Group 1: Report Summary - The report is the Pioneer Futures Options Daily Report dated June 13, 2025, presenting data on option targets' volatility and detailed information on various options across multiple exchanges [1] Group 2: Option Target Volatility Ranking - A table ranks option targets based on at - the - money option implied volatility, 30 - day historical volatility, and daily true range. For example, ad2511 has an implied volatility of 32.0% ranking 1st, sc2508 has a 30 - day historical volatility of 2.4% ranking 2nd, and sc2508 has a daily true range of 8.5% ranking 1st [3] - The table provides guidance for different types of traders. Trend traders can focus on targets with high implied volatility rankings, option sellers can consider the difference between implied and historical volatility rankings, and intraday traders can pay attention to targets with high daily true range rankings [6] Group 3: Exchange - Specific Option Information 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - The T - type quotation table shows the prices of call and put options at different strike prices and expiration months. The trading volume of the main options is 712,685 lots, the open interest is 1,003,830 lots, the volume ratio of call to put options is 1.07, and the weighted average implied volatility is 13.15% [19][22] - For volatility trading, different implied volatility curves are presented, and the trading advice is to sell options with higher curves and buy those with lower curves, either across different months or within the same month [26] - In risk - free arbitrage, with settlement price transactions, the optimal arbitrage portfolio held to maturity has a minimum annualized return of 20.9%; with counter - price transactions, it is 4.11% [29][31] 3.1.2 Huatai - Berry SSE 300ETF - The T - type quotation table shows option prices. The trading volume of the main options is 627,180 lots, the open interest is 805,897 lots, the volume ratio of call to put options is 1.01, and the weighted average implied volatility is 14.06% [32][34] - Similar to the Shanghai 50ETF, volatility trading advice is based on implied volatility curves. For risk - free arbitrage, the minimum annualized return is 15.9% with settlement price transactions and 3.27% with counter - price transactions [38][41][43] 3.1.3 Southern CSI 500ETF - The T - type quotation table shows option prices. The trading volume of the main options is 1,219,237 lots, the open interest is 891,907 lots, the volume ratio of call to put options is 0.76, and the weighted average implied volatility is 17.14% [44][46] - Volatility trading follows the same curve - based advice. In risk - free arbitrage, the minimum annualized return is 33.7% with settlement price transactions and 6.31% with counter - price transactions [47][51][53] 3.1.4 Huaxia SSE STAR 50ETF - The T - type quotation table shows option prices. The trading volume of the main options is 346,522 lots, the open interest is 1,043,619 lots, the volume ratio of call to put options is 1.1, and the weighted average implied volatility is 24.44% [54][56] - Volatility trading advice is based on implied volatility curves. For risk - free arbitrage, the minimum annualized return is 40.3% with settlement price transactions and 5.83% with counter - price transactions [60][63][65] 3.1.5 E Fund SSE STAR 50ETF - The T - type quotation table shows option prices. The trading volume of the main options is 103,497 lots, the open interest is 305,485 lots, the volume ratio of call to put options is 1.16, and the weighted average implied volatility is 26.07% [66][68] - Volatility trading advice is consistent with other options, and specific risk - free arbitrage data is not provided in the given text [72] 3.2 Shenzhen Stock Exchange Options - The report's table of contents lists options such as嘉实沪深 300ETF, E Fund ChiNext ETF,嘉实中证 500ETF, and E Fund Shenzhen 100ETF, including basic information, volatility trading, and risk - free arbitrage, but detailed data is not fully presented in the provided text [9] 3.3 China Financial Futures Exchange Options - Options like SSE 300, CSI 1000, and SSE 50 are listed in the table of contents, covering basic information, volatility trading, and risk - free arbitrage, with incomplete detailed data in the provided text [9] 3.4 Zhengzhou Commodity Exchange Options - Options such as sugar, cotton, PTA, methanol, etc. are included in the table of contents, with details on basic information, volatility trading, and risk - free arbitrage, but specific data is not fully shown [10] 3.5 Dalian Commodity Exchange Options - Options like soybean meal, corn, iron ore, etc. are listed in the table of contents, with information on basic information, volatility trading, and risk - free arbitrage, and detailed data is not fully presented [13] 3.6 Shanghai Futures Exchange Options - Options such as copper, rubber, gold, etc. are included in the table of contents, with details on basic information, volatility trading, and risk - free arbitrage, but specific data is not fully provided [15] 3.7 Shanghai International Energy Exchange Options - Crude oil options are listed in the table of contents, including basic information, volatility trading, and risk - free arbitrage, with incomplete detailed data [17] 3.8 Guangzhou Futures Exchange Options - Options such as industrial silicon, lithium carbonate, and polysilicon are included in the table of contents, with details on basic information, volatility trading, and risk - free arbitrage, but specific data is not fully shown [18]
先锋期货期权日报-20250613
Xian Feng Qi Huo·2025-06-13 09:04