先锋期货期权日报-20250716

1. Report Industry Investment Rating - No information provided in the report 2. Core Viewpoints - The report presents a comprehensive analysis of various options in multiple exchanges, including their basic information, trading volumes, open interests, volume ratios of call and put options, weighted average implied volatilities, and provides volatility trading suggestions and no - risk arbitrage opportunities [3][21][23] 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - Basic Information: The trading volume of the main options is 696,475 lots, the open interest is 940,239 lots, the volume ratio of call and put options is 1.2, and the weighted average implied volatility is 14.65% [19][21] - Volatility Trading: Suggestions are to sell the month with the curve above and buy the month with the curve below for different months; sell the option with the point above the curve and buy the option with the point below the curve for the same month [23] - No - Risk Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 20.6% at the settlement price and 1.63% at the counter - price [23][27][29] 3.1.2 Huatai - Berry CSI 300ETF - Basic Information: The trading volume of the main options is 749,160 lots, the open interest is 351,922 lots, the volume ratio of call and put options is 0.58, and the weighted average implied volatility is 19.26% [30][32] - Volatility Trading: Similar to Shanghai 50ETF, sell the curve - above month and buy the curve - below month for different months; sell the point - above option and buy the point - below option for the same month [36] - No - Risk Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 2.87% at the settlement price and 0.52% at the counter - price [39][42] 3.1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main options is 1,076,342 lots, the open interest is 679,205 lots, the volume ratio of call and put options is 1.09, and the weighted average implied volatility is 16.98% [43][45] - Volatility Trading: The same trading suggestions as above for different and same months [50] - No - Risk Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 67.1% at the settlement price and 12.7% at the counter - price [52][54] 3.1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options is 577,910 lots, the open interest is 580,782 lots, the volume ratio of call and put options is 1.99, and the weighted average implied volatility is 32.7% [55][57] - Volatility Trading: Follow the same rules for different and same months [59] - No - Risk Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 5.83% at the settlement price and 0.85% at the counter - price [63][65] 3.1.5 E Fund Shanghai Science and Technology Innovation 50ETF - Basic Information: The trading volume of the main options is 92,944 lots, the open interest is 281,020 lots, the volume ratio of call and put options is 1.83, and the weighted average implied volatility is 24.49% [66][68] - Volatility Trading: Adopt the same trading suggestions [70] - No - Risk Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 40.2% at the settlement price and 0.45% 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 options is 93,508 lots, the open interest is 125,985 lots, the volume ratio of call and put options is 1.31, and the weighted average implied volatility is 16.25% [77][80] - Volatility Trading: Use the same trading rules [82] - No - Risk Arbitrage: The minimum annualized yield of the optimal arbitrage portfolio held to maturity is 31.0% at the settlement price and 1.77% at the counter - price [86][88]