Group 1: Report Overview - Report Name: Pioneer Futures Options Daily Report [1] - Date: July 7, 2025 [1] Group 2: Option Underlying Volatility Ranking - A table presents the implied volatility, historical volatility, and true range of various option underlying assets, along with their rankings [3][5] - The implied volatility reflects the market's expectation of future price fluctuations of the underlying asset; the historical volatility reflects the actual price fluctuations in the past; and the true range reflects the intraday price fluctuations [6] Group 3: Exchange Option Analysis - Shanghai Stock Exchange 1.1 Shanghai 50ETF - Basic Information: Provides the call and put option prices at different strike prices and expiration months, as well as the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [19][21] - Volatility Trading: Suggests selling options with higher implied volatility curves and buying those with lower ones, both for different months and within the same month [23] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 6.74% at the settlement price and none at the counter - price [27][29] 1.2 Huatai - Berry SSE 300ETF - Basic Information: Presents the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [30][32] - Volatility Trading: Similar to the Shanghai 50ETF, it suggests selling options with higher implied volatility curves and buying those with lower ones [36] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 5.86% at the settlement price and 0.35% at the counter - price [41][42] 1.3 Southern CSI 500ETF - Basic Information: Provides the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [43][45] - Volatility Trading: Suggests selling options with higher implied volatility curves and buying those with lower ones [47] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 55.3% at the settlement price and 11.8% at the counter - price [51][53] 1.4 Huaxia SSE STAR 50ETF - Basic Information: Presents the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [54][56] - Volatility Trading: Suggests selling options with higher implied volatility curves and buying those with lower ones [58] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 7.59% at the settlement price and 1.36% at the counter - price [62][64] 1.5 E Fund SSE STAR 50ETF - Basic Information: Provides the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [65][67] - Volatility Trading: Suggests selling options with higher implied volatility curves and buying those with lower ones [69] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 16.0% at the settlement price and 1.22% at the counter - price [73][75] Group 4: Exchange Option Analysis - Shenzhen Stock Exchange 2.1 Harvest SSE 300ETF - Basic Information: Presents the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [76][79] - Volatility Trading: Suggests selling options with higher implied volatility curves and buying those with lower ones [83] - Risk - free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held until maturity is 18.6% at the settlement price and 0.83% at the counter - price [87][89] 2.2 E Fund ChiNext ETF - Basic Information: Provides the call and put option prices at different strike prices and expiration months, along with the trading volume, open interest, trading volume ratio of call to put options, and weighted average implied volatility of the main - contract options [90][92] - Volatility Trading: Implied volatility curves are presented, but specific trading suggestions are similar to other sections [94]
先锋期货期权日报-20250707
Xian Feng Qi Huo·2025-07-07 09:06