Report Information - Report Title: Pioneer Futures Options Daily Report - Report Date: July 1, 2025 [1] Option Target Volatility Ranking - The report provides a ranking of option targets based on implied volatility, 30 - day historical volatility, and daily true volatility. For example, ps2508 has an implied volatility of 2.4% (ranked 1st), a 30 - day historical volatility of 2.2% (ranked 2nd), and a daily true volatility of 3.6% (ranked 2nd) [3]. Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: Presents the T - type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices, execution prices, and the trading volume, open interest, volume ratio of call to put options, and weighted average implied volatility of the main options. The main options' trading volume is 435,942 lots, open interest is 803,752 lots, the volume ratio of call to put options is 1.27, and the weighted average implied volatility is 13.16% [19][21]. - Volatility Trading: Suggests selling options in months with higher volatility curves and buying options in months with lower curves; for the same month, sell options with points above the curve and buy those below [23]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.69% at the settlement price and 0.96% at the counter - price [27][29]. 1.2 Huatai - Peregrine CSI 300ETF - Basic Information: Provides the T - type quotation table of Huatai - Peregrine CSI 300ETF options. The main options' trading volume is 433,833 lots, open interest is 735,719 lots, the volume ratio of call to put options is 1.15, and the weighted average implied volatility is 13.14% [30][32]. - Volatility Trading: Similar to the Shanghai 50ETF, offers volatility trading suggestions based on volatility curves [39]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.4% at the settlement price and 2.26% at the counter - price [40][41]. 1.3 Southern CSI 500ETF - Basic Information: Displays the T - type quotation table of Southern CSI 500ETF options. The main options' trading volume is 716,704 lots, open interest is 656,400 lots, the volume ratio of call to put options is 1.17, and the weighted average implied volatility is 15.89% [42][44]. - Volatility Trading: Gives volatility trading suggestions according to volatility curves [46]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 63.4% at the settlement price and 13.8% at the counter - price [50][52]. 1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - Basic Information: Shows the T - type quotation table of Huaxia Shanghai Science and Technology Innovation Board 50ETF options. The main options' trading volume is 244,698 lots, open interest is 707,210 lots, the volume ratio of call to put options is 1.85, and the weighted average implied volatility is 23.39% [53][55]. - Volatility Trading: Provides volatility trading suggestions based on volatility curves [57]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 16.3% at the settlement price and 3.79% at the counter - price [61][63]. 1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - Basic Information: Presents the T - type quotation table of E Fund Shanghai Science and Technology Innovation Board 50ETF options. The main options' trading volume is 62,789 lots, open interest is 189,234 lots, the volume ratio of call to put options is 1.79, and the weighted average implied volatility is 24.19% [64][66]. - Volatility Trading: Offers volatility trading suggestions according to volatility curves [68]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.2% at the settlement price and 4.03% at the counter - price [72][74]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - Basic Information: Provides the T - type quotation table of Harvest CSI 300ETF options. The main options' trading volume is 42,252 lots, open interest is 96,984 lots, the volume ratio of call to put options is 1.16, and the weighted average implied volatility is 14.18% [75][78]. - Volatility Trading: Gives volatility trading suggestions based on volatility curves [80]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.7% at the settlement price and 2.40% at the counter - price [84][85]. 2.2 E Fund ChiNext ETF - Basic Information: Displays the T - type quotation table of E Fund ChiNext ETF options. The main options' trading volume is 653,471 lots, open interest is 825,480 lots, the volume ratio of call to put options is 1.31, and the weighted average implied volatility is 21.27% [86][88]. - Volatility Trading: Offers volatility trading suggestions according to volatility curves [93]. - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 55.4% at the settlement price and 10.6% at the counter - price [95][97]. 2.3 Harvest CSI 500ETF - Basic Information: Shows the T - type quotation table of Harvest CSI 500ETF options. The main options' trading volume is 57,279 lots, open interest is 111,457 lots, the volume ratio of call to put options is 1.3, and the weighted average implied volatility is 16.52% [98][100]. - Volatility Trading: Provides volatility trading suggestions based on volatility curves [101].
先锋期货期权日报-20250701
Xian Feng Qi Huo·2025-07-01 09:04