先锋期货期权日报-20250714

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents the daily data of various futures and ETF options, including the implied volatility, historical volatility, and real - time volatility of different underlying assets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for 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 - month options is 654,893 lots, the open interest is 1,004,629 lots, the trading volume ratio of call to put options is 1.4, and the weighted - average implied volatility is 16.49% [19][21]. - Volatility Trading: Sell the options with the curve or point above and buy those below, both for different months and the same month [23]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.9% at the settlement price and 1.39% at the counter - price [27][29]. 3.1.2 Huatai - Berry CSI 300ETF - Basic Information: The trading volume of the main - month options is 482,950 lots, the open interest is 736,670 lots, the trading volume ratio of call to put options is 1.56, and the weighted - average implied volatility is 16.69% [30][32]. - Volatility Trading: Similar to the Shanghai 50ETF, sell high and buy low in terms of curves and points [35]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.66% at the settlement price and 0.80% at the counter - price [39][40]. 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main - month options is 594,522 lots, the open interest is 767,733 lots, the trading volume ratio of call to put options is 1.27, and the weighted - average implied volatility is 17.88% [41][43]. - Volatility Trading: Follow the rule of selling high and buying low in volatility curves [47]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 27.1% at the settlement price and 6.18% at the counter - price [50][52]. 3.1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main - month options is 353,075 lots, the open interest is 964,667 lots, the trading volume ratio of call to put options is 2.15, and the weighted - average implied volatility is 27.88% [53][55]. - Volatility Trading: Adopt the strategy of selling high and buying low in volatility [59]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 11.3% at the settlement price, and there is no return at the counter - price [64][65]. 3.1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF - Basic Information: The trading volume of the main - month options is 85,747 lots, the open interest is 283,652 lots, the trading volume ratio of call to put options is 1.77, and the weighted - average implied volatility is 28.34% [66][68]. - Volatility Trading: Sell high and buy low in volatility curves [70]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.4% at the settlement price and 3.53% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300ETF - Basic Information: The trading volume of the main - month options is 59,722 lots, the open interest is 134,816 lots, the trading volume ratio of call to put options is 1.69, and the weighted - average implied volatility is 17.4% [77][80]. - Volatility Trading: Use the strategy of selling high and buying low in volatility [84]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 25.9% at the settlement price and 0.77% at the counter - price [88][90]. 3.2.2 E Fund ChiNext ETF - Basic Information: The trading volume of the main - month options is 717,338 lots, the open interest is 1,015,077 lots, the trading volume ratio of call to put options is 1.38, and the weighted - average implied volatility is 24.81% [91][93]. - Volatility Trading: Sell high and buy low in volatility curves [96]. - No relevant content provided for risk - free arbitrage.