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先锋期货期权日报-20250620
Xian Feng Qi Huo·2025-06-20 09:06
  1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the daily data of various futures and ETF options, including the implied volatility, historical volatility, and real - time volatility of different underlying assets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for options on multiple exchanges such as the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc. [3][19][31] 3. Summary According to the Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options of Shanghai 50ETF is 686,104 lots, the open interest is 859,749 lots, the trading volume ratio of call and put options is 0.93, and the weighted average implied volatility is 11.61%. The T - type quotation table shows the prices of call and put options at different strike prices and expiration months. [19][22] - Volatility Trading: Suggestions are to sell options in the month with the upper curve and buy those in the month with the lower curve for different months; sell options above the curve and buy those below the curve for the same month. [26] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.9% at the settlement price and 3.07% at the counter - party price. [29][31] 3.1.2 Huatai - Berry Shanghai - Shenzhen 300ETF - Basic Information: The trading volume of the main options is 450,034 lots, the open interest is 657,340 lots, the trading volume ratio of call and put options is 1.03, and the weighted average implied volatility is 11.98%. The T - type quotation table shows option prices. [32][34] - Volatility Trading: Similar to the Shanghai 50ETF, sell high - curve options and buy low - curve options. [38] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.6% at the settlement price and 1.34% at the counter - party price. [41][44] 3.1.3 Southern China Securities 500ETF - Basic Information: The trading volume of the main options is 1,023,413 lots, the open interest is 747,160 lots, the trading volume ratio of call and put options is 0.99, and the weighted average implied volatility is 13.77%. The T - type quotation table shows option prices. [45][47] - Volatility Trading: Follow the rule of selling high - curve and buying low - curve options. [51] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.6% at the settlement price and 5.05% at the counter - party price. [54][56] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options is 215,122 lots, the open interest is 956,542 lots, the trading volume ratio of call and put options is 1.42, and the weighted average implied volatility is 25.72%. The T - type quotation table shows option prices. [57][59] - Volatility Trading: Adopt the strategy of selling high - curve and buying low - curve options. [63] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 24.2% at the settlement price and 4.52% at the counter - party price. [66][68] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options is 67,240 lots, the open interest is 116,813 lots, the trading volume ratio of call and put options is 0.61, and the weighted average implied volatility is 26.34%. The T - type quotation table shows option prices. [69][71] - Volatility Trading: Use the strategy of selling high - curve and buying low - curve options. [75] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 20.4% at the settlement price and 5.05% at the counter - party price. [78][80] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest Shanghai - Shenzhen 300ETF - Basic Information: The T - type quotation table shows the prices of call and put options at different strike prices and expiration months for the Harvest Shanghai - Shenzhen 300ETF. [81] - Volatility Trading: No relevant content provided. - Risk - Free Arbitrage: No relevant content provided.