先锋期货期权日报-20250626

Report Information - Report Name: Pioneer Futures Option Daily Report - Date: June 26, 2025 [1] Industry Investment Rating - Not provided in the report Core Viewpoints - The report presents the implied volatility, historical volatility, and real - time volatility of various option underlying assets, and provides volatility trading and risk - free arbitrage suggestions for different exchange - listed options [3][23][27] Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: The trading volume of the main - contract options is 732,726 lots, the open interest is 716,707 lots, the trading volume ratio of call to put options is 1.5, and the weighted - average implied volatility is 14.94% [21] - Volatility Trading: Sell the options or months with higher volatility curves and buy those with lower ones [23] - Risk - free Arbitrage: The minimum annualized return is 3.72% at the settlement price and 1.02% at the counter - price [27][29] 1.2 Huatai - Berry SSE 300ETF - Basic Information: The trading volume of the main - contract options is 694,225 lots, the open interest is 607,670 lots, the trading volume ratio of call to put options is 1.55, and the weighted - average implied volatility is 15.47% [32] - Volatility Trading: Similar to the Shanghai 50ETF, sell high - curve options/months and buy low - curve ones [34] - Risk - free Arbitrage: The minimum annualized return is 4.12% at the settlement price and 0.81% at the counter - price [38][39] 1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main - contract options is 888,423 lots, the open interest is 595,962 lots, the trading volume ratio of call to put options is 1.54, and the weighted - average implied volatility is 18.37% [42] - Volatility Trading: Follow the rule of selling high - curve and buying low - curve [46] - Risk - free Arbitrage: The minimum annualized return is 21.3% at the settlement price and 5.06% at the counter - price [49][51] 1.4 Huaxia SSE STAR 50ETF - Basic Information: The trading volume of the main - contract options is 558,208 lots, the open interest is 607,564 lots, the trading volume ratio of call to put options is 2.21, and the weighted - average implied volatility is 25.54% [54] - Volatility Trading: Sell high - curve and buy low - curve [56] - Risk - free Arbitrage: The minimum annualized return is 10.5% at the settlement price and 2.96% at the counter - price [60][61] 1.5 E Fund SSE STAR 50ETF - Basic Information: The trading volume of the main - contract options is 146,482 lots, the open interest is 161,938 lots, the trading volume ratio of call to put options is 2.14, and the weighted - average implied volatility is 27.1% [64] - Volatility Trading: Similar trading rules as above [68] - Risk - free Arbitrage: The minimum annualized return is 24.1% at the settlement price and 5.11% at the counter - price [71][73] 2. Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - Basic Information: The trading volume of the main - contract options is 65,288 lots, the open interest is 87,062 lots, the trading volume ratio of call to put options is 1.41, and the weighted - average implied volatility is 15.86% [77] - Volatility Trading: Sell high - curve and buy low - curve [79] - Risk - free Arbitrage: The minimum annualized return is 7.89% at the settlement price and 0.29% at the counter - price [83][85] 2.2 E Fund ChiNext ETF - Basic Information: The trading volume of the main - contract options is 1,240,288 lots, the open interest is 754,948 lots, the trading volume ratio of call to put options is 1.69, and the weighted - average implied volatility is 22.51% [88] - Volatility Trading: Follow the high - sell and low - buy rule [90] - Risk - free Arbitrage: Not provided in the report Option Underlying Asset Volatility Ranking - The report lists the implied volatility, 30 - day historical volatility, and real - time volatility rankings of various option underlying assets such as sc2508, ps2508, etc. The implied volatility reflects the market's expectation of future fluctuations, the historical volatility reflects past actual fluctuations, and the real - time volatility reflects intraday fluctuations [3][5]