先锋期货期权日报-20250718

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report The report presents the daily data of futures and options, including the implied volatility, historical volatility, and true range of various option targets. It also provides detailed information on the basic data, volatility trading, and risk - free arbitrage of options on different ETFs and commodities across multiple exchanges. Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - Basic Information: The trading volume of the main Shanghai 50ETF options on the day was 999,636 lots, the open interest was 816,864 lots, the volume ratio of call options to put options was 1.47, and the weighted - average implied volatility was 13.97% [19][21]. - Volatility Trading: Suggestions include selling the month with the curve on top and buying the month with the curve below for different months; selling options with points above the curve and buying those below for the same month [23]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 20.1% at the settlement price and 1.35% at the counter - price [27][29]. 1.2 Huatai - Berry SSE 300ETF - Basic Information: The trading volume of the main 300ETF options on the day was 785,928 lots, the open interest was 574,155 lots, the volume ratio of call options to put options was 1.43, and the weighted - average implied volatility was 14.48% [30][32]. - Volatility Trading: Similar to Shanghai 50ETF, sell the month with the curve on top and buy the month with the curve below for different months; sell options with points above the curve and buy those below for the same month [36]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 27.5% at the settlement price and 3.30% at the counter - price [39][40]. 1.3 Southern CSI 500ETF - Basic Information: The trading volume of the main 500ETF options on the day was 858,727 lots, the open interest was 566,098 lots, the volume ratio of call options to put options was 1.16, and the weighted - average implied volatility was 15.3% [41][43]. - Volatility Trading: The same trading suggestions as above for different and same - month options [47]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 21.8% at the settlement price and 5.60% at the counter - price [50][52]. 1.4 Huaxia SSE STAR 50ETF - Basic Information: The trading volume of the main STAR 50ETF options on the day was 958,790 lots, the open interest was 620,586 lots, the volume ratio of call options to put options was 1.07, and the weighted - average implied volatility was 32.23% [53][55]. - Volatility Trading: Follow the general volatility trading suggestions [62]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 7.94% at the settlement price and 0.63% at the counter - price [63][65]. 1.5 E Fund SSE STAR 50ETF - Basic Information: The trading volume of the main STAR 50ETF options on the day was 94,808 lots, the open interest was 159,401 lots, the volume ratio of call options to put options was 1.43, and the weighted - average implied volatility was 30.06% [66][68]. - Volatility Trading: Adopt the common volatility trading strategies [70]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 3.51% at the settlement price and 0.05% at the counter - price [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest SSE 300ETF - Basic Information: The trading volume of the main Shenzhen 300ETF options on the day was 173,124 lots, the open interest was 122,576 lots, the volume ratio of call options to put options was 0.92, and the weighted - average implied volatility was 20.52% [77][80]. - Volatility Trading: Use the standard volatility trading suggestions [82]. - Risk - Free Arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity was 41.3% at the settlement price and 2.28% at the counter - price [86][88].