Report Information - Report Name: Pioneer Futures Options Daily Report - Date: June 23, 2025 [1] 1. Options Volatility Ranking 1.1 Volatility Data - The report provides data on the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of various options on June 23, 2025. For example, sc2508 has an implied volatility of 3.7% (ranked 1st), a 30 - day historical volatility of 2.4% (ranked 1st), and a true range of 5.4% (ranked 1st) [3]. 1.2 Trading Suggestions - For trend traders, they can focus on options with higher implied volatility rankings. For option sellers, they can pay attention to the difference between the rankings of implied volatility and 30 - day historical volatility. For intraday traders, they can focus on options with higher true - range rankings [6]. 2. Exchange - Specific Option Analysis 2.1 Shanghai Stock Exchange Options 2.1.1 Shanghai 50ETF Options - Basic Information: The trading volume of the main Shanghai 50ETF options is 760,470 contracts, the open interest is 740,452 contracts, the volume ratio of call options to put options is 0.86, and the weighted - average implied volatility is 15.69% [19][22]. - Volatility Trading: Different months: sell the month with the curve on top and buy the month with the curve below; same month: sell the option with the point on the curve above and buy the option with the point on the curve below [28]. - Risk - Free Arbitrage: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 47.2%; at the counter - party price, it is 1.77% [30][33]. 2.1.2 Huatai - Berry SSE 300ETF Options - Basic Information: The trading volume of the main Huatai - Berry SSE 300ETF options is 513,758 contracts, the open interest is 544,793 contracts, the volume ratio of call options to put options is 0.95, and the weighted - average implied volatility is 15.85% [34][36]. - Volatility Trading: Similar trading suggestions as Shanghai 50ETF options [40]. - Risk - Free Arbitrage: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 51.8%; at the counter - party price, there is no minimum annualized return [43][44]. 2.1.3 Southern CSI 500ETF Options - Basic Information: The trading volume of the main Southern CSI 500ETF options is 873,019 contracts, the open interest is 607,387 contracts, the volume ratio of call options to put options is 0.77, and the weighted - average implied volatility is 18.25% [45][48]. - Volatility Trading: Similar trading suggestions as above [51]. - Risk - Free Arbitrage: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 51.2%; at the counter - party price, it is 1.14% [54][56]. 2.1.4 Huaxia SSE STAR Market 50ETF Options - Basic Information: The trading volume of the main Huaxia SSE STAR Market 50ETF options is 271,391 contracts, the open interest is 871,743 contracts, the volume ratio of call options to put options is 1.17, and the weighted - average implied volatility is 33.26% [57][59]. - Volatility Trading: Similar trading suggestions as above [63]. - Risk - Free Arbitrage: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 158%; at the counter - party price, it is 20.8% [68][69]. 2.1.5 E Fund SSE STAR Market 50ETF Options - Basic Information: The trading volume of the main E Fund SSE STAR Market 50ETF options is 54,748 contracts, the open interest is 276,701 contracts, the volume ratio of call options to put options is 1.47, and the weighted - average implied volatility is 29.89% [70][72]. - Volatility Trading: Similar trading suggestions as above [74]. - Risk - Free Arbitrage: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 108%; at the counter - party price, it is 16.5% [80][81]. 2.2 Shenzhen Stock Exchange Options 2.2.1 Harvest SSE 300ETF Options - Basic Information: The trading volume of the main Harvest SSE 300ETF options is 94,522 contracts, the open interest is 170,642 contracts, the volume ratio of call options to put options is 0.91, and the weighted - average implied volatility is 16.95% [82][85]. - Volatility Trading: Similar trading suggestions as above [90]. - Risk - Free Arbitrage: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 206%; at the counter - party price, it is 24.7% [95][97]. 2.2.2 E Fund ChiNext ETF Options - Basic Information: The trading volume of the main E Fund ChiNext ETF options is 706,710 contracts, the open interest is 826,922 contracts, the volume ratio of call options to put options is 1.07, and the weighted - average implied volatility is 25.78% [98][100]. - Volatility Trading: Similar trading suggestions as above [102].
先锋期货期权日报-20250623
Xian Feng Qi Huo·2025-06-23 09:04