先锋期货期权日报-20250624

1. Report Information - Report Name: Pioneer Futures Options Daily Report - Date: June 24, 2025 [1] 2. Options Volatility Ranking 2.1 Ranking Table | Target | At - the - money Option Implied Volatility | Ranking | 30 - day Historical Volatility of the Target | Ranking | Target's Daily True Range | Ranking | | --- | --- | --- | --- | --- | --- | --- | | sc2508 | 3.3% | 1 | 3.4% | 1 | 10.8% | 1 | | ps2508 | 2.1% | 2 | 1.8% | 8 | 3.9% | 12 | |... |... |... |... |... |... |... | | c2509 | 0.7% | 62 | 0.4% | 64 | 1.2% | 46 | | cf509 | 0.6% | 63 | 0.4% | 63 | 1.4% | 42 | [3][5] 2.2 Volatility Explanation - At - the - money option implied volatility reflects the market's expectation of the future volatility of the variety. The larger the value, the more likely there will be a major market trend. Trend traders can focus on the top - ranked varieties. - The 30 - day historical volatility of the target reflects the actual past 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 between the two. - The target's daily true range reflects the intraday market size of the variety. Intraday traders can focus on the top - ranked varieties. [6] 3. Options Analysis by Exchange 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options of Shanghai 50ETF on this day was 704,520 lots, the open interest was 522,779 lots, the trading volume ratio of call options to put options was 1.25, and the weighted - average implied volatility was 13.62%. [19][22] - Volatility Trading: The trading advice is to sell the options of the month with the curve on top and buy those of the month with the curve below for different months; sell the options with points on the curve above and buy those with points below for the same month. [24] - Risk - free Arbitrage: The minimum annualized rate of return of the optimal arbitrage portfolio held until maturity is 1.83% at the settlement price and 1.16% at the counter - price. [28][30] 3.1.2 Huatai - Berry 300ETF - Basic Information: The trading volume of the main options of 300ETF on this day was 636,049 lots, the open interest was 487,538 lots, the trading volume ratio of call options to put options was 1.39, and the weighted - average implied volatility was 13.81%. [30][33] - Volatility Trading: Similar to the Shanghai 50ETF, sell the options of the month with the curve on top and buy those of the month with the curve below for different months; sell the options with points on the curve above and buy those with points below for the same month. [36] - Risk - free Arbitrage: The minimum annualized rate of return of the optimal arbitrage portfolio held until maturity is 2.90% at the settlement price and 0.40% at the counter - price. [39][41] 3.1.3 Southern China Securities 500ETF - Basic Information: The trading volume of the main options of 500ETF on this day was 789,025 lots, the open interest was 537,243 lots, the trading volume ratio of call options to put options was 1.11, and the weighted - average implied volatility was 19.45%. [42][44] - Volatility Trading: The same volatility trading advice as above. [47] - Risk - free Arbitrage: The minimum annualized rate of return of the optimal arbitrage portfolio held until maturity is 76.8% at the settlement price and 6.74% at the counter - price. [52][53] 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main options of the Science and Technology Innovation Board 50ETF on this day was 301,430 lots, the open interest was 392,363 lots, the trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 21.7%. [54][56] - Volatility Trading: The same volatility trading advice as above. [58] - Risk - free Arbitrage: The minimum annualized rate of return of the optimal arbitrage portfolio held until maturity is 17.1% at the settlement price and 4.68% at the counter - price. [62][63] 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main options of the Science and Technology Innovation Board 50ETF on this day was 91,687 lots, the open interest was 258,212 lots, the trading volume ratio of call options to put options was 1.68, and the weighted - average implied volatility was 31.12%. [64][66] - Volatility Trading: The same volatility trading advice as above. [68] - Risk - free Arbitrage: The minimum annualized rate of return of the optimal arbitrage portfolio held until maturity is 288% at the settlement price and 20.3% at the counter - price. [72][74] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest 300ETF - Basic Information: The trading volume of the main options of Shenzhen 300ETF on this day was 72,152 lots, the open interest was 147,043 lots, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 24.14%. [75][78] - Volatility Trading: The same volatility trading advice as above. [81][82] - Risk - free Arbitrage: The minimum annualized rate of return of the optimal arbitrage portfolio held until maturity is 92.7% at the settlement price and 4.82% at the counter - price. [86][88]