Report Information - Report Name: Pioneer Futures Options Daily Report - Date: June 4, 2025 [1] Industry Investment Rating - Not provided in the report Core Viewpoints - The report provides a comprehensive analysis of various options, including their implied volatility, historical volatility, and real - time volatility. It also offers trading suggestions for different types of traders based on these volatility indicators [3][6] Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: The trading volume of the main Shanghai 50ETF options is 500,820 lots, the open interest is 971,866 lots, the trading volume ratio of call options to put options is 1.22, and the weighted - average implied volatility is 13.37% [19][22] - Volatility Trading: Suggestions include selling options in months with higher implied volatility curves and buying those in months with lower curves; also, selling options with higher points on the curve and buying those with lower points within the same month [25] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.13% at the settlement price and 0.45% at the counter - price [29][31] 1.2 Huatai - Berry SSE 300ETF - Basic Information: The trading volume of the main Huatai - Berry SSE 300ETF options is 413,524 lots, the open interest is 816,520 lots, the trading volume ratio of call options to put options is 1.22, and the weighted - average implied volatility is 13.84% [32][34] - Volatility Trading: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in months with lower curves; sell high - point options and buy low - point options within the same month [38] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.41% at the settlement price and 2.06% at the counter - price [41][43] 1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main Southern CSI 500ETF options is 784,596 lots, the open interest is 883,992 lots, the trading volume ratio of call options to put options is 0.91, and the weighted - average implied volatility is 17% [44][47] - Volatility Trading: Follow the rule of selling high - curve months and buying low - curve months, and selling high - point options and buying low - point options within the same month [49] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 36.9% at the settlement price and 8.92% at the counter - price [53][55] 1.4 Huaxia SSE STAR 50ETF - Basic Information: The trading volume of the main Huaxia SSE STAR 50ETF options is 215,664 lots, the open interest is 987,709 lots, the trading volume ratio of call options to put options is 1.45, and the weighted - average implied volatility is 25.5% [56][58] - Volatility Trading: Adopt the strategy of selling high - curve months and buying low - curve months, and selling high - point options and buying low - point options within the same month [62] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 47.8% at the settlement price and 8.12% at the counter - price [65][67] 1.5 E Fund SSE STAR 50ETF - Basic Information: The trading volume of the main E Fund SSE STAR 50ETF options is 64,662 lots, the open interest is 298,160 lots, the trading volume ratio of call options to put options is 1.09, and the weighted - average implied volatility is 29.55% [68][70] - Volatility Trading: Use the method of selling high - curve months and buying low - curve months, and selling high - point options and buying low - point options within the same month [72] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 47.7% at the settlement price [76]
先锋期货期权日报-20250604
Xian Feng Qi Huo·2025-06-04 09:32