Report Information - Report Name: Pioneer Futures Option Daily Report - Date: July 2, 2025 [1] Key Points 1. Option Volatility Ranking - A table shows the at - the - money option implied volatility, 30 - day historical volatility, and daily true range of various option targets, along with their rankings [3][5]. - The at - the - money option implied volatility reflects the market's expectation of future fluctuations of the variety; the 30 - day historical volatility reflects the past actual market size; and the daily true range reflects the intraday market size [6]. 2. Exchange - Specific Option Analysis 2.1 Shanghai Stock Exchange Options - 1.1上证50ETF - Basic Information: The trading volume of the main 50ETF options today is 538,148 lots, the open interest is 822,039 lots, the trading volume ratio of call options to put options is 1.2, and the weighted average implied volatility is 12.94% [19][21]. - Volatility Trading: Suggestions include selling the month with the curve on top and buying the month with the curve below for different months; selling options with points above the curve and buying options with points below the curve for the same month [23]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.01% at the settlement price and 0.27% at the counter - price [27][29]. - 1.2华泰柏瑞沪深300ETF - Basic Information: The trading volume of the main 300ETF options today is 472,764 lots, the open interest is 746,004 lots, the trading volume ratio of call options to put options is 0.98, and the weighted average implied volatility is 12.79% [30][32]. - Volatility Trading: Similar trading suggestions as for 50ETF [34]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.68% at the settlement price and 1.28% at the counter - price [38][41]. - 1.3南方中证500ETF - Basic Information: The trading volume of the main 500ETF options today is 682,332 lots, the open interest is 674,035 lots, the trading volume ratio of call options to put options is 1.21, and the weighted average implied volatility is 14.82% [42][44]. - Volatility Trading: Similar trading suggestions as above [46]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.2% at the settlement price and 8.87% at the counter - price [50][52]. - 1.4华夏上证科创板50ETF - Basic Information: The trading volume of the main科创50ETF options today is 291,817 lots, the open interest is 747,753 lots, the trading volume ratio of call options to put options is 1.61, and the weighted average implied volatility is 22.64% [53][55]. - Volatility Trading: Similar trading suggestions as above [57]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.47% at the settlement price, and there is no minimum annualized return at the counter - price [61][63]. - 1.5易方达上证科创板50ETF - Basic Information: The trading volume of the main科创板50ETF options today is 59,988 lots, the open interest is 194,155 lots, the trading volume ratio of call options to put options is 1.55, and the weighted average implied volatility is 24.4% [64][66]. - Volatility Trading: Similar trading suggestions as above [68]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.79% at the settlement price and 0.92% at the counter - price [72][74]. 2.2 Shenzhen Stock Exchange Options - 2.1嘉实沪深300ETF - Basic Information: The trading volume of the main 300ETF options today is 54,104 lots, the open interest is 107,419 lots, the trading volume ratio of call options to put options is 0.91, and the weighted average implied volatility is 13.63% [75][78]. - Volatility Trading: Similar trading suggestions as above [80]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.0% at the settlement price and 0.30% at the counter - price [84][86].
先锋期货期权日报-20250702
Xian Feng Qi Huo·2025-07-02 09:34