Report Overview - Report Name: Pioneer Futures Options Daily Report - Date: June 30, 2025 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints The report presents the volatility data of various option targets, including at - the - money option implied volatility, 30 - day historical volatility, and daily true volatility. It also offers volatility trading suggestions and analyzes the basic information, volatility trading, and risk - free arbitrage opportunities of options from different exchanges [3][6]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options of the Shanghai 50ETF on the day was 552,929 lots, the open interest was 790,797 lots, the trading volume ratio of call options to put options was 1.31, and the weighted average implied volatility was 13.39% [19][21]. - Volatility Trading: Suggestions are to sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [23]. - Risk - Free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 4.60% at the settlement price and 1.06% at the counter - price [27][29]. 3.1.2 Huatai - Berry CSI 300ETF - Basic Information: The trading volume of the main options of the Huatai - Berry CSI 300ETF on the day was 596,397 lots, the open interest was 707,805 lots, the trading volume ratio of call options to put options was 1.33, and the weighted average implied volatility was 13.87% [30][32]. - Volatility Trading: Similar to the Shanghai 50ETF, sell the month or option with the curve or point on top and buy the one below [36]. - Risk - Free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 5.74% at the settlement price and 1.52% at the counter - price [40][43]. 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options of the Southern CSI 500ETF on the day was 761,961 lots, the open interest was 642,410 lots, the trading volume ratio of call options to put options was 1.46, and the weighted average implied volatility was 16.11% [44][46]. - Volatility Trading: Follow the rule of selling high and buying low in terms of volatility curves [48]. - Risk - Free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 46.7% at the settlement price and 10.9% at the counter - price [52][54]. 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options of the Huaxia Shanghai Science and Technology Innovation 50ETF on the day was 349,421 lots, the open interest was 672,986 lots, the trading volume ratio of call options to put options was 1.65, and the weighted average implied volatility was 23.28% [55][57]. - Volatility Trading: Adopt the strategy of selling high - volatility months or options and buying low - volatility ones [59]. - Risk - Free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 28.2% at the settlement price and 2.12% at the counter - price [63][64]. 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options of the E Fund Shanghai Science and Technology Innovation 50ETF on the day was 69,050 lots, the open interest was 176,886 lots, the trading volume ratio of call options to put options was 1.62, and the weighted average implied volatility was 23.45% [65][67]. - Volatility Trading: Use the strategy of selling high - volatility and buying low - volatility [69]. - Risk - Free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 15.2% at the settlement price and 2.70% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main options of the Harvest CSI 300ETF on the day was 61,535 lots, the open interest was 94,785 lots, the trading volume ratio of call options to put options was 1.59, and the weighted average implied volatility was 14.73% [76][79]. - Volatility Trading: Sell high - volatility months or options and buy low - volatility ones [81]. - Risk - Free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 19.5% at the settlement price and 1.29% at the counter - price [85][87]. 3.2.2 E Fund ChiNext ETF - Basic Information: The trading volume of the main options of the E Fund ChiNext ETF on the day was 912,102 lots, the open interest was 801,193 lots, the trading volume ratio of call options to put options was 1.44, and the weighted average implied volatility was 21.57% [88][90]. - Volatility Trading: Follow the high - sell and low - buy strategy for volatility [92]. - Risk - Free Arbitrage: The minimum annualized return rate of the optimal arbitrage portfolio held to maturity is 44.3% at the settlement price and 7.81% at the counter - price [96][98]. 3.2.3 Harvest CSI 500ETF - Basic Information: The trading volume of the main options of the Harvest CSI 500ETF on the day was 67,812 lots, the open interest was 109,167 lots, the trading volume ratio of call options to put options was 1.21, and the weighted average implied volatility was 16.61% [99][101]. - Volatility Trading: Sell high - volatility and buy low - volatility [102]. - Risk - Free Arbitrage: No detailed risk - free arbitrage data is provided in the given content.
先锋期货期权日报-20250630
Xian Feng Qi Huo·2025-06-30 09:02