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先锋期货期权日报-20250625
Xian Feng Qi Huo·2025-06-25 09:06

Report Summary 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View The report presents the daily option data of various futures and ETFs, including the implied volatility, historical volatility, and real - time volatility of the underlying assets. It also provides T - type quotes, trading volume, open interest, and implied volatility of major options for different ETFs on the Shanghai Stock Exchange. Additionally, it offers volatility trading suggestions and optimal arbitrage portfolio returns for different ETF options. 3. Summary by Directory 1.1 Shanghai Stock Exchange - SSE 50 ETF - Basic Information: The trading volume of the main SSE 50 ETF options on the day is 897,405 lots, the open interest is 616,936 lots, the volume ratio of call options to put options is 1.55, and the weighted average implied volatility is 16.36%. The T - type quote table shows the call and put option prices at different strike prices [19][22]. - Volatility Trading: Suggestions are to sell options in months with higher volatility curves and buy those in months with lower curves. For options in the same month, sell options with higher points on the curve and buy those with lower points [25]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.78% at the settlement price and 0.65% at the counter - party price [28][30]. 1.2 Huatai - Berry SSE 300 ETF - Basic Information: The trading volume of the main 300ETF options on the day is 839,695 lots, the open interest is 561,165 lots, the volume ratio of call options to put options is 1.66, and the weighted average implied volatility is 16.93%. The T - type quote table shows the call and put option prices at different strike prices [31][33]. - Volatility Trading: Similar to the SSE 50 ETF, sell options in months with higher volatility curves and buy those in months with lower curves. For options in the same month, sell options with higher points on the curve and buy those with lower points [37]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.04% at the settlement price and 0.23% at the counter - party price [41][43]. 1.3 Southern CSI 500 ETF - Basic Information: The trading volume of the main 500ETF options on the day is 1,024,843 lots, the open interest is 494,144 lots, the volume ratio of call options to put options is 1.45, and the weighted average implied volatility is 19.58%. The T - type quote table shows the call and put option prices at different strike prices [44][46]. - Volatility Trading: Sell options in months with higher volatility curves and buy those in months with lower curves. For options in the same month, sell options with higher points on the curve and buy those with lower points [49]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.0% at the settlement price and 4.48% at the counter - party price [52][54]. 1.4 Huaxia SSE STAR 50 ETF - Basic Information: The trading volume of the main SSE STAR 50 ETF options on the day is 511,986 lots, the open interest is 493,626 lots, the volume ratio of call options to put options is 2.32, and the weighted average implied volatility is 27.08%. The T - type quote table shows the call and put option prices at different strike prices [55][57]. - Volatility Trading: Sell options in months with higher volatility curves and buy those in months with lower curves. For options in the same month, sell options with higher points on the curve and buy those with lower points [59]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.0% at the settlement price and 2.58% at the counter - party price [63]. 1.5 E Fund SSE STAR 50 ETF - Basic Information: The trading volume of the main SSE STAR 50 ETF options on the day is 134,073 lots, the open interest is 126,532 lots, the volume ratio of call options to put options is 1.93, and the weighted average implied volatility is 28.23%. The T - type quote table shows the call and put option prices at different strike prices [65][67]. - Volatility Trading: Sell options in months with higher volatility curves and buy those in months with lower curves. For options in the same month, sell options with higher points on the curve and buy those with lower points [69].