先锋期货期权日报-20250606

1. Report Information - Report Title: Pioneer Futures Options Daily Report [1] - Report Date: June 6, 2025 [1] 2. Option Volatility Data 2.1 Volatility Ranking Table - The table presents the implied volatility of at - the - money options, 30 - day historical volatility, and the real - time amplitude of various option targets, along with their rankings [3][5]. - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety. The larger the value, the more likely there will be a significant market trend. Trend traders can focus on the top - ranked varieties [6]. - The 30 - day historical volatility reflects the actual historical market size of the variety. If the value is smaller than the implied volatility, the option price may be relatively expensive. Option sellers can focus on the difference in rankings [6]. - The real - time amplitude reflects the intraday market size of the variety. Intraday traders can focus on the top - ranked varieties [6]. 2.2 Example of High - Ranking Varieties - For example, sc2507 has an implied volatility of 2.1% (ranked 1st), a 30 - day historical volatility of 2.2% (ranked 2nd), and a real - time amplitude of 1.4% (ranked 31st) [3]. 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - Basic Information: The trading volume of the SSE 50 ETF's main options is 460,055 lots, the open interest is 1,009,132 lots, the trading volume ratio of call options to put options is 1.25, and the weighted average implied volatility is 13.04% [19][22]. - Volatility Trading: Different execution prices and Delta values of SSE 50 ETF call options have corresponding implied volatility curves. The volatility trading strategy suggests selling options in months with higher curves and buying those in months with lower curves. For options in the same month, sell options with points above the curve and buy those below [23][28]. - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity has a minimum annualized return of 6.72% when traded at the settlement price and 0.43% when traded at the counter - party price [31][33]. 3.1.2 Huatai - PineBridge CSI 300 ETF - Basic Information: The trading volume of the main options is 341,419 lots, the open interest is 833,904 lots, the trading volume ratio of call options to put options is 1.18, and the weighted average implied volatility is 13.11% [34][36]. - Volatility Trading: Similar to the SSE 50 ETF, it has implied volatility curves for different execution prices and Delta values. The trading strategy is the same as above [37][40]. - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity has a minimum annualized return of 7.54% when traded at the settlement price and 1.24% when traded at the counter - party price [43][45]. 3.1.3 Southern CSI 500 ETF - Basic Information: The trading volume of the main options is 617,817 lots, the open interest is 905,761 lots, the trading volume ratio of call options to put options is 0.94, and the weighted average implied volatility is 16.54% [46][48]. - Volatility Trading: There are implied volatility curves for different execution prices and Delta values, and the trading strategy is consistent [49][52]. - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity has a minimum annualized return of 39.0% when traded at the settlement price and 8.20% when traded at the counter - party price [55][57]. 3.1.4 Huaxia SSE STAR Market 50 ETF - Basic Information: The trading volume of the main options is 263,623 lots, the open interest is 1,041,296 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 22.71% [58][60]. - Volatility Trading: There are implied volatility curves for different execution prices and Delta values, and the trading strategy is the same [61][64]. - Risk - Free Arbitrage: The optimal arbitrage portfolio held to maturity has a minimum annualized return of 35.6% when traded at the settlement price and 5.50% when traded at the counter - party price [67][69]. 3.1.5 E Fund SSE STAR Market 50 ETF - Basic Information: The trading volume of the main options is 65,214 lots, the open interest is 305,756 lots, the trading volume ratio of call options to put options is 2.43, and the weighted average implied volatility is 21.84% [70][72]. - Volatility Trading: There are implied volatility curves for different execution prices and Delta values, and the trading strategy is consistent [73][74].