先锋期货期权日报-20250611
Xian Feng Qi Huo·2025-06-11 09:04
- Report Information - Report Name: Pioneer Futures Option Daily Report [1] - Date: June 11, 2025 [1] 2. Option Volatility Ranking 2.1 Volatility Data - The report provides the implied volatility, 30 - day historical volatility, and real - time volatility of various option targets, including sc2507, br2507, etc. For example, sc2507 has an implied volatility of 2.4%, a 30 - day historical volatility of 2.0%, and a real - time volatility of 1.7% [3]. 2.2 Volatility Analysis - Implied volatility reflects market expectations of future fluctuations. Higher values indicate a greater likelihood of significant market movements, which is of interest to trend traders. - The 30 - day historical volatility reflects past actual market movements. If it is lower than the implied volatility, option prices may be relatively high, which is relevant for option sellers. - Real - time volatility reflects the intraday market movement, which is important for intraday traders [6]. 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: On the reporting day, the trading volume of the main Shanghai 50ETF options was 717,671 contracts, the open interest was 1,002,999 contracts, the trading volume ratio of call options to put options was 1.25, and the weighted - average implied volatility was 13.12% [22]. - Volatility Trading: Different execution prices and different months have different implied volatility curves. The trading suggestion is to sell options with higher - position curves and buy those with lower - position curves [26]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.43% at the settlement price and 0.84% at the counter - price [32][33]. 3.1.2 Huatai - Berry SSE 300ETF - Basic Information: The trading volume of the main Huatai - Berry SSE 300ETF options was 672,788 contracts, the open interest was 837,164 contracts, the trading volume ratio of call options to put options was 1.34, and the weighted - average implied volatility was 13.82% [36]. - Volatility Trading: Similar to the Shanghai 50ETF, sell options with higher - position curves and buy those with lower - position curves [40]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 3.52% at the settlement price and 0.35% at the counter - price [43][45]. 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main Southern CSI 500ETF options was 972,339 contracts, the open interest was 886,322 contracts, the trading volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 16.06% [48]. - Volatility Trading: Follow the rule of selling high - curve options and buying low - curve options [52]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 39.4% at the settlement price and 8.66% at the counter - price [55][57]. 3.1.4 Huaxia SSE STAR 50ETF - Basic Information: The trading volume of the main Huaxia SSE STAR 50ETF options was 284,026 contracts, the open interest was 1,041,625 contracts, the trading volume ratio of call options to put options was 1.57, and the weighted - average implied volatility was 23.74% [60]. - Volatility Trading: Adopt the strategy of selling high - curve options and buying low - curve options [62]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 22.0% at the settlement price and 4.93% at the counter - price [66][68]. 3.1.5 E Fund SSE STAR 50ETF - Basic Information: The trading volume of the main E Fund SSE STAR 50ETF options was 77,318 contracts, the open interest was 296,583 contracts, the trading volume ratio of call options to put options was 1.19, and the weighted - average implied volatility was 22.72% [71]. - Volatility Trading: Use the strategy of selling high - curve options and buying low - curve options [75]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 28.7% at the settlement price and 3.33% at the counter - price [78][80]. Other exchanges such as the Shenzhen Stock Exchange, China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange also have corresponding option analysis in the table of contents, but specific data is not provided in the given text.