先锋期货期权日报-20250708

Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents the daily data of futures and options, including the implied volatility, historical volatility, and real - time volatility of various option targets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for different exchange - listed options [3][19][22]. 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 of Shanghai 50ETF on the day was 856,407 lots, the open interest was 879,208 lots, the trading volume ratio of call options to put options was 1.48, and the weighted average implied volatility was 14.44%. The T - type quotation table shows the prices of call and put options at different strike prices and expiration months [19][21]. - Volatility Trading: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [25]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.57% at the settlement price and 0.53% at the counter - price [29][31]. 3.1.2 Huatai - Berry SSE 300ETF - Basic Information: The trading volume of the main options of Huatai - Berry SSE 300ETF on the day was 860,039 lots, the open interest was 775,674 lots, the trading volume ratio of call options to put options was 1.66, and the weighted average implied volatility was 14.49%. The T - type quotation table shows option prices [32][34]. - Volatility Trading: Similar to the Shanghai 50ETF, sell the month or option with the curve or point above and buy the one below [36]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.88% at the settlement price and 0.86% at the counter - price [40][43]. 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options of Southern CSI 500ETF on the day was 1,220,646 lots, the open interest was 746,418 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 16.57%. The T - type quotation table shows option prices [44][46]. - Volatility Trading: Follow the rule of selling high and buying low on the volatility curve [50]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.8% at the settlement price and 8.98% at the counter - price [53][55]. 3.1.4 Huaxia SSE STAR 50ETF - Basic Information: The trading volume of the main options of Huaxia SSE STAR 50ETF on the day was 410,981 lots, the open interest was 802,784 lots, the trading volume ratio of call options to put options was 2.09, and the weighted average implied volatility was 23.9%. The T - type quotation table shows option prices [56][58]. - Volatility Trading: Adopt the strategy of selling high and buying low on the volatility curve [60]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.3% at the settlement price and 1.66% at the counter - price [64][65]. 3.1.5 E Fund SSE STAR 50ETF - Basic Information: The trading volume of the main options of E Fund SSE STAR 50ETF on the day was 100,378 lots, the open interest was 227,343 lots, the trading volume ratio of call options to put options was 1.38, and the weighted average implied volatility was 24.63%. The T - type quotation table shows option prices [66][68]. - Volatility Trading: Use the strategy of selling high and buying low on the volatility curve [70]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.1% at the settlement price, and there is no return at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - Basic Information: The trading volume of the main options of Harvest SSE 300ETF on the day was 98,495 lots, the open interest was 118,936 lots, the trading volume ratio of call options to put options was 1.53, and the weighted average implied volatility was 15.62%. The T - type quotation table shows option prices [77][80]. - Volatility Trading: Sell the month or option with the curve or point above and buy the one below [85]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.2% at the settlement price and 0.36% at the counter - price [89][91]. 3.2.2 E Fund ChiNext ETF - Basic Information: The trading volume of the main options of E Fund ChiNext ETF on the day was 1,499,846 lots, the open interest was 958,887 lots, the trading volume ratio of call options to put options was 1.57, and the weighted average implied volatility was 22.06%. The T - type quotation table shows option prices [93][94]. - Volatility Trading: Follow the rule of selling high and buying low on the volatility curve [99]. - Risk - Free Arbitrage: No relevant content provided.