先锋期货期权日报-20250711

1. Report Information - Report Name: Pioneer Futures Options Daily Report - Date: July 11, 2025 [1] 2. Industry Investment Rating - No industry investment rating information is provided in the report. 3. Core Viewpoints - The report provides a comprehensive analysis of various options, including their implied volatility, historical volatility, and real - time volatility. It also offers trading suggestions for volatility trading and calculates the minimum annualized returns for risk - free arbitrage in different options [6][23]. 4. Summary by Directory 4.1 Shanghai Stock Exchange Options 4.1.1 Shanghai 50ETF - Basic Information: The settlement prices of call and put options at different strike prices are presented. The trading volume of the main - contract options is 2,024,025 lots, the open interest is 984,937 lots, the trading volume ratio of call to put options is 1.57, and the weighted - average implied volatility is 15.85% [19][21]. - Volatility Trading: Suggestions are to sell the options in the month with a higher curve and buy those in the month with a lower curve for different months; sell the options with points above the curve and buy those below for the same month [23]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5% at the settlement price and 7.38% at the counter - price [27][29]. 4.1.2 Huatai - Berry SSE 300ETF - Basic Information: The settlement prices of call and put options at different strike prices are given. The trading volume of the main - contract options is 1,399,434 lots, the open interest is 748,062 lots, the trading volume ratio of call to put options is 1.87, and the weighted - average implied volatility is 16.27% [30][32]. - Volatility Trading: Similar to the Shanghai 50ETF, sell the options in the month with a higher curve and buy those in the month with a lower curve for different months; sell the options with points above the curve and buy those below for the same month [34]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.4% at the settlement price and 0.80% at the counter - price [38][39]. 4.1.3 Southern CSI 500ETF - Basic Information: The settlement prices of call and put options at different strike prices are shown. The trading volume of the main - contract options is 1,440,316 lots, the open interest is 775,588 lots, the trading volume ratio of call to put options is 1.55, and the weighted - average implied volatility is 16.92% [40][42]. - Volatility Trading: The same trading suggestions as above are provided [46]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.7% at the settlement price and 7.42% at the counter - price [49][51]. 4.1.4 Huaxia SSE STAR 50ETF - Basic Information: The settlement prices of call and put options at different strike prices are presented. The trading volume of the main - contract options is 716,688 lots, the open interest is 906,895 lots, the trading volume ratio of call to put options is 2.6, and the weighted - average implied volatility is 27.48% [52][54]. - Volatility Trading: The trading suggestions are consistent with the previous ones [58]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.9% at the settlement price and 0.26% at the counter - price [61][63]. 4.1.5 E Fund SSE STAR 50ETF - Basic Information: The settlement prices of call and put options at different strike prices are given. The trading volume of the main - contract options is 180,975 lots, the open interest is 263,862 lots, the trading volume ratio of call to put options is 2, and the weighted - average implied volatility is 29.64% [64][66]. - Volatility Trading: The same trading suggestions are provided [70]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 23.4% at the settlement price and 4.23% at the counter - price [73][75]. 4.2 Shenzhen Stock Exchange Options 4.2.1 Harvest SSE 300ETF - Basic Information: The settlement prices of call and put options at different strike prices are shown. The trading volume of the main - contract options is 197,888 lots, the open interest is 140,185 lots, the trading volume ratio of call to put options is 2.05, and the weighted - average implied volatility is 16.67% [76][79]. - Volatility Trading: Similar trading suggestions are given [81]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.6% at the settlement price and 1.22% at the counter - price [85][86]. 4.2.2 E Fund ChiNext ETF - Basic Information: The settlement prices of call and put options at different strike prices are presented. The trading volume of the main - contract options is 1,665,179 lots, the open interest is 1,005,995 lots, the trading volume ratio of call to put options is 1.55, and the weighted - average implied volatility is 23.58% [87][89]. - Volatility Trading: The same trading suggestions are provided [94]. - Risk - Free Arbitrage: No risk - free arbitrage information is provided in the report. 4.3 Other Exchanges - The report also lists the options of CFFEX, ZCE, DCE, SHFE, INE, and GEE, but no detailed data and analysis are provided in the given content.