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先锋期货期权日报-20250703
Xian Feng Qi Huo·2025-07-03 09:34
  1. Report Information - Report Name: Pioneer Futures Options Daily Report [1] - Report Date: July 3, 2025 [1] 2. Options Volatility Ranking 2.1 Options Volatility Ranking Table - The table shows the implied volatility of at - the - money options, 30 - day historical volatility of the underlying, and the true range of the underlying for various options, along with their rankings [3][5] - For example, ps2508 has an implied volatility of 3.2% (ranked 1st), a 30 - day historical volatility of 2.6% (ranked 2nd), and a true range of 3.2% (ranked 2nd) [3] 2.2 Volatility Interpretation - The implied volatility of at - the - money options reflects the market's expectation of future fluctuations of the variety. A larger value indicates a higher probability of a significant market trend. Trend traders can focus on the top - ranked varieties [6] - The 30 - day historical volatility reflects the actual past market size of the variety. If the value is smaller than the implied volatility, it means the option price may be relatively expensive. Option sellers can pay attention to the difference in rankings between the two [6] - The true range of the underlying reflects the intraday market size of the variety on that day. Intraday traders can focus on the top - ranked varieties [6] 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF Options - Basic Information: The trading volume of the main options of Shanghai 50ETF on this day was 524,811 contracts, the open interest was 836,672 contracts, the volume ratio of call options to put options was 1.17, and the weighted average implied volatility was 12.75% [21] - Volatility Trading: Suggestions include selling the month with the upper curve and buying the month with the lower curve 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 5.89% at the settlement price and 0.89% at the counter - price [27][29] 3.1.2 Huatai - Berry SSE 300ETF Options - Basic Information: The trading volume of the main options of Huatai - Berry SSE 300ETF on this day was 578,227 contracts, the open interest was 766,667 contracts, the volume ratio of call options to put options was 1.26, and the weighted average implied volatility was 12.95% [32] - Volatility Trading: Similar trading suggestions as above [36] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.66% at the settlement price and 0.61% at the counter - price [39][42] 3.1.3 Southern CSI 500ETF Options - Basic Information: The trading volume of the main options of Southern CSI 500ETF on this day was 847,013 contracts, the open interest was 678,350 contracts, the volume ratio of call options to put options was 1.17, and the weighted average implied volatility was 15.02% [45] - Volatility Trading: Similar trading suggestions as above [47] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 52.2% at the settlement price and 11.8% at the counter - price [51][53] 3.1.4 Huaxia SSE STAR 50ETF Options - Basic Information: The trading volume of the main options of Huaxia SSE STAR 50ETF on this day was 232,028 contracts, the open interest was 774,099 contracts, the volume ratio of call options to put options was 1.92, and the weighted average implied volatility was 22.81% [56] - Volatility Trading: Similar trading suggestions as above [58] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.8% at the settlement price and 3.13% at the counter - price [64][65] 3.1.5 E Fund SSE STAR 50ETF Options - Basic Information: The trading volume of the main options of E Fund SSE STAR 50ETF on this day was 57,265 contracts, the open interest was 203,830 contracts, the volume ratio of call options to put options was 1.97, and the weighted average implied volatility was 22.95% [68] - Volatility Trading: Similar trading suggestions as above [72] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.35% at the settlement price and 0.32% at the counter - price [75][77] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF Options - Basic Information: The trading volume of the main options of Harvest SSE 300ETF on this day was 64,844 contracts, the open interest was 107,574 contracts, the volume ratio of call options to put options was 1.32, and the weighted average implied volatility was 14.03% [81] - Volatility Trading: Similar trading suggestions as above [83] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.7% at the settlement price and 2.15% at the counter - price [87][88] 3.2.2 E Fund ChiNext ETF Options - Basic Information: The trading volume of the main options of E Fund ChiNext ETF on this day was 1,123,163 contracts, the open interest was 904,554 contracts, the volume ratio of call options to put options was 1.36, and the weighted average implied volatility was 19.45% [91] - Volatility Trading: Similar trading suggestions as above [95] - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 54.8% at the settlement price and 9.68% at the counter - price [98][100] 3.2.3 Harvest CSI 500ETF Options - Basic Information: The trading volume of the main options of Harvest CSI 500ETF on this day was 69,836 contracts, the open interest was 118,935 contracts, the volume ratio of call options to put options was 1.15, and the weighted average implied volatility was 16.43% [103] - Volatility Trading: Similar trading suggestions as above [105] - Risk - Free Arbitrage: No specific data provided in the text 3.3 Other Exchanges' Options - The report also includes option analyses for China Financial Futures Exchange, Zhengzhou Commodity Exchange, Dalian Commodity Exchange, Shanghai Futures Exchange, Shanghai International Energy Exchange, and Guangzhou Futures Exchange, covering basic information, volatility trading, and risk - free arbitrage for various underlying assets such as stocks, commodities, etc. However, detailed analysis for these exchanges is not fully presented in the given text, and only the directory structure is provided [8][9][10]