先锋期货期权日报-20250527

Report Summary 1. Report Industry Investment Rating No information provided in the document. 2. Core View of the Report The report presents the option market data of various ETFs and futures on May 27, 2025, including T - type quotes, trading volume, open interest, implied volatility, and potential arbitrage opportunities [3][18][31]. 3. Summary by Directory 3.1 Option Volatility Ranking - The report lists the implied volatility, 30 - day historical volatility, and daily true volatility rankings of multiple option underlying assets. For example, ao2507 ranks 1st in daily true volatility with 3.1%, and sr507 ranks 63rd in implied volatility with 0.6% [3][4]. - Different types of volatility have different implications. Implied volatility reflects market expectations of future fluctuations, historical volatility shows past actual market conditions, and daily true volatility reflects intraday market movements [5]. 3.2 Shanghai Stock Exchange Options - Basic Information: - For 50ETF, the trading volume of the main - contract options is 514,537 lots, the open interest is 628,705 lots, the call - to - put trading volume ratio is 1.03, and the weighted - average implied volatility is 15.7% [18][21]. - For 300ETF, the trading volume of the main - contract options is 328,716 lots, the open interest is 446,587 lots, the call - to - put trading volume ratio is 1.01, and the weighted - average implied volatility is 16.29% [30][33]. - For 500ETF, the trading volume of the main - contract options is 478,621 lots, the open interest is 678,701 lots, the call - to - put trading volume ratio is 0.99, and the weighted - average implied volatility is 18.89% [44][47]. - For Huaxia Science and Technology Innovation 50ETF, the trading volume of the main - contract options is 185,697 lots, the open interest is 667,441 lots, the call - to - put trading volume ratio is 1.11, and the weighted - average implied volatility is 44.45% [56][58]. - For E Fund Science and Technology Innovation 50ETF, the trading volume of the main - contract options is 65,905 lots, the open interest is 187,089 lots, the call - to - put trading volume ratio is 0.94, and the weighted - average implied volatility is 36.71% [67][68]. - Volatility Trading: - The report provides implied volatility curves for different execution prices and Deltas of call options, as well as implied volatility curves for call and put options in the main - contract months. The trading advice is to sell options with higher curves or points and buy those with lower ones [23][37][50]. - Risk - Free Arbitrage: - For 50ETF, the minimum annualized return of the optimal arbitrage portfolio is 55.2% at the settlement price and 13.0% at the counter - party price [28][30]. - For 300ETF, the minimum annualized return of the optimal arbitrage portfolio is 93.6% at the settlement price and 10.7% at the counter - party price [42][43]. - For 500ETF, the minimum annualized return of the optimal arbitrage portfolio is 38.1% at the settlement price and 8.48% at the counter - party price [53][55]. - For Huaxia Science and Technology Innovation 50ETF, the minimum annualized return of the optimal arbitrage portfolio is 577% at the settlement price and 95.3% at the counter - party price [65][66]. - For E Fund Science and Technology Innovation 50ETF, the minimum annualized return of the optimal arbitrage portfolio is 273% at the settlement price and 13.0% at the counter - party price [77][78]. 3.3 Shenzhen Stock Exchange Options - Basic Information: - For Harvest CSI 300ETF, the trading volume of the main - contract options is 79,402 lots, the open interest is 116,394 lots, the call - to - put trading volume ratio is 1.26, and the weighted - average implied volatility is 22.69% [79][82]. - Volatility Trading: - Similar to the Shanghai Stock Exchange options, it provides implied volatility curves and trading advice [87]. - Risk - Free Arbitrage: - The minimum annualized return of the optimal arbitrage portfolio is 193% at the settlement price and 8.18% at the counter - party price [90][92].