先锋期货期权日报-20250704

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents the volatility data of various futures and ETF options, including at - the - money option implied volatility, 30 - day historical volatility, and the real - time volatility of the day. It also provides T - type quotation tables, volatility trading suggestions, and risk - free arbitrage information for different options on multiple exchanges such as the Shanghai Stock Exchange, Shenzhen Stock Exchange, etc. [3][19][30] 3. Summary According to the Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options on July 4, 2025, was 1,330,270 lots, the open interest was 851,905 lots, the trading volume ratio of call options to put options was 1.39, and the weighted average implied volatility was 13.07% [19][21]. - Volatility Trading: Suggestions are to sell the options of the month with the curve on top and buy those of the month with the curve below for different months; sell the options with points on the curve above and buy those with points below for the same month [24]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 6.83% at the settlement price and 0.29% at the counter - price [27][29]. 3.1.2 Huatai - Baoying CSI 300ETF - Basic Information: On July 4, 2025, the trading volume of the main options was 1,157,968 lots, the open interest was 780,224 lots, the trading volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 13.39% [30][32]. - Volatility Trading: Similar to the Shanghai 50ETF, sell the options of the month with the curve on top and buy those of the month with the curve below for different months; sell the options with points on the curve above and buy those with points below for the same month [34][37]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 6.09% at the settlement price and none at the counter - price [39]. 3.1.3 Southern CSI 500ETF - Basic Information: On July 4, 2025, the trading volume of the main options was 1,286,809 lots, the open interest was 703,006 lots, the trading volume ratio of call options to put options was 1.22, and the weighted average implied volatility was 15.55% [42][44]. - Volatility Trading: The same trading suggestions as above, sell high - curve and buy low - curve options [46][49]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 45.6% at the settlement price and 9.60% at the counter - price [51][53]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - Basic Information: On July 4, 2025, the trading volume of the main options was 556,103 lots, the open interest was 765,477 lots, the trading volume ratio of call options to put options was 2.01, and the weighted average implied volatility was 23.13% [54][56]. - Volatility Trading: Follow the rule of selling high - curve and buying low - curve options [58]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.54% at the settlement price and 0.66% at the counter - price [62][63]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - Basic Information: On July 4, 2025, the trading volume of the main options was 148,636 lots, the open interest was 212,964 lots, the trading volume ratio of call options to put options was 1.95, and the weighted average implied volatility was 23.53% [64][66]. - Volatility Trading: Sell high - curve and buy low - curve options [70]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 10.5% at the settlement price and none at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - Basic Information: On July 4, 2025, the trading volume of the main options was 134,700 lots, the open interest was 120,646 lots, the trading volume ratio of call options to put options was 1.48, and the weighted average implied volatility was 14.06% [76][78]. - Volatility Trading: Adopt the strategy of selling high - curve and buying low - curve options [81][82]. - Risk - Free Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 8.46% at the settlement price and 0.08% at the counter - price [86][89]. 3.2.2 E Fund ChiNext ETF - Basic Information: On July 4, 2025, the trading volume of the main options was 1,376,882 lots, the open interest was 913,527 lots, the trading volume ratio of call options to put options was 1.55, and the weighted average implied volatility was 20.13% [90][92]. - Volatility Trading: Sell high - curve and buy low - curve options [94]. - No relevant risk - free arbitrage content provided.