1.05, and the weighted average implied volatility is 14.36%. - Volatility Trading: Suggestions include selling options in months with higher implied volatility curves and buying options in months with lower curves. For options in the same month, sell options with higher points on the curve and buy those with lower points. - Risk-Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 44.6% when trading at the settlement price and 9.17% when trading at the counterparty price [19][22][24][28][30]. - 华泰柏瑞沪深300ETF (Huatai-PineBridge CSI 300 ETF): - Basic Information: The trading volume of the main options is 674,867 contracts, the open interest is 529,907 contracts, the trading volume ratio of call options to put options is 0.89, and the weighted average implied volatility is 14.92%. - Volatility Trading: Similar trading suggestions as for the SSE 50 ETF. - Risk-Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 58.7% when trading at the settlement price and 11.1% when trading at the counterparty price [31][33][37][41][43]. - 南方中证500ETF (Southern CSI 500 ETF): - Basic Information: The trading volume of the main options is 1,105,783 contracts, the open interest is 578,593 contracts, the trading volume ratio of call options to put options is 1.04, and the weighted average implied volatility is 19.3%. - Volatility Trading: Similar trading suggestions as above. - Risk-Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 92.4% when trading at the settlement price and 23.2% when trading at the counterparty price [44][47][50][54][56]. - 华夏上证科创板50ETF (Huaxia SSE STAR Market 50 ETF): - Basic Information: The trading volume of the main options is 402,764 contracts, the open interest is 753,563 contracts, the trading volume ratio of call options to put options is 1.34, and the weighted average implied volatility is 28.18%. - Volatility Trading: Similar trading suggestions as above. - Risk-Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 91.5% when trading at the settlement price and 13.3% when trading at the counterparty price [57][59][63][66][67]. - 易方达上证科创板50ETF (E Fund SSE STAR Market 50 ETF): - Basic Information: The trading volume of the main options is 94,593 contracts, the open interest is 212,957 contracts, the trading volume ratio of call options to put options is 1.18, and the weighted average implied volatility is 31.7%. - Volatility Trading: Similar trading suggestions as above. - Risk-Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 145% when trading at the settlement price and 19.4% when trading at the counterparty price [68][70][72][76][78]. 4.2 Shenzhen Stock Exchange Options - 嘉实沪深300ETF (Harvest CSI 300 ETF): - Basic Information: The trading volume of the main options is 124,797 contracts, the open interest is 142,389 contracts, the trading volume ratio of call options to put options is 1.06, and the weighted average implied volatility is 15.38%. - Volatility Trading: Similar trading suggestions as above. - Risk-Free Arbitrage: No specific arbitrage yield data is provided in the current text [79][82].